// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics // // Copyright (c) 2009-2014 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. // using System; using System.Diagnostics; namespace IStation.Numerics.LinearAlgebra.Solvers { /// /// Monitors an iterative calculation for signs of divergence. /// public sealed class DivergenceStopCriterion : IIterationStopCriterion where T : struct, IEquatable, IFormattable { /// /// The maximum relative increase the residual may experience without triggering a divergence warning. /// double _maximumRelativeIncrease; /// /// The number of iterations over which a residual increase should be tracked before issuing a divergence warning. /// int _minimumNumberOfIterations; /// /// The status of the calculation /// IterationStatus _status = IterationStatus.Continue; /// /// The array that holds the tracking information. /// double[] _residualHistory; /// /// The iteration number of the last iteration. /// int _lastIteration = -1; /// /// Initializes a new instance of the class with the specified maximum /// relative increase and the specified minimum number of tracking iterations. /// /// The maximum relative increase that the residual may experience before a divergence warning is issued. /// The minimum number of iterations over which the residual must grow before a divergence warning is issued. public DivergenceStopCriterion(double maximumRelativeIncrease = 0.08, int minimumIterations = 10) { if (maximumRelativeIncrease <= 0) { throw new ArgumentOutOfRangeException(nameof(maximumRelativeIncrease)); } // There must be at least three iterations otherwise we can't calculate the relative increase if (minimumIterations < 3) { throw new ArgumentOutOfRangeException(nameof(minimumIterations)); } _maximumRelativeIncrease = maximumRelativeIncrease; _minimumNumberOfIterations = minimumIterations; } /// /// Gets or sets the maximum relative increase that the residual may experience before a divergence warning is issued. /// /// Thrown if the Maximum is set to zero or below. public double MaximumRelativeIncrease { [DebuggerStepThrough] get => _maximumRelativeIncrease; [DebuggerStepThrough] set { if (value <= 0) { throw new ArgumentOutOfRangeException(nameof(value)); } _maximumRelativeIncrease = value; } } /// /// Gets or sets the minimum number of iterations over which the residual must grow before /// issuing a divergence warning. /// /// Thrown if the value is set to less than one. public int MinimumNumberOfIterations { [DebuggerStepThrough] get => _minimumNumberOfIterations; [DebuggerStepThrough] set { // There must be at least three iterations otherwise we can't calculate // the relative increase if (value < 3) { throw new ArgumentOutOfRangeException(nameof(value)); } _minimumNumberOfIterations = value; } } /// /// Determines the status of the iterative calculation based on the stop criteria stored /// by the current . Result is set into Status field. /// /// The number of iterations that have passed so far. /// The vector containing the current solution values. /// The right hand side vector. /// The vector containing the current residual vectors. /// /// 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. /// public IterationStatus DetermineStatus(int iterationNumber, Vector solutionVector, Vector sourceVector, Vector residualVector) { if (iterationNumber < 0) { throw new ArgumentOutOfRangeException(nameof(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; } /// /// Detect if solution is diverging /// /// true if diverging, otherwise false 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; } /// /// Gets required history Length /// int RequiredHistoryLength { [DebuggerStepThrough] get => _minimumNumberOfIterations + 1; } /// /// Gets the current calculation status. /// public IterationStatus Status { [DebuggerStepThrough] get => _status; } /// /// Resets the to the pre-calculation state. /// public void Reset() { _status = IterationStatus.Continue; _lastIteration = -1; _residualHistory = null; } /// /// Clones the current and its settings. /// /// A new instance of the class. public IIterationStopCriterion Clone() { return new DivergenceStopCriterion(_maximumRelativeIncrease, _minimumNumberOfIterations); } } }