MATH-924

Avoid memory exhaustion for large number of unclorrelated observations.


git-svn-id: https://svn.apache.org/repos/asf/commons/proper/math/trunk@1426759 13f79535-47bb-0310-9956-ffa450edef68

src/main/java/org/apache/commons/math3/optimization/Weight.java

@@ -18,7 +18,7 @@
 package org.apache.commons.math3.optimization;
 
 import org.apache.commons.math3.linear.RealMatrix;
-import org.apache.commons.math3.linear.Array2DRowRealMatrix;
+import org.apache.commons.math3.linear.DiagonalMatrix;
 import org.apache.commons.math3.linear.NonSquareMatrixException;
 
 /**
@@ -41,11 +41,7 @@ public class Weight implements OptimizationData {
      * @param weight List of the values of the diagonal.
      */
     public Weight(double[] weight) {
-        final int dim = weight.length;
+        weightMatrix = new DiagonalMatrix(weight);
-        weightMatrix = new Array2DRowRealMatrix(dim, dim);
-        for (int i = 0; i < dim; i++) {
-            weightMatrix.setEntry(i, i, weight[i]);
-        }
     }
 
     /**

src/main/java/org/apache/commons/math3/optimization/general/AbstractLeastSquaresOptimizer.java

@@ -26,6 +26,7 @@ import org.apache.commons.math3.exception.NumberIsTooSmallException;
 import org.apache.commons.math3.exception.util.LocalizedFormats;
 import org.apache.commons.math3.linear.ArrayRealVector;
 import org.apache.commons.math3.linear.RealMatrix;
+import org.apache.commons.math3.linear.DiagonalMatrix;
 import org.apache.commons.math3.linear.DecompositionSolver;
 import org.apache.commons.math3.linear.MatrixUtils;
 import org.apache.commons.math3.linear.QRDecomposition;
@@ -558,7 +559,16 @@ public abstract class AbstractLeastSquaresOptimizer
      * @return the square-root of the weight matrix.
      */
     private RealMatrix squareRoot(RealMatrix m) {
-        final EigenDecomposition dec = new EigenDecomposition(m);
+        if (m instanceof DiagonalMatrix) {
-        return dec.getSquareRoot();
+            final int dim = m.getRowDimension();
+            final RealMatrix sqrtM = new DiagonalMatrix(dim);
+            for (int i = 0; i < dim; i++) {
+               sqrtM.setEntry(i, i, FastMath.sqrt(m.getEntry(i, i)));
+            }
+            return sqrtM;
+        } else {
+            final EigenDecomposition dec = new EigenDecomposition(m);
+            return dec.getSquareRoot();
+        }
     }
 }

src/test/java/org/apache/commons/math3/optimization/fitting/PolynomialFitterTest.java

@@ -223,6 +223,33 @@ public class PolynomialFitterTest {
         checkUnsolvableProblem(new GaussNewtonOptimizer(true, new SimpleVectorValueChecker(1e-15, 1e-15)), false);
     }
 
+    @Test
+    public void testLargeSample() {
+        Random randomizer = new Random(0x5551480dca5b369bl);
+        double maxError = 0;
+        for (int degree = 0; degree < 10; ++degree) {
+            PolynomialFunction p = buildRandomPolynomial(degree, randomizer);
+
+            PolynomialFitter fitter = new PolynomialFitter(new LevenbergMarquardtOptimizer());
+            for (int i = 0; i < 40000; ++i) {
+                double x = -1.0 + i / 20000.0;
+                fitter.addObservedPoint(1.0, x,
+                                        p.value(x) + 0.1 * randomizer.nextGaussian());
+            }
+
+            final double[] init = new double[degree + 1];
+            PolynomialFunction fitted = new PolynomialFunction(fitter.fit(init));
+
+            for (double x = -1.0; x < 1.0; x += 0.01) {
+                double error = FastMath.abs(p.value(x) - fitted.value(x)) /
+                              (1.0 + FastMath.abs(p.value(x)));
+                maxError = FastMath.max(maxError, error);
+                Assert.assertTrue(FastMath.abs(error) < 0.01);
+            }
+        }
+        Assert.assertTrue(maxError > 0.001);
+    }
+
     private void checkUnsolvableProblem(DifferentiableMultivariateVectorOptimizer optimizer,
                                         boolean solvable) {
         Random randomizer = new Random(1248788532l);