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gretl_bfgs.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_BFGS_H
#define GRETL_BFGS_H

typedef enum {
    BHHH_MAX,
    BFGS_MAX,
    LBFGS_MAX,
    LM_MAX
} OptimizerCode;

typedef double (*BFGS_CRIT_FUNC) (const double *, void *);
typedef int (*BFGS_GRAD_FUNC) (double *, double *, int, 
                         BFGS_CRIT_FUNC, void *);
typedef const double *(*BFGS_LLT_FUNC) (const double *, int, void *);
typedef int (*HESS_FUNC) (double *, gretl_matrix *, 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, 
            gretl_matrix *A0, 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 newton_raphson_max (double *b, int n, int maxit, 
                  double crittol, double gradtol, 
                  int *itercount, int crittype, 
                  BFGS_CRIT_FUNC cfunc,
                  BFGS_GRAD_FUNC gradfunc, 
                  HESS_FUNC hessfunc,
                  void *data, gretlopt opt, PRN *prn);

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

gretl_matrix *numerical_score_matrix (double *b, int k, int T,
                              BFGS_LLT_FUNC lltfun,
                              void *data, int *err);

int hessian_from_score (double *b, gretl_matrix *H,
                  BFGS_GRAD_FUNC gradfunc, 
                  BFGS_CRIT_FUNC cfunc,
                  void *data);

gretl_matrix *hessian_inverse_from_score (double *b, int n,
                                BFGS_GRAD_FUNC gradfunc,
                                BFGS_CRIT_FUNC cfunc,
                                void *data, int *err);

gretl_matrix *numerical_hessian_inverse (const double *b, int n, 
                               BFGS_CRIT_FUNC func, 
                               void *data, int *err);

double user_BFGS (gretl_matrix *b, 
              const char *fncall,
              const char *gradcall,
              DATASET *dset, 
              PRN *prn, 
              int *err);

double user_NR (gretl_matrix *b, 
            const char *fncall,
            const char *gradcall, 
            const char *hesscall,
            DATASET *dset,
            PRN *prn, 
            int *err);

gretl_matrix *fdjac (gretl_matrix *theta, const char *fncall,
                 DATASET *dset, int *err);

void BFGS_defaults (int *maxit, double *tol, int ci);

int optimizer_get_matrix_name (const char *fncall, char *name);

#endif /* GRETL_BFGS_H */

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