Minimizer.h

#ifndef theplu_yat_utility_minimizer_
#define theplu_yat_utility_minimizer_

// $Id: Minimizer.h 4252 2022-11-18 02:54:04Z peter $

/*
  Copyright (C) 2022 Peter Johansson

  This file is part of the yat library, https://dev.thep.lu.se/yat

  The yat library is free software; you can redistribute it and/or
  modify it under the terms of the GNU General Public License as
  published by the Free Software Foundation; either version 3 of the
  License, or (at your option) any later version.

  The yat library is distributed in the hope that it will be useful,
  but WITHOUT ANY WARRANTY; without even the implied warranty of
  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
  General Public License for more details.

  You should have received a copy of the GNU General Public License
  along with yat. If not, see <https://www.gnu.org/licenses/>.
*/

#include "Exception.h"
#include "yat_assert.h"
#include "univariable/f.h"

#include <gsl/gsl_min.h>
#include <gsl/gsl_errno.h>

#include <limits>
#include <memory>
#include <sstream>

namespace theplu {
namespace yat {
namespace utility {

  class Minimizer
  {
  public:
    Minimizer(const Minimizer&) = delete;

    Minimizer& operator=(const Minimizer&) = delete;

    unsigned int epochs(void) const;

    class Stopper
    {
    public:
      virtual bool operator()(const gsl_min_fminimizer*)=0;
    };

    class Interval : public Stopper
    {
    public:
      Interval(double epsabs, double epsrel);

      bool operator()(const gsl_min_fminimizer*);
    private:
      double epsabs_;
      double epsrel_;
    };

    template<class FUNC>
    double operator()(FUNC& func, double guess, double min, double max,
                      Stopper&& stopper);

    template<class FUNC>
    double operator()(FUNC& func, double guess, double min, double max,
                      Stopper&& stopper, unsigned int max_epochs);

  protected:
    Minimizer(const gsl_min_fminimizer_type* t);
  private:
    const gsl_min_fminimizer_type* type_;
    struct GslFree
    {
      void operator()(gsl_min_fminimizer*) const;
    };
    std::unique_ptr<gsl_min_fminimizer, GslFree> solver_;
    unsigned int epochs_;
    double epsabs_;
    double epsrel_;
  };


  // template implementation

  template<class FUNC>
  double Minimizer::operator()(FUNC& func, double guess, double min,double max,
                               Minimizer::Stopper&& stopper)
  {
    unsigned int max_epochs = std::numeric_limits<unsigned int>::max();
    return (*this)(func, guess, min, max, std::move(stopper), max_epochs);
  }


  template<class FUNC>
  double Minimizer::operator()(FUNC& func, double guess, double min,
                               double max, Minimizer::Stopper&& stopper,
                               unsigned int max_epochs)
  {
    gsl_function gsl_func;
    gsl_func.function = univariable::f<FUNC>;
    gsl_func.params = &func;
    gsl_min_fminimizer_set(solver_.get(), &gsl_func, guess, min, max);

    int status = GSL_CONTINUE;
    for (epochs_=0; epochs_<max_epochs && !stopper(solver_.get()); ++epochs_) {
      status = gsl_min_fminimizer_iterate(solver_.get());
      if (status) {
        // GSL returns GSL_FAILURE when the function cannot be improved
        if (status == GSL_FAILURE)
          break;
        if (status == GSL_EBADFUNC) {
          std::ostringstream ss;
          ss << "Minimizer: at x = "
             << gsl_min_fminimizer_x_minimum(solver_.get());
          throw GSL_error(ss.str(), status);
        }
      }
    }

    return gsl_min_fminimizer_x_minimum(solver_.get());
  }

}}}
#endif