I am trying to fit a curve to a set of points with GSL. I am not very experienced with GSL and took help from chatGPT for the same. But the code isnt compiling, and after a while i felt like was talking to a doorknob. I was wondering someone can help me out.
I am trying to fit a ridge regression but with the additional constraint that the difference between the params of the curve are also minimized.
#include <iostream>
#include <vector>
#include <gsl/gsl_multifit.h>
// Ridge loss function with regularization term and parameter difference constraints
int ridge_loss_with_constraints(const gsl_vector* x, void* params, gsl_vector* f) {
gsl_vector* c = (gsl_vector*)params; // Coefficients (a, b, c) at time t2
gsl_vector* c_t1 = (gsl_vector*)params + 3; // Coefficients (a_t1, b_t1, c_t1) at time t1
double a = gsl_vector_get(c, 0);
double b = gsl_vector_get(c, 1);
double c_val = gsl_vector_get(c, 2);
double a_t1 = gsl_vector_get(c_t1, 0);
double b_t1 = gsl_vector_get(c_t1, 1);
double c_t1_val = gsl_vector_get(c_t1, 2);
double lambda = 0.1; // Regularization parameter
double regularization_term = lambda * (a * a + b * b + c_val * c_val);
// Calculate squared differences between parameters at t1 and t2
double diff_a = a - a_t1;
double diff_b = b - b_t1;
double diff_c = c_val - c_t1_val;
double parameter_difference_term = diff_a * diff_a + diff_b * diff_b + diff_c * diff_c;
// Calculate the fitted values using the current parameters
for (size_t i = 0; i < x->size; ++i) {
double xi = gsl_vector_get(x, i);
double fitted_y = a * xi * xi + b * xi + c_val;
gsl_vector_set(f, i, fitted_y + regularization_term + parameter_difference_term);
}
return GSL_SUCCESS;
}
int main() {
// Sample data points (x, y)
std::vector<double> x_data = {1.0, 2.0, 3.0, 4.0, 5.0};
std::vector<double> y_data = {2.5, 3.7, 4.8, 5.9, 7.1};
// Number of data points
size_t n = x_data.size();
// Define the dependent variable vector 'y'
gsl_vector* y = gsl_vector_alloc(n);
for (size_t i = 0; i < n; ++i) {
gsl_vector_set(y, i, y_data[i]);
}
// Initialize the coefficient vectors for time t2 and t1
gsl_vector* c = gsl_vector_alloc(3); // Coefficients (a, b, c) at time t2
gsl_vector* c_t1 = gsl_vector_alloc(3); // Coefficients (a_t1, b_t1, c_t1) at time t1
// Set coefficients at time t1 (replace with actual values)
gsl_vector_set(c_t1, 0, 1/* a_t1 value */);
gsl_vector_set(c_t1, 1, 1/* b_t1 value */);
gsl_vector_set(c_t1, 2, 1/* c_t1 value */);
// Combine the coefficient vectors for use in the ridge_loss_with_constraints function
gsl_vector* combined_params = gsl_vector_alloc(6); // [a, b, c, a_t1, b_t1, c_t1]
for (size_t i = 0; i < 3; ++i) {
gsl_vector_set(combined_params, i, gsl_vector_get(c, i));
gsl_vector_set(combined_params, i + 3, gsl_vector_get(c_t1, i));
}
// Initialize the fitting function
gsl_multifit_function f;
f.f = ridge_loss_with_constraints;
f.n = n;
f.p = 3;
f.params = combined_params;
// Perform the fit using the Levenberg-Marquardt optimization algorithm
gsl_multifit_fdfsolver* solver = gsl_multifit_fdfsolver_alloc(gsl_multifit_fdfsolver_lmsder, n, 3);
gsl_multifit_fdfsolver_set(solver, &f, c);
// Print the results
std::cout << "Fitted coefficients with L2 regularization and constraints: Intercept = "
<< gsl_vector_get(c, 0) << ", Slope = " << gsl_vector_get(c, 1) << ", c-term = " << gsl_vector_get(c, 2) << std::endl;
// Free GSL objects
gsl_vector_free(y);
gsl_vector_free(c);
gsl_vector_free(c_t1);
gsl_vector_free(combined_params);
gsl_multifit_fdfsolver_free(solver);
return 0;
}
I am compiling with the following
g++ -o my_program ridge_regression3.cpp -lgsl -lgslcblas -lm -O3
Some of the errors I get are:
ridge_regression3.cpp: In function ‘int main()’:
ridge_regression3.cpp:68:5: error: ‘gsl_multifit_function’ was not declared in this scope; did you mean ‘gsl_multifit_linear’?
68 | gsl_multifit_function f;
| ^~~~~~~~~~~~~~~~~~~~~
| gsl_multifit_linear
ridge_regression3.cpp:69:5: error: ‘f’ was not declared in this scope
69 | f.f = ridge_loss_with_constraints;
| ^
ridge_regression3.cpp:75:5: error: ‘gsl_multifit_fdfsolver’ was not declared in this scope; did you mean ‘gsl_multifit_robust’?
75 | gsl_multifit_fdfsolver* solver = gsl_multifit_fdfsolver_alloc(gsl_multifit_fdfsolver_lmsder, n, 3);
| ^~~~~~~~~~~~~~~~~~~~~~
| gsl_multifit_robust
ridge_regression3.cpp:75:29: error: ‘solver’ was not declared in this scope
75 | gsl_multifit_fdfsolver* solver = gsl_multifit_fdfsolver_alloc(gsl_multifit_fdfsolver_lmsder, n, 3);
| ^~~~~~
ridge_regression3.cpp:75:67: error: ‘gsl_multifit_fdfsolver_lmsder’ was not declared in this scope
75 | gsl_multifit_fdfsolver* solver = gsl_multifit_fdfsolver_alloc(gsl_multifit_fdfsolver_lmsder, n, 3);
| ^~~~~~~~~~~~~~~~~~~~~~~~~~~~~
ridge_regression3.cpp:75:38: error: ‘gsl_multifit_fdfsolver_alloc’ was not declared in this scope; did you mean ‘gsl_multifit_robust_alloc’?
75 | gsl_multifit_fdfsolver* solver = gsl_multifit_fdfsolver_alloc(gsl_multifit_fdfsolver_lmsder, n, 3);
| ^~~~~~~~~~~~~~~~~~~~~~~~~~~~
| gsl_multifit_robust_alloc
ridge_regression3.cpp:76:5: error: ‘gsl_multifit_fdfsolver_set’ was not declared in this scope; did you mean ‘gsl_multifit_robust_est’?
76 | gsl_multifit_fdfsolver_set(solver, &f, c);
| ^~~~~~~~~~~~~~~~~~~~~~~~~~
| gsl_multifit_robust_est
ridge_regression3.cpp:87:5: error: ‘gsl_multifit_fdfsolver_free’ was not declared in this scope; did you mean ‘gsl_multifit_robust_free’?
87 | gsl_multifit_fdfsolver_free(solver);
| ^~~~~~~~~~~~~~~~~~~~~~~~~~~
| gsl_multifit_robust_free
I tried reading the documentation here but there is a lot which I dont understand.
Thanks in advance.
