d6_optim.pas

ADaM is a data mining and image processing toolkit

{ **********************************************************************
  *                            Unit OPTIM.PAS                          *
  *                             Version 2.4d                           *
  *                     (c) J. Debord, February 2003                   *
  **********************************************************************
  This unit implements the following methods for function minimization:

    * Golden search for a function of one variable
    * Simplex, Marquardt, BFGS for a function of several variables
  **********************************************************************
  References:
  1) 'Numerical Recipes' by Press et al.
  2) D. W. MARQUARDT, J. Soc. Indust. Appl. Math., 1963, 11, 431-441
  3) J. A. NELDER & R. MEAD, Comput. J., 1964, 7, 308-313
  4) R. O'NEILL, Appl. Statist., 1971, 20, 338-345
  ********************************************************************** }

unit d6_optim;

interface

uses
  d6_fmath, d6_matrices;

{ **********************************************************************
  Error codes
  ********************************************************************** }

const
  OPT_OK         =   0;  { No error }
  OPT_SING       = - 1;  { Singular hessian matrix }
  OPT_BIG_LAMBDA = - 2;  { Too high Marquardt's parameter }
  OPT_NON_CONV   = - 3;  { Non-convergence }

{ **********************************************************************
  Functional types
  ********************************************************************** }

type
  { Procedure to compute gradient vector }
  TGradient = procedure(Func           : TFuncNVar;
                        X              : TVector;
                        Lbound, Ubound : Integer;
                        G              : TVector);

  //R.R. -- procedure "