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mpfit.pro
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;+
; NAME:
; MPFIT
;
; AUTHOR:
; Craig B. Markwardt, NASA/GSFC Code 662, Greenbelt, MD 20770
; UPDATED VERSIONs can be found on my WEB PAGE:
; http://cow.physics.wisc.edu/~craigm/idl/idl.html
;
; PURPOSE:
; Perform Levenberg-Marquardt least-squares minimization (MINPACK-1)
;
; MAJOR TOPICS:
; Curve and Surface Fitting
;
; CALLING SEQUENCE:
; parms = MPFIT(MYFUNCT, start_parms, FUNCTARGS=fcnargs, NFEV=nfev,
; MAXITER=maxiter, ERRMSG=errmsg, NPRINT=nprint, QUIET=quiet,
; FTOL=ftol, XTOL=xtol, GTOL=gtol, NITER=niter,
; STATUS=status, ITERPROC=iterproc, ITERARGS=iterargs,
; COVAR=covar, PERROR=perror, BESTNORM=bestnorm,
; PARINFO=parinfo)
;
; DESCRIPTION:
;
; MPFIT uses the Levenberg-Marquardt technique to solve the
; least-squares problem. In its typical use, MPFIT will be used to
; fit a user-supplied function (the "model") to user-supplied data
; points (the "data") by adjusting a set of parameters. MPFIT is
; based upon MINPACK-1 (LMDIF.F) by More' and collaborators.
;
; For example, a researcher may think that a set of observed data
; points is best modelled with a Gaussian curve. A Gaussian curve is
; parameterized by its mean, standard deviation and normalization.
; MPFIT will, within certain constraints, find the set of parameters
; which best fits the data. The fit is "best" in the least-squares
; sense; that is, the sum of the weighted squared differences between
; the model and data is minimized.
;
; The Levenberg-Marquardt technique is a particular strategy for
; iteratively searching for the best fit. This particular
; implementation is drawn from MINPACK-1 (see NETLIB), and seems to
; be more robust than routines provided with IDL. This version
; allows upper and lower bounding constraints to be placed on each
; parameter, or the parameter can be held fixed.
;
; The IDL user-supplied function should return an array of weighted
; deviations between model and data. In a typical scientific problem
; the residuals should be weighted so that each deviate has a
; gaussian sigma of 1.0. If X represents values of the independent
; variable, Y represents a measurement for each value of X, and ERR
; represents the error in the measurements, then the deviates could
; be calculated as follows:
;
; DEVIATES = (Y - F(X)) / ERR
;
; where F is the function representing the model. You are
; recommended to use the convenience functions MPFITFUN and
; MPFITEXPR, which are driver functions that calculate the deviates
; for you. If ERR are the 1-sigma uncertainties in Y, then
;
; TOTAL( DEVIATES^2 )
;
; will be the total chi-squared value. MPFIT will minimize the
; chi-square value. The values of X, Y and ERR are passed through
; MPFIT to the user-supplied function via the FUNCTARGS keyword.
;
; Simple constraints can be placed on parameter values by using the
; PARINFO keyword to MPFIT. See below for a description of this
; keyword.
;
; MPFIT does not perform more general optimization tasks. See TNMIN
; instead. MPFIT is customized, based on MINPACK-1, to the
; least-squares minimization problem.
;
; USER FUNCTION
;
; The user must define a function which returns the appropriate
; values as specified above. The function should return the weighted
; deviations between the model and the data. For applications which
; use finite-difference derivatives -- the default -- the user
; function should be declared in the following way:
;
; FUNCTION MYFUNCT, p, X=x, Y=y, ERR=err
; ; Parameter values are passed in "p"
; model = F(x, p)
; return, (y-model)/err
; END
;
; See below for applications with explicit derivatives.
;
; The keyword parameters X, Y, and ERR in the example above are
; suggestive but not required. Any parameters can be passed to
; MYFUNCT by using the FUNCTARGS keyword to MPFIT. Use MPFITFUN and
; MPFITEXPR if you need ideas on how to do that. The function *must*
; accept a parameter list, P.
;
; In general there are no restrictions on the number of dimensions in
; X, Y or ERR. However the deviates *must* be returned in a
; one-dimensional array, and must have the same type (float or
; double) as the input arrays.
;
; See below for error reporting mechanisms.
;
;
; CHECKING STATUS AND HANNDLING ERRORS
;
; Upon return, MPFIT will report the status of the fitting operation
; in the STATUS and ERRMSG keywords. The STATUS keyword will contain
; a numerical code which indicates the success or failure status.
; Generally speaking, any value 1 or greater indicates success, while
; a value of 0 or less indicates a possible failure. The ERRMSG
; keyword will contain a text string which should describe the error
; condition more fully.
;
; By default, MPFIT will trap fatal errors and report them to the
; caller gracefully. However, during the debugging process, it is
; often useful to halt execution where the error occurred. When you
; set the NOCATCH keyword, MPFIT will not do any special error
; trapping, and execution will stop whereever the error occurred.
;
; MPFIT does not explicitly change the !ERROR_STATE variable
; (although it may be changed implicitly if MPFIT calls MESSAGE). It
; is the caller's responsibility to call MESSAGE, /RESET to ensure
; that the error state is initialized before calling MPFIT.
;
; User functions may also indicate non-fatal error conditions using
; the ERROR_CODE common block variable, as described below under the
; MPFIT_ERROR common block definition (by setting ERROR_CODE to a
; number between -15 and -1). When the user function sets an error
; condition via ERROR_CODE, MPFIT will gracefully exit immediately
; and report this condition to the caller. The ERROR_CODE is
; returned in the STATUS keyword in that case.
;
;
; EXPLICIT DERIVATIVES
;
; In the search for the best-fit solution, MPFIT by default
; calculates derivatives numerically via a finite difference
; approximation. The user-supplied function need not calculate the
; derivatives explicitly. However, the user function *may* calculate
; the derivatives if desired, but only if the model function is
; declared with an additional position parameter, DP, as described
; below. If the user function does not accept this additional
; parameter, MPFIT will report an error. As a practical matter, it
; is often sufficient and even faster to allow MPFIT to calculate the
; derivatives numerically, but this option is available for users who
; wish more control over the fitting process.
;
; There are two ways to enable explicit derivatives. First, the user
; can set the keyword AUTODERIVATIVE=0, which is a global switch for
; all parameters. In this case, MPFIT will request explicit
; derivatives for every free parameter.
;
; Second, the user may request explicit derivatives for specifically
; selected parameters using the PARINFO.MPSIDE=3 (see "CONSTRAINING
; PARAMETER VALUES WITH THE PARINFO KEYWORD" below). In this
; strategy, the user picks and chooses which parameter derivatives
; are computed explicitly versus numerically. When PARINFO[i].MPSIDE
; EQ 3, then the ith parameter derivative is computed explicitly.
;
; The keyword setting AUTODERIVATIVE=0 always globally overrides the
; individual values of PARINFO.MPSIDE. Setting AUTODERIVATIVE=0 is
; equivalent to resetting PARINFO.MPSIDE=3 for all parameters.
;
; Even if the user requests explicit derivatives for some or all
; parameters, MPFIT will not always request explicit derivatives on
; every user function call.
;
; EXPLICIT DERIVATIVES - CALLING INTERFACE
;
; When AUTODERIVATIVE=0, the user function is responsible for
; calculating the derivatives of the *residuals* with respect to each
; parameter. The user function should be declared as follows:
;
; ;
; ; MYFUNCT - example user function
; ; P - input parameter values (N-element array)
; ; DP - upon input, an N-vector indicating which parameters
; ; to compute derivatives for;
; ; upon output, the user function must return
; ; an ARRAY(M,N) of derivatives in this keyword
; ; (keywords) - any other keywords specified by FUNCTARGS
; ; RETURNS - residual values
; ;
; FUNCTION MYFUNCT, p, dp, X=x, Y=y, ERR=err
; model = F(x, p) ;; Model function
; resid = (y - model)/err ;; Residual calculation (for example)
;
; if n_params() GT 1 then begin
; ; Create derivative and compute derivative array
; requested = dp ; Save original value of DP
; dp = make_array(n_elements(x), n_elements(p), value=x[0]*0)
;
; ; Compute derivative if requested by caller
; for i = 0, n_elements(p)-1 do if requested(i) NE 0 then $
; dp(*,i) = FGRAD(x, p, i) / err
; endif
;
; return, resid
; END
;
; where FGRAD(x, p, i) is a model function which computes the
; derivative of the model F(x,p) with respect to parameter P(i) at X.
;
; A quirk in the implementation leaves a stray negative sign in the
; definition of DP. The derivative of the *residual* should be
; "-FGRAD(x,p,i) / err" because of how the residual is defined
; ("resid = (data - model) / err"). **HOWEVER** because of the
; implementation quirk, MPFIT expects FGRAD(x,p,i)/err instead,
; i.e. the opposite sign of the gradient of RESID.
;
; Derivatives should be returned in the DP array. DP should be an
; ARRAY(m,n) array, where m is the number of data points and n is the
; number of parameters. -DP[i,j] is the derivative of the ith
; residual with respect to the jth parameter (note the minus sign
; due to the quirk described above).
;
; As noted above, MPFIT may not always request derivatives from the
; user function. In those cases, the parameter DP is not passed.
; Therefore functions can use N_PARAMS() to indicate whether they
; must compute the derivatives or not.
;
; The derivatives with respect to fixed parameters are ignored; zero
; is an appropriate value to insert for those derivatives. Upon
; input to the user function, DP is set to a vector with the same
; length as P, with a value of 1 for a parameter which is free, and a
; value of zero for a parameter which is fixed (and hence no
; derivative needs to be calculated). This input vector may be
; overwritten as needed. In the example above, the original DP
; vector is saved to a variable called REQUESTED, and used as a mask
; to calculate only those derivatives that are required.
;
; If the data is higher than one dimensional, then the *last*
; dimension should be the parameter dimension. Example: fitting a
; 50x50 image, "dp" should be 50x50xNPAR.
;
; EXPLICIT DERIVATIVES - TESTING and DEBUGGING
;
; For reasonably complicated user functions, the calculation of
; explicit derivatives of the correct sign and magnitude can be
; difficult to get right. A simple sign error can cause MPFIT to be
; confused. MPFIT has a derivative debugging mode which will compute
; the derivatives *both* numerically and explicitly, and compare the
; results.
;
; It is expected that during production usage, derivative debugging
; should be disabled for all parameters.
;
; In order to enable derivative debugging mode, set the following
; PARINFO members for the ith parameter.
; PARINFO[i].MPSIDE = 3 ; Enable explicit derivatives
; PARINFO[i].MPDERIV_DEBUG = 1 ; Enable derivative debugging mode
; PARINFO[i].MPDERIV_RELTOL = ?? ; Relative tolerance for comparison
; PARINFO[i].MPDERIV_ABSTOL = ?? ; Absolute tolerance for comparison
; Note that these settings are maintained on a parameter-by-parameter
; basis using PARINFO, so the user can choose which parameters
; derivatives will be tested.
;
; When .MPDERIV_DEBUG is set, then MPFIT first computes the
; derivative explicitly by requesting them from the user function.
; Then, it computes the derivatives numerically via finite
; differencing, and compares the two values. If the difference
; exceeds a tolerance threshold, then the values are printed out to
; alert the user. The tolerance level threshold contains both a
; relative and an absolute component, and is expressed as,
;
; ABS(DERIV_U - DERIV_N) GE (ABSTOL + RELTOL*ABS(DERIV_U))
;
; where DERIV_U and DERIV_N are the derivatives computed explicitly
; and numerically, respectively. Appropriate values
; for most users will be:
;
; PARINFO[i].MPDERIV_RELTOL = 1d-3 ;; Suggested relative tolerance
; PARINFO[i].MPDERIV_ABSTOL = 1d-7 ;; Suggested absolute tolerance
;
; although these thresholds may have to be adjusted for a particular
; problem. When the threshold is exceeded, users can expect to see a
; tabular report like this one:
;
; FJAC DEBUG BEGIN
; # IPNT FUNC DERIV_U DERIV_N DIFF_ABS DIFF_REL
; FJAC PARM 2
; 80 -0.7308 0.04233 0.04233 -5.543E-07 -1.309E-05
; 99 1.370 0.01417 0.01417 -5.518E-07 -3.895E-05
; 118 0.07187 -0.01400 -0.01400 -5.566E-07 3.977E-05
; 137 1.844 -0.04216 -0.04216 -5.589E-07 1.326E-05
; FJAC DEBUG END
;
; The report will be bracketed by FJAC DEBUG BEGIN/END statements.
; Each parameter will be delimited by the statement FJAC PARM n,
; where n is the parameter number. The columns are,
;
; IPNT - data point number (0 ... M-1)
; FUNC - function value at that point
; DERIV_U - explicit derivative value at that point
; DERIV_N - numerical derivative estimate at that point
; DIFF_ABS - absolute difference = (DERIV_U - DERIV_N)
; DIFF_REL - relative difference = (DIFF_ABS)/(DERIV_U)
;
; When prints appear in this report, it is most important to check
; that the derivatives computed in two different ways have the same
; numerical sign and the same order of magnitude, since these are the
; most common programming mistakes.
;
;
; CONSTRAINING PARAMETER VALUES WITH THE PARINFO KEYWORD
;
; The behavior of MPFIT can be modified with respect to each
; parameter to be fitted. A parameter value can be fixed; simple
; boundary constraints can be imposed; limitations on the parameter
; changes can be imposed; properties of the automatic derivative can
; be modified; and parameters can be tied to one another.
;
; These properties are governed by the PARINFO structure, which is
; passed as a keyword parameter to MPFIT.
;
; PARINFO should be an array of structures, one for each parameter.
; Each parameter is associated with one element of the array, in
; numerical order. The structure can have the following entries
; (none are required):
;
; .VALUE - the starting parameter value (but see the START_PARAMS
; parameter for more information).
;
; .FIXED - a boolean value, whether the parameter is to be held
; fixed or not. Fixed parameters are not varied by
; MPFIT, but are passed on to MYFUNCT for evaluation.
;
; .LIMITED - a two-element boolean array. If the first/second
; element is set, then the parameter is bounded on the
; lower/upper side. A parameter can be bounded on both
; sides. Both LIMITED and LIMITS must be given
; together.
;
; .LIMITS - a two-element float or double array. Gives the
; parameter limits on the lower and upper sides,
; respectively. Zero, one or two of these values can be
; set, depending on the values of LIMITED. Both LIMITED
; and LIMITS must be given together.
;
; .PARNAME - a string, giving the name of the parameter. The
; fitting code of MPFIT does not use this tag in any
; way. However, the default ITERPROC will print the
; parameter name if available.
;
; .STEP - the step size to be used in calculating the numerical
; derivatives. If set to zero, then the step size is
; computed automatically. Ignored when AUTODERIVATIVE=0.
; This value is superceded by the RELSTEP value.
;
; .RELSTEP - the *relative* step size to be used in calculating
; the numerical derivatives. This number is the
; fractional size of the step, compared to the
; parameter value. This value supercedes the STEP
; setting. If the parameter is zero, then a default
; step size is chosen.
;
; .MPSIDE - selector for type of derivative calculation. This
; field can take one of five possible values:
;
; 0 - one-sided derivative computed automatically
; 1 - one-sided derivative (f(x+h) - f(x) )/h
; -1 - one-sided derivative (f(x) - f(x-h))/h
; 2 - two-sided derivative (f(x+h) - f(x-h))/(2*h)
; 3 - explicit derivative used for this parameter
;
; In the first four cases, the derivative is approximated
; numerically by finite difference, with step size
; H=STEP, where the STEP parameter is defined above. The
; last case, MPSIDE=3, indicates to allow the user
; function to compute the derivative explicitly (see
; section on "EXPLICIT DERIVATIVES"). AUTODERIVATIVE=0
; overrides this setting for all parameters, and is
; equivalent to MPSIDE=3 for all parameters. For
; MPSIDE=0, the "automatic" one-sided derivative method
; will chose a direction for the finite difference which
; does not violate any constraints. The other methods
; (MPSIDE=-1 or MPSIDE=1) do not perform this check. The
; two-sided method is in principle more precise, but
; requires twice as many function evaluations. Default:
; 0.
;
; .MPDERIV_DEBUG - set this value to 1 to enable debugging of
; user-supplied explicit derivatives (see "TESTING and
; DEBUGGING" section above). In addition, the
; user must enable calculation of explicit derivatives by
; either setting AUTODERIVATIVE=0, or MPSIDE=3 for the
; desired parameters. When this option is enabled, a
; report may be printed to the console, depending on the
; MPDERIV_ABSTOL and MPDERIV_RELTOL settings.
; Default: 0 (no debugging)
;
;
; .MPDERIV_ABSTOL, .MPDERIV_RELTOL - tolerance settings for
; print-out of debugging information, for each parameter
; where debugging is enabled. See "TESTING and
; DEBUGGING" section above for the meanings of these two
; fields.
;
;
; .MPMAXSTEP - the maximum change to be made in the parameter
; value. During the fitting process, the parameter
; will never be changed by more than this value in
; one iteration.
;
; A value of 0 indicates no maximum. Default: 0.
;
; .TIED - a string expression which "ties" the parameter to other
; free or fixed parameters as an equality constraint. Any
; expression involving constants and the parameter array P
; are permitted.
; Example: if parameter 2 is always to be twice parameter
; 1 then use the following: parinfo[2].tied = '2 * P[1]'.
; Since they are totally constrained, tied parameters are
; considered to be fixed; no errors are computed for them,
; and any LIMITS are not obeyed.
; [ NOTE: the PARNAME can't be used in a TIED expression. ]
;
; .MPPRINT - if set to 1, then the default ITERPROC will print the
; parameter value. If set to 0, the parameter value
; will not be printed. This tag can be used to
; selectively print only a few parameter values out of
; many. Default: 1 (all parameters printed)
;
; .MPFORMAT - IDL format string to print the parameter within
; ITERPROC. Default: '(G20.6)' (An empty string will
; also use the default.)
;
; Future modifications to the PARINFO structure, if any, will involve
; adding structure tags beginning with the two letters "MP".
; Therefore programmers are urged to avoid using tags starting with
; "MP", but otherwise they are free to include their own fields
; within the PARINFO structure, which will be ignored by MPFIT.
;
; PARINFO Example:
; parinfo = replicate({value:0.D, fixed:0, limited:[0,0], $
; limits:[0.D,0]}, 5)
; parinfo[0].fixed = 1
; parinfo[4].limited[0] = 1
; parinfo[4].limits[0] = 50.D
; parinfo[*].value = [5.7D, 2.2, 500., 1.5, 2000.]
;
; A total of 5 parameters, with starting values of 5.7,
; 2.2, 500, 1.5, and 2000 are given. The first parameter
; is fixed at a value of 5.7, and the last parameter is
; constrained to be above 50.
;
;
; RECURSION
;
; Generally, recursion is not allowed. As of version 1.77, MPFIT has
; recursion protection which does not allow a model function to
; itself call MPFIT. Users who wish to perform multi-level
; optimization should investigate the 'EXTERNAL' function evaluation
; methods described below for hard-to-evaluate functions. That
; method places more control in the user's hands. The user can
; design a "recursive" application by taking care.
;
; In most cases the recursion protection should be well-behaved.
; However, if the user is doing debugging, it is possible for the
; protection system to get "stuck." In order to reset it, run the
; procedure:
; MPFIT_RESET_RECURSION
; and the protection system should get "unstuck." It is save to call
; this procedure at any time.
;
;
; COMPATIBILITY
;
; This function is designed to work with IDL 5.0 or greater.
;
; Because TIED parameters and the "(EXTERNAL)" user-model feature use
; the EXECUTE() function, they cannot be used with the free version
; of the IDL Virtual Machine.
;
;
; DETERMINING THE VERSION OF MPFIT
;
; MPFIT is a changing library. Users of MPFIT may also depend on a
; specific version of the library being present. As of version 1.70
; of MPFIT, a VERSION keyword has been added which allows the user to
; query which version is present. The keyword works like this:
;
; RESULT = MPFIT(/query, VERSION=version)
;
; This call uses the /QUERY keyword to query the version number
; without performing any computations. Users of MPFIT can call this
; method to determine which version is in the IDL path before
; actually using MPFIT to do any numerical work. Upon return, the
; VERSION keyword contains the version number of MPFIT, expressed as
; a string of the form 'X.Y' where X and Y are integers.
;
; Users can perform their own version checking, or use the built-in
; error checking of MPFIT. The MIN_VERSION keyword enforces the
; requested minimum version number. For example,
;
; RESULT = MPFIT(/query, VERSION=version, MIN_VERSION='1.70')
;
; will check whether the accessed version is 1.70 or greater, without
; performing any numerical processing.
;
; The VERSION and MIN_VERSION keywords were added in MPFIT
; version 1.70 and later. If the caller attempts to use the VERSION
; or MIN_VERSION keywords, and an *older* version of the code is
; present in the caller's path, then IDL will throw an 'unknown
; keyword' error. Therefore, in order to be robust, the caller, must
; use exception handling. Here is an example demanding at least
; version 1.70.
;
; MPFIT_OK = 0 & VERSION = '<unknown>'
; CATCH, CATCHERR
; IF CATCHERR EQ 0 THEN MPFIT_OK = MPFIT(/query, VERSION=version, $
; MIN_VERSION='1.70')
; CATCH, /CANCEL
;
; IF NOT MPFIT_OK THEN $
; MESSAGE, 'ERROR: you must have MPFIT version 1.70 or higher in '+$
; 'your path (found version '+version+')'
;
; Of course, the caller can also do its own version number
; requirements checking.
;
;
; HARD-TO-COMPUTE FUNCTIONS: "EXTERNAL" EVALUATION
;
; The normal mode of operation for MPFIT is for the user to pass a
; function name, and MPFIT will call the user function multiple times
; as it iterates toward a solution.
;
; Some user functions are particularly hard to compute using the
; standard model of MPFIT. Usually these are functions that depend
; on a large amount of external data, and so it is not feasible, or
; at least highly impractical, to have MPFIT call it. In those cases
; it may be possible to use the "(EXTERNAL)" evaluation option.
;
; In this case the user is responsible for making all function *and
; derivative* evaluations. The function and Jacobian data are passed
; in through the EXTERNAL_FVEC and EXTERNAL_FJAC keywords,
; respectively. The user indicates the selection of this option by
; specifying a function name (MYFUNCT) of "(EXTERNAL)". No
; user-function calls are made when EXTERNAL evaluation is being
; used.
;
; ** SPECIAL NOTE ** For the "(EXTERNAL)" case, the quirk noted above
; does not apply. The gradient matrix, EXTERNAL_FJAC, should be
; comparable to "-FGRAD(x,p)/err", which is the *opposite* sign of
; the DP matrix described above. In other words, EXTERNAL_FJAC
; has the same sign as the derivative of EXTERNAL_FVEC, and the
; opposite sign of FGRAD.
;
; At the end of each iteration, control returns to the user, who must
; reevaluate the function at its new parameter values. Users should
; check the return value of the STATUS keyword, where a value of 9
; indicates the user should supply more data for the next iteration,
; and re-call MPFIT. The user may refrain from calling MPFIT
; further; as usual, STATUS will indicate when the solution has
; converged and no more iterations are required.
;
; Because MPFIT must maintain its own data structures between calls,
; the user must also pass a named variable to the EXTERNAL_STATE
; keyword. This variable must be maintained by the user, but not
; changed, throughout the fitting process. When no more iterations
; are desired, the named variable may be discarded.
;
;
; INPUTS:
; MYFUNCT - a string variable containing the name of the function to
; be minimized. The function should return the weighted
; deviations between the model and the data, as described
; above.
;
; For EXTERNAL evaluation of functions, this parameter
; should be set to a value of "(EXTERNAL)".
;
; START_PARAMS - An one-dimensional array of starting values for each of the
; parameters of the model. The number of parameters
; should be fewer than the number of measurements.
; Also, the parameters should have the same data type
; as the measurements (double is preferred).
;
; This parameter is optional if the PARINFO keyword
; is used (but see PARINFO). The PARINFO keyword
; provides a mechanism to fix or constrain individual
; parameters. If both START_PARAMS and PARINFO are
; passed, then the starting *value* is taken from
; START_PARAMS, but the *constraints* are taken from
; PARINFO.
;
; RETURNS:
;
; Returns the array of best-fit parameters.
; Exceptions:
; * if /QUERY is set (see QUERY).
;
;
; KEYWORD PARAMETERS:
;
; AUTODERIVATIVE - If this is set, derivatives of the function will
; be computed automatically via a finite
; differencing procedure. If not set, then MYFUNCT
; must provide the explicit derivatives.
; Default: set (=1)
; NOTE: to supply your own explicit derivatives,
; explicitly pass AUTODERIVATIVE=0
;
; BESTNORM - upon return, the value of the summed squared weighted
; residuals for the returned parameter values,
; i.e. TOTAL(DEVIATES^2).
;
; BEST_FJAC - upon return, BEST_FJAC contains the Jacobian, or
; partial derivative, matrix for the best-fit model.
; The values are an array,
; ARRAY(N_ELEMENTS(DEVIATES),NFREE) where NFREE is the
; number of free parameters. This array is only
; computed if /CALC_FJAC is set, otherwise BEST_FJAC is
; undefined.
;
; The returned array is such that BEST_FJAC[I,J] is the
; partial derivative of DEVIATES[I] with respect to
; parameter PARMS[PFREE_INDEX[J]]. Note that since
; deviates are (data-model)*weight, the Jacobian of the
; *deviates* will have the opposite sign from the
; Jacobian of the *model*, and may be scaled by a
; factor.
;
; BEST_RESID - upon return, an array of best-fit deviates.
;
; CALC_FJAC - if set, then calculate the Jacobian and return it in
; BEST_FJAC. If not set, then the return value of
; BEST_FJAC is undefined.
;
; COVAR - the covariance matrix for the set of parameters returned
; by MPFIT. The matrix is NxN where N is the number of
; parameters. The square root of the diagonal elements
; gives the formal 1-sigma statistical errors on the
; parameters IF errors were treated "properly" in MYFUNC.
; Parameter errors are also returned in PERROR.
;
; To compute the correlation matrix, PCOR, use this example:
; PCOR = COV * 0
; FOR i = 0, n-1 DO FOR j = 0, n-1 DO $
; PCOR[i,j] = COV[i,j]/sqrt(COV[i,i]*COV[j,j])
; or equivalently, in vector notation,
; PCOR = COV / (PERROR # PERROR)
;
; If NOCOVAR is set or MPFIT terminated abnormally, then
; COVAR is set to a scalar with value !VALUES.D_NAN.
;
; DOF - number of degrees of freedom, computed as
; DOF = N_ELEMENTS(DEVIATES) - NFREE
; Note that this doesn't account for pegged parameters (see
; NPEGGED). It also does not account for data points which
; are assigned zero weight by the user function.
;
; ERRMSG - a string error or warning message is returned.
;
; EXTERNAL_FVEC - upon input, the function values, evaluated at
; START_PARAMS. This should be an M-vector, where M
; is the number of data points.
;
; EXTERNAL_FJAC - upon input, the Jacobian array of partial
; derivative values. This should be a M x N array,
; where M is the number of data points and N is the
; number of parameters. NOTE: that all FIXED or
; TIED parameters must *not* be included in this
; array.
;
; EXTERNAL_STATE - a named variable to store MPFIT-related state
; information between iterations (used in input and
; output to MPFIT). The user must not manipulate
; or discard this data until the final iteration is
; performed.
;
; FASTNORM - set this keyword to select a faster algorithm to
; compute sum-of-square values internally. For systems
; with large numbers of data points, the standard
; algorithm can become prohibitively slow because it
; cannot be vectorized well. By setting this keyword,
; MPFIT will run faster, but it will be more prone to
; floating point overflows and underflows. Thus, setting
; this keyword may sacrifice some stability in the
; fitting process.
;
; FTOL - a nonnegative input variable. Termination occurs when both
; the actual and predicted relative reductions in the sum of
; squares are at most FTOL (and STATUS is accordingly set to
; 1 or 3). Therefore, FTOL measures the relative error
; desired in the sum of squares. Default: 1D-10
;
; FUNCTARGS - A structure which contains the parameters to be passed
; to the user-supplied function specified by MYFUNCT via
; the _EXTRA mechanism. This is the way you can pass
; additional data to your user-supplied function without
; using common blocks.
;
; Consider the following example:
; if FUNCTARGS = { XVAL:[1.D,2,3], YVAL:[1.D,4,9],
; ERRVAL:[1.D,1,1] }
; then the user supplied function should be declared
; like this:
; FUNCTION MYFUNCT, P, XVAL=x, YVAL=y, ERRVAL=err
;
; By default, no extra parameters are passed to the
; user-supplied function, but your function should
; accept *at least* one keyword parameter. [ This is to
; accomodate a limitation in IDL's _EXTRA
; parameter-passing mechanism. ]
;
; GTOL - a nonnegative input variable. Termination occurs when the
; cosine of the angle between fvec and any column of the
; jacobian is at most GTOL in absolute value (and STATUS is
; accordingly set to 4). Therefore, GTOL measures the
; orthogonality desired between the function vector and the
; columns of the jacobian. Default: 1D-10
;
; ITERARGS - The keyword arguments to be passed to ITERPROC via the
; _EXTRA mechanism. This should be a structure, and is
; similar in operation to FUNCTARGS.
; Default: no arguments are passed.
;
; ITERPRINT - The name of an IDL procedure, equivalent to PRINT,
; that ITERPROC will use to render output. ITERPRINT
; should be able to accept at least four positional
; arguments. In addition, it should be able to accept
; the standard FORMAT keyword for output formatting; and
; the UNIT keyword, to redirect output to a logical file
; unit (default should be UNIT=1, standard output).
; These keywords are passed using the ITERARGS keyword
; above. The ITERPRINT procedure must accept the _EXTRA
; keyword.
; NOTE: that much formatting can be handled with the
; MPPRINT and MPFORMAT tags.
; Default: 'MPFIT_DEFPRINT' (default internal formatter)
;
; ITERPROC - The name of a procedure to be called upon each NPRINT
; iteration of the MPFIT routine. ITERPROC is always
; called in the final iteration. It should be declared
; in the following way:
;
; PRO ITERPROC, MYFUNCT, p, iter, fnorm, FUNCTARGS=fcnargs, $
; PARINFO=parinfo, QUIET=quiet, DOF=dof, PFORMAT=pformat, $
; UNIT=unit, ...
; ; perform custom iteration update
; END
;
; ITERPROC must either accept all three keyword
; parameters (FUNCTARGS, PARINFO and QUIET), or at least
; accept them via the _EXTRA keyword.
;
; MYFUNCT is the user-supplied function to be minimized,
; P is the current set of model parameters, ITER is the
; iteration number, and FUNCTARGS are the arguments to be
; passed to MYFUNCT. FNORM should be the chi-squared
; value. QUIET is set when no textual output should be
; printed. DOF is the number of degrees of freedom,
; normally the number of points less the number of free
; parameters. See below for documentation of PARINFO.
; PFORMAT is the default parameter value format. UNIT is
; passed on to the ITERPRINT procedure, and should
; indicate the file unit where log output will be sent
; (default: standard output).
;
; In implementation, ITERPROC can perform updates to the
; terminal or graphical user interface, to provide
; feedback while the fit proceeds. If the fit is to be
; stopped for any reason, then ITERPROC should set the
; common block variable ERROR_CODE to negative value
; between -15 and -1 (see MPFIT_ERROR common block
; below). In principle, ITERPROC should probably not
; modify the parameter values, because it may interfere
; with the algorithm's stability. In practice it is
; allowed.
;
; Default: an internal routine is used to print the
; parameter values.
;
; ITERSTOP - Set this keyword if you wish to be able to stop the
; fitting by hitting the predefined ITERKEYSTOP key on
; the keyboard. This only works if you use the default
; ITERPROC.
;
; ITERKEYSTOP - A keyboard key which will halt the fit (and if
; ITERSTOP is set and the default ITERPROC is used).
; ITERSTOPKEY may either be a one-character string
; with the desired key, or a scalar integer giving the
; ASCII code of the desired key.
; Default: 7b (control-g)
;
; NOTE: the default value of ASCI 7 (control-G) cannot
; be read in some windowing environments, so you must
; change to a printable character like 'q'.
;
; MAXITER - The maximum number of iterations to perform. If the
; number of calculation iterations exceeds MAXITER, then
; the STATUS value is set to 5 and MPFIT returns.
;
; If MAXITER EQ 0, then MPFIT does not iterate to adjust
; parameter values; however, the user function is evaluated
; and parameter errors/covariance/Jacobian are estimated
; before returning.
; Default: 200 iterations
;
; MIN_VERSION - The minimum requested version number. This must be
; a scalar string of the form returned by the VERSION
; keyword. If the current version of MPFIT does not
; satisfy the minimum requested version number, then,
; MPFIT(/query, min_version='...') returns 0
; MPFIT(...) returns NAN
; Default: no version number check
; NOTE: MIN_VERSION was added in MPFIT version 1.70
;
; NFEV - the number of MYFUNCT function evaluations performed.
;
; NFREE - the number of free parameters in the fit. This includes
; parameters which are not FIXED and not TIED, but it does
; include parameters which are pegged at LIMITS.
;
; NITER - the number of iterations completed.
;
; NOCATCH - if set, then MPFIT will not perform any error trapping.
; By default (not set), MPFIT will trap errors and report
; them to the caller. This keyword will typically be used
; for debugging.
;
; NOCOVAR - set this keyword to prevent the calculation of the
; covariance matrix before returning (see COVAR)
;
; NPEGGED - the number of free parameters which are pegged at a
; LIMIT.
;
; NPRINT - The frequency with which ITERPROC is called. A value of
; 1 indicates that ITERPROC is called with every iteration,
; while 2 indicates every other iteration, etc. Be aware
; that several Levenberg-Marquardt attempts can be made in
; a single iteration. Also, the ITERPROC is *always*
; called for the final iteration, regardless of the
; iteration number.
; Default value: 1
;
; PARINFO - A one-dimensional array of structures.
; Provides a mechanism for more sophisticated constraints
; to be placed on parameter values. When PARINFO is not
; passed, then it is assumed that all parameters are free
; and unconstrained. Values in PARINFO are never
; modified during a call to MPFIT.
;
; See description above for the structure of PARINFO.
;
; Default value: all parameters are free and unconstrained.
;
; PERROR - The formal 1-sigma errors in each parameter, computed
; from the covariance matrix. If a parameter is held
; fixed, or if it touches a boundary, then the error is
; reported as zero.
;
; If the fit is unweighted (i.e. no errors were given, or
; the weights were uniformly set to unity), then PERROR
; will probably not represent the true parameter
; uncertainties.
;
; *If* you can assume that the true reduced chi-squared
; value is unity -- meaning that the fit is implicitly
; assumed to be of good quality -- then the estimated
; parameter uncertainties can be computed by scaling PERROR
; by the measured chi-squared value.
;
; DOF = N_ELEMENTS(X) - N_ELEMENTS(PARMS) ; deg of freedom
; PCERROR = PERROR * SQRT(BESTNORM / DOF) ; scaled uncertainties
;
; PFREE_INDEX - upon return, PFREE_INDEX contains an index array
; which indicates which parameter were allowed to
; vary. I.e. of all the parameters PARMS, only
; PARMS[PFREE_INDEX] were varied.
;
; QUERY - if set, then MPFIT() will return immediately with one of
; the following values:
; 1 - if MIN_VERSION is not set
; 1 - if MIN_VERSION is set and MPFIT satisfies the minimum
; 0 - if MIN_VERSION is set and MPFIT does not satisfy it
; The VERSION output keyword is always set upon return.
; Default: not set.
;
; QUIET - set this keyword when no textual output should be printed
; by MPFIT
;
; RESDAMP - a scalar number, indicating the cut-off value of
; residuals where "damping" will occur. Residuals with
; magnitudes greater than this number will be replaced by
; their logarithm. This partially mitigates the so-called
; large residual problem inherent in least-squares solvers
; (as for the test problem CURVI, http://www.maxthis.com/-
; curviex.htm). A value of 0 indicates no damping.
; Default: 0
;
; Note: RESDAMP doesn't work with AUTODERIV=0
;
; STATUS - an integer status code is returned. All values greater
; than zero can represent success (however STATUS EQ 5 may
; indicate failure to converge). It can have one of the
; following values:
;
; -18 a fatal execution error has occurred. More information
; may be available in the ERRMSG string.
;
; -16 a parameter or function value has become infinite or an
; undefined number. This is usually a consequence of
; numerical overflow in the user's model function, which
; must be avoided.
;
; -15 to -1
; these are error codes that either MYFUNCT or ITERPROC
; may return to terminate the fitting process (see
; description of MPFIT_ERROR common below). If either
; MYFUNCT or ITERPROC set ERROR_CODE to a negative number,
; then that number is returned in STATUS. Values from -15
; to -1 are reserved for the user functions and will not
; clash with MPFIT.
;
; 0 improper input parameters.
;
; 1 both actual and predicted relative reductions
; in the sum of squares are at most FTOL.
;
; 2 relative error between two consecutive iterates
; is at most XTOL
;
; 3 conditions for STATUS = 1 and STATUS = 2 both hold.
;
; 4 the cosine of the angle between fvec and any
; column of the jacobian is at most GTOL in
; absolute value.
;
; 5 the maximum number of iterations has been reached
;
; 6 FTOL is too small. no further reduction in
; the sum of squares is possible.
;
; 7 XTOL is too small. no further improvement in
; the approximate solution x is possible.
;
; 8 GTOL is too small. fvec is orthogonal to the
; columns of the jacobian to machine precision.
;
; 9 A successful single iteration has been completed, and
; the user must supply another "EXTERNAL" evaluation of
; the function and its derivatives. This status indicator
; is neither an error nor a convergence indicator.
;
; VERSION - upon return, VERSION will be set to the MPFIT internal
; version number. The version number will be a string of
; the form "X.Y" where X is a major revision number and Y
; is a minor revision number.
; NOTE: the VERSION keyword was not present before
; MPFIT version number 1.70, therefore, callers must
; use exception handling when using this keyword.
;
; XTOL - a nonnegative input variable. Termination occurs when the
; relative error between two consecutive iterates is at most
; XTOL (and STATUS is accordingly set to 2 or 3). Therefore,
; XTOL measures the relative error desired in the approximate
; solution. Default: 1D-10
;
;
; EXAMPLE:
;
; p0 = [5.7D, 2.2, 500., 1.5, 2000.]
; fa = {X:x, Y:y, ERR:err}
; p = mpfit('MYFUNCT', p0, functargs=fa)
;
; Minimizes sum of squares of MYFUNCT. MYFUNCT is called with the X,
; Y, and ERR keyword parameters that are given by FUNCTARGS. The
; resulting parameter values are returned in p.
;
;
; COMMON BLOCKS:
;
; COMMON MPFIT_ERROR, ERROR_CODE
;
; User routines may stop the fitting process at any time by
; setting an error condition. This condition may be set in either
; the user's model computation routine (MYFUNCT), or in the
; iteration procedure (ITERPROC).
;
; To stop the fitting, the above common block must be declared,
; and ERROR_CODE must be set to a negative number. After the user
; procedure or function returns, MPFIT checks the value of this
; common block variable and exits immediately if the error
; condition has been set. This value is also returned in the
; STATUS keyword: values of -1 through -15 are reserved error
; codes for the user routines. By default the value of ERROR_CODE
; is zero, indicating a successful function/procedure call.
;
; COMMON MPFIT_PROFILE
; COMMON MPFIT_MACHAR
; COMMON MPFIT_CONFIG
;
; These are undocumented common blocks are used internally by
; MPFIT and may change in future implementations.