dustem_mpfit.pro
141 KB
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;+
; NAME:
; MPFIT
;
; AUTHOR:
; Craig B. Markwardt, NASA/GSFC Code 662, Greenbelt, MD 20770
; craigm@lheamail.gsfc.nasa.gov
; UPDATED VERSIONs can be found on my WEB PAGE:
; http://cow.physics.wisc.edu/~craigm/idl/idl.html
;
; PURPOSE:
; Perform Levenberg-Marquardt least-squares minimization (MINPACK-1)
;
; MAJOR TOPICS:
; Curve and Surface Fitting
;
; CALLING SEQUENCE:
; parms = MPFIT(MYFUNCT, start_parms, FUNCTARGS=fcnargs, NFEV=nfev,
; MAXITER=maxiter, ERRMSG=errmsg, NPRINT=nprint, QUIET=quiet,
; FTOL=ftol, XTOL=xtol, GTOL=gtol, NITER=niter,
; STATUS=status, ITERPROC=iterproc, ITERARGS=iterargs,
; COVAR=covar, PERROR=perror, BESTNORM=bestnorm,
; PARINFO=parinfo)
;
; DESCRIPTION:
;
; MPFIT uses the Levenberg-Marquardt technique to solve the
; least-squares problem. In its typical use, MPFIT will be used to
; fit a user-supplied function (the "model") to user-supplied data
; points (the "data") by adjusting a set of parameters. MPFIT is
; based upon MINPACK-1 (LMDIF.F) by More' and collaborators.
;
; For example, a researcher may think that a set of observed data
; points is best modelled with a Gaussian curve. A Gaussian curve is
; parameterized by its mean, standard deviation and normalization.
; MPFIT will, within certain constraints, find the set of parameters
; which best fits the data. The fit is "best" in the least-squares
; sense; that is, the sum of the weighted squared differences between
; the model and data is minimized.
;
; The Levenberg-Marquardt technique is a particular strategy for
; iteratively searching for the best fit. This particular
; implementation is drawn from MINPACK-1 (see NETLIB), and seems to
; be more robust than routines provided with IDL. This version
; allows upper and lower bounding constraints to be placed on each
; parameter, or the parameter can be held fixed.
;
; The IDL user-supplied function should return an array of weighted
; deviations between model and data. In a typical scientific problem
; the residuals should be weighted so that each deviate has a
; gaussian sigma of 1.0. If X represents values of the independent
; variable, Y represents a measurement for each value of X, and ERR
; represents the error in the measurements, then the deviates could
; be calculated as follows:
;
; DEVIATES = (Y - F(X)) / ERR
;
; where F is the function representing the model. You are
; recommended to use the convenience functions MPFITFUN and
; MPFITEXPR, which are driver functions that calculate the deviates
; for you. If ERR are the 1-sigma uncertainties in Y, then
;
; TOTAL( DEVIATES^2 )
;
; will be the total chi-squared value. MPFIT will minimize the
; chi-square value. The values of X, Y and ERR are passed through
; MPFIT to the user-supplied function via the FUNCTARGS keyword.
;
; Simple constraints can be placed on parameter values by using the
; PARINFO keyword to MPFIT. See below for a description of this
; keyword.
;
; MPFIT does not perform more general optimization tasks. See TNMIN
; instead. MPFIT is customized, based on MINPACK-1, to the
; least-squares minimization problem.
;
; USER FUNCTION
;
; The user must define a function which returns the appropriate
; values as specified above. The function should return the weighted
; deviations between the model and the data. For applications which
; use finite-difference derivatives -- the default -- the user
; function should be declared in the following way:
;
; FUNCTION MYFUNCT, p, X=x, Y=y, ERR=err
; ; Parameter values are passed in "p"
; model = F(x, p)
; return, (y-model)/err
; END
;
; See below for applications with explicit derivatives.
;
; The keyword parameters X, Y, and ERR in the example above are
; suggestive but not required. Any parameters can be passed to
; MYFUNCT by using the FUNCTARGS keyword to MPFIT. Use MPFITFUN and
; MPFITEXPR if you need ideas on how to do that. The function *must*
; accept a parameter list, P.
;
; In general there are no restrictions on the number of dimensions in
; X, Y or ERR. However the deviates *must* be returned in a
; one-dimensional array, and must have the same type (float or
; double) as the input arrays.
;
; See below for error reporting mechanisms.
;
;
; CHECKING STATUS AND HANNDLING ERRORS
;
; Upon return, MPFIT will report the status of the fitting operation
; in the STATUS and ERRMSG keywords. The STATUS keyword will contain
; a numerical code which indicates the success or failure status.
; Generally speaking, any value 1 or greater indicates success, while
; a value of 0 or less indicates a possible failure. The ERRMSG
; keyword will contain a text string which should describe the error
; condition more fully.
;
; By default, MPFIT will trap fatal errors and report them to the
; caller gracefully. However, during the debugging process, it is
; often useful to halt execution where the error occurred. When you
; set the NOCATCH keyword, MPFIT will not do any special error
; trapping, and execution will stop whereever the error occurred.
;
; MPFIT does not explicitly change the !ERROR_STATE variable
; (although it may be changed implicitly if MPFIT calls MESSAGE). It
; is the caller's responsibility to call MESSAGE, /RESET to ensure
; that the error state is initialized before calling MPFIT.
;
; User functions may also indicate non-fatal error conditions using
; the ERROR_CODE common block variable, as described below under the
; MPFIT_ERROR common block definition (by setting ERROR_CODE to a
; number between -15 and -1). When the user function sets an error
; condition via ERROR_CODE, MPFIT will gracefully exit immediately
; and report this condition to the caller. The ERROR_CODE is
; returned in the STATUS keyword in that case.
;
;
; EXPLICIT DERIVATIVES
;
; In the search for the best-fit solution, MPFIT by default
; calculates derivatives numerically via a finite difference
; approximation. The user-supplied function need not calculate the
; derivatives explicitly. However, the user function *may* calculate
; the derivatives if desired, but only if the model function is
; declared with an additional position parameter, DP, as described
; below. If the user function does not accept this additional
; parameter, MPFIT will report an error. As a practical matter, it
; is often sufficient and even faster to allow MPFIT to calculate the
; derivatives numerically, but this option is available for users who
; wish more control over the fitting process.
;
; There are two ways to enable explicit derivatives. First, the user
; can set the keyword AUTODERIVATIVE=0, which is a global switch for
; all parameters. In this case, MPFIT will request explicit
; derivatives for every free parameter.
;
; Second, the user may request explicit derivatives for specifically
; selected parameters using the PARINFO.MPSIDE=3 (see "CONSTRAINING
; PARAMETER VALUES WITH THE PARINFO KEYWORD" below). In this
; strategy, the user picks and chooses which parameter derivatives
; are computed explicitly versus numerically. When PARINFO[i].MPSIDE
; EQ 3, then the ith parameter derivative is computed explicitly.
;
; The keyword setting AUTODERIVATIVE=0 always globally overrides the
; individual values of PARINFO.MPSIDE. Setting AUTODERIVATIVE=0 is
; equivalent to resetting PARINFO.MPSIDE=3 for all parameters.
;
; Even if the user requests explicit derivatives for some or all
; parameters, MPFIT will not always request explicit derivatives on
; every user function call.
;
; EXPLICIT DERIVATIVES - CALLING INTERFACE
;
; When AUTODERIVATIVE=0, the user function is responsible for
; calculating the derivatives of the *residuals* with respect to each
; parameter. The user function should be declared as follows:
;
; ;
; ; MYFUNCT - example user function
; ; P - input parameter values (N-element array)
; ; DP - upon input, an N-vector indicating which parameters
; ; to compute derivatives for;
; ; upon output, the user function must return
; ; an ARRAY(M,N) of derivatives in this keyword
; ; (keywords) - any other keywords specified by FUNCTARGS
; ; RETURNS - residual values
; ;
; FUNCTION MYFUNCT, p, dp, X=x, Y=y, ERR=err
; model = F(x, p) ;; Model function
; resid = (y - model)/err ;; Residual calculation (for example)
;
; if n_params() GT 1 then begin
; ; Create derivative and compute derivative array
; requested = dp ; Save original value of DP
; dp = make_array(n_elements(x), n_elements(p), value=x[0]*0)
;
; ; Compute derivative if requested by caller
; for i = 0, n_elements(p)-1 do if requested(i) NE 0 then $
; dp(*,i) = FGRAD(x, p, i) / err
; endif
;
; return, resid
; END
;
; where FGRAD(x, p, i) is a model function which computes the
; derivative of the model F(x,p) with respect to parameter P(i) at X.
;
; A quirk in the implementation leaves a stray negative sign in the
; definition of DP. The derivative of the *residual* should be
; "-FGRAD(x,p,i) / err" because of how the residual is defined
; ("resid = (data - model) / err"). **HOWEVER** because of the
; implementation quirk, MPFIT expects FGRAD(x,p,i)/err instead,
; i.e. the opposite sign of the gradient of RESID.
;
; Derivatives should be returned in the DP array. DP should be an
; ARRAY(m,n) array, where m is the number of data points and n is the
; number of parameters. -DP[i,j] is the derivative of the ith
; residual with respect to the jth parameter (note the minus sign
; due to the quirk described above).
;
; As noted above, MPFIT may not always request derivatives from the
; user function. In those cases, the parameter DP is not passed.
; Therefore functions can use N_PARAMS() to indicate whether they
; must compute the derivatives or not.
;
; The derivatives with respect to fixed parameters are ignored; zero
; is an appropriate value to insert for those derivatives. Upon
; input to the user function, DP is set to a vector with the same
; length as P, with a value of 1 for a parameter which is free, and a
; value of zero for a parameter which is fixed (and hence no
; derivative needs to be calculated). This input vector may be
; overwritten as needed. In the example above, the original DP
; vector is saved to a variable called REQUESTED, and used as a mask
; to calculate only those derivatives that are required.
;
; If the data is higher than one dimensional, then the *last*
; dimension should be the parameter dimension. Example: fitting a
; 50x50 image, "dp" should be 50x50xNPAR.
;
; EXPLICIT DERIVATIVES - TESTING and DEBUGGING
;
; For reasonably complicated user functions, the calculation of
; explicit derivatives of the correct sign and magnitude can be
; difficult to get right. A simple sign error can cause MPFIT to be
; confused. MPFIT has a derivative debugging mode which will compute
; the derivatives *both* numerically and explicitly, and compare the
; results.
;
; It is expected that during production usage, derivative debugging
; should be disabled for all parameters.
;
; In order to enable derivative debugging mode, set the following
; PARINFO members for the ith parameter.
; PARINFO[i].MPSIDE = 3 ; Enable explicit derivatives
; PARINFO[i].MPDERIV_DEBUG = 1 ; Enable derivative debugging mode
; PARINFO[i].MPDERIV_RELTOL = ?? ; Relative tolerance for comparison
; PARINFO[i].MPDERIV_ABSTOL = ?? ; Absolute tolerance for comparison
; Note that these settings are maintained on a parameter-by-parameter
; basis using PARINFO, so the user can choose which parameters
; derivatives will be tested.
;
; When .MPDERIV_DEBUG is set, then MPFIT first computes the
; derivative explicitly by requesting them from the user function.
; Then, it computes the derivatives numerically via finite
; differencing, and compares the two values. If the difference
; exceeds a tolerance threshold, then the values are printed out to
; alert the user. The tolerance level threshold contains both a
; relative and an absolute component, and is expressed as,
;
; ABS(DERIV_U - DERIV_N) GE (ABSTOL + RELTOL*ABS(DERIV_U))
;
; where DERIV_U and DERIV_N are the derivatives computed explicitly
; and numerically, respectively. Appropriate values
; for most users will be:
;
; PARINFO[i].MPDERIV_RELTOL = 1d-3 ;; Suggested relative tolerance
; PARINFO[i].MPDERIV_ABSTOL = 1d-7 ;; Suggested absolute tolerance
;
; although these thresholds may have to be adjusted for a particular
; problem. When the threshold is exceeded, users can expect to see a
; tabular report like this one:
;
; FJAC DEBUG BEGIN
; # IPNT FUNC DERIV_U DERIV_N DIFF_ABS DIFF_REL
; FJAC PARM 2
; 80 -0.7308 0.04233 0.04233 -5.543E-07 -1.309E-05
; 99 1.370 0.01417 0.01417 -5.518E-07 -3.895E-05
; 118 0.07187 -0.01400 -0.01400 -5.566E-07 3.977E-05
; 137 1.844 -0.04216 -0.04216 -5.589E-07 1.326E-05
; FJAC DEBUG END
;
; The report will be bracketed by FJAC DEBUG BEGIN/END statements.
; Each parameter will be delimited by the statement FJAC PARM n,
; where n is the parameter number. The columns are,
;
; IPNT - data point number (0 ... M-1)
; FUNC - function value at that point
; DERIV_U - explicit derivative value at that point
; DERIV_N - numerical derivative estimate at that point
; DIFF_ABS - absolute difference = (DERIV_U - DERIV_N)
; DIFF_REL - relative difference = (DIFF_ABS)/(DERIV_U)
;
; When prints appear in this report, it is most important to check
; that the derivatives computed in two different ways have the same
; numerical sign and the same order of magnitude, since these are the
; most common programming mistakes.
;
; A line of this form may also appear
;
; # FJAC_MASK = 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
;
; This line indicates for which parameters explicit derivatives are
; expected. A list of all-1s indicates all explicit derivatives for
; all parameters are requested from the user function.
;
;
; CONSTRAINING PARAMETER VALUES WITH THE PARINFO KEYWORD
;
; The behavior of MPFIT can be modified with respect to each
; parameter to be fitted. A parameter value can be fixed; simple
; boundary constraints can be imposed; limitations on the parameter
; changes can be imposed; properties of the automatic derivative can
; be modified; and parameters can be tied to one another.
;
; These properties are governed by the PARINFO structure, which is
; passed as a keyword parameter to MPFIT.
;
; PARINFO should be an array of structures, one for each parameter.
; Each parameter is associated with one element of the array, in
; numerical order. The structure can have the following entries
; (none are required):
;
; .VALUE - the starting parameter value (but see the START_PARAMS
; parameter for more information).
;
; .FIXED - a boolean value, whether the parameter is to be held
; fixed or not. Fixed parameters are not varied by
; MPFIT, but are passed on to MYFUNCT for evaluation.
;
; .LIMITED - a two-element boolean array. If the first/second
; element is set, then the parameter is bounded on the
; lower/upper side. A parameter can be bounded on both
; sides. Both LIMITED and LIMITS must be given
; together.
;
; .LIMITS - a two-element float or double array. Gives the
; parameter limits on the lower and upper sides,
; respectively. Zero, one or two of these values can be
; set, depending on the values of LIMITED. Both LIMITED
; and LIMITS must be given together.
;
; .PARNAME - a string, giving the name of the parameter. The
; fitting code of MPFIT does not use this tag in any
; way. However, the default ITERPROC will print the
; parameter name if available.
;
; .STEP - the step size to be used in calculating the numerical
; derivatives. If set to zero, then the step size is
; computed automatically. Ignored when AUTODERIVATIVE=0.
; This value is superceded by the RELSTEP value.
;
; .RELSTEP - the *relative* step size to be used in calculating
; the numerical derivatives. This number is the
; fractional size of the step, compared to the
; parameter value. This value supercedes the STEP
; setting. If the parameter is zero, then a default
; step size is chosen.
;
; .MPSIDE - selector for type of derivative calculation. This
; field can take one of five possible values:
;
; 0 - one-sided derivative computed automatically
; 1 - one-sided derivative (f(x+h) - f(x) )/h
; -1 - one-sided derivative (f(x) - f(x-h))/h
; 2 - two-sided derivative (f(x+h) - f(x-h))/(2*h)
; 3 - explicit derivative used for this parameter
;
; In the first four cases, the derivative is approximated
; numerically by finite difference, with step size
; H=STEP, where the STEP parameter is defined above. The
; last case, MPSIDE=3, indicates to allow the user
; function to compute the derivative explicitly (see
; section on "EXPLICIT DERIVATIVES"). AUTODERIVATIVE=0
; overrides this setting for all parameters, and is
; equivalent to MPSIDE=3 for all parameters. For
; MPSIDE=0, the "automatic" one-sided derivative method
; will chose a direction for the finite difference which
; does not violate any constraints. The other methods
; (MPSIDE=-1 or MPSIDE=1) do not perform this check. The
; two-sided method is in principle more precise, but
; requires twice as many function evaluations. Default:
; 0.
;
; .MPDERIV_DEBUG - set this value to 1 to enable debugging of
; user-supplied explicit derivatives (see "TESTING and
; DEBUGGING" section above). In addition, the
; user must enable calculation of explicit derivatives by
; either setting AUTODERIVATIVE=0, or MPSIDE=3 for the
; desired parameters. When this option is enabled, a
; report may be printed to the console, depending on the
; MPDERIV_ABSTOL and MPDERIV_RELTOL settings.
; Default: 0 (no debugging)
;
;
; .MPDERIV_ABSTOL, .MPDERIV_RELTOL - tolerance settings for
; print-out of debugging information, for each parameter
; where debugging is enabled. See "TESTING and
; DEBUGGING" section above for the meanings of these two
; fields.
;
;
; .MPMAXSTEP - the maximum change to be made in the parameter
; value. During the fitting process, the parameter
; will never be changed by more than this value in
; one iteration.
;
; A value of 0 indicates no maximum. Default: 0.
;
; .TIED - a string expression which "ties" the parameter to other
; free or fixed parameters as an equality constraint. Any
; expression involving constants and the parameter array P
; are permitted.
; Example: if parameter 2 is always to be twice parameter
; 1 then use the following: parinfo[2].tied = '2 * P[1]'.
; Since they are totally constrained, tied parameters are
; considered to be fixed; no errors are computed for them,
; and any LIMITS are not obeyed.
; [ NOTE: the PARNAME can't be used in a TIED expression. ]
;
; .MPPRINT - if set to 1, then the default ITERPROC will print the
; parameter value. If set to 0, the parameter value
; will not be printed. This tag can be used to
; selectively print only a few parameter values out of
; many. Default: 1 (all parameters printed)
;
; .MPFORMAT - IDL format string to print the parameter within
; ITERPROC. Default: '(G20.6)' (An empty string will
; also use the default.)
;
; Future modifications to the PARINFO structure, if any, will involve
; adding structure tags beginning with the two letters "MP".
; Therefore programmers are urged to avoid using tags starting with
; "MP", but otherwise they are free to include their own fields
; within the PARINFO structure, which will be ignored by MPFIT.
;
; PARINFO Example:
; parinfo = replicate({value:0.D, fixed:0, limited:[0,0], $
; limits:[0.D,0]}, 5)
; parinfo[0].fixed = 1
; parinfo[4].limited[0] = 1
; parinfo[4].limits[0] = 50.D
; parinfo[*].value = [5.7D, 2.2, 500., 1.5, 2000.]
;
; A total of 5 parameters, with starting values of 5.7,
; 2.2, 500, 1.5, and 2000 are given. The first parameter
; is fixed at a value of 5.7, and the last parameter is
; constrained to be above 50.
;
;
; RECURSION
;
; Generally, recursion is not allowed. As of version 1.77, MPFIT has
; recursion protection which does not allow a model function to
; itself call MPFIT. Users who wish to perform multi-level
; optimization should investigate the 'EXTERNAL' function evaluation
; methods described below for hard-to-evaluate functions. That
; method places more control in the user's hands. The user can
; design a "recursive" application by taking care.
;
; In most cases the recursion protection should be well-behaved.
; However, if the user is doing debugging, it is possible for the
; protection system to get "stuck." In order to reset it, run the
; procedure:
; MPFIT_RESET_RECURSION
; and the protection system should get "unstuck." It is save to call
; this procedure at any time.
;
;
; COMPATIBILITY
;
; This function is designed to work with IDL 5.0 or greater.
;
; Because TIED parameters and the "(EXTERNAL)" user-model feature use
; the EXECUTE() function, they cannot be used with the free version
; of the IDL Virtual Machine.
;
;
; DETERMINING THE VERSION OF MPFIT
;
; MPFIT is a changing library. Users of MPFIT may also depend on a
; specific version of the library being present. As of version 1.70
; of MPFIT, a VERSION keyword has been added which allows the user to
; query which version is present. The keyword works like this:
;
; RESULT = MPFIT(/query, VERSION=version)
;
; This call uses the /QUERY keyword to query the version number
; without performing any computations. Users of MPFIT can call this
; method to determine which version is in the IDL path before
; actually using MPFIT to do any numerical work. Upon return, the
; VERSION keyword contains the version number of MPFIT, expressed as
; a string of the form 'X.Y' where X and Y are integers.
;
; Users can perform their own version checking, or use the built-in
; error checking of MPFIT. The MIN_VERSION keyword enforces the
; requested minimum version number. For example,
;
; RESULT = MPFIT(/query, VERSION=version, MIN_VERSION='1.70')
;
; will check whether the accessed version is 1.70 or greater, without
; performing any numerical processing.
;
; The VERSION and MIN_VERSION keywords were added in MPFIT
; version 1.70 and later. If the caller attempts to use the VERSION
; or MIN_VERSION keywords, and an *older* version of the code is
; present in the caller's path, then IDL will throw an 'unknown
; keyword' error. Therefore, in order to be robust, the caller, must
; use exception handling. Here is an example demanding at least
; version 1.70.
;
; MPFIT_OK = 0 & VERSION = '<unknown>'
; CATCH, CATCHERR
; IF CATCHERR EQ 0 THEN MPFIT_OK = MPFIT(/query, VERSION=version, $
; MIN_VERSION='1.70')
; CATCH, /CANCEL
;
; IF NOT MPFIT_OK THEN $
; MESSAGE, 'ERROR: you must have MPFIT version 1.70 or higher in '+$
; 'your path (found version '+version+')'
;
; Of course, the caller can also do its own version number
; requirements checking.
;
;
; HARD-TO-COMPUTE FUNCTIONS: "EXTERNAL" EVALUATION
;
; The normal mode of operation for MPFIT is for the user to pass a
; function name, and MPFIT will call the user function multiple times
; as it iterates toward a solution.
;
; Some user functions are particularly hard to compute using the
; standard model of MPFIT. Usually these are functions that depend
; on a large amount of external data, and so it is not feasible, or
; at least highly impractical, to have MPFIT call it. In those cases
; it may be possible to use the "(EXTERNAL)" evaluation option.
;
; In this case the user is responsible for making all function *and
; derivative* evaluations. The function and Jacobian data are passed
; in through the EXTERNAL_FVEC and EXTERNAL_FJAC keywords,
; respectively. The user indicates the selection of this option by
; specifying a function name (MYFUNCT) of "(EXTERNAL)". No
; user-function calls are made when EXTERNAL evaluation is being
; used.
;
; ** SPECIAL NOTE ** For the "(EXTERNAL)" case, the quirk noted above
; does not apply. The gradient matrix, EXTERNAL_FJAC, should be
; comparable to "-FGRAD(x,p)/err", which is the *opposite* sign of
; the DP matrix described above. In other words, EXTERNAL_FJAC
; has the same sign as the derivative of EXTERNAL_FVEC, and the
; opposite sign of FGRAD.
;
; At the end of each iteration, control returns to the user, who must
; reevaluate the function at its new parameter values. Users should
; check the return value of the STATUS keyword, where a value of 9
; indicates the user should supply more data for the next iteration,
; and re-call MPFIT. The user may refrain from calling MPFIT
; further; as usual, STATUS will indicate when the solution has
; converged and no more iterations are required.
;
; Because MPFIT must maintain its own data structures between calls,
; the user must also pass a named variable to the EXTERNAL_STATE
; keyword. This variable must be maintained by the user, but not
; changed, throughout the fitting process. When no more iterations
; are desired, the named variable may be discarded.
;
;
; INPUTS:
; MYFUNCT - a string variable containing the name of the function to
; be minimized. The function should return the weighted
; deviations between the model and the data, as described
; above.
;
; For EXTERNAL evaluation of functions, this parameter
; should be set to a value of "(EXTERNAL)".
;
; START_PARAMS - An one-dimensional array of starting values for each of the
; parameters of the model. The number of parameters
; should be fewer than the number of measurements.
; Also, the parameters should have the same data type
; as the measurements (double is preferred).
;
; This parameter is optional if the PARINFO keyword
; is used (but see PARINFO). The PARINFO keyword
; provides a mechanism to fix or constrain individual
; parameters. If both START_PARAMS and PARINFO are
; passed, then the starting *value* is taken from
; START_PARAMS, but the *constraints* are taken from
; PARINFO.
;
; RETURNS:
;
; Returns the array of best-fit parameters.
; Exceptions:
; * if /QUERY is set (see QUERY).
;
;
; KEYWORD PARAMETERS:
;
; AUTODERIVATIVE - If this is set, derivatives of the function will
; be computed automatically via a finite
; differencing procedure. If not set, then MYFUNCT
; must provide the explicit derivatives.
; Default: set (=1)
; NOTE: to supply your own explicit derivatives,
; explicitly pass AUTODERIVATIVE=0
;
; BESTNORM - upon return, the value of the summed squared weighted
; residuals for the returned parameter values,
; i.e. TOTAL(DEVIATES^2).
;
; BEST_FJAC - upon return, BEST_FJAC contains the Jacobian, or
; partial derivative, matrix for the best-fit model.
; The values are an array,
; ARRAY(N_ELEMENTS(DEVIATES),NFREE) where NFREE is the
; number of free parameters. This array is only
; computed if /CALC_FJAC is set, otherwise BEST_FJAC is
; undefined.
;
; The returned array is such that BEST_FJAC[I,J] is the
; partial derivative of DEVIATES[I] with respect to
; parameter PARMS[PFREE_INDEX[J]]. Note that since
; deviates are (data-model)*weight, the Jacobian of the
; *deviates* will have the opposite sign from the
; Jacobian of the *model*, and may be scaled by a
; factor.
;
; BEST_RESID - upon return, an array of best-fit deviates.
;
; CALC_FJAC - if set, then calculate the Jacobian and return it in
; BEST_FJAC. If not set, then the return value of
; BEST_FJAC is undefined.
;
; COVAR - the covariance matrix for the set of parameters returned
; by MPFIT. The matrix is NxN where N is the number of
; parameters. The square root of the diagonal elements
; gives the formal 1-sigma statistical errors on the
; parameters IF errors were treated "properly" in MYFUNC.
; Parameter errors are also returned in PERROR.
;
; To compute the correlation matrix, PCOR, use this example:
; PCOR = COV * 0
; FOR i = 0, n-1 DO FOR j = 0, n-1 DO $
; PCOR[i,j] = COV[i,j]/sqrt(COV[i,i]*COV[j,j])
; or equivalently, in vector notation,
; PCOR = COV / (PERROR # PERROR)
;
; If NOCOVAR is set or MPFIT terminated abnormally, then
; COVAR is set to a scalar with value !VALUES.D_NAN.
;
; DOF - number of degrees of freedom, computed as
; DOF = N_ELEMENTS(DEVIATES) - NFREE
; Note that this doesn't account for pegged parameters (see
; NPEGGED). It also does not account for data points which
; are assigned zero weight by the user function.
;
; ERRMSG - a string error or warning message is returned.
;
; EXTERNAL_FVEC - upon input, the function values, evaluated at
; START_PARAMS. This should be an M-vector, where M
; is the number of data points.
;
; EXTERNAL_FJAC - upon input, the Jacobian array of partial
; derivative values. This should be a M x N array,
; where M is the number of data points and N is the
; number of parameters. NOTE: that all FIXED or
; TIED parameters must *not* be included in this
; array.
;
; EXTERNAL_STATE - a named variable to store MPFIT-related state
; information between iterations (used in input and
; output to MPFIT). The user must not manipulate
; or discard this data until the final iteration is
; performed.
;
; FASTNORM - set this keyword to select a faster algorithm to
; compute sum-of-square values internally. For systems
; with large numbers of data points, the standard
; algorithm can become prohibitively slow because it
; cannot be vectorized well. By setting this keyword,
; MPFIT will run faster, but it will be more prone to
; floating point overflows and underflows. Thus, setting
; this keyword may sacrifice some stability in the
; fitting process.
;
; FTOL - a nonnegative input variable. Termination occurs when both
; the actual and predicted relative reductions in the sum of
; squares are at most FTOL (and STATUS is accordingly set to
; 1 or 3). Therefore, FTOL measures the relative error
; desired in the sum of squares. Default: 1D-10
;
; FUNCTARGS - A structure which contains the parameters to be passed
; to the user-supplied function specified by MYFUNCT via
; the _EXTRA mechanism. This is the way you can pass
; additional data to your user-supplied function without
; using common blocks.
;
; Consider the following example:
; if FUNCTARGS = { XVAL:[1.D,2,3], YVAL:[1.D,4,9],
; ERRVAL:[1.D,1,1] }
; then the user supplied function should be declared
; like this:
; FUNCTION MYFUNCT, P, XVAL=x, YVAL=y, ERRVAL=err
;
; By default, no extra parameters are passed to the
; user-supplied function, but your function should
; accept *at least* one keyword parameter. [ This is to
; accomodate a limitation in IDL's _EXTRA
; parameter-passing mechanism. ]
;
; GTOL - a nonnegative input variable. Termination occurs when the
; cosine of the angle between fvec and any column of the
; jacobian is at most GTOL in absolute value (and STATUS is
; accordingly set to 4). Therefore, GTOL measures the
; orthogonality desired between the function vector and the
; columns of the jacobian. Default: 1D-10
;
; ITERARGS - The keyword arguments to be passed to ITERPROC via the
; _EXTRA mechanism. This should be a structure, and is
; similar in operation to FUNCTARGS.
; Default: no arguments are passed.
;
; ITERPRINT - The name of an IDL procedure, equivalent to PRINT,
; that ITERPROC will use to render output. ITERPRINT
; should be able to accept at least four positional
; arguments. In addition, it should be able to accept
; the standard FORMAT keyword for output formatting; and
; the UNIT keyword, to redirect output to a logical file
; unit (default should be UNIT=1, standard output).
; These keywords are passed using the ITERARGS keyword
; above. The ITERPRINT procedure must accept the _EXTRA
; keyword.
; NOTE: that much formatting can be handled with the
; MPPRINT and MPFORMAT tags.
; Default: 'MPFIT_DEFPRINT' (default internal formatter)
;
; ITERPROC - The name of a procedure to be called upon each NPRINT
; iteration of the MPFIT routine. ITERPROC is always
; called in the final iteration. It should be declared
; in the following way:
;
; PRO ITERPROC, MYFUNCT, p, iter, fnorm, FUNCTARGS=fcnargs, $
; PARINFO=parinfo, QUIET=quiet, DOF=dof, PFORMAT=pformat, $
; UNIT=unit, ...
; ; perform custom iteration update
; END
;
; ITERPROC must either accept all three keyword
; parameters (FUNCTARGS, PARINFO and QUIET), or at least
; accept them via the _EXTRA keyword.
;
; MYFUNCT is the user-supplied function to be minimized,
; P is the current set of model parameters, ITER is the
; iteration number, and FUNCTARGS are the arguments to be
; passed to MYFUNCT. FNORM should be the chi-squared
; value. QUIET is set when no textual output should be
; printed. DOF is the number of degrees of freedom,
; normally the number of points less the number of free
; parameters. See below for documentation of PARINFO.
; PFORMAT is the default parameter value format. UNIT is
; passed on to the ITERPRINT procedure, and should
; indicate the file unit where log output will be sent
; (default: standard output).
;
; In implementation, ITERPROC can perform updates to the
; terminal or graphical user interface, to provide
; feedback while the fit proceeds. If the fit is to be
; stopped for any reason, then ITERPROC should set the
; common block variable ERROR_CODE to negative value
; between -15 and -1 (see MPFIT_ERROR common block
; below). In principle, ITERPROC should probably not
; modify the parameter values, because it may interfere
; with the algorithm's stability. In practice it is
; allowed.
;
; Default: an internal routine is used to print the
; parameter values.
;
; ITERSTOP - Set this keyword if you wish to be able to stop the
; fitting by hitting the predefined ITERKEYSTOP key on
; the keyboard. This only works if you use the default
; ITERPROC.
;
; ITERKEYSTOP - A keyboard key which will halt the fit (and if
; ITERSTOP is set and the default ITERPROC is used).
; ITERSTOPKEY may either be a one-character string
; with the desired key, or a scalar integer giving the
; ASCII code of the desired key.
; Default: 7b (control-g)
;
; NOTE: the default value of ASCI 7 (control-G) cannot
; be read in some windowing environments, so you must
; change to a printable character like 'q'.
;
; MAXITER - The maximum number of iterations to perform. If the
; number of calculation iterations exceeds MAXITER, then
; the STATUS value is set to 5 and MPFIT returns.
;
; If MAXITER EQ 0, then MPFIT does not iterate to adjust
; parameter values; however, the user function is evaluated
; and parameter errors/covariance/Jacobian are estimated
; before returning.
; Default: 200 iterations
;
; MIN_VERSION - The minimum requested version number. This must be
; a scalar string of the form returned by the VERSION
; keyword. If the current version of MPFIT does not
; satisfy the minimum requested version number, then,
; MPFIT(/query, min_version='...') returns 0
; MPFIT(...) returns NAN
; Default: no version number check
; NOTE: MIN_VERSION was added in MPFIT version 1.70
;
; NFEV - the number of MYFUNCT function evaluations performed.
;
; NFREE - the number of free parameters in the fit. This includes
; parameters which are not FIXED and not TIED, but it does
; include parameters which are pegged at LIMITS.
;
; NITER - the number of iterations completed.
;
; NOCATCH - if set, then MPFIT will not perform any error trapping.
; By default (not set), MPFIT will trap errors and report
; them to the caller. This keyword will typically be used
; for debugging.
;
; NOCOVAR - set this keyword to prevent the calculation of the
; covariance matrix before returning (see COVAR)
;
; NPEGGED - the number of free parameters which are pegged at a
; LIMIT.
;
; NPRINT - The frequency with which ITERPROC is called. A value of
; 1 indicates that ITERPROC is called with every iteration,
; while 2 indicates every other iteration, etc. Be aware
; that several Levenberg-Marquardt attempts can be made in
; a single iteration. Also, the ITERPROC is *always*
; called for the final iteration, regardless of the
; iteration number.
; Default value: 1
;
; PARINFO - A one-dimensional array of structures.
; Provides a mechanism for more sophisticated constraints
; to be placed on parameter values. When PARINFO is not
; passed, then it is assumed that all parameters are free
; and unconstrained. Values in PARINFO are never
; modified during a call to MPFIT.
;
; See description above for the structure of PARINFO.
;
; Default value: all parameters are free and unconstrained.
;
; PERROR - The formal 1-sigma errors in each parameter, computed
; from the covariance matrix. If a parameter is held
; fixed, or if it touches a boundary, then the error is
; reported as zero.
;
; If the fit is unweighted (i.e. no errors were given, or
; the weights were uniformly set to unity), then PERROR
; will probably not represent the true parameter
; uncertainties.
;
; *If* you can assume that the true reduced chi-squared
; value is unity -- meaning that the fit is implicitly
; assumed to be of good quality -- then the estimated
; parameter uncertainties can be computed by scaling PERROR
; by the measured chi-squared value.
;
; DOF = N_ELEMENTS(X) - N_ELEMENTS(PARMS) ; deg of freedom
; PCERROR = PERROR * SQRT(BESTNORM / DOF) ; scaled uncertainties
;
; PFREE_INDEX - upon return, PFREE_INDEX contains an index array
; which indicates which parameter were allowed to
; vary. I.e. of all the parameters PARMS, only
; PARMS[PFREE_INDEX] were varied.
;
; QUERY - if set, then MPFIT() will return immediately with one of
; the following values:
; 1 - if MIN_VERSION is not set
; 1 - if MIN_VERSION is set and MPFIT satisfies the minimum
; 0 - if MIN_VERSION is set and MPFIT does not satisfy it
; The VERSION output keyword is always set upon return.
; Default: not set.
;
; QUIET - set this keyword when no textual output should be printed
; by MPFIT
;
; RESDAMP - a scalar number, indicating the cut-off value of
; residuals where "damping" will occur. Residuals with
; magnitudes greater than this number will be replaced by
; their logarithm. This partially mitigates the so-called
; large residual problem inherent in least-squares solvers
; (as for the test problem CURVI, http://www.maxthis.com/-
; curviex.htm). A value of 0 indicates no damping.
; Default: 0
;
; Note: RESDAMP doesn't work with AUTODERIV=0
;
; STATUS - an integer status code is returned. All values greater
; than zero can represent success (however STATUS EQ 5 may
; indicate failure to converge). It can have one of the
; following values:
;
; -18 a fatal execution error has occurred. More information
; may be available in the ERRMSG string.
;
; -16 a parameter or function value has become infinite or an
; undefined number. This is usually a consequence of
; numerical overflow in the user's model function, which
; must be avoided.
;
; -15 to -1
; these are error codes that either MYFUNCT or ITERPROC
; may return to terminate the fitting process (see
; description of MPFIT_ERROR common below). If either
; MYFUNCT or ITERPROC set ERROR_CODE to a negative number,
; then that number is returned in STATUS. Values from -15
; to -1 are reserved for the user functions and will not
; clash with MPFIT.
;
; 0 improper input parameters.
;
; 1 both actual and predicted relative reductions
; in the sum of squares are at most FTOL.
;
; 2 relative error between two consecutive iterates
; is at most XTOL
;
; 3 conditions for STATUS = 1 and STATUS = 2 both hold.
;
; 4 the cosine of the angle between fvec and any
; column of the jacobian is at most GTOL in
; absolute value.
;
; 5 the maximum number of iterations has been reached
;
; 6 FTOL is too small. no further reduction in
; the sum of squares is possible.
;
; 7 XTOL is too small. no further improvement in
; the approximate solution x is possible.
;
; 8 GTOL is too small. fvec is orthogonal to the
; columns of the jacobian to machine precision.
;
; 9 A successful single iteration has been completed, and
; the user must supply another "EXTERNAL" evaluation of
; the function and its derivatives. This status indicator
; is neither an error nor a convergence indicator.
;
; VERSION - upon return, VERSION will be set to the MPFIT internal
; version number. The version number will be a string of
; the form "X.Y" where X is a major revision number and Y
; is a minor revision number.
; NOTE: the VERSION keyword was not present before
; MPFIT version number 1.70, therefore, callers must
; use exception handling when using this keyword.
;
; XTOL - a nonnegative input variable. Termination occurs when the
; relative error between two consecutive iterates is at most
; XTOL (and STATUS is accordingly set to 2 or 3). Therefore,
; XTOL measures the relative error desired in the approximate
; solution. Default: 1D-10
;
;
; EXAMPLE:
;
; p0 = [5.7D, 2.2, 500., 1.5, 2000.]
; fa = {X:x, Y:y, ERR:err}
; p = mpfit('MYFUNCT', p0, functargs=fa)
;
; Minimizes sum of squares of MYFUNCT. MYFUNCT is called with the X,
; Y, and ERR keyword parameters that are given by FUNCTARGS. The
; resulting parameter values are returned in p.
;
;
; COMMON BLOCKS:
;
; COMMON MPFIT_ERROR, ERROR_CODE
;
; User routines may stop the fitting process at any time by
; setting an error condition. This condition may be set in either
; the user's model computation routine (MYFUNCT), or in the
; iteration procedure (ITERPROC).
;
; To stop the fitting, the above common block must be declared,
; and ERROR_CODE must be set to a negative number. After the user
; procedure or function returns, MPFIT checks the value of this
; common block variable and exits immediately if the error
; condition has been set. This value is also returned in the
; STATUS keyword: values of -1 through -15 are reserved error
; codes for the user routines. By default the value of ERROR_CODE
; is zero, indicating a successful function/procedure call.
;
; COMMON MPFIT_PROFILE
; COMMON MPFIT_MACHAR
; COMMON MPFIT_CONFIG
;
; These are undocumented common blocks are used internally by
; MPFIT and may change in future implementations.
;
; THEORY OF OPERATION:
;
; There are many specific strategies for function minimization. One
; very popular technique is to use function gradient information to
; realize the local structure of the function. Near a local minimum
; the function value can be taylor expanded about x0 as follows:
;
; f(x) = f(x0) + f'(x0) . (x-x0) + (1/2) (x-x0) . f''(x0) . (x-x0)
; ----- --------------- ------------------------------- (1)
; Order 0th 1st 2nd
;
; Here f'(x) is the gradient vector of f at x, and f''(x) is the
; Hessian matrix of second derivatives of f at x. The vector x is
; the set of function parameters, not the measured data vector. One
; can find the minimum of f, f(xm) using Newton's method, and
; arrives at the following linear equation:
;
; f''(x0) . (xm-x0) = - f'(x0) (2)
;
; If an inverse can be found for f''(x0) then one can solve for
; (xm-x0), the step vector from the current position x0 to the new
; projected minimum. Here the problem has been linearized (ie, the
; gradient information is known to first order). f''(x0) is
; symmetric n x n matrix, and should be positive definite.
;
; The Levenberg - Marquardt technique is a variation on this theme.
; It adds an additional diagonal term to the equation which may aid the
; convergence properties:
;
; (f''(x0) + nu I) . (xm-x0) = -f'(x0) (2a)
;
; where I is the identity matrix. When nu is large, the overall
; matrix is diagonally dominant, and the iterations follow steepest
; descent. When nu is small, the iterations are quadratically
; convergent.
;
; In principle, if f''(x0) and f'(x0) are known then xm-x0 can be
; determined. However the Hessian matrix is often difficult or
; impossible to compute. The gradient f'(x0) may be easier to
; compute, if even by finite difference techniques. So-called
; quasi-Newton techniques attempt to successively estimate f''(x0)
; by building up gradient information as the iterations proceed.
;
; In the least squares problem there are further simplifications
; which assist in solving eqn (2). The function to be minimized is
; a sum of squares:
;
; f = Sum(hi^2) (3)
;
; where hi is the ith residual out of m residuals as described
; above. This can be substituted back into eqn (2) after computing
; the derivatives:
;
; f' = 2 Sum(hi hi')
; f'' = 2 Sum(hi' hj') + 2 Sum(hi hi'') (4)
;
; If one assumes that the parameters are already close enough to a
; minimum, then one typically finds that the second term in f'' is
; negligible [or, in any case, is too difficult to compute]. Thus,
; equation (2) can be solved, at least approximately, using only
; gradient information.
;
; In matrix notation, the combination of eqns (2) and (4) becomes:
;
; hT' . h' . dx = - hT' . h (5)
;
; Where h is the residual vector (length m), hT is its transpose, h'
; is the Jacobian matrix (dimensions n x m), and dx is (xm-x0). The
; user function supplies the residual vector h, and in some cases h'
; when it is not found by finite differences (see MPFIT_FDJAC2,
; which finds h and hT'). Even if dx is not the best absolute step
; to take, it does provide a good estimate of the best *direction*,
; so often a line minimization will occur along the dx vector
; direction.
;
; The method of solution employed by MINPACK is to form the Q . R
; factorization of h', where Q is an orthogonal matrix such that QT .
; Q = I, and R is upper right triangular. Using h' = Q . R and the
; ortogonality of Q, eqn (5) becomes
;
; (RT . QT) . (Q . R) . dx = - (RT . QT) . h
; RT . R . dx = - RT . QT . h (6)
; R . dx = - QT . h
;
; where the last statement follows because R is upper triangular.
; Here, R, QT and h are known so this is a matter of solving for dx.
; The routine MPFIT_QRFAC provides the QR factorization of h, with
; pivoting, and MPFIT_QRSOL;V provides the solution for dx.
;
; REFERENCES:
;
; Markwardt, C. B. 2008, "Non-Linear Least Squares Fitting in IDL
; with MPFIT," in proc. Astronomical Data Analysis Software and
; Systems XVIII, Quebec, Canada, ASP Conference Series, Vol. XXX, eds.
; D. Bohlender, P. Dowler & D. Durand (Astronomical Society of the
; Pacific: San Francisco), p. 251-254 (ISBN: 978-1-58381-702-5)
; http://arxiv.org/abs/0902.2850
; Link to NASA ADS: http://adsabs.harvard.edu/abs/2009ASPC..411..251M
; Link to ASP: http://aspbooks.org/a/volumes/table_of_contents/411
;
; Refer to the MPFIT website as:
; http://purl.com/net/mpfit
;
; MINPACK-1 software, by Jorge More' et al, available from netlib.
; http://www.netlib.org/
;
; "Optimization Software Guide," Jorge More' and Stephen Wright,
; SIAM, *Frontiers in Applied Mathematics*, Number 14.
; (ISBN: 978-0-898713-22-0)
;
; More', J. 1978, "The Levenberg-Marquardt Algorithm: Implementation
; and Theory," in Numerical Analysis, vol. 630, ed. G. A. Watson
; (Springer-Verlag: Berlin), p. 105 (DOI: 10.1007/BFb0067690 )
;
; MODIFICATION HISTORY:
; Translated from MINPACK-1 in FORTRAN, Apr-Jul 1998, CM
; Fixed bug in parameter limits (x vs xnew), 04 Aug 1998, CM
; Added PERROR keyword, 04 Aug 1998, CM
; Added COVAR keyword, 20 Aug 1998, CM
; Added NITER output keyword, 05 Oct 1998
; D.L Windt, Bell Labs, windt@bell-labs.com;
; Made each PARINFO component optional, 05 Oct 1998 CM
; Analytical derivatives allowed via AUTODERIVATIVE keyword, 09 Nov 1998
; Parameter values can be tied to others, 09 Nov 1998
; Fixed small bugs (Wayne Landsman), 24 Nov 1998
; Added better exception error reporting, 24 Nov 1998 CM
; Cosmetic documentation changes, 02 Jan 1999 CM
; Changed definition of ITERPROC to be consistent with TNMIN, 19 Jan 1999 CM
; Fixed bug when AUTDERIVATIVE=0. Incorrect sign, 02 Feb 1999 CM
; Added keyboard stop to MPFIT_DEFITER, 28 Feb 1999 CM
; Cosmetic documentation changes, 14 May 1999 CM
; IDL optimizations for speed & FASTNORM keyword, 15 May 1999 CM
; Tried a faster version of mpfit_enorm, 30 May 1999 CM
; Changed web address to cow.physics.wisc.edu, 14 Jun 1999 CM
; Found malformation of FDJAC in MPFIT for 1 parm, 03 Aug 1999 CM
; Factored out user-function call into MPFIT_CALL. It is possible,
; but currently disabled, to call procedures. The calling format
; is similar to CURVEFIT, 25 Sep 1999, CM
; Slightly changed mpfit_tie to be less intrusive, 25 Sep 1999, CM
; Fixed some bugs associated with tied parameters in mpfit_fdjac, 25
; Sep 1999, CM
; Reordered documentation; now alphabetical, 02 Oct 1999, CM
; Added QUERY keyword for more robust error detection in drivers, 29
; Oct 1999, CM
; Documented PERROR for unweighted fits, 03 Nov 1999, CM
; Split out MPFIT_RESETPROF to aid in profiling, 03 Nov 1999, CM
; Some profiling and speed optimization, 03 Nov 1999, CM
; Worst offenders, in order: fdjac2, qrfac, qrsolv, enorm.
; fdjac2 depends on user function, qrfac and enorm seem to be
; fully optimized. qrsolv probably could be tweaked a little, but
; is still <10% of total compute time.
; Made sure that !err was set to 0 in MPFIT_DEFITER, 10 Jan 2000, CM
; Fixed small inconsistency in setting of QANYLIM, 28 Jan 2000, CM
; Added PARINFO field RELSTEP, 28 Jan 2000, CM
; Converted to MPFIT_ERROR common block for indicating error
; conditions, 28 Jan 2000, CM
; Corrected scope of MPFIT_ERROR common block, CM, 07 Mar 2000
; Minor speed improvement in MPFIT_ENORM, CM 26 Mar 2000
; Corrected case where ITERPROC changed parameter values and
; parameter values were TIED, CM 26 Mar 2000
; Changed MPFIT_CALL to modify NFEV automatically, and to support
; user procedures more, CM 26 Mar 2000
; Copying permission terms have been liberalized, 26 Mar 2000, CM
; Catch zero value of zero a(j,lj) in MPFIT_QRFAC, 20 Jul 2000, CM
; (thanks to David Schlegel <schlegel@astro.princeton.edu>)
; MPFIT_SETMACHAR is called only once at init; only one common block
; is created (MPFIT_MACHAR); it is now a structure; removed almost
; all CHECK_MATH calls for compatibility with IDL5 and !EXCEPT;
; profiling data is now in a structure too; noted some
; mathematical discrepancies in Linux IDL5.0, 17 Nov 2000, CM
; Some significant changes. New PARINFO fields: MPSIDE, MPMINSTEP,
; MPMAXSTEP. Improved documentation. Now PTIED constraints are
; maintained in the MPCONFIG common block. A new procedure to
; parse PARINFO fields. FDJAC2 now computes a larger variety of
; one-sided and two-sided finite difference derivatives. NFEV is
; stored in the MPCONFIG common now. 17 Dec 2000, CM
; Added check that PARINFO and XALL have same size, 29 Dec 2000 CM
; Don't call function in TERMINATE when there is an error, 05 Jan
; 2000
; Check for float vs. double discrepancies; corrected implementation
; of MIN/MAXSTEP, which I still am not sure of, but now at least
; the correct behavior occurs *without* it, CM 08 Jan 2001
; Added SCALE_FCN keyword, to allow for scaling, as for the CASH
; statistic; added documentation about the theory of operation,
; and under the QR factorization; slowly I'm beginning to
; understand the bowels of this algorithm, CM 10 Jan 2001
; Remove MPMINSTEP field of PARINFO, for now at least, CM 11 Jan
; 2001
; Added RESDAMP keyword, CM, 14 Jan 2001
; Tried to improve the DAMP handling a little, CM, 13 Mar 2001
; Corrected .PARNAME behavior in _DEFITER, CM, 19 Mar 2001
; Added checks for parameter and function overflow; a new STATUS
; value to reflect this; STATUS values of -15 to -1 are reserved
; for user function errors, CM, 03 Apr 2001
; DAMP keyword is now a TANH, CM, 03 Apr 2001
; Added more error checking of float vs. double, CM, 07 Apr 2001
; Fixed bug in handling of parameter lower limits; moved overflow
; checking to end of loop, CM, 20 Apr 2001
; Failure using GOTO, TERMINATE more graceful if FNORM1 not defined,
; CM, 13 Aug 2001
; Add MPPRINT tag to PARINFO, CM, 19 Nov 2001
; Add DOF keyword to DEFITER procedure, and print degrees of
; freedom, CM, 28 Nov 2001
; Add check to be sure MYFUNCT is a scalar string, CM, 14 Jan 2002
; Addition of EXTERNAL_FJAC, EXTERNAL_FVEC keywords; ability to save
; fitter's state from one call to the next; allow '(EXTERNAL)'
; function name, which implies that user will supply function and
; Jacobian at each iteration, CM, 10 Mar 2002
; Documented EXTERNAL evaluation code, CM, 10 Mar 2002
; Corrected signficant bug in the way that the STEP parameter, and
; FIXED parameters interacted (Thanks Andrew Steffl), CM, 02 Apr
; 2002
; Allow COVAR and PERROR keywords to be computed, even in case of
; '(EXTERNAL)' function, 26 May 2002
; Add NFREE and NPEGGED keywords; compute NPEGGED; compute DOF using
; NFREE instead of n_elements(X), thanks to Kristian Kjaer, CM 11
; Sep 2002
; Hopefully PERROR is all positive now, CM 13 Sep 2002
; Documented RELSTEP field of PARINFO (!!), CM, 25 Oct 2002
; Error checking to detect missing start pars, CM 12 Apr 2003
; Add DOF keyword to return degrees of freedom, CM, 30 June 2003
; Always call ITERPROC in the final iteration; add ITERKEYSTOP
; keyword, CM, 30 June 2003
; Correct bug in MPFIT_LMPAR of singularity handling, which might
; likely be fatal for one-parameter fits, CM, 21 Nov 2003
; (with thanks to Peter Tuthill for the proper test case)
; Minor documentation adjustment, 03 Feb 2004, CM
; Correct small error in QR factorization when pivoting; document
; the return values of QRFAC when pivoting, 21 May 2004, CM
; Add MPFORMAT field to PARINFO, and correct behavior of interaction
; between MPPRINT and PARNAME in MPFIT_DEFITERPROC (thanks to Tim
; Robishaw), 23 May 2004, CM
; Add the ITERPRINT keyword to allow redirecting output, 26 Sep
; 2004, CM
; Correct MAXSTEP behavior in case of a negative parameter, 26 Sep
; 2004, CM
; Fix bug in the parsing of MINSTEP/MAXSTEP, 10 Apr 2005, CM
; Fix bug in the handling of upper/lower limits when the limit was
; negative (the fitting code would never "stick" to the lower
; limit), 29 Jun 2005, CM
; Small documentation update for the TIED field, 05 Sep 2005, CM
; Convert to IDL 5 array syntax (!), 16 Jul 2006, CM
; If MAXITER equals zero, then do the basic parameter checking and
; uncertainty analysis, but do not adjust the parameters, 15 Aug
; 2006, CM
; Added documentation, 18 Sep 2006, CM
; A few more IDL 5 array syntax changes, 25 Sep 2006, CM
; Move STRICTARR compile option inside each function/procedure, 9 Oct 2006
; Bug fix for case of MPMAXSTEP and fixed parameters, thanks
; to Huib Intema (who found it from the Python translation!), 05 Feb 2007
; Similar fix for MPFIT_FDJAC2 and the MPSIDE sidedness of
; derivatives, also thanks to Huib Intema, 07 Feb 2007
; Clarify documentation on user-function, derivatives, and PARINFO,
; 27 May 2007
; Change the wording of "Analytic Derivatives" to "Explicit
; Derivatives" in the documentation, CM, 03 Sep 2007
; Further documentation tweaks, CM, 13 Dec 2007
; Add COMPATIBILITY section and add credits to copyright, CM, 13 Dec
; 2007
; Document and enforce that START_PARMS and PARINFO are 1-d arrays,
; CM, 29 Mar 2008
; Previous change for 1-D arrays wasn't correct for
; PARINFO.LIMITED/.LIMITS; now fixed, CM, 03 May 2008
; Documentation adjustments, CM, 20 Aug 2008
; Change some minor FOR-loop variables to type-long, CM, 03 Sep 2008
; Change error handling slightly, document NOCATCH keyword,
; document error handling in general, CM, 01 Oct 2008
; Special case: when either LIMITS is zero, and a parameter pushes
; against that limit, the coded that 'pegged' it there would not
; work since it was a relative condition; now zero is handled
; properly, CM, 08 Nov 2008
; Documentation of how TIED interacts with LIMITS, CM, 21 Dec 2008
; Better documentation of references, CM, 27 Feb 2009
; If MAXITER=0, then be sure to set STATUS=5, which permits the
; the covariance matrix to be computed, CM, 14 Apr 2009
; Avoid numerical underflow while solving for the LM parameter,
; (thanks to Sergey Koposov) CM, 14 Apr 2009
; Use individual functions for all possible MPFIT_CALL permutations,
; (and make sure the syntax is right) CM, 01 Sep 2009
; Correct behavior of MPMAXSTEP when some parameters are frozen,
; thanks to Josh Destree, CM, 22 Nov 2009
; Update the references section, CM, 22 Nov 2009
; 1.70 - Add the VERSION and MIN_VERSION keywords, CM, 22 Nov 2009
; 1.71 - Store pre-calculated revision in common, CM, 23 Nov 2009
; 1.72-1.74 - Documented alternate method to compute correlation matrix,
; CM, 05 Feb 2010
; 1.75 - Enforce TIED constraints when preparing to terminate the
; routine, CM, 2010-06-22
; 1.76 - Documented input keywords now are not modified upon output,
; CM, 2010-07-13
; 1.77 - Upon user request (/CALC_FJAC), compute Jacobian matrix and
; return in BEST_FJAC; also return best residuals in
; BEST_RESID; also return an index list of free parameters as
; PFREE_INDEX; add a fencepost to prevent recursion
; CM, 2010-10-27
; 1.79 - Documentation corrections. CM, 2011-08-26
; 1.81 - Fix bug in interaction of AUTODERIVATIVE=0 and .MPSIDE=3;
; Document FJAC_MASK. CM, 2012-05-08
;
; $Id: mpfit.pro,v 1.82 2012/09/27 23:59:44 cmarkwar Exp $
;-
; Original MINPACK by More' Garbow and Hillstrom, translated with permission
; Modifications and enhancements are:
; Copyright (C) 1997-2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012 Craig Markwardt
; This software is provided as is without any warranty whatsoever.
; Permission to use, copy, modify, and distribute modified or
; unmodified copies is granted, provided this copyright and disclaimer
; are included unchanged.
;-
pro mpfit_dummy
;; Enclose in a procedure so these are not defined in the main level
COMPILE_OPT strictarr
FORWARD_FUNCTION mpfit_fdjac2, mpfit_enorm, mpfit_lmpar, mpfit_covar, $
mpfit, mpfit_call
COMMON mpfit_error, error_code ;; For error passing to user function
COMMON mpfit_config, mpconfig ;; For internal error configrations
end
;; Reset profiling registers for another run. By default, and when
;; uncommented, the profiling registers simply accumulate.
pro mpfit_resetprof
COMPILE_OPT strictarr
common mpfit_profile, mpfit_profile_vals
mpfit_profile_vals = { status: 1L, fdjac2: 0D, lmpar: 0D, mpfit: 0D, $
qrfac: 0D, qrsolv: 0D, enorm: 0D}
return
end
;; Following are machine constants that can be loaded once. I have
;; found that bizarre underflow messages can be produced in each call
;; to MACHAR(), so this structure minimizes the number of calls to
;; one.
pro mpfit_setmachar, double=isdouble
COMPILE_OPT strictarr
common mpfit_profile, profvals
if n_elements(profvals) EQ 0 then mpfit_resetprof
common mpfit_machar, mpfit_machar_vals
;; In earlier versions of IDL, MACHAR itself could produce a load of
;; error messages. We try to mask some of that out here.
if (!version.release) LT 5 then dummy = check_math(1, 1)
mch = 0.
mch = machar(double=keyword_set(isdouble))
dmachep = mch.eps
dmaxnum = mch.xmax
dminnum = mch.xmin
dmaxlog = alog(mch.xmax)
dminlog = alog(mch.xmin)
if keyword_set(isdouble) then $
dmaxgam = 171.624376956302725D $
else $
dmaxgam = 171.624376956302725
drdwarf = sqrt(dminnum*1.5) * 10
drgiant = sqrt(dmaxnum) * 0.1
mpfit_machar_vals = {machep: dmachep, maxnum: dmaxnum, minnum: dminnum, $
maxlog: dmaxlog, minlog: dminlog, maxgam: dmaxgam, $
rdwarf: drdwarf, rgiant: drgiant}
if (!version.release) LT 5 then dummy = check_math(0, 0)
return
end
; Call user function with no _EXTRA parameters
function mpfit_call_func_noextra, fcn, x, fjac, _EXTRA=extra
if n_params() EQ 2 then begin
return, call_function(fcn, x)
endif else begin
return, call_function(fcn, x, fjac)
endelse
end
; Call user function with _EXTRA parameters
function mpfit_call_func_extra, fcn, x, fjac, _EXTRA=extra
if n_params() EQ 2 then begin
return, call_function(fcn, x, _EXTRA=extra)
endif else begin
return, call_function(fcn, x, fjac, _EXTRA=extra)
endelse
end
; Call user procedure with no _EXTRA parameters
function mpfit_call_pro_noextra, fcn, x, fjac, _EXTRA=extra
if n_params() EQ 2 then begin
call_procedure, fcn, x, f
endif else begin
call_procedure, fcn, x, f, fjac
endelse
return, f
end
; Call user procedure with _EXTRA parameters
function mpfit_call_pro_extra, fcn, x, fjac, _EXTRA=extra
if n_params() EQ 2 then begin
call_procedure, fcn, x, f, _EXTRA=extra
endif else begin
call_procedure, fcn, x, f, fjac, _EXTRA=extra
endelse
return, f
end
;; Call user function or procedure, with _EXTRA or not, with
;; derivatives or not.
function mpfit_call, fcn, x, fjac, _EXTRA=extra
COMPILE_OPT strictarr
common mpfit_config, mpconfig
if keyword_set(mpconfig.qanytied) then mpfit_tie, x, mpconfig.ptied
;; Decide whether we are calling a procedure or function, and
;; with/without FUNCTARGS
proname = 'MPFIT_CALL'
proname = proname + ((mpconfig.proc) ? '_PRO' : '_FUNC')
proname = proname + ((n_elements(extra) GT 0) ? '_EXTRA' : '_NOEXTRA')
if n_params() EQ 2 then begin
f = call_function(proname, fcn, x, _EXTRA=extra)
endif else begin
f = call_function(proname, fcn, x, fjac, _EXTRA=extra)
endelse
mpconfig.nfev = mpconfig.nfev + 1
if n_params() EQ 2 AND mpconfig.damp GT 0 then begin
damp = mpconfig.damp[0]
;; Apply the damping if requested. This replaces the residuals
;; with their hyperbolic tangent. Thus residuals larger than
;; DAMP are essentially clipped.
f = tanh(f/damp)
endif
return, f
end
function mpfit_fdjac2, fcn, x, fvec, step, ulimited, ulimit, dside, $
iflag=iflag, epsfcn=epsfcn, autoderiv=autoderiv, $
FUNCTARGS=fcnargs, xall=xall, ifree=ifree, dstep=dstep, $
deriv_debug=ddebug, deriv_reltol=ddrtol, deriv_abstol=ddatol
COMPILE_OPT strictarr
common mpfit_machar, machvals
common mpfit_profile, profvals
common mpfit_error, mperr
; prof_start = systime(1)
MACHEP0 = machvals.machep
DWARF = machvals.minnum
if n_elements(epsfcn) EQ 0 then epsfcn = MACHEP0
if n_elements(xall) EQ 0 then xall = x
if n_elements(ifree) EQ 0 then ifree = lindgen(n_elements(xall))
if n_elements(step) EQ 0 then step = x * 0.
if n_elements(ddebug) EQ 0 then ddebug = intarr(n_elements(xall))
if n_elements(ddrtol) EQ 0 then ddrtol = x * 0.
if n_elements(ddatol) EQ 0 then ddatol = x * 0.
has_debug_deriv = max(ddebug)
if keyword_set(has_debug_deriv) then begin
;; Header for debugging
print, 'FJAC DEBUG BEGIN'
print, "IPNT", "FUNC", "DERIV_U", "DERIV_N", "DIFF_ABS", "DIFF_REL", $
format='("# ",A10," ",A10," ",A10," ",A10," ",A10," ",A10)'
endif
nall = n_elements(xall)
eps = sqrt(max([epsfcn, MACHEP0]));
m = n_elements(fvec)
n = n_elements(x)
;; Compute analytical derivative if requested
;; Two ways to enable computation of explicit derivatives:
;; 1. AUTODERIVATIVE=0
;; 2. AUTODERIVATIVE=1, but P[i].MPSIDE EQ 3
if keyword_set(autoderiv) EQ 0 OR max(dside[ifree] EQ 3) EQ 1 then begin
fjac_mask = intarr(nall)
;; Specify which parameters need derivatives
;; ---- Case 2 ------ ----- Case 1 -----
fjac_mask[ifree] = (dside[ifree] EQ 3) OR (keyword_set(autoderiv) EQ 0)
if has_debug_deriv then $
print, fjac_mask, format='("# FJAC_MASK = ",100000(I0," ",:))'
fjac = fjac_mask ;; Pass the mask to the calling function as FJAC
mperr = 0
fp = mpfit_call(fcn, xall, fjac, _EXTRA=fcnargs)
iflag = mperr
if n_elements(fjac) NE m*nall then begin
message, /cont, 'ERROR: Derivative matrix was not computed properly.'
iflag = 1
; profvals.fdjac2 = profvals.fdjac2 + (systime(1) - prof_start)
return, 0
endif
;; This definition is consistent with CURVEFIT (WRONG, see below)
;; Sign error found (thanks Jesus Fernandez <fernande@irm.chu-caen.fr>)
;; ... and now I regret doing this sign flip since it's not
;; strictly correct. The definition should be RESID =
;; (Y-F)/SIGMA, so d(RESID)/dP should be -dF/dP. My response to
;; Fernandez was unfounded because he was trying to supply
;; dF/dP. Sigh. (CM 31 Aug 2007)
fjac = reform(-temporary(fjac), m, nall, /overwrite)
;; Select only the free parameters
if n_elements(ifree) LT nall then $
fjac = reform(fjac[*,ifree], m, n, /overwrite)
;; Are we done computing derivatives? The answer is, YES, if we
;; computed explicit derivatives for all free parameters, EXCEPT
;; when we are going on to compute debugging derivatives.
if min(fjac_mask[ifree]) EQ 1 AND NOT has_debug_deriv then begin
return, fjac
endif
endif
;; Final output array, if it was not already created above
if n_elements(fjac) EQ 0 then begin
fjac = make_array(m, n, value=fvec[0]*0.)
fjac = reform(fjac, m, n, /overwrite)
endif
h = eps * abs(x)
;; if STEP is given, use that
;; STEP includes the fixed parameters
if n_elements(step) GT 0 then begin
stepi = step[ifree]
wh = where(stepi GT 0, ct)
if ct GT 0 then h[wh] = stepi[wh]
endif
;; if relative step is given, use that
;; DSTEP includes the fixed parameters
if n_elements(dstep) GT 0 then begin
dstepi = dstep[ifree]
wh = where(dstepi GT 0, ct)
if ct GT 0 then h[wh] = abs(dstepi[wh]*x[wh])
endif
;; In case any of the step values are zero
wh = where(h EQ 0, ct)
if ct GT 0 then h[wh] = eps
;; Reverse the sign of the step if we are up against the parameter
;; limit, or if the user requested it.
;; DSIDE includes the fixed parameters (ULIMITED/ULIMIT have only
;; varying ones)
mask = dside[ifree] EQ -1
if n_elements(ulimited) GT 0 AND n_elements(ulimit) GT 0 then $
mask = mask OR (ulimited AND (x GT ulimit-h))
wh = where(mask, ct)
if ct GT 0 then h[wh] = -h[wh]
;; Loop through parameters, computing the derivative for each
for j=0L, n-1 do begin
dsidej = dside[ifree[j]]
ddebugj = ddebug[ifree[j]]
;; Skip this parameter if we already computed its derivative
;; explicitly, and we are not debugging.
if (dsidej EQ 3) AND (ddebugj EQ 0) then continue
if (dsidej EQ 3) AND (ddebugj EQ 1) then $
print, ifree[j], format='("FJAC PARM ",I0)'
xp = xall
xp[ifree[j]] = xp[ifree[j]] + h[j]
mperr = 0
fp = mpfit_call(fcn, xp, _EXTRA=fcnargs)
iflag = mperr
if iflag LT 0 then return, !values.d_nan
if ((dsidej GE -1) AND (dsidej LE 1)) OR (dsidej EQ 3) then begin
;; COMPUTE THE ONE-SIDED DERIVATIVE
;; Note optimization fjac(0:*,j)
fjacj = (fp-fvec)/h[j]
endif else begin
;; COMPUTE THE TWO-SIDED DERIVATIVE
xp[ifree[j]] = xall[ifree[j]] - h[j]
mperr = 0
fm = mpfit_call(fcn, xp, _EXTRA=fcnargs)
iflag = mperr
if iflag LT 0 then return, !values.d_nan
;; Note optimization fjac(0:*,j)
fjacj = (fp-fm)/(2*h[j])
endelse
;; Debugging of explicit derivatives
if (dsidej EQ 3) AND (ddebugj EQ 1) then begin
;; Relative and absolute tolerances
dr = ddrtol[ifree[j]] & da = ddatol[ifree[j]]
;; Explicitly calculated
fjaco = fjac[*,j]
;; If tolerances are zero, then any value for deriv triggers print...
if (da EQ 0 AND dr EQ 0) then $
diffj = (fjaco NE 0 OR fjacj NE 0)
;; ... otherwise the difference must be a greater than tolerance
if (da NE 0 OR dr NE 0) then $
diffj = (abs(fjaco-fjacj) GT (da+abs(fjaco)*dr))
for k = 0L, m-1 do if diffj[k] then begin
print, k, fvec[k], fjaco[k], fjacj[k], fjaco[k]-fjacj[k], $
(fjaco[k] EQ 0)?(0):((fjaco[k]-fjacj[k])/fjaco[k]), $
format='(" ",I10," ",G10.4," ",G10.4," ",G10.4," ",G10.4," ",G10.4)'
endif
endif
;; Store final results in output array
fjac[0,j] = fjacj
endfor
if has_debug_deriv then print, 'FJAC DEBUG END'
; profvals.fdjac2 = profvals.fdjac2 + (systime(1) - prof_start)
return, fjac
end
function mpfit_enorm, vec
COMPILE_OPT strictarr
;; NOTE: it turns out that, for systems that have a lot of data
;; points, this routine is a big computing bottleneck. The extended
;; computations that need to be done cannot be effectively
;; vectorized. The introduction of the FASTNORM configuration
;; parameter allows the user to select a faster routine, which is
;; based on TOTAL() alone.
common mpfit_profile, profvals
; prof_start = systime(1)
common mpfit_config, mpconfig
; Very simple-minded sum-of-squares
if n_elements(mpconfig) GT 0 then if mpconfig.fastnorm then begin
ans = sqrt(total(vec^2))
goto, TERMINATE
endif
common mpfit_machar, machvals
agiant = machvals.rgiant / n_elements(vec)
adwarf = machvals.rdwarf * n_elements(vec)
;; This is hopefully a compromise between speed and robustness.
;; Need to do this because of the possibility of over- or underflow.
mx = max(vec, min=mn)
mx = max(abs([mx,mn]))
if mx EQ 0 then return, vec[0]*0.
if mx GT agiant OR mx LT adwarf then ans = mx * sqrt(total((vec/mx)^2))$
else ans = sqrt( total(vec^2) )
TERMINATE:
; profvals.enorm = profvals.enorm + (systime(1) - prof_start)
return, ans
end
; **********
;
; subroutine qrfac
;
; this subroutine uses householder transformations with column
; pivoting (optional) to compute a qr factorization of the
; m by n matrix a. that is, qrfac determines an orthogonal
; matrix q, a permutation matrix p, and an upper trapezoidal
; matrix r with diagonal elements of nonincreasing magnitude,
; such that a*p = q*r. the householder transformation for
; column k, k = 1,2,...,min(m,n), is of the form
;
; t
; i - (1/u(k))*u*u
;
; where u has zeros in the first k-1 positions. the form of
; this transformation and the method of pivoting first
; appeared in the corresponding linpack subroutine.
;
; the subroutine statement is
;
; subroutine qrfac(m,n,a,lda,pivot,ipvt,lipvt,rdiag,acnorm,wa)
;
; where
;
; m is a positive integer input variable set to the number
; of rows of a.
;
; n is a positive integer input variable set to the number
; of columns of a.
;
; a is an m by n array. on input a contains the matrix for
; which the qr factorization is to be computed. on output
; the strict upper trapezoidal part of a contains the strict
; upper trapezoidal part of r, and the lower trapezoidal
; part of a contains a factored form of q (the non-trivial
; elements of the u vectors described above).
;
; lda is a positive integer input variable not less than m
; which specifies the leading dimension of the array a.
;
; pivot is a logical input variable. if pivot is set true,
; then column pivoting is enforced. if pivot is set false,
; then no column pivoting is done.
;
; ipvt is an integer output array of length lipvt. ipvt
; defines the permutation matrix p such that a*p = q*r.
; column j of p is column ipvt(j) of the identity matrix.
; if pivot is false, ipvt is not referenced.
;
; lipvt is a positive integer input variable. if pivot is false,
; then lipvt may be as small as 1. if pivot is true, then
; lipvt must be at least n.
;
; rdiag is an output array of length n which contains the
; diagonal elements of r.
;
; acnorm is an output array of length n which contains the
; norms of the corresponding columns of the input matrix a.
; if this information is not needed, then acnorm can coincide
; with rdiag.
;
; wa is a work array of length n. if pivot is false, then wa
; can coincide with rdiag.
;
; subprograms called
;
; minpack-supplied ... dpmpar,enorm
;
; fortran-supplied ... dmax1,dsqrt,min0
;
; argonne national laboratory. minpack project. march 1980.
; burton s. garbow, kenneth e. hillstrom, jorge j. more
;
; **********
;
; PIVOTING / PERMUTING:
;
; Upon return, A(*,*) is in standard parameter order, A(*,IPVT) is in
; permuted order.
;
; RDIAG is in permuted order.
;
; ACNORM is in standard parameter order.
;
; NOTE: in IDL the factors appear slightly differently than described
; above. The matrix A is still m x n where m >= n.
;
; The "upper" triangular matrix R is actually stored in the strict
; lower left triangle of A under the standard notation of IDL.
;
; The reflectors that generate Q are in the upper trapezoid of A upon
; output.
;
; EXAMPLE: decompose the matrix [[9.,2.,6.],[4.,8.,7.]]
; aa = [[9.,2.,6.],[4.,8.,7.]]
; mpfit_qrfac, aa, aapvt, rdiag, aanorm
; IDL> print, aa
; 1.81818* 0.181818* 0.545455*
; -8.54545+ 1.90160* 0.432573*
; IDL> print, rdiag
; -11.0000+ -7.48166+
;
; The components marked with a * are the components of the
; reflectors, and those marked with a + are components of R.
;
; To reconstruct Q and R we proceed as follows. First R.
; r = fltarr(m, n)
; for i = 0, n-1 do r(0:i,i) = aa(0:i,i) ; fill in lower diag
; r(lindgen(n)*(m+1)) = rdiag
;
; Next, Q, which are composed from the reflectors. Each reflector v
; is taken from the upper trapezoid of aa, and converted to a matrix
; via (I - 2 vT . v / (v . vT)).
;
; hh = ident ;; identity matrix
; for i = 0, n-1 do begin
; v = aa(*,i) & if i GT 0 then v(0:i-1) = 0 ;; extract reflector
; hh = hh ## (ident - 2*(v # v)/total(v * v)) ;; generate matrix
; endfor
;
; Test the result:
; IDL> print, hh ## transpose(r)
; 9.00000 4.00000
; 2.00000 8.00000
; 6.00000 7.00000
;
; Note that it is usually never necessary to form the Q matrix
; explicitly, and MPFIT does not.
pro mpfit_qrfac, a, ipvt, rdiag, acnorm, pivot=pivot
COMPILE_OPT strictarr
sz = size(a)
m = sz[1]
n = sz[2]
common mpfit_machar, machvals
common mpfit_profile, profvals
; prof_start = systime(1)
MACHEP0 = machvals.machep
DWARF = machvals.minnum
;; Compute the initial column norms and initialize arrays
acnorm = make_array(n, value=a[0]*0.)
for j = 0L, n-1 do $
acnorm[j] = mpfit_enorm(a[*,j])
rdiag = acnorm
wa = rdiag
ipvt = lindgen(n)
;; Reduce a to r with householder transformations
minmn = min([m,n])
for j = 0L, minmn-1 do begin
if NOT keyword_set(pivot) then goto, HOUSE1
;; Bring the column of largest norm into the pivot position
rmax = max(rdiag[j:*])
kmax = where(rdiag[j:*] EQ rmax, ct) + j
if ct LE 0 then goto, HOUSE1
kmax = kmax[0]
;; Exchange rows via the pivot only. Avoid actually exchanging
;; the rows, in case there is lots of memory transfer. The
;; exchange occurs later, within the body of MPFIT, after the
;; extraneous columns of the matrix have been shed.
if kmax NE j then begin
temp = ipvt[j] & ipvt[j] = ipvt[kmax] & ipvt[kmax] = temp
rdiag[kmax] = rdiag[j]
wa[kmax] = wa[j]
endif
HOUSE1:
;; Compute the householder transformation to reduce the jth
;; column of A to a multiple of the jth unit vector
lj = ipvt[j]
ajj = a[j:*,lj]
ajnorm = mpfit_enorm(ajj)
if ajnorm EQ 0 then goto, NEXT_ROW
if a[j,lj] LT 0 then ajnorm = -ajnorm
ajj = ajj / ajnorm
ajj[0] = ajj[0] + 1
;; *** Note optimization a(j:*,j)
a[j,lj] = ajj
;; Apply the transformation to the remaining columns
;; and update the norms
;; NOTE to SELF: tried to optimize this by removing the loop,
;; but it actually got slower. Reverted to "for" loop to keep
;; it simple.
if j+1 LT n then begin
for k=j+1, n-1 do begin
lk = ipvt[k]
ajk = a[j:*,lk]
;; *** Note optimization a(j:*,lk)
;; (corrected 20 Jul 2000)
if a[j,lj] NE 0 then $
a[j,lk] = ajk - ajj * total(ajk*ajj)/a[j,lj]
if keyword_set(pivot) AND rdiag[k] NE 0 then begin
temp = a[j,lk]/rdiag[k]
rdiag[k] = rdiag[k] * sqrt((1.-temp^2) > 0)
temp = rdiag[k]/wa[k]
if 0.05D*temp*temp LE MACHEP0 then begin
rdiag[k] = mpfit_enorm(a[j+1:*,lk])
wa[k] = rdiag[k]
endif
endif
endfor
endif
NEXT_ROW:
rdiag[j] = -ajnorm
endfor
; profvals.qrfac = profvals.qrfac + (systime(1) - prof_start)
return
end
; **********
;
; subroutine qrsolv
;
; given an m by n matrix a, an n by n diagonal matrix d,
; and an m-vector b, the problem is to determine an x which
; solves the system
;
; a*x = b , d*x = 0 ,
;
; in the least squares sense.
;
; this subroutine completes the solution of the problem
; if it is provided with the necessary information from the
; qr factorization, with column pivoting, of a. that is, if
; a*p = q*r, where p is a permutation matrix, q has orthogonal
; columns, and r is an upper triangular matrix with diagonal
; elements of nonincreasing magnitude, then qrsolv expects
; the full upper triangle of r, the permutation matrix p,
; and the first n components of (q transpose)*b. the system
; a*x = b, d*x = 0, is then equivalent to
;
; t t
; r*z = q *b , p *d*p*z = 0 ,
;
; where x = p*z. if this system does not have full rank,
; then a least squares solution is obtained. on output qrsolv
; also provides an upper triangular matrix s such that
;
; t t t
; p *(a *a + d*d)*p = s *s .
;
; s is computed within qrsolv and may be of separate interest.
;
; the subroutine statement is
;
; subroutine qrsolv(n,r,ldr,ipvt,diag,qtb,x,sdiag,wa)
;
; where
;
; n is a positive integer input variable set to the order of r.
;
; r is an n by n array. on input the full upper triangle
; must contain the full upper triangle of the matrix r.
; on output the full upper triangle is unaltered, and the
; strict lower triangle contains the strict upper triangle
; (transposed) of the upper triangular matrix s.
;
; ldr is a positive integer input variable not less than n
; which specifies the leading dimension of the array r.
;
; ipvt is an integer input array of length n which defines the
; permutation matrix p such that a*p = q*r. column j of p
; is column ipvt(j) of the identity matrix.
;
; diag is an input array of length n which must contain the
; diagonal elements of the matrix d.
;
; qtb is an input array of length n which must contain the first
; n elements of the vector (q transpose)*b.
;
; x is an output array of length n which contains the least
; squares solution of the system a*x = b, d*x = 0.
;
; sdiag is an output array of length n which contains the
; diagonal elements of the upper triangular matrix s.
;
; wa is a work array of length n.
;
; subprograms called
;
; fortran-supplied ... dabs,dsqrt
;
; argonne national laboratory. minpack project. march 1980.
; burton s. garbow, kenneth e. hillstrom, jorge j. more
;
pro mpfit_qrsolv, r, ipvt, diag, qtb, x, sdiag
COMPILE_OPT strictarr
sz = size(r)
m = sz[1]
n = sz[2]
delm = lindgen(n) * (m+1) ;; Diagonal elements of r
common mpfit_profile, profvals
; prof_start = systime(1)
;; copy r and (q transpose)*b to preserve input and initialize s.
;; in particular, save the diagonal elements of r in x.
for j = 0L, n-1 do $
r[j:n-1,j] = r[j,j:n-1]
x = r[delm]
wa = qtb
;; Below may look strange, but it's so we can keep the right precision
zero = qtb[0]*0.
half = zero + 0.5
quart = zero + 0.25
;; Eliminate the diagonal matrix d using a givens rotation
for j = 0L, n-1 do begin
l = ipvt[j]
if diag[l] EQ 0 then goto, STORE_RESTORE
sdiag[j:*] = 0
sdiag[j] = diag[l]
;; The transformations to eliminate the row of d modify only a
;; single element of (q transpose)*b beyond the first n, which
;; is initially zero.
qtbpj = zero
for k = j, n-1 do begin
if sdiag[k] EQ 0 then goto, ELIM_NEXT_LOOP
if abs(r[k,k]) LT abs(sdiag[k]) then begin
cotan = r[k,k]/sdiag[k]
sine = half/sqrt(quart + quart*cotan*cotan)
cosine = sine*cotan
endif else begin
tang = sdiag[k]/r[k,k]
cosine = half/sqrt(quart + quart*tang*tang)
sine = cosine*tang
endelse
;; Compute the modified diagonal element of r and the
;; modified element of ((q transpose)*b,0).
r[k,k] = cosine*r[k,k] + sine*sdiag[k]
temp = cosine*wa[k] + sine*qtbpj
qtbpj = -sine*wa[k] + cosine*qtbpj
wa[k] = temp
;; Accumulate the transformation in the row of s
if n GT k+1 then begin
temp = cosine*r[k+1:n-1,k] + sine*sdiag[k+1:n-1]
sdiag[k+1:n-1] = -sine*r[k+1:n-1,k] + cosine*sdiag[k+1:n-1]
r[k+1:n-1,k] = temp
endif
ELIM_NEXT_LOOP:
endfor
STORE_RESTORE:
sdiag[j] = r[j,j]
r[j,j] = x[j]
endfor
;; Solve the triangular system for z. If the system is singular
;; then obtain a least squares solution
nsing = n
wh = where(sdiag EQ 0, ct)
if ct GT 0 then begin
nsing = wh[0]
wa[nsing:*] = 0
endif
if nsing GE 1 then begin
wa[nsing-1] = wa[nsing-1]/sdiag[nsing-1] ;; Degenerate case
;; *** Reverse loop ***
for j=nsing-2,0,-1 do begin
sum = total(r[j+1:nsing-1,j]*wa[j+1:nsing-1])
wa[j] = (wa[j]-sum)/sdiag[j]
endfor
endif
;; Permute the components of z back to components of x
x[ipvt] = wa
; profvals.qrsolv = profvals.qrsolv + (systime(1) - prof_start)
return
end
;
; subroutine lmpar
;
; given an m by n matrix a, an n by n nonsingular diagonal
; matrix d, an m-vector b, and a positive number delta,
; the problem is to determine a value for the parameter
; par such that if x solves the system
;
; a*x = b , sqrt(par)*d*x = 0 ,
;
; in the least squares sense, and dxnorm is the euclidean
; norm of d*x, then either par is zero and
;
; (dxnorm-delta) .le. 0.1*delta ,
;
; or par is positive and
;
; abs(dxnorm-delta) .le. 0.1*delta .
;
; this subroutine completes the solution of the problem
; if it is provided with the necessary information from the
; qr factorization, with column pivoting, of a. that is, if
; a*p = q*r, where p is a permutation matrix, q has orthogonal
; columns, and r is an upper triangular matrix with diagonal
; elements of nonincreasing magnitude, then lmpar expects
; the full upper triangle of r, the permutation matrix p,
; and the first n components of (q transpose)*b. on output
; lmpar also provides an upper triangular matrix s such that
;
; t t t
; p *(a *a + par*d*d)*p = s *s .
;
; s is employed within lmpar and may be of separate interest.
;
; only a few iterations are generally needed for convergence
; of the algorithm. if, however, the limit of 10 iterations
; is reached, then the output par will contain the best
; value obtained so far.
;
; the subroutine statement is
;
; subroutine lmpar(n,r,ldr,ipvt,diag,qtb,delta,par,x,sdiag,
; wa1,wa2)
;
; where
;
; n is a positive integer input variable set to the order of r.
;
; r is an n by n array. on input the full upper triangle
; must contain the full upper triangle of the matrix r.
; on output the full upper triangle is unaltered, and the
; strict lower triangle contains the strict upper triangle
; (transposed) of the upper triangular matrix s.
;
; ldr is a positive integer input variable not less than n
; which specifies the leading dimension of the array r.
;
; ipvt is an integer input array of length n which defines the
; permutation matrix p such that a*p = q*r. column j of p
; is column ipvt(j) of the identity matrix.
;
; diag is an input array of length n which must contain the
; diagonal elements of the matrix d.
;
; qtb is an input array of length n which must contain the first
; n elements of the vector (q transpose)*b.
;
; delta is a positive input variable which specifies an upper
; bound on the euclidean norm of d*x.
;
; par is a nonnegative variable. on input par contains an
; initial estimate of the levenberg-marquardt parameter.
; on output par contains the final estimate.
;
; x is an output array of length n which contains the least
; squares solution of the system a*x = b, sqrt(par)*d*x = 0,
; for the output par.
;
; sdiag is an output array of length n which contains the
; diagonal elements of the upper triangular matrix s.
;
; wa1 and wa2 are work arrays of length n.
;
; subprograms called
;
; minpack-supplied ... dpmpar,enorm,qrsolv
;
; fortran-supplied ... dabs,dmax1,dmin1,dsqrt
;
; argonne national laboratory. minpack project. march 1980.
; burton s. garbow, kenneth e. hillstrom, jorge j. more
;
function mpfit_lmpar, r, ipvt, diag, qtb, delta, x, sdiag, par=par
COMPILE_OPT strictarr
common mpfit_machar, machvals
common mpfit_profile, profvals
; prof_start = systime(1)
MACHEP0 = machvals.machep
DWARF = machvals.minnum
sz = size(r)
m = sz[1]
n = sz[2]
delm = lindgen(n) * (m+1) ;; Diagonal elements of r
;; Compute and store in x the gauss-newton direction. If the
;; jacobian is rank-deficient, obtain a least-squares solution
nsing = n
wa1 = qtb
rthresh = max(abs(r[delm]))*MACHEP0
wh = where(abs(r[delm]) LT rthresh, ct)
if ct GT 0 then begin
nsing = wh[0]
wa1[wh[0]:*] = 0
endif
if nsing GE 1 then begin
;; *** Reverse loop ***
for j=nsing-1,0,-1 do begin
wa1[j] = wa1[j]/r[j,j]
if (j-1 GE 0) then $
wa1[0:(j-1)] = wa1[0:(j-1)] - r[0:(j-1),j]*wa1[j]
endfor
endif
;; Note: ipvt here is a permutation array
x[ipvt] = wa1
;; Initialize the iteration counter. Evaluate the function at the
;; origin, and test for acceptance of the gauss-newton direction
iter = 0L
wa2 = diag * x
dxnorm = mpfit_enorm(wa2)
fp = dxnorm - delta
if fp LE 0.1*delta then goto, TERMINATE
;; If the jacobian is not rank deficient, the newton step provides a
;; lower bound, parl, for the zero of the function. Otherwise set
;; this bound to zero.
zero = wa2[0]*0.
parl = zero
if nsing GE n then begin
wa1 = diag[ipvt]*wa2[ipvt]/dxnorm
wa1[0] = wa1[0] / r[0,0] ;; Degenerate case
for j=1L, n-1 do begin ;; Note "1" here, not zero
sum = total(r[0:(j-1),j]*wa1[0:(j-1)])
wa1[j] = (wa1[j] - sum)/r[j,j]
endfor
temp = mpfit_enorm(wa1)
parl = ((fp/delta)/temp)/temp
endif
;; Calculate an upper bound, paru, for the zero of the function
for j=0L, n-1 do begin
sum = total(r[0:j,j]*qtb[0:j])
wa1[j] = sum/diag[ipvt[j]]
endfor
gnorm = mpfit_enorm(wa1)
paru = gnorm/delta
if paru EQ 0 then paru = DWARF/min([delta,0.1])
;; If the input par lies outside of the interval (parl,paru), set
;; par to the closer endpoint
par = max([par,parl])
par = min([par,paru])
if par EQ 0 then par = gnorm/dxnorm
;; Beginning of an interation
ITERATION:
iter = iter + 1
;; Evaluate the function at the current value of par
if par EQ 0 then par = max([DWARF, paru*0.001])
temp = sqrt(par)
wa1 = temp * diag
mpfit_qrsolv, r, ipvt, wa1, qtb, x, sdiag
wa2 = diag*x
dxnorm = mpfit_enorm(wa2)
temp = fp
fp = dxnorm - delta
if (abs(fp) LE 0.1D*delta) $
OR ((parl EQ 0) AND (fp LE temp) AND (temp LT 0)) $
OR (iter EQ 10) then goto, TERMINATE
;; Compute the newton correction
wa1 = diag[ipvt]*wa2[ipvt]/dxnorm
for j=0L,n-2 do begin
wa1[j] = wa1[j]/sdiag[j]
wa1[j+1:n-1] = wa1[j+1:n-1] - r[j+1:n-1,j]*wa1[j]
endfor
wa1[n-1] = wa1[n-1]/sdiag[n-1] ;; Degenerate case
temp = mpfit_enorm(wa1)
parc = ((fp/delta)/temp)/temp
;; Depending on the sign of the function, update parl or paru
if fp GT 0 then parl = max([parl,par])
if fp LT 0 then paru = min([paru,par])
;; Compute an improved estimate for par
par = max([parl, par+parc])
;; End of an iteration
goto, ITERATION
TERMINATE:
;; Termination
; profvals.lmpar = profvals.lmpar + (systime(1) - prof_start)
if iter EQ 0 then return, par[0]*0.
return, par
end
;; Procedure to tie one parameter to another.
pro mpfit_tie, p, _ptied
COMPILE_OPT strictarr
if n_elements(_ptied) EQ 0 then return
if n_elements(_ptied) EQ 1 then if _ptied[0] EQ '' then return
for _i = 0L, n_elements(_ptied)-1 do begin
if _ptied[_i] EQ '' then goto, NEXT_TIE
_cmd = 'p['+strtrim(_i,2)+'] = '+_ptied[_i]
_err = execute(_cmd)
if _err EQ 0 then begin
message, 'ERROR: Tied expression "'+_cmd+'" failed.'
return
endif
NEXT_TIE:
endfor
end
;; Default print procedure
pro mpfit_defprint, p1, p2, p3, p4, p5, p6, p7, p8, p9, p10, $
p11, p12, p13, p14, p15, p16, p17, p18, $
format=format, unit=unit0, _EXTRA=extra
COMPILE_OPT strictarr
if n_elements(unit0) EQ 0 then unit = -1 else unit = round(unit0[0])
if n_params() EQ 0 then printf, unit, '' $
else if n_params() EQ 1 then printf, unit, p1, format=format $
else if n_params() EQ 2 then printf, unit, p1, p2, format=format $
else if n_params() EQ 3 then printf, unit, p1, p2, p3, format=format $
else if n_params() EQ 4 then printf, unit, p1, p2, p4, format=format
return
end
;; Default procedure to be called every iteration. It simply prints
;; the parameter values.
pro mpfit_defiter, fcn, x, iter, fnorm, FUNCTARGS=fcnargs, $
quiet=quiet, iterstop=iterstop, iterkeybyte=iterkeybyte, $
parinfo=parinfo, iterprint=iterprint0, $
format=fmt, pformat=pformat, dof=dof0, _EXTRA=iterargs
COMPILE_OPT strictarr
common mpfit_error, mperr
mperr = 0
if keyword_set(quiet) then goto, DO_ITERSTOP
if n_params() EQ 3 then begin
fvec = mpfit_call(fcn, x, _EXTRA=fcnargs)
fnorm = mpfit_enorm(fvec)^2
endif
;; Determine which parameters to print
nprint = n_elements(x)
iprint = lindgen(nprint)
if n_elements(iterprint0) EQ 0 then iterprint = 'MPFIT_DEFPRINT' $
else iterprint = strtrim(iterprint0[0],2)
if n_elements(dof0) EQ 0 then dof = 1L else dof = floor(dof0[0])
call_procedure, iterprint, iter, fnorm, dof, $
format='("Iter ",I6," CHI-SQUARE = ",G15.8," DOF = ",I0)', $
_EXTRA=iterargs
if n_elements(fmt) GT 0 then begin
call_procedure, iterprint, x, format=fmt, _EXTRA=iterargs
endif else begin
if n_elements(pformat) EQ 0 then pformat = '(G40.6)'
parname = 'P('+strtrim(iprint,2)+')'
pformats = strarr(nprint) + pformat
if n_elements(parinfo) GT 0 then begin
parinfo_tags = tag_names(parinfo)
wh = where(parinfo_tags EQ 'PARNAME', ct)
if ct EQ 1 then begin
wh = where(parinfo.parname NE '', ct)
if ct GT 0 then $
parname[wh] = strmid(parinfo[wh].parname,0,25)
endif
wh = where(parinfo_tags EQ 'MPPRINT', ct)
if ct EQ 1 then begin
iprint = where(parinfo.mpprint EQ 1, nprint)
if nprint EQ 0 then goto, DO_ITERSTOP
endif
wh = where(parinfo_tags EQ 'MPFORMAT', ct)
if ct EQ 1 then begin
wh = where(parinfo.mpformat NE '', ct)
if ct GT 0 then pformats[wh] = parinfo[wh].mpformat
endif
endif
for i = 0L, nprint-1 do begin
call_procedure, iterprint, parname[iprint[i]], x[iprint[i]], $
format='(" ",A0," = ",'+pformats[iprint[i]]+')', $
_EXTRA=iterargs
endfor
endelse
DO_ITERSTOP:
if n_elements(iterkeybyte) EQ 0 then iterkeybyte = 7b
if keyword_set(iterstop) then begin
k = get_kbrd(0)
if k EQ string(iterkeybyte[0]) then begin
message, 'WARNING: minimization not complete', /info
print, 'Do you want to terminate this procedure? (y/n)', $
format='(A,$)'
k = ''
read, k
if strupcase(strmid(k,0,1)) EQ 'Y' then begin
message, 'WARNING: Procedure is terminating.', /info
mperr = -1
endif
endif
endif
return
end
;; Procedure to parse the parameter values in PARINFO
pro mpfit_parinfo, parinfo, tnames, tag, values, default=def, status=status, $
n_param=n
COMPILE_OPT strictarr
status = 0
if n_elements(n) EQ 0 then n = n_elements(parinfo)
if n EQ 0 then begin
if n_elements(def) EQ 0 then return
values = def
status = 1
return
endif
if n_elements(parinfo) EQ 0 then goto, DO_DEFAULT
if n_elements(tnames) EQ 0 then tnames = tag_names(parinfo)
wh = where(tnames EQ tag, ct)
if ct EQ 0 then begin
DO_DEFAULT:
if n_elements(def) EQ 0 then return
values = make_array(n, value=def[0])
values[0] = def
endif else begin
values = parinfo.(wh[0])
np = n_elements(parinfo)
nv = n_elements(values)
values = reform(values[*], nv/np, np)
endelse
status = 1
return
end
; **********
;
; subroutine covar
;
; given an m by n matrix a, the problem is to determine
; the covariance matrix corresponding to a, defined as
;
; t
; inverse(a *a) .
;
; this subroutine completes the solution of the problem
; if it is provided with the necessary information from the
; qr factorization, with column pivoting, of a. that is, if
; a*p = q*r, where p is a permutation matrix, q has orthogonal
; columns, and r is an upper triangular matrix with diagonal
; elements of nonincreasing magnitude, then covar expects
; the full upper triangle of r and the permutation matrix p.
; the covariance matrix is then computed as
;
; t t
; p*inverse(r *r)*p .
;
; if a is nearly rank deficient, it may be desirable to compute
; the covariance matrix corresponding to the linearly independent
; columns of a. to define the numerical rank of a, covar uses
; the tolerance tol. if l is the largest integer such that
;
; abs(r(l,l)) .gt. tol*abs(r(1,1)) ,
;
; then covar computes the covariance matrix corresponding to
; the first l columns of r. for k greater than l, column
; and row ipvt(k) of the covariance matrix are set to zero.
;
; the subroutine statement is
;
; subroutine covar(n,r,ldr,ipvt,tol,wa)
;
; where
;
; n is a positive integer input variable set to the order of r.
;
; r is an n by n array. on input the full upper triangle must
; contain the full upper triangle of the matrix r. on output
; r contains the square symmetric covariance matrix.
;
; ldr is a positive integer input variable not less than n
; which specifies the leading dimension of the array r.
;
; ipvt is an integer input array of length n which defines the
; permutation matrix p such that a*p = q*r. column j of p
; is column ipvt(j) of the identity matrix.
;
; tol is a nonnegative input variable used to define the
; numerical rank of a in the manner described above.
;
; wa is a work array of length n.
;
; subprograms called
;
; fortran-supplied ... dabs
;
; argonne national laboratory. minpack project. august 1980.
; burton s. garbow, kenneth e. hillstrom, jorge j. more
;
; **********
function mpfit_covar, rr, ipvt, tol=tol
COMPILE_OPT strictarr
sz = size(rr)
if sz[0] NE 2 then begin
message, 'ERROR: r must be a two-dimensional matrix'
return, -1L
endif
n = sz[1]
if n NE sz[2] then begin
message, 'ERROR: r must be a square matrix'
return, -1L
endif
zero = rr[0] * 0.
one = zero + 1.
if n_elements(ipvt) EQ 0 then ipvt = lindgen(n)
r = rr
r = reform(rr, n, n, /overwrite)
;; Form the inverse of r in the full upper triangle of r
l = -1L
if n_elements(tol) EQ 0 then tol = one*1.E-14
tolr = tol * abs(r[0,0])
for k = 0L, n-1 do begin
if abs(r[k,k]) LE tolr then goto, INV_END_LOOP
r[k,k] = one/r[k,k]
for j = 0L, k-1 do begin
temp = r[k,k] * r[j,k]
r[j,k] = zero
r[0,k] = r[0:j,k] - temp*r[0:j,j]
endfor
l = k
endfor
INV_END_LOOP:
;; Form the full upper triangle of the inverse of (r transpose)*r
;; in the full upper triangle of r
if l GE 0 then $
for k = 0L, l do begin
for j = 0L, k-1 do begin
temp = r[j,k]
r[0,j] = r[0:j,j] + temp*r[0:j,k]
endfor
temp = r[k,k]
r[0,k] = temp * r[0:k,k]
endfor
;; Form the full lower triangle of the covariance matrix
;; in the strict lower triangle of r and in wa
wa = replicate(r[0,0], n)
for j = 0L, n-1 do begin
jj = ipvt[j]
sing = j GT l
for i = 0L, j do begin
if sing then r[i,j] = zero
ii = ipvt[i]
if ii GT jj then r[ii,jj] = r[i,j]
if ii LT jj then r[jj,ii] = r[i,j]
endfor
wa[jj] = r[j,j]
endfor
;; Symmetrize the covariance matrix in r
for j = 0L, n-1 do begin
r[0:j,j] = r[j,0:j]
r[j,j] = wa[j]
endfor
return, r
end
;; Parse the RCSID revision number
function mpfit_revision
;; NOTE: this string is changed every time an RCS check-in occurs
revision = '$Revision: 1.82 $'
;; Parse just the version number portion
revision = stregex(revision,'\$'+'Revision: *([0-9.]+) *'+'\$',/extract,/sub)
revision = revision[1]
return, revision
end
;; Parse version numbers of the form 'X.Y'
function mpfit_parse_version, version
sz = size(version)
if sz[sz[0]+1] NE 7 then return, 0
s = stregex(version[0], '^([0-9]+)\.([0-9]+)$', /extract,/sub)
if s[0] NE version[0] then return, 0
return, long(s[1:2])
end
;; Enforce a minimum version number
function mpfit_min_version, version, min_version
mv = mpfit_parse_version(min_version)
if mv[0] EQ 0 then return, 0
v = mpfit_parse_version(version)
;; Compare version components
if v[0] LT mv[0] then return, 0
if v[1] LT mv[1] then return, 0
return, 1
end
; Manually reset recursion fencepost if the user gets in trouble
pro mpfit_reset_recursion
common mpfit_fencepost, mpfit_fencepost_active
mpfit_fencepost_active = 0
end
; **********
;
; subroutine lmdif
;
; the purpose of lmdif is to minimize the sum of the squares of
; m nonlinear functions in n variables by a modification of
; the levenberg-marquardt algorithm. the user must provide a
; subroutine which calculates the functions. the jacobian is
; then calculated by a forward-difference approximation.
;
; the subroutine statement is
;
; subroutine lmdif(fcn,m,n,x,fvec,ftol,xtol,gtol,maxfev,epsfcn,
; diag,mode,factor,nprint,info,nfev,fjac,
; ldfjac,ipvt,qtf,wa1,wa2,wa3,wa4)
;
; where
;
; fcn is the name of the user-supplied subroutine which
; calculates the functions. fcn must be declared
; in an external statement in the user calling
; program, and should be written as follows.
;
; subroutine fcn(m,n,x,fvec,iflag)
; integer m,n,iflag
; double precision x(n),fvec(m)
; ----------
; calculate the functions at x and
; return this vector in fvec.
; ----------
; return
; end
;
; the value of iflag should not be changed by fcn unless
; the user wants to terminate execution of lmdif.
; in this case set iflag to a negative integer.
;
; m is a positive integer input variable set to the number
; of functions.
;
; n is a positive integer input variable set to the number
; of variables. n must not exceed m.
;
; x is an array of length n. on input x must contain
; an initial estimate of the solution vector. on output x
; contains the final estimate of the solution vector.
;
; fvec is an output array of length m which contains
; the functions evaluated at the output x.
;
; ftol is a nonnegative input variable. termination
; occurs when both the actual and predicted relative
; reductions in the sum of squares are at most ftol.
; therefore, ftol measures the relative error desired
; in the sum of squares.
;
; xtol is a nonnegative input variable. termination
; occurs when the relative error between two consecutive
; iterates is at most xtol. therefore, xtol measures the
; relative error desired in the approximate solution.
;
; gtol is a nonnegative input variable. termination
; occurs when the cosine of the angle between fvec and
; any column of the jacobian is at most gtol in absolute
; value. therefore, gtol measures the orthogonality
; desired between the function vector and the columns
; of the jacobian.
;
; maxfev is a positive integer input variable. termination
; occurs when the number of calls to fcn is at least
; maxfev by the end of an iteration.
;
; epsfcn is an input variable used in determining a suitable
; step length for the forward-difference approximation. this
; approximation assumes that the relative errors in the
; functions are of the order of epsfcn. if epsfcn is less
; than the machine precision, it is assumed that the relative
; errors in the functions are of the order of the machine
; precision.
;
; diag is an array of length n. if mode = 1 (see
; below), diag is internally set. if mode = 2, diag
; must contain positive entries that serve as
; multiplicative scale factors for the variables.
;
; mode is an integer input variable. if mode = 1, the
; variables will be scaled internally. if mode = 2,
; the scaling is specified by the input diag. other
; values of mode are equivalent to mode = 1.
;
; factor is a positive input variable used in determining the
; initial step bound. this bound is set to the product of
; factor and the euclidean norm of diag*x if nonzero, or else
; to factor itself. in most cases factor should lie in the
; interval (.1,100.). 100. is a generally recommended value.
;
; nprint is an integer input variable that enables controlled
; printing of iterates if it is positive. in this case,
; fcn is called with iflag = 0 at the beginning of the first
; iteration and every nprint iterations thereafter and
; immediately prior to return, with x and fvec available
; for printing. if nprint is not positive, no special calls
; of fcn with iflag = 0 are made.
;
; info is an integer output variable. if the user has
; terminated execution, info is set to the (negative)
; value of iflag. see description of fcn. otherwise,
; info is set as follows.
;
; info = 0 improper input parameters.
;
; info = 1 both actual and predicted relative reductions
; in the sum of squares are at most ftol.
;
; info = 2 relative error between two consecutive iterates
; is at most xtol.
;
; info = 3 conditions for info = 1 and info = 2 both hold.
;
; info = 4 the cosine of the angle between fvec and any
; column of the jacobian is at most gtol in
; absolute value.
;
; info = 5 number of calls to fcn has reached or
; exceeded maxfev.
;
; info = 6 ftol is too small. no further reduction in
; the sum of squares is possible.
;
; info = 7 xtol is too small. no further improvement in
; the approximate solution x is possible.
;
; info = 8 gtol is too small. fvec is orthogonal to the
; columns of the jacobian to machine precision.
;
; nfev is an integer output variable set to the number of
; calls to fcn.
;
; fjac is an output m by n array. the upper n by n submatrix
; of fjac contains an upper triangular matrix r with
; diagonal elements of nonincreasing magnitude such that
;
; t t t
; p *(jac *jac)*p = r *r,
;
; where p is a permutation matrix and jac is the final
; calculated jacobian. column j of p is column ipvt(j)
; (see below) of the identity matrix. the lower trapezoidal
; part of fjac contains information generated during
; the computation of r.
;
; ldfjac is a positive integer input variable not less than m
; which specifies the leading dimension of the array fjac.
;
; ipvt is an integer output array of length n. ipvt
; defines a permutation matrix p such that jac*p = q*r,
; where jac is the final calculated jacobian, q is
; orthogonal (not stored), and r is upper triangular
; with diagonal elements of nonincreasing magnitude.
; column j of p is column ipvt(j) of the identity matrix.
;
; qtf is an output array of length n which contains
; the first n elements of the vector (q transpose)*fvec.
;
; wa1, wa2, and wa3 are work arrays of length n.
;
; wa4 is a work array of length m.
;
; subprograms called
;
; user-supplied ...... fcn
;
; minpack-supplied ... dpmpar,enorm,fdjac2,lmpar,qrfac
;
; fortran-supplied ... dabs,dmax1,dmin1,dsqrt,mod
;
; argonne national laboratory. minpack project. march 1980.
; burton s. garbow, kenneth e. hillstrom, jorge j. more
;
; **********
function dustem_mpfit, fcn, xall, FUNCTARGS=fcnargs, SCALE_FCN=scalfcn, $
ftol=ftol0, xtol=xtol0, gtol=gtol0, epsfcn=epsfcn, $
resdamp=damp0, $
nfev=nfev, maxiter=maxiter, errmsg=errmsg, $
factor=factor0, nprint=nprint0, STATUS=info, $
iterproc=iterproc0, iterargs=iterargs, iterstop=ss,$
iterkeystop=iterkeystop, $
niter=iter, nfree=nfree, npegged=npegged, dof=dof, $
diag=diag, rescale=rescale, autoderivative=autoderiv0, $
pfree_index=ifree, $
perror=perror, covar=covar, nocovar=nocovar, $
bestnorm=fnorm, best_resid=fvec, $
best_fjac=output_fjac, calc_fjac=calc_fjac, $
parinfo=parinfo, quiet=quiet, nocatch=nocatch, $
fastnorm=fastnorm0, proc=proc, query=query, $
external_state=state, external_init=extinit, $
external_fvec=efvec, external_fjac=efjac, $
version=version, min_version=min_version0
COMPILE_OPT strictarr
info = 0L
errmsg = ''
;; Compute the revision number, to be returned in the VERSION and
;; QUERY keywords.
common mpfit_revision_common, mpfit_revision_str
if n_elements(mpfit_revision_str) EQ 0 then $
mpfit_revision_str = mpfit_revision()
version = mpfit_revision_str
if keyword_set(query) then begin
if n_elements(min_version0) GT 0 then $
if mpfit_min_version(version, min_version0[0]) EQ 0 then $
return, 0
return, 1
endif
if n_elements(min_version0) GT 0 then $
if mpfit_min_version(version, min_version0[0]) EQ 0 then begin
message, 'ERROR: minimum required version '+min_version0[0]+' not satisfied', /info
return, !values.d_nan
endif
if n_params() EQ 0 then begin
message, "USAGE: PARMS = MPFIT('MYFUNCT', START_PARAMS, ... )", /info
return, !values.d_nan
endif
;; Use of double here not a problem since f/x/gtol are all only used
;; in comparisons
if n_elements(ftol0) EQ 0 then ftol = 1.D-10 else ftol = ftol0[0]
if n_elements(xtol0) EQ 0 then xtol = 1.D-10 else xtol = xtol0[0]
if n_elements(gtol0) EQ 0 then gtol = 1.D-10 else gtol = gtol0[0]
if n_elements(factor0) EQ 0 then factor = 100. else factor = factor0[0]
if n_elements(nprint0) EQ 0 then nprint = 1 else nprint = nprint0[0]
if n_elements(iterproc0) EQ 0 then iterproc = 'MPFIT_DEFITER' else iterproc = iterproc0[0]
if n_elements(autoderiv0) EQ 0 then autoderiv = 1 else autoderiv = autoderiv0[0]
if n_elements(fastnorm0) EQ 0 then fastnorm = 0 else fastnorm = fastnorm0[0]
if n_elements(damp0) EQ 0 then damp = 0 else damp = damp0[0]
;; These are special configuration parameters that can't be easily
;; passed by MPFIT directly.
;; FASTNORM - decide on which sum-of-squares technique to use (1)
;; is fast, (0) is slower
;; PROC - user routine is a procedure (1) or function (0)
;; QANYTIED - set to 1 if any parameters are TIED, zero if none
;; PTIED - array of strings, one for each parameter
common mpfit_config, mpconfig
mpconfig = {fastnorm: keyword_set(fastnorm), proc: 0, nfev: 0L, damp: damp}
common mpfit_machar, machvals
iflag = 0L
catch_msg = 'in MPFIT'
nfree = 0L
npegged = 0L
dof = 0L
output_fjac = 0L
;; Set up a persistent fencepost that prevents recursive calls
common mpfit_fencepost, mpfit_fencepost_active
if n_elements(mpfit_fencepost_active) EQ 0 then mpfit_fencepost_active = 0
if mpfit_fencepost_active then begin
errmsg = 'ERROR: recursion detected; you cannot run MPFIT recursively'
goto, TERMINATE
endif
;; Only activate the fencepost if we are not in debugging mode
if NOT keyword_set(nocatch) then mpfit_fencepost_active = 1
;; Parameter damping doesn't work when user is providing their own
;; gradients.
if damp NE 0 AND NOT keyword_set(autoderiv) then begin
errmsg = 'ERROR: keywords DAMP and AUTODERIV are mutually exclusive'
goto, TERMINATE
endif
;; Process the ITERSTOP and ITERKEYSTOP keywords, and turn this into
;; a set of keywords to pass to MPFIT_DEFITER.
if strupcase(iterproc) EQ 'MPFIT_DEFITER' AND n_elements(iterargs) EQ 0 $
AND keyword_set(ss) then begin
if n_elements(iterkeystop) GT 0 then begin
sz = size(iterkeystop)
tp = sz[sz[0]+1]
if tp EQ 7 then begin
;; String - convert first char to byte
iterkeybyte = (byte(iterkeystop[0]))[0]
endif
if (tp GE 1 AND tp LE 3) OR (tp GE 12 AND tp LE 15) then begin
;; Integer - convert to byte
iterkeybyte = byte(iterkeystop[0])
endif
if n_elements(iterkeybyte) EQ 0 then begin
errmsg = 'ERROR: ITERKEYSTOP must be either a BYTE or STRING'
goto, TERMINATE
endif
iterargs = {iterstop: 1, iterkeybyte: iterkeybyte}
endif else begin
iterargs = {iterstop: 1, iterkeybyte: 7b}
endelse
endif
;; Handle error conditions gracefully
if NOT keyword_set(nocatch) then begin
catch, catcherror
if catcherror NE 0 then begin ;; An error occurred!!!
catch, /cancel
mpfit_fencepost_active = 0
err_string = ''+!error_state.msg
message, /cont, 'Error detected while '+catch_msg+':'
message, /cont, err_string
message, /cont, 'Error condition detected. Returning to MAIN level.'
if errmsg EQ '' then $
errmsg = 'Error detected while '+catch_msg+': '+err_string
if info EQ 0 then info = -18
return, !values.d_nan
endif
endif
mpconfig = create_struct(mpconfig, 'NOCATCH', keyword_set(nocatch))
;; Parse FCN function name - be sure it is a scalar string
sz = size(fcn)
if sz[0] NE 0 then begin
FCN_NAME:
errmsg = 'ERROR: MYFUNCT must be a scalar string'
goto, TERMINATE
endif
if sz[sz[0]+1] NE 7 then goto, FCN_NAME
isext = 0
if fcn EQ '(EXTERNAL)' then begin
if n_elements(efvec) EQ 0 OR n_elements(efjac) EQ 0 then begin
errmsg = 'ERROR: when using EXTERNAL function, EXTERNAL_FVEC '+$
'and EXTERNAL_FJAC must be defined'
goto, TERMINATE
endif
nv = n_elements(efvec)
nj = n_elements(efjac)
if (nj MOD nv) NE 0 then begin
errmsg = 'ERROR: the number of values in EXTERNAL_FJAC must be '+ $
'a multiple of the number of values in EXTERNAL_FVEC'
goto, TERMINATE
endif
isext = 1
endif
;; Parinfo:
;; --------------- STARTING/CONFIG INFO (passed in to routine, not changed)
;; .value - starting value for parameter
;; .fixed - parameter is fixed
;; .limited - a two-element array, if parameter is bounded on
;; lower/upper side
;; .limits - a two-element array, lower/upper parameter bounds, if
;; limited vale is set
;; .step - step size in Jacobian calc, if greater than zero
catch_msg = 'parsing input parameters'
;; Parameters can either be stored in parinfo, or x. Parinfo takes
;; precedence if it exists.
if n_elements(xall) EQ 0 AND n_elements(parinfo) EQ 0 then begin
errmsg = 'ERROR: must pass parameters in P or PARINFO'
goto, TERMINATE
endif
;; Be sure that PARINFO is of the right type
if n_elements(parinfo) GT 0 then begin
;; Make sure the array is 1-D
parinfo = parinfo[*]
parinfo_size = size(parinfo)
if parinfo_size[parinfo_size[0]+1] NE 8 then begin
errmsg = 'ERROR: PARINFO must be a structure.'
goto, TERMINATE
endif
if n_elements(xall) GT 0 AND n_elements(xall) NE n_elements(parinfo) $
then begin
errmsg = 'ERROR: number of elements in PARINFO and P must agree'
goto, TERMINATE
endif
endif
;; If the parameters were not specified at the command line, then
;; extract them from PARINFO
if n_elements(xall) EQ 0 then begin
mpfit_parinfo, parinfo, tagnames, 'VALUE', xall, status=status
if status EQ 0 then begin
errmsg = 'ERROR: either P or PARINFO[*].VALUE must be supplied.'
goto, TERMINATE
endif
sz = size(xall)
;; Convert to double if parameters are not float or double
if sz[sz[0]+1] NE 4 AND sz[sz[0]+1] NE 5 then $
xall = double(xall)
endif
xall = xall[*] ;; Make sure the array is 1-D
npar = n_elements(xall)
zero = xall[0] * 0.
one = zero + 1.
fnorm = -one
fnorm1 = -one
;; TIED parameters?
mpfit_parinfo, parinfo, tagnames, 'TIED', ptied, default='', n=npar
ptied = strtrim(ptied, 2)
wh = where(ptied NE '', qanytied)
qanytied = qanytied GT 0
mpconfig = create_struct(mpconfig, 'QANYTIED', qanytied, 'PTIED', ptied)
;; FIXED parameters ?
mpfit_parinfo, parinfo, tagnames, 'FIXED', pfixed, default=0, n=npar
pfixed = pfixed EQ 1
pfixed = pfixed OR (ptied NE '');; Tied parameters are also effectively fixed
;; Finite differencing step, absolute and relative, and sidedness of deriv.
mpfit_parinfo, parinfo, tagnames, 'STEP', step, default=zero, n=npar
mpfit_parinfo, parinfo, tagnames, 'RELSTEP', dstep, default=zero, n=npar
mpfit_parinfo, parinfo, tagnames, 'MPSIDE', dside, default=0, n=npar
;; Debugging parameters
mpfit_parinfo, parinfo, tagnames, 'MPDERIV_DEBUG', ddebug, default=0, n=npar
mpfit_parinfo, parinfo, tagnames, 'MPDERIV_RELTOL', ddrtol, default=zero, n=npar
mpfit_parinfo, parinfo, tagnames, 'MPDERIV_ABSTOL', ddatol, default=zero, n=npar
;; Maximum and minimum steps allowed to be taken in one iteration
mpfit_parinfo, parinfo, tagnames, 'MPMAXSTEP', maxstep, default=zero, n=npar
mpfit_parinfo, parinfo, tagnames, 'MPMINSTEP', minstep, default=zero, n=npar
qmin = minstep * 0 ;; Remove minstep for now!!
qmax = maxstep NE 0
wh = where(qmin AND qmax AND maxstep LT minstep, ct)
if ct GT 0 then begin
errmsg = 'ERROR: MPMINSTEP is greater than MPMAXSTEP'
goto, TERMINATE
endif
;; Finish up the free parameters
ifree = where(pfixed NE 1, nfree)
if nfree EQ 0 then begin
errmsg = 'ERROR: no free parameters'
goto, TERMINATE
endif
;; An external Jacobian must be checked against the number of
;; parameters
if isext then begin
if (nj/nv) NE nfree then begin
errmsg = string(nv, nfree, nfree, $
format=('("ERROR: EXTERNAL_FJAC must be a ",I0," x ",I0,' + $
'" array, where ",I0," is the number of free parameters")'))
goto, TERMINATE
endif
endif
;; Compose only VARYING parameters
xnew = xall ;; xnew is the set of parameters to be returned
x = xnew[ifree] ;; x is the set of free parameters
; Same for min/max step diagnostics
qmin = qmin[ifree] & minstep = minstep[ifree]
qmax = qmax[ifree] & maxstep = maxstep[ifree]
wh = where(qmin OR qmax, ct)
qminmax = ct GT 0
;; LIMITED parameters ?
mpfit_parinfo, parinfo, tagnames, 'LIMITED', limited, status=st1
mpfit_parinfo, parinfo, tagnames, 'LIMITS', limits, status=st2
if st1 EQ 1 AND st2 EQ 1 then begin
;; Error checking on limits in parinfo
wh = where((limited[0,*] AND xall LT limits[0,*]) OR $
(limited[1,*] AND xall GT limits[1,*]), ct)
if ct GT 0 then begin
errmsg = 'ERROR: parameters are not within PARINFO limits'
goto, TERMINATE
endif
wh = where(limited[0,*] AND limited[1,*] AND $
limits[0,*] GE limits[1,*] AND $
pfixed EQ 0, ct)
if ct GT 0 then begin
errmsg = 'ERROR: PARINFO parameter limits are not consistent'
goto, TERMINATE
endif
;; Transfer structure values to local variables
qulim = limited[1, ifree]
ulim = limits [1, ifree]
qllim = limited[0, ifree]
llim = limits [0, ifree]
wh = where(qulim OR qllim, ct)
if ct GT 0 then qanylim = 1 else qanylim = 0
endif else begin
;; Fill in local variables with dummy values
qulim = lonarr(nfree)
ulim = x * 0.
qllim = qulim
llim = x * 0.
qanylim = 0
endelse
;; Initialize the number of parameters pegged at a hard limit value
wh = where((qulim AND (x EQ ulim)) OR (qllim AND (x EQ llim)), npegged)
n = n_elements(x)
if n_elements(maxiter) EQ 0 then maxiter = 200L
;; Check input parameters for errors
if (n LE 0) OR (ftol LE 0) OR (xtol LE 0) OR (gtol LE 0) $
OR (maxiter LT 0) OR (factor LE 0) then begin
errmsg = 'ERROR: input keywords are inconsistent'
goto, TERMINATE
endif
if keyword_set(rescale) then begin
errmsg = 'ERROR: DIAG parameter scales are inconsistent'
if n_elements(diag) LT n then goto, TERMINATE
wh = where(diag LE 0, ct)
if ct GT 0 then goto, TERMINATE
errmsg = ''
endif
if n_elements(state) NE 0 AND NOT keyword_set(extinit) then begin
szst = size(state)
if szst[szst[0]+1] NE 8 then begin
errmsg = 'EXTERNAL_STATE keyword was not preserved'
status = 0
goto, TERMINATE
endif
if nfree NE n_elements(state.ifree) then begin
BAD_IFREE:
errmsg = 'Number of free parameters must not change from one '+$
'external iteration to the next'
status = 0
goto, TERMINATE
endif
wh = where(ifree NE state.ifree, ct)
if ct GT 0 then goto, BAD_IFREE
tnames = tag_names(state)
for i = 0L, n_elements(tnames)-1 do begin
dummy = execute(tnames[i]+' = state.'+tnames[i])
endfor
wa4 = reform(efvec, n_elements(efvec))
goto, RESUME_FIT
endif
common mpfit_error, mperr
if NOT isext then begin
mperr = 0
catch_msg = 'calling '+fcn
fvec = mpfit_call(fcn, xnew, _EXTRA=fcnargs)
iflag = mperr
if iflag LT 0 then begin
errmsg = 'ERROR: first call to "'+fcn+'" failed'
goto, TERMINATE
endif
endif else begin
fvec = reform(efvec, n_elements(efvec))
endelse
catch_msg = 'calling MPFIT_SETMACHAR'
sz = size(fvec[0])
isdouble = (sz[sz[0]+1] EQ 5)
mpfit_setmachar, double=isdouble
common mpfit_profile, profvals
; prof_start = systime(1)
MACHEP0 = machvals.machep
DWARF = machvals.minnum
szx = size(x)
;; The parameters and the squared deviations should have the same
;; type. Otherwise the MACHAR-based evaluation will fail.
catch_msg = 'checking parameter data'
tp = szx[szx[0]+1]
if tp NE 4 AND tp NE 5 then begin
if NOT keyword_set(quiet) then begin
message, 'WARNING: input parameters must be at least FLOAT', /info
message, ' (converting parameters to FLOAT)', /info
endif
x = float(x)
xnew = float(x)
szx = size(x)
endif
if isdouble AND tp NE 5 then begin
if NOT keyword_set(quiet) then begin
message, 'WARNING: data is DOUBLE but parameters are FLOAT', /info
message, ' (converting parameters to DOUBLE)', /info
endif
x = double(x)
xnew = double(xnew)
endif
m = n_elements(fvec)
if (m LT n) then begin
errmsg = 'ERROR: number of parameters must not exceed data'
goto, TERMINATE
endif
fnorm = mpfit_enorm(fvec)
;; Initialize Levelberg-Marquardt parameter and iteration counter
par = zero
iter = 1L
qtf = x * 0.
;; Beginning of the outer loop
OUTER_LOOP:
;; If requested, call fcn to enable printing of iterates
xnew[ifree] = x
if qanytied then mpfit_tie, xnew, ptied
dof = (n_elements(fvec) - nfree) > 1L
if nprint GT 0 AND iterproc NE '' then begin
catch_msg = 'calling '+iterproc
iflag = 0L
if (iter-1) MOD nprint EQ 0 then begin
mperr = 0
xnew0 = xnew
call_procedure, iterproc, fcn, xnew, iter, fnorm^2, $
FUNCTARGS=fcnargs, parinfo=parinfo, quiet=quiet, $
dof=dof, _EXTRA=iterargs
iflag = mperr
;; Check for user termination
if iflag LT 0 then begin
errmsg = 'WARNING: premature termination by "'+iterproc+'"'
goto, TERMINATE
endif
;; If parameters were changed (grrr..) then re-tie
if max(abs(xnew0-xnew)) GT 0 then begin
if qanytied then mpfit_tie, xnew, ptied
x = xnew[ifree]
endif
endif
endif
;; Calculate the jacobian matrix
iflag = 2
if NOT isext then begin
catch_msg = 'calling MPFIT_FDJAC2'
;; NOTE! If you change this call then change the one during
;; clean-up as well!
fjac = mpfit_fdjac2(fcn, x, fvec, step, qulim, ulim, dside, $
iflag=iflag, epsfcn=epsfcn, $
autoderiv=autoderiv, dstep=dstep, $
FUNCTARGS=fcnargs, ifree=ifree, xall=xnew, $
deriv_debug=ddebug, deriv_reltol=ddrtol, deriv_abstol=ddatol)
if iflag LT 0 then begin
errmsg = 'WARNING: premature termination by FDJAC2'
goto, TERMINATE
endif
endif else begin
fjac = reform(efjac,n_elements(fvec),npar, /overwrite)
endelse
;; Rescale the residuals and gradient, for use with "alternative"
;; statistics such as the Cash statistic.
catch_msg = 'prescaling residuals and gradient'
if n_elements(scalfcn) GT 0 then begin
call_procedure, strtrim(scalfcn[0],2), fvec, fjac
endif
;; Determine if any of the parameters are pegged at the limits
npegged = 0L
if qanylim then begin
catch_msg = 'zeroing derivatives of pegged parameters'
whlpeg = where(qllim AND (x EQ llim), nlpeg)
whupeg = where(qulim AND (x EQ ulim), nupeg)
npegged = nlpeg + nupeg
;; See if any "pegged" values should keep their derivatives
if (nlpeg GT 0) then begin
;; Total derivative of sum wrt lower pegged parameters
;; Note: total(fvec*fjac[*,i]) is d(CHI^2)/dX[i]
for i = 0L, nlpeg-1 do begin
sum = total(fvec * fjac[*,whlpeg[i]])
if sum GT 0 then fjac[*,whlpeg[i]] = 0
endfor
endif
if (nupeg GT 0) then begin
;; Total derivative of sum wrt upper pegged parameters
for i = 0L, nupeg-1 do begin
sum = total(fvec * fjac[*,whupeg[i]])
if sum LT 0 then fjac[*,whupeg[i]] = 0
endfor
endif
endif
;; Save a copy of the Jacobian if the user requests it...
if keyword_set(calc_fjac) then output_fjac = fjac
;; =====================
;; Compute the QR factorization of the jacobian
catch_msg = 'calling MPFIT_QRFAC'
;; IN: Jacobian
;; OUT: Hh Vects Permutation RDIAG ACNORM
mpfit_qrfac, fjac, ipvt, wa1, wa2, /pivot
;; Jacobian - jacobian matrix computed by mpfit_fdjac2
;; Hh vects - house holder vectors from QR factorization & R matrix
;; Permutation - permutation vector for pivoting
;; RDIAG - diagonal elements of R matrix
;; ACNORM - norms of input Jacobian matrix before factoring
;; =====================
;; On the first iteration if "diag" is unspecified, scale
;; according to the norms of the columns of the initial jacobian
catch_msg = 'rescaling diagonal elements'
if (iter EQ 1) then begin
;; Input: WA2 = root sum of squares of original Jacobian matrix
;; DIAG = user-requested diagonal (not documented!)
;; FACTOR = user-requested norm factor (not documented!)
;; Output: DIAG = Diagonal scaling values
;; XNORM = sum of squared scaled residuals
;; DELTA = rescaled XNORM
if NOT keyword_set(rescale) OR (n_elements(diag) LT n) then begin
diag = wa2 ;; Calculated from original Jacobian
wh = where (diag EQ 0, ct) ;; Handle zero values
if ct GT 0 then diag[wh] = one
endif
;; On the first iteration, calculate the norm of the scaled x
;; and initialize the step bound delta
wa3 = diag * x ;; WA3 is temp variable
xnorm = mpfit_enorm(wa3)
delta = factor*xnorm
if delta EQ zero then delta = zero + factor
endif
;; Form (q transpose)*fvec and store the first n components in qtf
catch_msg = 'forming (q transpose)*fvec'
wa4 = fvec
for j=0L, n-1 do begin
lj = ipvt[j]
temp3 = fjac[j,lj]
if temp3 NE 0 then begin
fj = fjac[j:*,lj]
wj = wa4[j:*]
;; *** optimization wa4(j:*)
wa4[j] = wj - fj * total(fj*wj) / temp3
endif
fjac[j,lj] = wa1[j]
qtf[j] = wa4[j]
endfor
;; From this point on, only the square matrix, consisting of the
;; triangle of R, is needed.
fjac = fjac[0:n-1, 0:n-1]
fjac = reform(fjac, n, n, /overwrite)
fjac = fjac[*, ipvt] ;; Convert to permuted order
fjac = reform(fjac, n, n, /overwrite)
;; Check for overflow. This should be a cheap test here since FJAC
;; has been reduced to a (small) square matrix, and the test is
;; O(N^2).
wh = where(finite(fjac) EQ 0, ct)
if ct GT 0 then goto, FAIL_OVERFLOW
;; Compute the norm of the scaled gradient
catch_msg = 'computing the scaled gradient'
gnorm = zero
if fnorm NE 0 then begin
for j=0L, n-1 do begin
l = ipvt[j]
if wa2[l] NE 0 then begin
sum = total(fjac[0:j,j]*qtf[0:j])/fnorm
gnorm = max([gnorm,abs(sum/wa2[l])])
endif
endfor
endif
;; Test for convergence of the gradient norm
if gnorm LE gtol then info = 4
if info NE 0 then goto, TERMINATE
if maxiter EQ 0 then begin
info = 5
goto, TERMINATE
endif
;; Rescale if necessary
if NOT keyword_set(rescale) then $
diag = diag > wa2
;; Beginning of the inner loop
INNER_LOOP:
;; Determine the levenberg-marquardt parameter
catch_msg = 'calculating LM parameter (MPFIT_LMPAR)'
par = mpfit_lmpar(fjac, ipvt, diag, qtf, delta, wa1, wa2, par=par)
;; Store the direction p and x+p. Calculate the norm of p
wa1 = -wa1
if qanylim EQ 0 AND qminmax EQ 0 then begin
;; No parameter limits, so just move to new position WA2
alpha = one
wa2 = x + wa1
endif else begin
;; Respect the limits. If a step were to go out of bounds, then
;; we should take a step in the same direction but shorter distance.
;; The step should take us right to the limit in that case.
alpha = one
if qanylim EQ 1 then begin
;; Do not allow any steps out of bounds
catch_msg = 'checking for a step out of bounds'
if nlpeg GT 0 then wa1[whlpeg] = wa1[whlpeg] > 0
if nupeg GT 0 then wa1[whupeg] = wa1[whupeg] < 0
dwa1 = abs(wa1) GT MACHEP0
whl = where(dwa1 AND qllim AND (x + wa1 LT llim), lct)
if lct GT 0 then $
alpha = min([alpha, (llim[whl]-x[whl])/wa1[whl]])
whu = where(dwa1 AND qulim AND (x + wa1 GT ulim), uct)
if uct GT 0 then $
alpha = min([alpha, (ulim[whu]-x[whu])/wa1[whu]])
endif
;; Obey any max step values.
if qminmax EQ 1 then begin
nwa1 = wa1 * alpha
whmax = where(qmax AND maxstep GT 0, ct)
if ct GT 0 then begin
mrat = max(abs(nwa1[whmax])/abs(maxstep[whmax]))
if mrat GT 1 then alpha = alpha / mrat
endif
endif
;; Scale the resulting vector
wa1 = wa1 * alpha
wa2 = x + wa1
;; Adjust the final output values. If the step put us exactly
;; on a boundary, make sure we peg it there.
sgnu = (ulim GE 0)*2d - 1d
sgnl = (llim GE 0)*2d - 1d
;; Handles case of
;; ... nonzero *LIM ... ... zero *LIM ...
ulim1 = ulim*(1-sgnu*MACHEP0) - (ulim EQ 0)*MACHEP0
llim1 = llim*(1+sgnl*MACHEP0) + (llim EQ 0)*MACHEP0
wh = where(qulim AND (wa2 GE ulim1), ct)
if ct GT 0 then wa2[wh] = ulim[wh]
wh = where(qllim AND (wa2 LE llim1), ct)
if ct GT 0 then wa2[wh] = llim[wh]
endelse
wa3 = diag * wa1
pnorm = mpfit_enorm(wa3)
;; On the first iteration, adjust the initial step bound
if iter EQ 1 then delta = min([delta,pnorm])
xnew[ifree] = wa2
if isext then goto, SAVE_STATE
;; Evaluate the function at x+p and calculate its norm
mperr = 0
catch_msg = 'calling '+fcn
wa4 = mpfit_call(fcn, xnew, _EXTRA=fcnargs)
iflag = mperr
if iflag LT 0 then begin
errmsg = 'WARNING: premature termination by "'+fcn+'"'
goto, TERMINATE
endif
RESUME_FIT:
fnorm1 = mpfit_enorm(wa4)
;; Compute the scaled actual reduction
catch_msg = 'computing convergence criteria'
actred = -one
if 0.1D * fnorm1 LT fnorm then actred = - (fnorm1/fnorm)^2 + 1.
;; Compute the scaled predicted reduction and the scaled directional
;; derivative
for j = 0L, n-1 do begin
wa3[j] = 0
wa3[0:j] = wa3[0:j] + fjac[0:j,j]*wa1[ipvt[j]]
endfor
;; Remember, alpha is the fraction of the full LM step actually
;; taken
temp1 = mpfit_enorm(alpha*wa3)/fnorm
temp2 = (sqrt(alpha*par)*pnorm)/fnorm
half = zero + 0.5
prered = temp1*temp1 + (temp2*temp2)/half
dirder = -(temp1*temp1 + temp2*temp2)
;; Compute the ratio of the actual to the predicted reduction.
ratio = zero
tenth = zero + 0.1
if prered NE 0 then ratio = actred/prered
;; Update the step bound
if ratio LE 0.25D then begin
if actred GE 0 then temp = half $
else temp = half*dirder/(dirder + half*actred)
if ((0.1D*fnorm1) GE fnorm) OR (temp LT 0.1D) then temp = tenth
delta = temp*min([delta,pnorm/tenth])
par = par/temp
endif else begin
if (par EQ 0) OR (ratio GE 0.75) then begin
delta = pnorm/half
par = half*par
endif
endelse
;; Test for successful iteration
if ratio GE 0.0001 then begin
;; Successful iteration. Update x, fvec, and their norms
x = wa2
wa2 = diag * x
fvec = wa4
xnorm = mpfit_enorm(wa2)
fnorm = fnorm1
iter = iter + 1
endif
;; Tests for convergence
if (abs(actred) LE ftol) AND (prered LE ftol) $
AND (0.5D * ratio LE 1) then info = 1
if delta LE xtol*xnorm then info = 2
if (abs(actred) LE ftol) AND (prered LE ftol) $
AND (0.5D * ratio LE 1) AND (info EQ 2) then info = 3
if info NE 0 then goto, TERMINATE
;; Tests for termination and stringent tolerances
if iter GE maxiter then info = 5
if (abs(actred) LE MACHEP0) AND (prered LE MACHEP0) $
AND (0.5*ratio LE 1) then info = 6
if delta LE MACHEP0*xnorm then info = 7
if gnorm LE MACHEP0 then info = 8
if info NE 0 then goto, TERMINATE
;; End of inner loop. Repeat if iteration unsuccessful
if ratio LT 0.0001 then begin
goto, INNER_LOOP
endif
;; Check for over/underflow
wh = where(finite(wa1) EQ 0 OR finite(wa2) EQ 0 OR finite(x) EQ 0, ct)
if ct GT 0 OR finite(ratio) EQ 0 then begin
FAIL_OVERFLOW:
errmsg = ('ERROR: parameter or function value(s) have become '+$
'infinite; check model function for over- '+$
'and underflow')
info = -16
goto, TERMINATE
endif
;; End of outer loop.
goto, OUTER_LOOP
TERMINATE:
catch_msg = 'in the termination phase'
;; Termination, either normal or user imposed.
if iflag LT 0 then info = iflag
iflag = 0
if n_elements(xnew) EQ 0 then goto, FINAL_RETURN
if nfree EQ 0 then xnew = xall else xnew[ifree] = x
if n_elements(qanytied) GT 0 then if qanytied then mpfit_tie, xnew, ptied
dof = n_elements(fvec) - nfree
;; Call the ITERPROC at the end of the fit, if the fit status is
;; okay. Don't call it if the fit failed for some reason.
if info GT 0 then begin
mperr = 0
xnew0 = xnew
call_procedure, iterproc, fcn, xnew, iter, fnorm^2, $
FUNCTARGS=fcnargs, parinfo=parinfo, quiet=quiet, $
dof=dof, _EXTRA=iterargs
iflag = mperr
if iflag LT 0 then begin
errmsg = 'WARNING: premature termination by "'+iterproc+'"'
endif else begin
;; If parameters were changed (grrr..) then re-tie
if max(abs(xnew0-xnew)) GT 0 then begin
if qanytied then mpfit_tie, xnew, ptied
x = xnew[ifree]
endif
endelse
endif
;; Initialize the number of parameters pegged at a hard limit value
npegged = 0L
if n_elements(qanylim) GT 0 then if qanylim then begin
wh = where((qulim AND (x EQ ulim)) OR $
(qllim AND (x EQ llim)), npegged)
endif
;; Calculate final function value (FNORM) and residuals (FVEC)
if isext EQ 0 AND nprint GT 0 AND info GT 0 then begin
catch_msg = 'calling '+fcn
fvec = mpfit_call(fcn, xnew, _EXTRA=fcnargs)
catch_msg = 'in the termination phase'
fnorm = mpfit_enorm(fvec)
endif
if n_elements(fnorm) GT 0 AND n_elements(fnorm1) GT 0 then begin
fnorm = max([fnorm, fnorm1])
fnorm = fnorm^2.
endif
covar = !values.d_nan
;; (very carefully) set the covariance matrix COVAR
if info GT 0 AND NOT keyword_set(nocovar) $
AND n_elements(n) GT 0 $
AND n_elements(fjac) GT 0 AND n_elements(ipvt) GT 0 then begin
sz = size(fjac)
if n GT 0 AND sz[0] GT 1 AND sz[1] GE n AND sz[2] GE n $
AND n_elements(ipvt) GE n then begin
catch_msg = 'computing the covariance matrix'
if n EQ 1 then $
cv = mpfit_covar(reform([fjac[0,0]],1,1), ipvt[0]) $
else $
cv = mpfit_covar(fjac[0:n-1,0:n-1], ipvt[0:n-1])
cv = reform(cv, n, n, /overwrite)
nn = n_elements(xall)
;; Fill in actual covariance matrix, accounting for fixed
;; parameters.
covar = replicate(zero, nn, nn)
for i = 0L, n-1 do begin
covar[ifree, ifree[i]] = cv[*,i]
end
;; Compute errors in parameters
catch_msg = 'computing parameter errors'
i = lindgen(nn)
perror = replicate(abs(covar[0])*0., nn)
wh = where(covar[i,i] GE 0, ct)
if ct GT 0 then $
perror[wh] = sqrt(covar[wh, wh])
endif
endif
; catch_msg = 'returning the result'
; profvals.mpfit = profvals.mpfit + (systime(1) - prof_start)
FINAL_RETURN:
mpfit_fencepost_active = 0
nfev = mpconfig.nfev
if n_elements(xnew) EQ 0 then return, !values.d_nan
return, xnew
;; ------------------------------------------------------------------
;; Alternate ending if the user supplies the function and gradients
;; externally
;; ------------------------------------------------------------------
SAVE_STATE:
catch_msg = 'saving MPFIT state'
;; Names of variables to save
varlist = ['alpha', 'delta', 'diag', 'dwarf', 'factor', 'fnorm', $
'fjac', 'gnorm', 'nfree', 'ifree', 'ipvt', 'iter', $
'm', 'n', 'machvals', 'machep0', 'npegged', $
'whlpeg', 'whupeg', 'nlpeg', 'nupeg', $
'mpconfig', 'par', 'pnorm', 'qtf', $
'wa1', 'wa2', 'wa3', 'xnorm', 'x', 'xnew']
cmd = ''
;; Construct an expression that will save them
for i = 0L, n_elements(varlist)-1 do begin
ival = 0
dummy = execute('ival = n_elements('+varlist[i]+')')
if ival GT 0 then begin
cmd = cmd + ',' + varlist[i]+':'+varlist[i]
endif
endfor
cmd = 'state = create_struct({'+strmid(cmd,1)+'})'
state = 0
if execute(cmd) NE 1 then $
message, 'ERROR: could not save MPFIT state'
;; Set STATUS keyword to prepare for next iteration, and reset init
;; so we do not init the next time
info = 9
extinit = 0
return, xnew
end