opt.h

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/*
    Harmonic sinusoidal modelling and tools

    C++ code package for harmonic sinusoidal modelling and relevant signal processing.
    Centre for Digital Music, Queen Mary, University of London.
    This file copyright 2011 Wen Xue.

    This program 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 2 of the
    License, or (at your option) any later version.
*/
#ifndef optH
#define optH

/*
  opt.cpp - optimization routines
*/

//--tool procedures----------------------------------------------------------
double nextdouble(double x, double dir);  //returns next double-precision floating pointer number

//--Gradient method----------------------------------------------------------
double GradientMax(void* params, double (*F)(int, double*, void*), void (*dF)(double*, int, double*, void*), int dim, double* start, double ep=1e-6, int maxiter=100);
double GradientOneMax(void* params, double (*F)(int, double*, void*), void (*dF)(double*, int, double*, void*), int dim, double* start, double ep, int maxiter);

//--Newton methods------------------------------------------------------------
double Newton(double& x0, double (*y)(double, void*), double (*y1)(double, void*), void* params=0, double epx=1e-6, int maxiter=100, double epy=1e-256);
int Newton(double& x0, double (*dy)(double, void*), void* params, int yshift, double epx=1e-6, int maxiter=100, double epy=1e-256, double xmin=-1e308, double xmax=1e308);
double Newton1dmax(double& x0, double xa, double xb, double (*ddy)(double, void*), void* params, int y1shift, int yshift, double (*dy)(double, void*), int dyshift, double epx=1e-6, int maxiter=100, double epdy=1e-128, bool checkinput=true);
double Newton2D(double& x1, double& x2, double (*dy)(double&, double&, void*), double (*ddy)(double&, double&, double&, void*), void* params=0, double epx1=1e-6, double epx2=1e-6, int maxiter=100, double epdy=1e-256);

//--root search routines-----------------------------------------------------
double rootsearchhalf(double&x1, double x2, double (*y)(double, void*), void* params=0, double epx=1e-6, int maxiter=100);
double rootsearchsecant(double& x1, double x2, double (*y)(double, void*), void* params=0, double epx=1e-6, int maxiter=100);
double rootsearchbisecant(double&x1, double x2, double (*y)(double, void*), void* params=0, double epx=1e-6, int maxiter=100);

//--1-D maximum search routines----------------------------------------------
double Search1Dmax(double& x, void* params, double (*F)(double, void*), double inf, double sup, double* maxresult=0, double ep=1e-6, int maxiter=100, bool convcheck=false);
double Search1DmaxEx(double& x, void* params, double (*F)(double, void*), double inf, double sup, double* maxresult=0, double ep=1e-6, int maxiter=100, double len=1);
double Search1Dmaxfrom(void* params, double (*F)(int, double*, void*), int dim, double* start, double* direct, double step=1e-2, double minstep=1e-6, double maxstep=1e6, double* opt=0, double* max=0, double ep=1e-6, int maxiter=100, bool convcheck=false);

#endif