Fixed parameters for optimize

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Hi all,

Is there an easy way to hold parameters when using optimize, like the /H flag of curvefit?

I'd like to do a complex optimization that depends on >10 parameters and would like to allow the user to keep selected parameters fixed. Adding penalties for deviations from the initial guess kind of works, but this doesn't feel very clean to me.

The only way to hold a parameter during Optimize is to move it from the list of X values into the parameter wave. I see the value of being able to do that, since one common use for Optimize is to implement curve fitting by means other than least squares. It would be tricky to implement... I'll think about it.

November 29, 2022 at 11:25 am - Permalink

Thanks, that worked. If anyone is interested, a possible implementation is below.

Quick follow-up question: Is there a way to access the Hessian in case I'd like to implement error estimation?

// Wrapper function to enable holding of parameters in Optimize
Function OptimizeWrapper(Wave xw, String holdString)
    if(strlen(holdString) != numpnts(xw))
        abort "strlen(holdString) must be equal to npnts(xw)"
    endif
   
    //use hold string as a mask to split xw into xw and pw, later reassemble
    //pass holdString as bit mask as first parameter in pw to optimizing function.
    //optfunc will reassemble
   
    Make/O/N=0/FREE xw_split, pw_split
   
    Variable bitmask = 0
    Variable i
    for(i=0;i<strlen(holdString);i+=1)
        if(stringmatch(holdString[i], "0"))
            InsertPoints/V=(xw[i]) numpnts(xw_split), 1, xw_split
        elseif(stringmatch(holdString[i], "1"))
            InsertPoints/V=(xw[i]) numpnts(pw_split), 1, pw_split
            bitmask = bitmask | 2^i
        else
            abort "Illegal holdString"
        endif
    endfor
   
    InsertPoints/V=(bitmask) 0, 1, pw_split //store bitmask in pos 0 of pw

    Optimize/A/M={2,1}/D=4/X=xw_split/R=xw_split optFuncHoldWrap, pw_split //TODO: The wrapper now hard-codes the actual function that I'd like to optimize. How do I pass an optFunc FUNCREF to optFuncHoldWrap?
End

Function optFuncHoldWrap(Wave pw_split, Wave xw_split)
    Variable bitmask = pw_split[0]
    Variable numPar = numpnts(xw_split)+numpnts(pw_split)-1
   
    //Reassemble xw
    Make/O/FREE/N=0 xw, pw
    Variable i, cx=0, cp=0
    for(i=0;i<numPar;i+=1)
        if(bitmask & 2^i)
            InsertPoints/V=(pw_split[cp+1]) numpnts(xw), 1, xw
            cp+=1
        else
            InsertPoints/V=(xw_split[cx]) numpnts(xw), 1, xw
            cx+=1
        endif
    endfor
   
    return optFunc(pw, xw) //Hard-coded
End


Function optFunc(Wave pw, Wave xw)
 //(...)
End

 

December 1, 2022 at 06:23 am - Permalink

No, the Hessian is internal to the OPTIF9 package that we didn't write. It's pretty old FORTRAN code in the public domain. The Hessian is in there somewhere...

With a bit of effort you can write a Hessian function using finite differences if necessary. You have already shown ability to put in the effort!

December 1, 2022 at 01:09 pm - Permalink