using System;
namespace Legalsoft.Truffer
{ /// <summary> /// Parabolic Interpolation and Brent's Method /// Parabolic Interpolation and Brent's Method /// </summary> public class Brent : Bracketmethod { public double xmin { get; set; } public double fmin { get; set; } public double tol { get; set; }
public Brent(double toll = 3.0e-8)
{
this.tol = toll;
}
public double minimize(UniVarRealValueFun func)
{
const int ITMAX = 100;
const double CGOLD = 0.3819660;
double ZEPS = float.Epsilon * 0.001;
double d = 0.0;
double e = 0.0;
double a = (ax < cx ? ax : cx);
double b = (ax > cx ? ax : cx);
double x = bx;
double w = bx;
double v = bx;
double fx = func.funk(x);
double fw = fx;
double fv = fx;
for (int iter = 0; iter < ITMAX; iter++)
{
double xm = 0.5 * (a + b);
double tol1 = tol * Math.Abs(x) + ZEPS;
double tol2 = 2.0 * (tol1);
if (Math.Abs(x - xm) <= (tol2 - 0.5 * (b - a)))
{
fmin = fx;
return xmin = x;
}
if (Math.Abs(e) > tol1)
{
double r = (x - w) * (fx - fv);
double q = (x - v) * (fx - fw);
double p = (x - v) * q - (x - w) * r;
q = 2.0 * (q - r);
if (q > 0.0)
{
p = -p;
}
q = Math.Abs(q);
double etemp = e;
e = d;
if (Math.Abs(p) >= Math.Abs(0.5 * q * etemp) || p <= q * (a - x) || p >= q * (b - x))
{
d = CGOLD * (e = (x >= xm ? a - x : b - x));
}
else
{
d = p / q;
double uu = x + d;
if (uu - a < tol2 || b - uu < tol2)
{
d = Globals.SIGN(tol1, xm - x);
}
}
}
else
{
d = CGOLD * (e = (x >= xm ? a - x : b - x));
}
double u = (Math.Abs(d) >= tol1 ? x + d : x + Globals.SIGN(tol1, d));
double fu = func.funk(u);
if (fu <= fx)
{
if (u >= x)
{
a = x;
}
else
{
b = x;
}
shft3(ref v, ref w, ref x, u);
shft3(ref fv, ref fw, ref fx, fu);
}
else
{
if (u < x)
{
a = u;
}
else
{
b = u;
}
if (fu <= fw || w == x)
{
v = w;
w = u;
fv = fw;
fw = fu;
}
else if (fu <= fv || v == x || v == w)
{
v = u;
fv = fu;
}
}
}
throw new Exception("Too many iterations in brent");
}
}
}