Working on extending Minuit2 Analytical gradient implementation

roofit-dev · Nov 10, 2017 · caac087 · caac087
1 parent 2466586
commit caac087
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Showing 20 changed files with 1,340 additions and 1,043 deletions.
diff --git a/math/minuit2/inc/Minuit2/FCNGradAdapter.h b/math/minuit2/inc/Minuit2/FCNGradAdapter.h
@@ -1,9 +1,10 @@
 // @(#)root/minuit2:$Id$
-// Author: L. Moneta    10/2006
+// Authors: L. Moneta, E.G.P. Bos   2006-2017
 
 /**********************************************************************
  *                                                                    *
  * Copyright (c) 2006 ROOT Foundation,  CERN/PH-SFT                   *
+ * Copyright (c) 2017 Patrick Bos, Netherlands eScience Center        *
  *                                                                    *
  **********************************************************************/
 
@@ -19,65 +20,85 @@
 
 namespace ROOT {
 
-   namespace Minuit2 {
+  namespace Minuit2 {
 
-/**
+    /**
 
+    template wrapped class for adapting to FCNBase signature a IGradFunction
 
-template wrapped class for adapting to FCNBase signature a IGradFunction
+    @author Lorenzo Moneta, Patrick Bos
 
-@author Lorenzo Moneta
+    @ingroup Minuit
 
-@ingroup Minuit
+    */
 
-*/
+    template< class Function>
+    class FCNGradAdapter : public FCNGradientBase {
 
-template< class Function>
-class FCNGradAdapter : public FCNGradientBase {
+    public:
 
-public:
+      FCNGradAdapter(const Function & f, double up = 1.) :
+          fFunc(f) ,
+          fUp (up) ,
+          fGrad(std::vector<double>(fFunc.NDim() ) ),
+          fG2(fFunc.hasG2ndDerivative() ? std::vector<double>(fFunc.NDim()) : std::vector<double>(0) ),
+          fGStep(fFunc.hasGStepSize()   ? std::vector<double>(fFunc.NDim()) : std::vector<double>(0) )
+      {}
 
-   FCNGradAdapter(const Function & f, double up = 1.) :
-      fFunc(f) ,
-      fUp (up) ,
-      fGrad(std::vector<double>(fFunc.NDim() ) )
+      ~FCNGradAdapter() {}
 
-   {}
 
-   ~FCNGradAdapter() {}
+      double operator()(const std::vector<double>& v) const {
+        return fFunc.operator()(&v[0]);
+      }
+      double operator()(const double *  v) const {
+        return fFunc.operator()(v);
+      }
 
+      double Up() const {return fUp;}
 
-   double operator()(const std::vector<double>& v) const {
-      return fFunc.operator()(&v[0]);
-   }
-   double operator()(const double *  v) const {
-      return fFunc.operator()(v);
-   }
-
-   double Up() const {return fUp;}
-
-   std::vector<double> Gradient(const std::vector<double>& v) const {
-      fFunc.Gradient(&v[0], &fGrad[0]);
+      virtual std::vector<double> Gradient(const std::vector<double>& v) const {
+        fFunc.Gradient(v.data(), fGrad.data());
 
 #ifdef DEBUG
-      std::cout << " gradient in FCNAdapter = { " ;
+        std::cout << " gradient in FCNAdapter = { " ;
       for (unsigned int i = 0; i < fGrad.size(); ++i)
          std::cout << fGrad[i] << "\t";
       std::cout << "}" << std::endl;
 #endif
-      return fGrad;
-   }
-   // forward interface
-   //virtual double operator()(int npar, double* params,int iflag = 4) const;
-   bool CheckGradient() const { return false; }
-
-private:
-   const Function & fFunc;
-   double fUp;
-   mutable std::vector<double> fGrad;
-};
-
-   } // end namespace Minuit2
+        return fGrad;
+      }
+      // forward interface
+      //virtual double operator()(int npar, double* params,int iflag = 4) const;
+      bool CheckGradient() const { return false; }
+
+      virtual std::vector<double> G2ndDerivative(const std::vector<double>& v) const {
+        fFunc.G2ndDerivative(v.data(), fG2.data());
+        return fG2;
+      };
+
+      virtual std::vector<double> GStepSize(const std::vector<double>& v) const {
+        fFunc.GStepSize(v.data(), fGStep.data());
+        return fGStep;
+      };
+
+      virtual bool hasG2ndDerivative() const {
+        return fFunc.hasG2ndDerivative();
+      }
+
+      virtual bool hasGStepSize() const {
+        return fFunc.hasGStepSize();
+      }
+
+    private:
+      const Function & fFunc;
+      double fUp;
+      mutable std::vector<double> fGrad;
+      mutable std::vector<double> fG2;
+      mutable std::vector<double> fGStep;
+    };
+
+  } // end namespace Minuit2
 
 } // end namespace ROOT
 

diff --git a/math/minuit2/inc/Minuit2/FCNGradientBase.h b/math/minuit2/inc/Minuit2/FCNGradientBase.h
@@ -1,9 +1,10 @@
 // @(#)root/minuit2:$Id$
-// Authors: M. Winkler, F. James, L. Moneta, A. Zsenei   2003-2005
+// Authors: M. Winkler, F. James, L. Moneta, A. Zsenei, E.G.P. Bos   2003-2017
 
 /**********************************************************************
  *                                                                    *
  * Copyright (c) 2005 LCG ROOT Math team,  CERN/PH-SFT                *
+ * Copyright (c) 2017 Patrick Bos, Netherlands eScience Center        *
  *                                                                    *
  **********************************************************************/
 
@@ -14,7 +15,7 @@
 
 namespace ROOT {
 
-   namespace Minuit2 {
+  namespace Minuit2 {
 
 //________________________________________________________________________
 /** Extension of the FCNBase for providing the analytical Gradient of the
@@ -29,17 +30,28 @@ namespace ROOT {
     "false".
  */
 
-class FCNGradientBase : public FCNBase {
+    class FCNGradientBase : public FCNBase {
 
-public:
+    public:
 
-   virtual ~FCNGradientBase() {}
+      virtual ~FCNGradientBase() {}
 
-   virtual std::vector<double> Gradient(const std::vector<double>&) const = 0;
+      virtual std::vector<double> Gradient(const std::vector<double>&) const = 0;
 
-   virtual bool CheckGradient() const {return true;}
+      virtual std::vector<double> G2ndDerivative(const std::vector<double>&) const = 0;
+      virtual std::vector<double> GStepSize(const std::vector<double>&) const = 0;
 
-};
+      virtual bool hasG2ndDerivative() const {
+        return false;
+      }
+
+      virtual bool hasGStepSize() const {
+        return false;
+      }
+
+      virtual bool CheckGradient() const {return true;}
+
+    };
 
   }  // namespace Minuit2