forked from tsai/mathnet-numerics
Christoph Ruegg
13 years ago
30 changed files with 124 additions and 1197 deletions
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// <copyright file="DivergenceStopCriterium.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2010 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
|
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using MathNet.Numerics.LinearAlgebra.Solvers; |
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using System; |
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using System.Diagnostics; |
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namespace MathNet.Numerics.LinearAlgebra.Complex.Solvers |
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{ |
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#if NOSYSNUMERICS
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using Complex = Numerics.Complex; |
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#else
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using Complex = System.Numerics.Complex; |
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#endif
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/// <summary>
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/// Monitors an iterative calculation for signs of divergence.
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/// </summary>
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public sealed class DivergenceStopCriterium : IIterationStopCriterium<Complex> |
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{ |
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/// <summary>
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/// Default value for the maximum relative increase that the
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/// residual may experience before a divergence warning is issued.
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/// </summary>
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public const double DefaultMaximumRelativeIncrease = 0.08; |
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/// <summary>
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/// Default value for the minimum number of iterations over which
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/// the residual must grow before a divergence warning is issued.
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/// </summary>
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public const int DefaultMinimumNumberOfIterations = 10; |
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/// <summary>
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/// Defines the default last iteration number. Set to -1 because iterations normally
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/// start at 0.
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/// </summary>
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const int DefaultLastIterationNumber = -1; |
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/// <summary>
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/// The maximum relative increase the residual may experience without triggering a divergence warning.
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/// </summary>
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double _maximumRelativeIncrease; |
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/// <summary>
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/// The number of iterations over which a residual increase should be tracked before issuing a divergence warning.
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/// </summary>
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int _minimumNumberOfIterations; |
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/// <summary>
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/// The status of the calculation
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/// </summary>
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IterationStatus _status = IterationStatus.Continue; |
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/// <summary>
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/// The array that holds the tracking information.
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/// </summary>
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double[] _residualHistory; |
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/// <summary>
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/// The iteration number of the last iteration.
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/// </summary>
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int _lastIteration = DefaultLastIterationNumber; |
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/// <summary>
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/// Initializes a new instance of the <see cref="DivergenceStopCriterium"/> class with the specified maximum
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/// relative increase and the specified minimum number of tracking iterations.
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/// </summary>
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/// <param name="maximumRelativeIncrease">The maximum relative increase that the residual may experience before a divergence warning is issued. </param>
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/// <param name="minimumIterations">The minimum number of iterations over which the residual must grow before a divergence warning is issued.</param>
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public DivergenceStopCriterium(double maximumRelativeIncrease = DefaultMaximumRelativeIncrease, int minimumIterations = DefaultMinimumNumberOfIterations) |
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{ |
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if (maximumRelativeIncrease <= 0) |
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{ |
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throw new ArgumentOutOfRangeException("maximumRelativeIncrease"); |
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} |
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// There must be at least three iterations otherwise we can't calculate the relative increase
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if (minimumIterations < 3) |
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{ |
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throw new ArgumentOutOfRangeException("minimumIterations"); |
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} |
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_maximumRelativeIncrease = maximumRelativeIncrease; |
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_minimumNumberOfIterations = minimumIterations; |
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} |
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/// <summary>
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/// Gets or sets the maximum relative increase that the residual may experience before a divergence warning is issued.
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/// </summary>
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/// <exception cref="ArgumentOutOfRangeException">Thrown if the <c>Maximum</c> is set to zero or below.</exception>
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public double MaximumRelativeIncrease |
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{ |
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[DebuggerStepThrough] |
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get |
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{ |
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return _maximumRelativeIncrease; |
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} |
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[DebuggerStepThrough] |
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set |
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{ |
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if (value <= 0) |
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{ |
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throw new ArgumentOutOfRangeException("value"); |
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} |
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_maximumRelativeIncrease = value; |
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} |
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} |
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/// <summary>
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/// Returns the maximum relative increase to the default.
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/// </summary>
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public void ResetMaximumRelativeIncreaseToDefault() |
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{ |
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_maximumRelativeIncrease = DefaultMaximumRelativeIncrease; |
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} |
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/// <summary>
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/// Gets or sets the minimum number of iterations over which the residual must grow before
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/// issuing a divergence warning.
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/// </summary>
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/// <exception cref="ArgumentOutOfRangeException">Thrown if the <c>value</c> is set to less than one.</exception>
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public int MinimumNumberOfIterations |
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{ |
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[DebuggerStepThrough] |
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get |
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{ |
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return _minimumNumberOfIterations; |
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} |
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[DebuggerStepThrough] |
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set |
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{ |
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// There must be at least three iterations otherwise we can't calculate
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// the relative increase
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if (value < 3) |
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{ |
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throw new ArgumentOutOfRangeException("value"); |
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} |
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_minimumNumberOfIterations = value; |
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} |
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} |
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/// <summary>
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/// Returns the minimum number of iterations to the default.
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/// </summary>
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public void ResetNumberOfIterationsToDefault() |
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{ |
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_minimumNumberOfIterations = DefaultMinimumNumberOfIterations; |
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} |
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/// <summary>
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/// Determines the status of the iterative calculation based on the stop criteria stored
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/// by the current <see cref="IIterationStopCriterium{T}"/>. Result is set into <c>Status</c> field.
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/// </summary>
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/// <param name="iterationNumber">The number of iterations that have passed so far.</param>
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/// <param name="solutionVector">The vector containing the current solution values.</param>
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/// <param name="sourceVector">The right hand side vector.</param>
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/// <param name="residualVector">The vector containing the current residual vectors.</param>
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/// <remarks>
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/// The individual stop criteria may internally track the progress of the calculation based
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/// on the invocation of this method. Therefore this method should only be called if the
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/// calculation has moved forwards at least one step.
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/// </remarks>
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public IterationStatus DetermineStatus(int iterationNumber, Vector<Complex> solutionVector, Vector<Complex> sourceVector, Vector<Complex> residualVector) |
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{ |
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if (iterationNumber < 0) |
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{ |
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throw new ArgumentOutOfRangeException("iterationNumber"); |
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} |
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if (_lastIteration >= iterationNumber) |
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{ |
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// We have already stored the actual last iteration number
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// For now do nothing. We only care about the next step.
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return _status; |
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} |
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if ((_residualHistory == null) || (_residualHistory.Length != RequiredHistoryLength)) |
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{ |
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_residualHistory = new double[RequiredHistoryLength]; |
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} |
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// We always track the residual.
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// Move the old versions one element up in the array.
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for (var i = 1; i < _residualHistory.Length; i++) |
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{ |
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_residualHistory[i - 1] = _residualHistory[i]; |
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} |
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// Store the infinity norms of both the solution and residual vectors
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// These values will be used to calculate the relative drop in residuals later on.
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_residualHistory[_residualHistory.Length - 1] = residualVector.InfinityNorm(); |
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// Check if we have NaN's. If so we've gone way beyond normal divergence.
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// Stop the iteration.
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if (double.IsNaN(_residualHistory[_residualHistory.Length - 1])) |
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{ |
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_status = IterationStatus.Diverged; |
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return _status; |
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} |
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// Check if we are diverging and if so set the status
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_status = IsDiverging() ? IterationStatus.Diverged : IterationStatus.Continue; |
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_lastIteration = iterationNumber; |
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return _status; |
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} |
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/// <summary>
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/// Detect if solution is diverging
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/// </summary>
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/// <returns><c>true</c> if diverging, otherwise <c>false</c></returns>
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bool IsDiverging() |
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{ |
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// Run for each variable
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for (var i = 1; i < _residualHistory.Length; i++) |
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{ |
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var difference = _residualHistory[i] - _residualHistory[i - 1]; |
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// Divergence is occurring if:
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// - the last residual is larger than the previous one
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// - the relative increase of the residual is larger than the setting allows
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if ((difference < 0) || (_residualHistory[i - 1]*(1 + _maximumRelativeIncrease) >= _residualHistory[i])) |
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{ |
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// No divergence taking place within the required number of iterations
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// So reset and stop the iteration. There is no way we can get to the
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// required number of iterations anymore.
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return false; |
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} |
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} |
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return true; |
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} |
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/// <summary>
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/// Gets required history Length
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/// </summary>
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int RequiredHistoryLength |
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{ |
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[DebuggerStepThrough] |
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get |
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{ |
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return _minimumNumberOfIterations + 1; |
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} |
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} |
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/// <summary>
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/// Gets the current calculation status.
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/// </summary>
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public IterationStatus Status |
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{ |
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[DebuggerStepThrough] |
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get |
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{ |
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return _status; |
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} |
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} |
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/// <summary>
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/// Resets the <see cref="IIterationStopCriterium{T}"/> to the pre-calculation state.
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/// </summary>
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public void Reset() |
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{ |
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_status = IterationStatus.Continue; |
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_lastIteration = DefaultLastIterationNumber; |
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_residualHistory = null; |
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} |
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/// <summary>
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/// Clones the current <see cref="DivergenceStopCriterium"/> and its settings.
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/// </summary>
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/// <returns>A new instance of the <see cref="DivergenceStopCriterium"/> class.</returns>
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public IIterationStopCriterium<Complex> Clone() |
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{ |
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return new DivergenceStopCriterium(_maximumRelativeIncrease, _minimumNumberOfIterations); |
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} |
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} |
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} |
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@ -1,304 +0,0 @@ |
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// <copyright file="DivergenceStopCriterium.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2010 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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||||
// obtaining a copy of this software and associated documentation
|
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||||
// files (the "Software"), to deal in the Software without
|
|
||||
// restriction, including without limitation the rights to use,
|
|
||||
// copy, modify, merge, publish, distribute, sublicense, and/or sell
|
|
||||
// copies of the Software, and to permit persons to whom the
|
|
||||
// Software is furnished to do so, subject to the following
|
|
||||
// conditions:
|
|
||||
//
|
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// The above copyright notice and this permission notice shall be
|
|
||||
// included in all copies or substantial portions of the Software.
|
|
||||
//
|
|
||||
// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
|
|
||||
// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
|
|
||||
// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
|
|
||||
// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
|
|
||||
// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
|
|
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
|
|
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
|
|
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// OTHER DEALINGS IN THE SOFTWARE.
|
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// </copyright>
|
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using MathNet.Numerics.LinearAlgebra.Solvers; |
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using System; |
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using System.Diagnostics; |
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namespace MathNet.Numerics.LinearAlgebra.Complex32.Solvers |
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{ |
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using Numerics; |
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/// <summary>
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/// Monitors an iterative calculation for signs of divergence.
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/// </summary>
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public sealed class DivergenceStopCriterium : IIterationStopCriterium<Complex32> |
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{ |
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/// <summary>
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/// Default value for the maximum relative increase that the
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/// residual may experience before a divergence warning is issued.
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/// </summary>
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public const double DefaultMaximumRelativeIncrease = 0.08; |
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/// <summary>
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/// Default value for the minimum number of iterations over which
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/// the residual must grow before a divergence warning is issued.
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/// </summary>
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public const int DefaultMinimumNumberOfIterations = 10; |
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/// <summary>
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/// Defines the default last iteration number. Set to -1 because iterations normally
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/// start at 0.
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/// </summary>
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const int DefaultLastIterationNumber = -1; |
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/// <summary>
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/// The maximum relative increase the residual may experience without triggering a divergence warning.
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/// </summary>
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double _maximumRelativeIncrease; |
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/// <summary>
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/// The number of iterations over which a residual increase should be tracked before issuing a divergence warning.
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/// </summary>
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int _minimumNumberOfIterations; |
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/// <summary>
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/// The status of the calculation
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/// </summary>
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IterationStatus _status = IterationStatus.Continue; |
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/// <summary>
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/// The array that holds the tracking information.
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/// </summary>
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double[] _residualHistory; |
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/// <summary>
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/// The iteration number of the last iteration.
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/// </summary>
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int _lastIteration = DefaultLastIterationNumber; |
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/// <summary>
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/// Initializes a new instance of the <see cref="DivergenceStopCriterium"/> class with the specified maximum
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/// relative increase and the specified minimum number of tracking iterations.
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/// </summary>
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/// <param name="maximumRelativeIncrease">The maximum relative increase that the residual may experience before a divergence warning is issued. </param>
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/// <param name="minimumIterations">The minimum number of iterations over which the residual must grow before a divergence warning is issued.</param>
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public DivergenceStopCriterium(double maximumRelativeIncrease = DefaultMaximumRelativeIncrease, int minimumIterations = DefaultMinimumNumberOfIterations) |
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{ |
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if (maximumRelativeIncrease <= 0) |
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{ |
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throw new ArgumentOutOfRangeException("maximumRelativeIncrease"); |
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} |
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// There must be at least three iterations otherwise we can't calculate the relative increase
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if (minimumIterations < 3) |
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{ |
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throw new ArgumentOutOfRangeException("minimumIterations"); |
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} |
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_maximumRelativeIncrease = maximumRelativeIncrease; |
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_minimumNumberOfIterations = minimumIterations; |
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} |
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/// <summary>
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/// Gets or sets the maximum relative increase that the residual may experience before a divergence warning is issued.
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||||
/// </summary>
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||||
/// <exception cref="ArgumentOutOfRangeException">Thrown if the <c>Maximum</c> is set to zero or below.</exception>
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public double MaximumRelativeIncrease |
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{ |
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[DebuggerStepThrough] |
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get |
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{ |
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return _maximumRelativeIncrease; |
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} |
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[DebuggerStepThrough] |
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set |
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{ |
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||||
if (value <= 0) |
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||||
{ |
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throw new ArgumentOutOfRangeException("value"); |
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||||
} |
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||||
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_maximumRelativeIncrease = value; |
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||||
} |
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||||
} |
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/// <summary>
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/// Returns the maximum relative increase to the default.
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/// </summary>
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||||
public void ResetMaximumRelativeIncreaseToDefault() |
|
||||
{ |
|
||||
_maximumRelativeIncrease = DefaultMaximumRelativeIncrease; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets or sets the minimum number of iterations over which the residual must grow before
|
|
||||
/// issuing a divergence warning.
|
|
||||
/// </summary>
|
|
||||
/// <exception cref="ArgumentOutOfRangeException">Thrown if the <c>value</c> is set to less than one.</exception>
|
|
||||
public int MinimumNumberOfIterations |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _minimumNumberOfIterations; |
|
||||
} |
|
||||
|
|
||||
[DebuggerStepThrough] |
|
||||
set |
|
||||
{ |
|
||||
// There must be at least three iterations otherwise we can't calculate
|
|
||||
// the relative increase
|
|
||||
if (value < 3) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("value"); |
|
||||
} |
|
||||
|
|
||||
_minimumNumberOfIterations = value; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Returns the minimum number of iterations to the default.
|
|
||||
/// </summary>
|
|
||||
public void ResetNumberOfIterationsToDefault() |
|
||||
{ |
|
||||
_minimumNumberOfIterations = DefaultMinimumNumberOfIterations; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Determines the status of the iterative calculation based on the stop criteria stored
|
|
||||
/// by the current <see cref="IIterationStopCriterium{T}"/>. Result is set into <c>Status</c> field.
|
|
||||
/// </summary>
|
|
||||
/// <param name="iterationNumber">The number of iterations that have passed so far.</param>
|
|
||||
/// <param name="solutionVector">The vector containing the current solution values.</param>
|
|
||||
/// <param name="sourceVector">The right hand side vector.</param>
|
|
||||
/// <param name="residualVector">The vector containing the current residual vectors.</param>
|
|
||||
/// <remarks>
|
|
||||
/// The individual stop criteria may internally track the progress of the calculation based
|
|
||||
/// on the invocation of this method. Therefore this method should only be called if the
|
|
||||
/// calculation has moved forwards at least one step.
|
|
||||
/// </remarks>
|
|
||||
public IterationStatus DetermineStatus(int iterationNumber, Vector<Complex32> solutionVector, Vector<Complex32> sourceVector, Vector<Complex32> residualVector) |
|
||||
{ |
|
||||
if (iterationNumber < 0) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("iterationNumber"); |
|
||||
} |
|
||||
|
|
||||
if (_lastIteration >= iterationNumber) |
|
||||
{ |
|
||||
// We have already stored the actual last iteration number
|
|
||||
// For now do nothing. We only care about the next step.
|
|
||||
return _status; |
|
||||
} |
|
||||
|
|
||||
if ((_residualHistory == null) || (_residualHistory.Length != RequiredHistoryLength)) |
|
||||
{ |
|
||||
_residualHistory = new double[RequiredHistoryLength]; |
|
||||
} |
|
||||
|
|
||||
// We always track the residual.
|
|
||||
// Move the old versions one element up in the array.
|
|
||||
for (var i = 1; i < _residualHistory.Length; i++) |
|
||||
{ |
|
||||
_residualHistory[i - 1] = _residualHistory[i]; |
|
||||
} |
|
||||
|
|
||||
// Store the infinity norms of both the solution and residual vectors
|
|
||||
// These values will be used to calculate the relative drop in residuals later on.
|
|
||||
_residualHistory[_residualHistory.Length - 1] = residualVector.InfinityNorm(); |
|
||||
|
|
||||
// Check if we have NaN's. If so we've gone way beyond normal divergence.
|
|
||||
// Stop the iteration.
|
|
||||
if (double.IsNaN(_residualHistory[_residualHistory.Length - 1])) |
|
||||
{ |
|
||||
_status = IterationStatus.Diverged; |
|
||||
return _status; |
|
||||
} |
|
||||
|
|
||||
// Check if we are diverging and if so set the status
|
|
||||
_status = IsDiverging() ? IterationStatus.Diverged : IterationStatus.Continue; |
|
||||
|
|
||||
_lastIteration = iterationNumber; |
|
||||
return _status; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Detect if solution is diverging
|
|
||||
/// </summary>
|
|
||||
/// <returns><c>true</c> if diverging, otherwise <c>false</c></returns>
|
|
||||
bool IsDiverging() |
|
||||
{ |
|
||||
// Run for each variable
|
|
||||
for (var i = 1; i < _residualHistory.Length; i++) |
|
||||
{ |
|
||||
var difference = _residualHistory[i] - _residualHistory[i - 1]; |
|
||||
|
|
||||
// Divergence is occurring if:
|
|
||||
// - the last residual is larger than the previous one
|
|
||||
// - the relative increase of the residual is larger than the setting allows
|
|
||||
if ((difference < 0) || (_residualHistory[i - 1]*(1 + _maximumRelativeIncrease) >= _residualHistory[i])) |
|
||||
{ |
|
||||
// No divergence taking place within the required number of iterations
|
|
||||
// So reset and stop the iteration. There is no way we can get to the
|
|
||||
// required number of iterations anymore.
|
|
||||
return false; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
return true; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets required history Length
|
|
||||
/// </summary>
|
|
||||
int RequiredHistoryLength |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _minimumNumberOfIterations + 1; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets the current calculation status.
|
|
||||
/// </summary>
|
|
||||
public IterationStatus Status |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _status; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Resets the <see cref="IIterationStopCriterium{T}"/> to the pre-calculation state.
|
|
||||
/// </summary>
|
|
||||
public void Reset() |
|
||||
{ |
|
||||
_status = IterationStatus.Continue; |
|
||||
_lastIteration = DefaultLastIterationNumber; |
|
||||
_residualHistory = null; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Clones the current <see cref="DivergenceStopCriterium"/> and its settings.
|
|
||||
/// </summary>
|
|
||||
/// <returns>A new instance of the <see cref="DivergenceStopCriterium"/> class.</returns>
|
|
||||
public IIterationStopCriterium<Complex32> Clone() |
|
||||
{ |
|
||||
return new DivergenceStopCriterium(_maximumRelativeIncrease, _minimumNumberOfIterations); |
|
||||
} |
|
||||
} |
|
||||
} |
|
||||
@ -1,302 +0,0 @@ |
|||||
// <copyright file="DivergenceStopCriterium.cs" company="Math.NET">
|
|
||||
// Math.NET Numerics, part of the Math.NET Project
|
|
||||
// http://numerics.mathdotnet.com
|
|
||||
// http://github.com/mathnet/mathnet-numerics
|
|
||||
// http://mathnetnumerics.codeplex.com
|
|
||||
//
|
|
||||
// Copyright (c) 2009-2010 Math.NET
|
|
||||
//
|
|
||||
// Permission is hereby granted, free of charge, to any person
|
|
||||
// obtaining a copy of this software and associated documentation
|
|
||||
// files (the "Software"), to deal in the Software without
|
|
||||
// restriction, including without limitation the rights to use,
|
|
||||
// copy, modify, merge, publish, distribute, sublicense, and/or sell
|
|
||||
// copies of the Software, and to permit persons to whom the
|
|
||||
// Software is furnished to do so, subject to the following
|
|
||||
// conditions:
|
|
||||
//
|
|
||||
// The above copyright notice and this permission notice shall be
|
|
||||
// included in all copies or substantial portions of the Software.
|
|
||||
//
|
|
||||
// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
|
|
||||
// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
|
|
||||
// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
|
|
||||
// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
|
|
||||
// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
|
|
||||
// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
|
|
||||
// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
|
|
||||
// OTHER DEALINGS IN THE SOFTWARE.
|
|
||||
// </copyright>
|
|
||||
|
|
||||
using MathNet.Numerics.LinearAlgebra.Solvers; |
|
||||
using System; |
|
||||
using System.Diagnostics; |
|
||||
|
|
||||
namespace MathNet.Numerics.LinearAlgebra.Double.Solvers |
|
||||
{ |
|
||||
/// <summary>
|
|
||||
/// Monitors an iterative calculation for signs of divergence.
|
|
||||
/// </summary>
|
|
||||
public sealed class DivergenceStopCriterium : IIterationStopCriterium<double> |
|
||||
{ |
|
||||
/// <summary>
|
|
||||
/// Default value for the maximum relative increase that the
|
|
||||
/// residual may experience before a divergence warning is issued.
|
|
||||
/// </summary>
|
|
||||
public const double DefaultMaximumRelativeIncrease = 0.08; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Default value for the minimum number of iterations over which
|
|
||||
/// the residual must grow before a divergence warning is issued.
|
|
||||
/// </summary>
|
|
||||
public const int DefaultMinimumNumberOfIterations = 10; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Defines the default last iteration number. Set to -1 because iterations normally
|
|
||||
/// start at 0.
|
|
||||
/// </summary>
|
|
||||
const int DefaultLastIterationNumber = -1; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// The maximum relative increase the residual may experience without triggering a divergence warning.
|
|
||||
/// </summary>
|
|
||||
double _maximumRelativeIncrease; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// The number of iterations over which a residual increase should be tracked before issuing a divergence warning.
|
|
||||
/// </summary>
|
|
||||
int _minimumNumberOfIterations; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// The status of the calculation
|
|
||||
/// </summary>
|
|
||||
IterationStatus _status = IterationStatus.Continue; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// The array that holds the tracking information.
|
|
||||
/// </summary>
|
|
||||
double[] _residualHistory; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// The iteration number of the last iteration.
|
|
||||
/// </summary>
|
|
||||
int _lastIteration = DefaultLastIterationNumber; |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Initializes a new instance of the <see cref="DivergenceStopCriterium"/> class with the specified maximum
|
|
||||
/// relative increase and the specified minimum number of tracking iterations.
|
|
||||
/// </summary>
|
|
||||
/// <param name="maximumRelativeIncrease">The maximum relative increase that the residual may experience before a divergence warning is issued. </param>
|
|
||||
/// <param name="minimumIterations">The minimum number of iterations over which the residual must grow before a divergence warning is issued.</param>
|
|
||||
public DivergenceStopCriterium(double maximumRelativeIncrease = DefaultMaximumRelativeIncrease, int minimumIterations = DefaultMinimumNumberOfIterations) |
|
||||
{ |
|
||||
if (maximumRelativeIncrease <= 0) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("maximumRelativeIncrease"); |
|
||||
} |
|
||||
|
|
||||
// There must be at least three iterations otherwise we can't calculate the relative increase
|
|
||||
if (minimumIterations < 3) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("minimumIterations"); |
|
||||
} |
|
||||
|
|
||||
_maximumRelativeIncrease = maximumRelativeIncrease; |
|
||||
_minimumNumberOfIterations = minimumIterations; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets or sets the maximum relative increase that the residual may experience before a divergence warning is issued.
|
|
||||
/// </summary>
|
|
||||
/// <exception cref="ArgumentOutOfRangeException">Thrown if the <c>Maximum</c> is set to zero or below.</exception>
|
|
||||
public double MaximumRelativeIncrease |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _maximumRelativeIncrease; |
|
||||
} |
|
||||
|
|
||||
[DebuggerStepThrough] |
|
||||
set |
|
||||
{ |
|
||||
if (value <= 0) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("value"); |
|
||||
} |
|
||||
|
|
||||
_maximumRelativeIncrease = value; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Returns the maximum relative increase to the default.
|
|
||||
/// </summary>
|
|
||||
public void ResetMaximumRelativeIncreaseToDefault() |
|
||||
{ |
|
||||
_maximumRelativeIncrease = DefaultMaximumRelativeIncrease; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets or sets the minimum number of iterations over which the residual must grow before
|
|
||||
/// issuing a divergence warning.
|
|
||||
/// </summary>
|
|
||||
/// <exception cref="ArgumentOutOfRangeException">Thrown if the <c>value</c> is set to less than one.</exception>
|
|
||||
public int MinimumNumberOfIterations |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _minimumNumberOfIterations; |
|
||||
} |
|
||||
|
|
||||
[DebuggerStepThrough] |
|
||||
set |
|
||||
{ |
|
||||
// There must be at least three iterations otherwise we can't calculate
|
|
||||
// the relative increase
|
|
||||
if (value < 3) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("value"); |
|
||||
} |
|
||||
|
|
||||
_minimumNumberOfIterations = value; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Returns the minimum number of iterations to the default.
|
|
||||
/// </summary>
|
|
||||
public void ResetNumberOfIterationsToDefault() |
|
||||
{ |
|
||||
_minimumNumberOfIterations = DefaultMinimumNumberOfIterations; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Determines the status of the iterative calculation based on the stop criteria stored
|
|
||||
/// by the current <see cref="IIterationStopCriterium{T}"/>. Result is set into <c>Status</c> field.
|
|
||||
/// </summary>
|
|
||||
/// <param name="iterationNumber">The number of iterations that have passed so far.</param>
|
|
||||
/// <param name="solutionVector">The vector containing the current solution values.</param>
|
|
||||
/// <param name="sourceVector">The right hand side vector.</param>
|
|
||||
/// <param name="residualVector">The vector containing the current residual vectors.</param>
|
|
||||
/// <remarks>
|
|
||||
/// The individual stop criteria may internally track the progress of the calculation based
|
|
||||
/// on the invocation of this method. Therefore this method should only be called if the
|
|
||||
/// calculation has moved forwards at least one step.
|
|
||||
/// </remarks>
|
|
||||
public IterationStatus DetermineStatus(int iterationNumber, Vector<double> solutionVector, Vector<double> sourceVector, Vector<double> residualVector) |
|
||||
{ |
|
||||
if (iterationNumber < 0) |
|
||||
{ |
|
||||
throw new ArgumentOutOfRangeException("iterationNumber"); |
|
||||
} |
|
||||
|
|
||||
if (_lastIteration >= iterationNumber) |
|
||||
{ |
|
||||
// We have already stored the actual last iteration number
|
|
||||
// For now do nothing. We only care about the next step.
|
|
||||
return _status; |
|
||||
} |
|
||||
|
|
||||
if ((_residualHistory == null) || (_residualHistory.Length != RequiredHistoryLength)) |
|
||||
{ |
|
||||
_residualHistory = new double[RequiredHistoryLength]; |
|
||||
} |
|
||||
|
|
||||
// We always track the residual.
|
|
||||
// Move the old versions one element up in the array.
|
|
||||
for (var i = 1; i < _residualHistory.Length; i++) |
|
||||
{ |
|
||||
_residualHistory[i - 1] = _residualHistory[i]; |
|
||||
} |
|
||||
|
|
||||
// Store the infinity norms of both the solution and residual vectors
|
|
||||
// These values will be used to calculate the relative drop in residuals later on.
|
|
||||
_residualHistory[_residualHistory.Length - 1] = residualVector.InfinityNorm(); |
|
||||
|
|
||||
// Check if we have NaN's. If so we've gone way beyond normal divergence.
|
|
||||
// Stop the iteration.
|
|
||||
if (double.IsNaN(_residualHistory[_residualHistory.Length - 1])) |
|
||||
{ |
|
||||
_status = IterationStatus.Diverged; |
|
||||
return _status; |
|
||||
} |
|
||||
|
|
||||
// Check if we are diverging and if so set the status
|
|
||||
_status = IsDiverging() ? IterationStatus.Diverged : IterationStatus.Continue; |
|
||||
|
|
||||
_lastIteration = iterationNumber; |
|
||||
return _status; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Detect if solution is diverging
|
|
||||
/// </summary>
|
|
||||
/// <returns><c>true</c> if diverging, otherwise <c>false</c></returns>
|
|
||||
bool IsDiverging() |
|
||||
{ |
|
||||
// Run for each variable
|
|
||||
for (var i = 1; i < _residualHistory.Length; i++) |
|
||||
{ |
|
||||
var difference = _residualHistory[i] - _residualHistory[i - 1]; |
|
||||
|
|
||||
// Divergence is occurring if:
|
|
||||
// - the last residual is larger than the previous one
|
|
||||
// - the relative increase of the residual is larger than the setting allows
|
|
||||
if ((difference < 0) || (_residualHistory[i - 1]*(1 + _maximumRelativeIncrease) >= _residualHistory[i])) |
|
||||
{ |
|
||||
// No divergence taking place within the required number of iterations
|
|
||||
// So reset and stop the iteration. There is no way we can get to the
|
|
||||
// required number of iterations anymore.
|
|
||||
return false; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
return true; |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets required history Length
|
|
||||
/// </summary>
|
|
||||
int RequiredHistoryLength |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _minimumNumberOfIterations + 1; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Gets the current calculation status.
|
|
||||
/// </summary>
|
|
||||
public IterationStatus Status |
|
||||
{ |
|
||||
[DebuggerStepThrough] |
|
||||
get |
|
||||
{ |
|
||||
return _status; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
/// <summary>
|
|
||||
/// Resets the <see cref="IIterationStopCriterium{T}"/> to the pre-calculation state.
|
|
||||
/// </summary>
|
|
||||
public void Reset() |
|
||||
{ |
|
||||
_status = IterationStatus.Continue; |
|
||||
_lastIteration = DefaultLastIterationNumber; |
|
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_residualHistory = null; |
|
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} |
|
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|
|
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/// <summary>
|
|
||||
/// Clones the current <see cref="DivergenceStopCriterium"/> and its settings.
|
|
||||
/// </summary>
|
|
||||
/// <returns>A new instance of the <see cref="DivergenceStopCriterium"/> class.</returns>
|
|
||||
public IIterationStopCriterium<double> Clone() |
|
||||
{ |
|
||||
return new DivergenceStopCriterium(_maximumRelativeIncrease, _minimumNumberOfIterations); |
|
||||
} |
|
||||
} |
|
||||
} |
|
||||
Loading…
Reference in new issue