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nls.h

/* 
 *  gretl -- Gnu Regression, Econometrics and Time-series Library
 *  Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti
 * 
 *  This program is free software: you can redistribute it and/or modify
 *  it under the terms of the GNU General Public License as published by
 *  the Free Software Foundation, either version 3 of the License, or
 *  (at your option) any later version.
 * 
 *  This program is distributed in the hope that it will be useful,
 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU General Public License for more details.
 * 
 *  You should have received a copy of the GNU General Public License
 *  along with this program.  If not, see <http://www.gnu.org/licenses/>.
 * 
 */

#ifndef GRETL_NLS_H
#define GRETL_NLS_H

typedef struct _nlspec nlspec;

typedef double (*BFGS_CRIT_FUNC) (const double *, void *);
typedef int (*BFGS_GRAD_FUNC) (double *, double *, int, 
                         BFGS_CRIT_FUNC, void *);
typedef double *(*BFGS_SCORE_FUNC) (const double *, int, void *);

enum {
    C_LOGLIK,
    C_GMM,
    C_OTHER
};

nlspec *nlspec_new (int ci, const DATAINFO *pdinfo);

void nlspec_destroy (nlspec *spec);

int 
nlspec_add_param_with_deriv (nlspec *spec, 
                       const char *dstr,
                       const double **Z, 
                       const DATAINFO *pdinfo);

int nlspec_add_param_list (nlspec *spec, const int *list,
                     const double **Z, const DATAINFO *pdinfo);

int 
nlspec_set_regression_function (nlspec *spec, 
                        const char *fnstr, 
                        const DATAINFO *pdinfo);

void nlspec_set_t1_t2 (nlspec *spec, int t1, int t2);

int nls_parse_line (int ci, const char *line, const double **Z,
                const DATAINFO *pdinfo, PRN *prn);

MODEL nls (double ***pZ, DATAINFO *pdinfo, gretlopt opt, PRN *prn);

MODEL model_from_nlspec (nlspec *spec, double ***pZ, 
                   DATAINFO *pdinfo, gretlopt opt, 
                   PRN *prn);

double get_default_nls_toler (void);

int BFGS_max (double *b, int n, int maxit, double reltol,
            int *fncount, int *grcount, BFGS_CRIT_FUNC cfunc, 
            int crittype, BFGS_GRAD_FUNC gradfunc, void *data, 
            gretlopt opt, PRN *prn);

int LBFGS_max (double *b, int n, int maxit, double reltol,
             int *fncount, int *grcount, BFGS_CRIT_FUNC cfunc, 
             int crittype, BFGS_GRAD_FUNC gradfunc, void *data, 
             gretlopt opt, PRN *prn);

int BFGS_numeric_gradient (double *b, double *g, int n,
                     BFGS_CRIT_FUNC func, void *data);

gretl_matrix *build_OPG_matrix (double *b, int k, int T,
                        BFGS_SCORE_FUNC scorefun,
                        void *data, int *err);

double *numerical_hessian (double *b, int n, BFGS_CRIT_FUNC func, 
                     void *data, int *err);

double user_BFGS (gretl_matrix *b, const char *fncall,
              double ***pZ, DATAINFO *pdinfo,
              PRN *prn, int *err);

gretl_matrix *fdjac (gretl_matrix *theta, const char *fncall,
                 double ***pZ, DATAINFO *pdinfo,
                 int *err);

#endif /* GRETL_NLS_H */

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