RooFit::MultiProcess & TestStatistics part 5: RooGradMinimizerFcn

roofit/roofitcore/CMakeLists.txt

@@ -113,6 +113,7 @@ ROOT_STANDARD_LIBRARY_PACKAGE(RooFitCore
     RooGenFunction.h
     RooGenProdProj.h
     RooGlobalFunc.h
+    RooGradMinimizerFcn.h
     RooGrid.h
     RooHistError.h
     RooHistFunc.h
@@ -333,6 +334,7 @@ ROOT_STANDARD_LIBRARY_PACKAGE(RooFitCore
     src/RooGenFunction.cxx
     src/RooGenProdProj.cxx
     src/RooGlobalFunc.cxx
+    src/RooGradMinimizerFcn.cxx
     src/RooGrid.cxx
     src/RooHist.cxx
     src/RooHistError.cxx

roofit/roofitcore/inc/RooGradMinimizerFcn.h

@@ -0,0 +1,86 @@
+/*****************************************************************************
+ * Project: RooFit                                                           *
+ * Package: RooFitCore                                                       *
+ * @(#)root/roofitcore:$Id$
+ * Authors:                                                                  *
+ *   AL, Alfio Lazzaro,   INFN Milan,        alfio.lazzaro@mi.infn.it        *
+ *   PB, Patrick Bos,     NL eScience Center, p.bos@esciencecenter.nl        *
+ *   VC, Vince Croft,     DIANA / NYU,        vincent.croft@cern.ch          *
+ *                                                                           *
+ *                                                                           *
+ * Redistribution and use in source and binary forms,                        *
+ * with or without modification, are permitted according to the terms        *
+ * listed in LICENSE (http://roofit.sourceforge.net/license.txt)             *
+ *****************************************************************************/
+
+#ifndef ROO_GRAD_MINIMIZER_FCN
+#define ROO_GRAD_MINIMIZER_FCN
+
+#include "RooAbsMinimizerFcn.h"
+
+#include "Minuit2/MnStrategy.h"
+#include "Minuit2/MnMatrix.h" // MnAlgebraicVector
+#include "Math/IFunction.h"   // IMultiGradFunction
+#include "Fit/ParameterSettings.h"
+#include "Minuit2/NumericalDerivator.h"
+
+#include <vector>
+
+class RooGradMinimizerFcn : public ROOT::Math::IMultiGradFunction, public RooAbsMinimizerFcn {
+public:
+   RooGradMinimizerFcn(RooAbsReal *funct, RooMinimizer *context, bool verbose = false);
+   RooGradMinimizerFcn(const RooGradMinimizerFcn &other);
+   ROOT::Math::IMultiGradFunction *Clone() const override;
+
+   ROOT::Minuit2::MnStrategy getStrategy() const;
+   double getErrorDef() const;
+   void setStrategy(int istrat);
+
+   Bool_t Synchronize(std::vector<ROOT::Fit::ParameterSettings> &parameter_settings, Bool_t optConst,
+                      Bool_t verbose = kFALSE) override;
+
+   void synchronizeGradientParameterSettings(std::vector<ROOT::Fit::ParameterSettings> &parameter_settings) const;
+
+   inline bool returnsInMinuit2ParameterSpace() const override { return true; }
+   inline unsigned int NDim() const override { return getNDim(); }
+   inline void setStepTolerance(double step_tolerance) const { _gradf.SetStepTolerance(step_tolerance); }
+   inline void setGradTolerance(double grad_tolerance) const { _gradf.SetGradTolerance(grad_tolerance); }
+   inline void setNcycles(unsigned int ncycles) const { _gradf.SetNCycles(ncycles); }
+   inline void setErrorLevel(double error_level) const { _gradf.SetErrorLevel(error_level); }
+   inline std::string getFunctionName() const override { return _funct->GetName(); }
+   inline std::string getFunctionTitle() const override { return _funct->GetTitle(); }
+   inline void setOffsetting(Bool_t flag) override { _funct->enableOffsetting(flag); }
+
+private:
+   void runDerivator(unsigned int i_component) const;
+
+   void resetHasBeenCalculatedFlags() const;
+   bool syncParameter(double x, std::size_t ix) const;
+   bool syncParameters(const double *x) const;
+
+   inline void setOptimizeConstOnFunction(RooAbsArg::ConstOpCode opcode, Bool_t doAlsoTrackingOpt) override
+   {
+      _funct->constOptimizeTestStatistic(opcode, doAlsoTrackingOpt);
+   }
+
+public:
+   enum class GradientCalculatorMode { ExactlyMinuit2, AlmostMinuit2 };
+
+private:
+   // IMultiGradFunction overrides
+   double DoEval(const double *x) const override;
+   double DoDerivative(const double *x, unsigned int icoord) const override;
+
+   // members
+   // mutable because ROOT::Math::IMultiGradFunction::DoDerivative is const
+protected:
+   mutable std::vector<ROOT::Minuit2::DerivatorElement> _grad;
+   mutable std::vector<double> _grad_params;
+
+private:
+   mutable ROOT::Minuit2::NumericalDerivator _gradf;
+   RooAbsReal *_funct;
+   mutable std::vector<bool> has_been_calculated;
+   mutable bool none_have_been_calculated = false;
+};
+#endif

roofit/roofitcore/inc/RooMinimizer.h

@@ -6,6 +6,7 @@
  *   WV, Wouter Verkerke, UC Santa Barbara, verkerke@slac.stanford.edu       *
  *   DK, David Kirkby,    UC Irvine,         dkirkby@uci.edu                 *
  *   AL, Alfio Lazzaro,   INFN Milan,        alfio.lazzaro@mi.infn.it        *
+ *   PB, Patrick Bos,     NL eScience Center, p.bos@esciencecenter.nl        *
  *                                                                           *
  *                                                                           *
  * Redistribution and use in source and binary forms,                        *
@@ -16,6 +17,8 @@
 #ifndef ROO_MINIMIZER
 #define ROO_MINIMIZER
 
+#include <memory>  // shared_ptr, unique_ptr
+
 #include "TObject.h"
 #include "TStopwatch.h"
 #include <fstream>
@@ -24,8 +27,16 @@
 #include <utility>
 #include "TMatrixDSymfwd.h"
 
-#include "Fit/Fitter.h"
+#include "RooArgList.h" // cannot just use forward decl due to default argument in lastMinuitFit
+
 #include "RooMinimizerFcn.h"
+#include "RooGradMinimizerFcn.h"
+
+#include "RooSentinel.h"
+#include "RooMsgService.h"
+
+#include "Fit/Fitter.h"
+#include <stdexcept> // logic_error
 
 class RooAbsReal ;
 class RooFitResult ;
@@ -37,9 +48,11 @@ class RooPlot ;
 
 class RooMinimizer : public TObject {
 public:
+  enum class FcnMode { classic, gradient };
 
-  RooMinimizer(RooAbsReal& function) ;
-  virtual ~RooMinimizer() ;
+  explicit RooMinimizer(RooAbsReal &function, FcnMode fcnMode = FcnMode::classic);
+  static std::unique_ptr<RooMinimizer> create(RooAbsReal &function, FcnMode fcnMode = FcnMode::classic);
+  ~RooMinimizer() override;
 
   enum Strategy { Speed=0, Balance=1, Robustness=2 } ;
   enum PrintLevel { None=-1, Reduced=0, Normal=1, ExtraForProblem=2, Maximum=3 } ;
@@ -91,7 +104,10 @@ class RooMinimizer : public TObject {
 
   ROOT::Fit::Fitter* fitter() ;
   const ROOT::Fit::Fitter* fitter() const ;
-
+
+  ROOT::Math::IMultiGenFunction* getFitterMultiGenFcn() const;
+  ROOT::Math::IMultiGenFunction* getMultiGenFcn() const;
+
 protected:
 
   friend class RooAbsPdf ;
@@ -100,37 +116,38 @@ class RooMinimizer : public TObject {
   void profileStart() ;
   void profileStop() ;
 
-  inline Int_t getNPar() const { return fitterFcn()->NDim() ; }
+  inline Int_t getNPar() const { return fitterFcn()->getNDim() ; }
   inline std::ofstream* logfile() { return fitterFcn()->GetLogFile(); }
   inline Double_t& maxFCN() { return fitterFcn()->GetMaxFCN() ; }
-
-  const RooMinimizerFcn* fitterFcn() const {  return ( fitter()->GetFCN() ? ((RooMinimizerFcn*) fitter()->GetFCN()) : _fcn ) ; }
-  RooMinimizerFcn* fitterFcn() { return ( fitter()->GetFCN() ? ((RooMinimizerFcn*) fitter()->GetFCN()) : _fcn ) ; }
 
-private:
+  const RooAbsMinimizerFcn *fitterFcn() const;
+  RooAbsMinimizerFcn *fitterFcn();
 
-  Int_t       _printLevel ;
-  Int_t       _status ;
-  Bool_t      _profile ;
+  bool fitFcn() const;
 
-  Bool_t      _verbose ;
-  TStopwatch  _timer ;
-  TStopwatch  _cumulTimer ;
-  Bool_t      _profileStart ;
+private:
+  Int_t _printLevel = 1;
+  Int_t _status = -99;
+  Bool_t _profile = kFALSE;
+
+  Bool_t _verbose = kFALSE;
+  TStopwatch _timer;
+  TStopwatch _cumulTimer;
+  Bool_t _profileStart = kFALSE;
 
-  TMatrixDSym* _extV ;
+  TMatrixDSym *_extV = 0;
 
-  RooMinimizerFcn *_fcn;
-  std::string _minimizerType;
+  RooAbsMinimizerFcn *_fcn;
+  std::string _minimizerType = "Minuit";
+  FcnMode _fcnMode;
 
   static ROOT::Fit::Fitter *_theFitter ;
 
   std::vector<std::pair<std::string,int> > _statusHistory ;
 
   RooMinimizer(const RooMinimizer&) ;
 
-  ClassDef(RooMinimizer,0) // RooFit interface to ROOT::Fit::Fitter
+  ClassDefOverride(RooMinimizer,0) // RooFit interface to ROOT::Fit::Fitter
 } ;
 
-
 #endif