#
#MDSMAX  [x, fmax, nf] = MDSMAX(fun, x0, STOPIT, SAVIT) attempts to
#        maximize the function specified by the string fun, using the
#        starting vector x0.  The method of multi-directional search is used.
#        Output arguments:
#               x    = vector yielding largest function value found,
#               fmax = function value at x,
#               nf   = number of function evaluations.
#        The iteration is terminated when either
#               - the relative size of the simplex is <= STOPIT(1)
#                 (default 1e-3),
#               - STOPIT(2) function evaluations have been performed
#                 (default inf, i.e., no limit), or
#               - a function value equals or exceeds STOPIT(3)
#                 (default inf, i.e., no test on function values).
#        The form of the initial simplex is determined by STOPIT(4):
#           STOPIT(4) = 0: regular simplex (sides of equal length, the default)
#           STOPIT(4) = 1: right-angled simplex.
#        Progress of the iteration is not shown if STOPIT(5) = 0 (default 1).
#        If a non-empty fourth parameter string SAVIT is present, then
#        `SAVE SAVIT x fmax nf' is executed after each inner iteration.
#        NB: x0 can be a matrix.  In the output argument, in SAVIT saves,
#            and in function calls, x has the same shape as x0.

# This implementation uses 2n2 elements of storage (two simplices), where x0
# is an n-vector.  It is based on the algorithm statement in [2, sec.3],
# modified so as to halve the storage (with a slight loss in readability).

# References:
# [1] V.J. Torczon, Multi-directional search: A direct search algorithm for
#     parallel machines, Ph.D. Thesis, Rice University, Houston, Texas, 1989.
# [2] V.J. Torczon, On the convergence of the multi-directional search
#     algorithm, SIAM J. Optimization, 1 (1991), pp. 123-145.
# [3] N.J. Higham, Optimization by direct search in matrix computations,
#     Numerical Analysis Report No. 197, University of Manchester, UK, 1991;
#     to appear in SIAM J. Matrix Anal. Appl, 14 (2), April 1993.

# By Nick Higham, Department of Mathematics, University of Manchester, UK.
#                 na.nhigham@na-net.ornl.gov
# July 27, 1991.

#
# Translated to RLaB, Ian Searle
# Febuary 1994.
#

# Dependencies
required rem

mdsmax = function (fun, X, stopit, savit)
{
  global (eps)

  x = X;	# Copy input
  n = prod(size(x));
  x0 = x[:];	# Work with column vector internally.

  mu = 2;      # Expansion factor.
  theta = 0.5; # Contraction factor.

  # Set up convergence parameters etc.
  if (!exist(stopit)) { stopit[1] = 1e-3; }
  tol = stopit[1];  # Tolerance for cgce test based on relative size of simplex.
  if (max(size(stopit)) == 1) { stopit[2] = inf(); }	# Max no. of f-evaluations.
  if (max(size(stopit)) == 2) { stopit[3] = inf(); }	# Default target for f-values.
  if (max(size(stopit)) == 3) { stopit[4] = 0; }	# Default initial simplex.
  if (max(size(stopit)) == 4) { stopit[5] = 1; }	# Default: show progress.
  trace  = stopit[5];
  if (!exist(savit)) { savit = []; }			# File name for snapshots.

  V = [zeros(n,1), eye(n,n)]; T = V;
  f = zeros(n+1,1); ft = f;
  V[;1] = x0; 
  x = reshape (x0, x.nr, x.nc);
  f[1] = fun (x);
  fmax_old = f[1];

  if (trace) { printf("f(x0) = %9.4e\n", f[1]); }

  k = 0; m = 0;

  # Set up initial simplex.
  scale = max([norm(x0,"i"),1]);
  if (stopit[4] == 0)
  {
    # Regular simplex - all edges have same length.
    # Generated from construction given in reference [18, pp. 80-81] of [1].
    alpha = scale / (n*sqrt(2)) * [ sqrt(n+1)-1+n, sqrt(n+1)-1 ];
    V[;2:n+1] = (x0 + alpha[2]*ones(n,1)) * ones(1,n);
    for (j in 2:n+1)
    {
      V[j-1;j] = x0[j-1] + alpha[1];
      x = reshape (V[;j], x.nr, x.nc);
      f[j] = fun (x);
    }
  else
    # Right-angled simplex based on co-ordinate axes.
    alpha = scale*ones(n+1,1);
    for (j in 2:n+1)
    {
      V[;j] = x0 + alpha[j]*V[;j];
      x = reshape (V[;j], x.nr, x.nc);
      f[j] = fun (x);
    }
  }
  nf = n+1;
  msize = 0;		# Integer that keeps track of expansions/contractions.
  flag_break = 0;	# Flag which becomes true when ready to quit outer loop.

  while (1)	###### Outer loop.
  {
    k = k+1;

    # Find a new best vertex  x  and function value  fmax = f(x).
    fmax = max (f); j = maxi (f);
    V[;1,j] = V[;j,1]; 
    v1 = V[;1];
    if (!isempty(savit)) { x = reshape(v1, x,nr, x.nc); write ("savit", x,fmax,nf); }
    f[1,j] = f[j,1];
    if (trace)
    {
      printf("Iter. %2.0f,  inner = %2.0f,  size = %2.0f,  ", k, m, msize);
      printf("nf = %3.0f,  f = %9.4e  (%2.1f)\n", nf, fmax, ...
             100*(fmax-fmax_old)/(abs(fmax_old)+eps));
    }
    fmax_old = fmax;

    # Stopping Test 1 - f reached target value?
    if (fmax >= stopit[3])
    {
      msg = "Exceeded target...quitting\n";
      break  # Quit.
    }

    m = 0;
    while (1)   ### Inner repeat loop.
    {
      m = m+1;
  
      # Stopping Test 2 - too many f-evals?
      if (nf >= stopit[2])
      {
        msg = "Max no. of function evaluations exceeded...quitting\n";
        flag_break = 1; 
        break  # Quit.
      }
  
      # Stopping Test 3 - converged?   This is test (4.3) in [1].
      size_simplex = norm(V[;2:n+1] - v1[;ones(1,n)],"1") / max([1, norm(v1,"1")]);
      if (size_simplex <= tol)
      {
        sprintf(msg, "Simplex size %9.4e <= %9.4e...quitting\n", ...
                size_simplex, tol);
        flag_break = 1; 
        break  # Quit.
      }
  
      for (j in 2:n+1)      # ---Rotation (reflection) step.
      {
        T[;j] = 2*v1 - V[;j];
        x = reshape (T[;j], x.nr, x.nc);
        ft[j] = fun (x);
      }
      nf = nf + n;
  
      replaced = ( max(ft[2:n+1]) > fmax );
  
      if (replaced)
      {
        for (j in 2:n+1)	# ---Expansion step.
        {
          V[;j] = (1-mu)*v1 + mu*T[;j];
          x = reshape (V[;j], x.nr, x.nc);
          f[j] = fun (x);
        }
        nf = nf + n;
        # Accept expansion or rotation?
        if (max(ft[2:n+1]) > max(f[2:n+1]))
        {
          V[;2:n+1] = T[;2:n+1];
          f[2:n+1] = ft[2:n+1];	# Accept rotation.
        else
          msize = msize + 1;	# Accept expansion (f and V already set).
        }
      else
        for (j in 2:n+1)	# ---Contraction step.
        {
          V[;j] = (1+theta)*v1 - theta*T[;j];
          x = reshape (V[;j], x.nr, x.nc);
          f[j] = fun (x);
        }
        nf = nf + n;
        replaced = ( max(f[2:n+1]) > fmax );
        # Accept contraction (f and V already set).
        msize = msize - 1;
      }
  
      if (replaced) { break }
      if (trace && rem(m,10) == 0) 
      { 
        printf("        ...inner = %2.0f...\n",m);
      }
    }		### Of inner repeat loop.

    if (flag_break) { break }

  }	###### Of outer loop.

  # Finished.
  if (trace) { printf(msg); }
  x = reshape (v1, x.nr, x.nc);

  return << x = x; fmax = fmax; nf = nf>>;
};
