lev_marq.h

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/* This library is free software; you can redistribute it and/or
   modify it under the terms of the GNU Lesser General Public
   License as published by the Free Software Foundation; either
   version 2.1 of the License, or (at your option) any later version.

   This 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
   Lesser General Public License for more details.

   You should have received a copy of the GNU Lesser General Public
   License along with this library; if not, write to the Free Software
   Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
*/

#ifndef _GAN_LEV_MARQ_H
#define _GAN_LEV_MARQ_H

#include <gandalf/linalg/vec_gen.h>
#include <gandalf/linalg/mat_gen.h>
#include <gandalf/linalg/mat_square.h>
#include <gandalf/common/linked_list.h>

#ifdef __cplusplus
extern "C" {
#endif

typedef enum
{
   GAN_LEV_MARQ_OBS_H,        
   GAN_LEV_MARQ_OBS_H_ROBUST, 
   GAN_LEV_MARQ_OBS_F         
} Gan_LevMarqObsType;

 typedef Gan_Bool (*Gan_LevMarqObsFunc_h) ( Gan_Vector *x,
                                           Gan_Vector *z, void *zdata,
                                           Gan_Vector *h, Gan_Matrix *H );

 typedef Gan_Bool (*Gan_LevMarqObsFunc_F) ( Gan_Vector *x,
                                           Gan_Vector *z, void *zdata,
                                           Gan_Vector *F, Gan_Matrix *Hx,
                                           Gan_Matrix *Hz );

typedef struct Gan_LevMarqObs
{
   Gan_LevMarqObsType type;

   union
   {
      struct
      {
         Gan_LevMarqObsFunc_h func;

         Gan_Vector z;

         void *zdata;

         Gan_SquMatrix Ni;

         double var_scale;

         double chi2;

         double chi2_offset;
      } h;

      struct
      {
         Gan_LevMarqObsFunc_F func;

         Gan_Vector z;

         void *zdata;

         Gan_SquMatrix N;
      } F;
   } details;

   Gan_Bool outlier;
} Gan_LevMarqObs;

typedef struct Gan_LevMarqStruct
{
   Gan_Vector x, xold;

   double residual;

   Gan_SquMatrix A;
   Gan_Vector    a;

   Gan_SquMatrix P;

   Gan_List *obs_list;

   Gan_Vector hF;
   Gan_Matrix Hx, Hz;

   Gan_Matrix    NiHx;
   Gan_SquMatrix HxTNiHx;
   Gan_Vector    HxTNiv;
   Gan_Vector    Niv;

   Gan_SquMatrix Ni;

   Gan_Bool alloc;
} Gan_LevMarqStruct;

typedef Gan_Bool (*Gan_LevMarqInitFunc) ( Gan_Vector *x, Gan_List *obs_list,
                                          void *data );

 Gan_LevMarqStruct *gan_lev_marq_form ( Gan_LevMarqStruct *lm );
 Gan_LevMarqObs *gan_lev_marq_obs_h ( Gan_LevMarqStruct *lm,
                                     Gan_Vector *z, void *zdata,
                                     Gan_SquMatrix *Ni,
                                     Gan_LevMarqObsFunc_h obs_func );
 Gan_LevMarqObs *gan_lev_marq_obs_h_robust ( Gan_LevMarqStruct *lm,
                                            Gan_Vector *z, void *zdata,
                                            Gan_SquMatrix *Ni,
                                            Gan_LevMarqObsFunc_h obs_func,
                                            double var_scale, double chi2 );
 Gan_LevMarqObs *gan_lev_marq_obs_F ( Gan_LevMarqStruct *lm,
                                     Gan_Vector *z, void *zdata,
                                     Gan_SquMatrix *Ni,
                                     Gan_LevMarqObsFunc_F obs_func );
 Gan_Bool gan_lev_marq_init ( Gan_LevMarqStruct *lm,
                             Gan_LevMarqInitFunc init_func,
                             void *data, double *residualp );
 Gan_Bool gan_lev_marq_iteration ( Gan_LevMarqStruct *lm, double lambda,
                                  double *residual );
 Gan_Vector    *gan_lev_marq_get_x ( Gan_LevMarqStruct *lm );
 Gan_SquMatrix *gan_lev_marq_get_P ( Gan_LevMarqStruct *lm );
 void gan_lev_marq_free ( Gan_LevMarqStruct *lm );

 Gan_LevMarqStruct *gan_lev_marq_alloc(void);

#ifdef __cplusplus
}
#endif

#endif /* #ifndef _GAN_LEV_MARQ_H */

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