--- /dev/null
+## Copyright (C) 2011 Olaf Till <olaf.till@uni-jena.de>
+##
+## This program is free software; you can redistribute it and/or modify
+## it under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 3 of the License, or
+## (at your option) any later version.
+##
+## This program is distributed in the hope that it will be useful,
+## but WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+## GNU General Public License for more details.
+##
+## You should have received a copy of the GNU General Public License
+## along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+## Internal function, called by residmin_stat --- see there --- and
+## others. Calling __residmin_stat__ indirectly hides the argument
+## "hook", usable by wrappers, from users. Currently, hook can contain
+## the field "observations". Since much uf the interface code is taken
+## from __nonlin_residmin__, it may be that not everything is ideal for
+## the present case; but I think it's allright to leave it so.
+##
+## Some general considerations while making this function:
+##
+## Different Functions for optimization statistics should be made for
+## mere objective function optimization (to be made yet) and
+## residual-derived minimization (this function), since there are
+## different computing aspects. Don't put the contained functionality
+## (statistics) into the respective optimization functions (or
+## backends), since different optimization algorithms can share a way to
+## compute statistics (e.g. even stochastic optimizers can mimize
+## (weighted) squares of residuals). Also, don't use the same frontend
+## for optimization and statistics, since the differences in the
+## interface for both uses may be confusing otherwise, also the optimset
+## options only partially overlap.
+
+## disabled PKG_ADD: __all_opts__ ("__residmin_stat__");
+
+function ret = __residmin_stat__ (f, pfin, settings, hook)
+
+ if (compare_versions (version (), "3.3.55", "<"))
+ ## optimset mechanism was fixed for option names with underscores
+ ## sometime in 3.3.54+, if I remember right
+ optimget = @ __optimget__;
+ endif
+
+ ## scalar defaults
+ diffp_default = .001;
+ cstep_default = 1e-20;
+
+ if (nargin == 1 && ischar (f) && strcmp (f, "defaults"))
+ ret = optimset ("param_config", [], \
+ "param_order", [], \
+ "param_dims", [], \
+ "f_pstruct", false, \
+ "dfdp_pstruct", false, \
+ "dfdp", [], \
+ "diffp", [], \
+ "diff_onesided", [], \
+ "complex_step_derivative", false, \
+ "cstep", cstep_default, \
+ "fixed", [], \
+ "weights", [], \
+ "residuals", [], \
+ "covd", [], \
+ "objf", [], \ # no default, e.g. "wls"
+ "ret_dfdp", false, \
+ "ret_covd", false, \
+ "ret_covp", false, \
+ "ret_corp", false);
+ return;
+ endif
+
+ assign = @ assign; # Is this faster in repeated calls?
+
+ if (nargin != 4)
+ error ("incorrect number of arguments");
+ endif
+
+ if (ischar (f))
+ f = str2func (f);
+ endif
+
+ if (! (p_struct = isstruct (pfin)))
+ if (! isempty (pfin) && (! isvector (pfin) || columns (pfin) > 1))
+ error ("parameters must be either a structure or a column vector");
+ endif
+ endif
+
+ #### processing of settings and consistency checks
+
+ pconf = optimget (settings, "param_config");
+ pord = optimget (settings, "param_order");
+ pdims = optimget (settings, "param_dims");
+ f_pstruct = optimget (settings, "f_pstruct", false);
+ dfdp_pstruct = optimget (settings, "dfdp_pstruct", f_pstruct);
+ dfdp = optimget (settings, "dfdp");
+ if (ischar (dfdp)) dfdp = str2func (dfdp); endif
+ if (isstruct (dfdp)) dfdp_pstruct = true; endif
+ diffp = optimget (settings, "diffp");
+ diff_onesided = optimget (settings, "diff_onesided");
+ fixed = optimget (settings, "fixed");
+ residuals = optimget (settings, "residuals");
+ do_cstep = optimget (settings, "complex_step_derivative", false);
+ cstep = optimget (settings, "cstep", cstep_default);
+ if (do_cstep && ! isempty (dfdp))
+ error ("both 'complex_step_derivative' and 'dfdp' are set");
+ endif
+
+ any_vector_conf = ! (isempty (diffp) && isempty (diff_onesided) && \
+ isempty (fixed));
+
+ ## correct "_pstruct" settings if functions are not supplied
+ if (isempty (dfdp)) dfdp_pstruct = false; endif
+ if (isempty (f)) f_pstruct = false; endif
+
+ ## some settings require a parameter order
+ if (p_struct || ! isempty (pconf) || f_pstruct || dfdp_pstruct)
+ if (isempty (pord))
+ if (p_struct)
+ if (any_vector_conf || \
+ ! ((f_pstruct || isempty (f)) && \
+ (dfdp_pstruct || isempty (dfdp))))
+ error ("no parameter order specified and constructing a parameter order from the structure of parameters can not be done since not all configuration or given functions are structure based");
+ else
+ pord = fieldnames (pfin);
+ endif
+ else
+ error ("given settings require specification of parameter order or parameters in the form of a structure");
+ endif
+ endif
+ pord = pord(:);
+ if (p_struct && ! all (isfield (pfin, pord)))
+ error ("some parameters lacking");
+ endif
+ if ((nnames = rows (unique (pord))) < rows (pord))
+ error ("duplicate parameter names in 'param_order'");
+ endif
+ if (isempty (pdims))
+ if (p_struct)
+ pdims = cellfun \
+ (@ size, fields2cell (pfin, pord), "UniformOutput", false);
+ else
+ pdims = num2cell (ones (nnames, 2), 2);
+ endif
+ else
+ pdims = pdims(:);
+ if (p_struct && \
+ ! all (cellfun (@ (x, y) prod (size (x)) == prod (y), \
+ struct2cell (pfin), pdims)))
+ error ("given param_dims and dimensions of parameters do not match");
+ endif
+ endif
+ if (nnames != rows (pdims))
+ error ("lengths of 'param_order' and 'param_dims' not equal");
+ endif
+ pnel = cellfun (@ prod, pdims);
+ ppartidx = pnel;
+ if (any (pnel > 1))
+ pnonscalar = true;
+ cpnel = num2cell (pnel);
+ prepidx = cat (1, cellfun \
+ (@ (x, n) x(ones (1, n), 1), \
+ num2cell ((1:nnames).'), cpnel, \
+ "UniformOutput", false){:});
+ epord = pord(prepidx, 1);
+ psubidx = cat (1, cellfun \
+ (@ (n) (1:n).', cpnel, \
+ "UniformOutput", false){:});
+ else
+ pnonscalar = false; # some less expensive interfaces later
+ prepidx = (1:nnames).';
+ epord = pord;
+ psubidx = ones (nnames, 1);
+ endif
+ else
+ pord = []; # spares checks for given but not needed
+ endif
+
+ if (p_struct)
+ np = sum (pnel);
+ else
+ np = length (pfin);
+ if (! isempty (pord) && np != sum (pnel))
+ error ("number of initial parameters not correct");
+ endif
+ endif
+ if (ismatrix (dfdp) && ! ischar (dfdp) && ! isempty (dfdp) && \
+ np == 0)
+ np = columns (dfdp);
+ endif
+
+ plabels = num2cell (num2cell ((1:np).'));
+ if (! isempty (pord))
+ plabels = cat (2, plabels, num2cell (epord), \
+ num2cell (num2cell (psubidx)));
+ endif
+
+ ## some useful vectors
+ zerosvec = zeros (np, 1);
+ falsevec = false (np, 1);
+ sizevec = [np, 1];
+
+ ## collect parameter-related configuration
+ if (! isempty (pconf))
+ ## use supplied configuration structure
+
+ ## parameter-related configuration is either allowed by a structure
+ ## or by vectors
+ if (any_vector_conf)
+ error ("if param_config is given, its potential items must not \
+ be configured in another way");
+ endif
+
+ ## supplement parameter names lacking in param_config
+ nidx = ! isfield (pconf, pord);
+ pconf = cell2fields ({struct()}(ones (1, sum (nidx))), \
+ pord(nidx), 2, pconf);
+
+ pconf = structcat (1, fields2cell (pconf, pord){:});
+
+ ## in the following, use reshape with explicit dimensions (instead
+ ## of x(:)) so that errors are thrown if a configuration item has
+ ## incorrect number of elements
+
+ diffp = zerosvec;
+ diffp(:) = diffp_default;
+ if (isfield (pconf, "diffp"))
+ idx = ! fieldempty (pconf, "diffp");
+ if (pnonscalar)
+ diffp(idx(prepidx)) = \
+ cat (1, cellfun (@ (x, n) reshape (x, n, 1), \
+ {pconf(idx).diffp}.', cpnel(idx), \
+ "UniformOutput", false){:});
+ else
+ diffp(idx) = [pconf.diffp];
+ endif
+ endif
+
+ diff_onesided = fixed = falsevec;
+
+ if (isfield (pconf, "diff_onesided"))
+ idx = ! fieldempty (pconf, "diff_onesided");
+ if (pnonscalar)
+ diff_onesided(idx(prepidx)) = \
+ logical \
+ (cat (1, cellfun (@ (x, n) reshape (x, n, 1), \
+ {pconf(idx).diff_onesided}.', cpnel(idx), \
+ "UniformOutput", false){:}));
+ else
+ diff_onesided(idx) = logical ([pconf.diff_onesided]);
+ endif
+ endif
+
+ if (isfield (pconf, "fixed"))
+ idx = ! fieldempty (pconf, "fixed");
+ if (pnonscalar)
+ fixed(idx(prepidx)) = \
+ logical \
+ (cat (1, cellfun (@ (x, n) reshape (x, n, 1), \
+ {pconf(idx).fixed}.', cpnel(idx), \
+ "UniformOutput", false){:}));
+ else
+ fixed(idx) = logical ([pconf.fixed]);
+ endif
+ endif
+ else
+ ## use supplied configuration vectors
+
+ if (isempty (diffp))
+ diffp = zerosvec;
+ diffp(:) = diffp_default;
+ else
+ if (any (size (diffp) != sizevec))
+ error ("diffp: wrong dimensions");
+ endif
+ diffp(isna (diffp)) = diffp_default;
+ endif
+
+ if (isempty (diff_onesided))
+ diff_onesided = falsevec;
+ else
+ if (any (size (diff_onesided) != sizevec))
+ error ("diff_onesided: wrong dimensions")
+ endif
+ diff_onesided(isna (diff_onesided)) = false;
+ diff_onesided = logical (diff_onesided);
+ endif
+
+ if (isempty (fixed))
+ fixed = falsevec;
+ else
+ if (any (size (fixed) != sizevec))
+ error ("fixed: wrong dimensions");
+ endif
+ fixed(isna (fixed)) = false;
+ fixed = logical (fixed);
+ endif
+ endif
+
+ #### consider whether parameters and functions are based on parameter
+ #### structures or parameter vectors; wrappers for call to default
+ #### function for jacobians
+
+ ## parameters
+ if (p_struct)
+ if (pnonscalar)
+ pfin = cat (1, cellfun (@ (x, n) reshape (x, n, 1), \
+ fields2cell (pfin, pord), cpnel, \
+ "UniformOutput", false){:});
+ else
+ pfin = cat (1, fields2cell (pfin, pord){:});
+ endif
+ endif
+
+ ## model function
+ if (f_pstruct)
+ if (pnonscalar)
+ f = @ (p, varargin) \
+ f (cell2struct \
+ (cellfun (@ reshape, mat2cell (p, ppartidx), \
+ pdims, "UniformOutput", false), \
+ pord, 1), varargin{:});
+ else
+ f = @ (p, varargin) \
+ f (cell2struct (num2cell (p), pord, 1), varargin{:});
+ endif
+ endif
+ if (isempty (residuals))
+ if (isempty (f))
+ error ("neither model function nor residuals given");
+ endif
+ residuals = f (pfin);
+ endif
+ if (isfield (hook, "observations"))
+ if (any (size (residuals) != size (obs = hook.observations)))
+ error ("dimensions of observations and values of model function must match");
+ endif
+ f = @ (p) f (p) - obs;
+ residuals -= obs;
+ endif
+
+ ## jacobian of model function
+ if (isempty (dfdp))
+ if (! isempty (f))
+ if (do_cstep)
+ dfdp = @ (p, hook) jacobs (p, f, hook);
+ else
+ __dfdp__ = @ __dfdp__; # for bug #31484 (Octave <= 3.2.4)
+ dfdp = @ (p, hook) __dfdp__ (p, f, hook);
+ endif
+ endif
+ elseif (! isa (dfdp, "function_handle"))
+ if (ismatrix (dfdp))
+ if (any (size (dfdp) != [prod(size(residuals)), np]))
+ error ("jacobian has wrong size");
+ endif
+ elseif (! dfdp_pstruct)
+ error ("jacobian has wrong type");
+ endif
+ dfdp = @ (varargin) dfdp; # simply make a function returning it
+ endif
+ if (dfdp_pstruct)
+ if (pnonscalar)
+ dfdp = @ (p, hook) \
+ cat (2, \
+ fields2cell \
+ (dfdp (cell2struct \
+ (cellfun (@ reshape, mat2cell (p, ppartidx), \
+ pdims, "UniformOutput", false), \
+ pord, 1), hook), \
+ pord){:});
+ else
+ dfdp = @ (p, hook) \
+ cat (2, \
+ fields2cell \
+ (dfdp (cell2struct (num2cell (p), pord, 1), hook), \
+ pord){:});
+ endif
+ endif
+
+ ## parameter-related configuration for jacobian function
+ if (dfdp_pstruct)
+ if(pnonscalar)
+ s_diffp = cell2struct \
+ (cellfun (@ reshape, mat2cell (diffp, ppartidx), \
+ pdims, "UniformOutput", false), pord, 1);
+ s_diff_onesided = cell2struct \
+ (cellfun (@ reshape, mat2cell (diff_onesided, ppartidx), \
+ pdims, "UniformOutput", false), pord, 1);
+ s_plabels = cell2struct \
+ (num2cell \
+ (cat (2, cellfun \
+ (@ (x) cellfun \
+ (@ reshape, mat2cell (cat (1, x{:}), ppartidx), \
+ pdims, "UniformOutput", false), \
+ num2cell (plabels, 1), "UniformOutput", false){:}), \
+ 2), \
+ pord, 1);
+ s_orig_fixed = cell2struct \
+ (cellfun (@ reshape, mat2cell (fixed, ppartidx), \
+ pdims, "UniformOutput", false), pord, 1);
+ else
+ s_diffp = cell2struct (num2cell (diffp), pord, 1);
+ s_diff_onesided = cell2struct (num2cell (diff_onesided), pord, 1);
+ s_plabels = cell2struct (num2cell (plabels, 2), pord, 1);
+ s_fixed = cell2struct (num2cell (fixed), pord, 1);
+ endif
+ endif
+
+ #### further values and checks
+
+ ## check weights dimensions
+ weights = optimget (settings, "weights", ones (size (residuals)));
+ if (any (size (weights) != size (residuals)))
+ error ("dimension of weights and residuals must match");
+ endif
+
+
+ #### collect remaining settings
+ need_dfdp = false;
+ covd = optimget (settings, "covd");
+ need_objf_label = false;
+ if ((ret_dfdp = optimget (settings, "ret_dfdp", false)))
+ need_dfdp = true;
+ endif
+ if ((ret_covd = optimget (settings, "ret_covd", false)))
+ need_objf_label = true;
+ if (np == 0)
+ error ("number of parameters must be known for 'covd', specify either parameters or a jacobian matrix");
+ endif
+ endif
+ if ((ret_covp = optimget (settings, "ret_covp", false)))
+ need_objf_label = true;
+ need_dfdp = true;
+ endif
+ if ((ret_corp = optimget (settings, "ret_corp", false)))
+ need_objf_label = true;
+ need_dfdp = true;
+ endif
+ if (need_objf_label)
+ if (isempty (objf = optimget (settings, "objf")))
+ error ("label of objective function must be specified");
+ else
+ funs = map_objf (objf);
+ endif
+ else
+ funs = struct ();
+ endif
+ if (isempty (dfdp) && need_dfdp)
+ error ("jacobian required and default function for jacobian requires a model function");
+ endif
+
+ ####
+
+ ## Everything which is computed is stored in a hook structure which is
+ ## passed to and returned by every backend function. This hook is not
+ ## identical to the returned structure, since some more results could
+ ## be computed by the way.
+
+ #### handle fixing of parameters
+
+ orig_p = pfin;
+
+ if (all (fixed) && ! isempty (fixed))
+ error ("no free parameters");
+ endif
+
+ ## The policy should be that everything which is computed is left as
+ ## it is up to the end --- since other computations might need it in
+ ## this form --- and supplemented with values corresponding to fixed
+ ## parameters (mostly NA, probably) not until then.
+
+ nonfixed = ! fixed;
+
+ np_after_fixing = sum (nonfixed);
+
+ if (any (fixed))
+
+ if (! isempty (pfin))
+ pfin = pfin(nonfixed);
+ endif
+
+ ## model function
+ f = @ (p, varargin) f (assign (pfin, nonfixed, p), varargin{:});
+
+ ## jacobian of model function
+ if (! isempty (dfdp))
+ dfdp = @ (p, hook) \
+ dfdp (assign (pfin, nonfixed, p), hook)(:, nonfixed);
+ endif
+
+ endif
+
+ #### supplement constants to jacobian function
+ if (dfdp_pstruct)
+ dfdp = @ (p, hook) \
+ dfdp (p, cell2fields \
+ ({s_diffp, s_diff_onesided, s_plabels, s_fixed, cstep}, \
+ {"diffp", "diff_onesided", "plabels", "fixed", "h"}, \
+ 2, hook));
+ else
+ if (! isempty (dfdp))
+ dfdp = @ (p, hook) \
+ dfdp (p, cell2fields \
+ ({diffp, diff_onesided, plabels, fixed, cstep}, \
+ {"diffp", "diff_onesided", "plabels", "fixed", "h"}, \
+ 2, hook));
+ endif
+ endif
+
+ #### prepare interface hook
+
+ ## passed final parameters of an optimization
+ hook.pfin = pfin;
+
+ ## passed function for derivative of model function
+ hook.dfdp = dfdp;
+
+ ## passed function for complementary pivoting
+ ## hook.cpiv = cpiv; # set before
+
+ ## passed value of residual function for initial parameters
+ hook.residuals = residuals;
+
+ ## passed weights
+ hook.weights = weights;
+
+ ## passed dimensions
+ hook.np = np_after_fixing;
+ hook.nm = prod (size (residuals));
+
+ ## passed statistics functions
+ hook.funs = funs;
+
+ ## passed covariance matrix of data (if given by user)
+ if (! isempty (covd))
+ covd_dims = size (covd);
+ if (length (covd_dims) != 2 || any (covd_dims != hook.nm))
+ error ("wrong dimensions of covariance matrix of data");
+ endif
+ hook.covd = covd;
+ endif
+
+ #### do the actual work
+
+ if (ret_dfdp)
+ hook.jac = hook.dfdp (hook.pfin, hook);
+ endif
+
+ if (ret_covd)
+ hook = funs.covd (hook);
+ endif
+
+ if (ret_covp || ret_corp)
+ hook = funs.covp_corp (hook);
+ endif
+
+ #### convert (consider fixing ...) and return results
+
+ ret = struct ();
+
+ if (ret_dfdp)
+ ret.dfdp = zeros (hook.nm, np);
+ ret.dfdp(:, nonfixed) = hook.jac;
+ endif
+
+ if (ret_covd)
+ ret.covd = hook.covd;
+ endif
+
+ if (ret_covp)
+ if (any (fixed))
+ ret.covp = NA (np);
+ ret.covp(nonfixed, nonfixed) = hook.covp;
+ else
+ ret.covp = hook.covp;
+ endif
+ endif
+
+ if (ret_corp)
+ if (any (fixed))
+ ret.corp = NA (np);
+ ret.corp(nonfixed, nonfixed) = hook.corp;
+ else
+ ret.corp = hook.corp;
+ endif
+ endif
+
+endfunction
+
+function funs = map_objf (objf)
+
+ switch (objf)
+ case "wls" # weighted least squares
+ funs.covd = str2func ("__covd_wls__");
+ funs.covp_corp = str2func ("__covp_corp_wls__");
+ otherwise
+ error ("no statistics implemented for objective function '%s'", \
+ objf);
+ endswitch
+
+endfunction
+
+function lval = assign (lval, lidx, rval)
+
+ lval(lidx) = rval;
+
+endfunction
+
+function ret = __optimget__ (s, name, default)
+
+ if (isfield (s, name))
+ ret = s.(name);
+ elseif (nargin > 2)
+ ret = default;
+ else
+ ret = [];
+ endif
+
+endfunction
git://git.creatis.insa-lyon.fr / CreaPhase.git / blobdiff