MATH-887
Deprecated "protected" fields. Created new methods (that take arguments and return a value) to replace those that operate on protected fields. Removed call to deprecated methods in unit tests. Added public method "setCost" to replace the direct assignment to a protected field. git-svn-id: https://svn.apache.org/repos/asf/commons/proper/math/trunk@1407010 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Gilles Sadowski
parent
b65cad05b9
commit
54cfc6ce0a
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@ -26,7 +26,6 @@ import org.apache.commons.math3.exception.NumberIsTooSmallException;
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import org.apache.commons.math3.exception.util.LocalizedFormats;
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import org.apache.commons.math3.linear.ArrayRealVector;
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import org.apache.commons.math3.linear.RealMatrix;
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import org.apache.commons.math3.linear.Array2DRowRealMatrix;
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import org.apache.commons.math3.linear.DecompositionSolver;
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import org.apache.commons.math3.linear.MatrixUtils;
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import org.apache.commons.math3.linear.QRDecomposition;
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@ -61,7 +60,11 @@ import org.apache.commons.math3.util.FastMath;
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public abstract class AbstractLeastSquaresOptimizer
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extends BaseAbstractMultivariateVectorOptimizer<DifferentiableMultivariateVectorFunction>
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implements DifferentiableMultivariateVectorOptimizer {
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/** Singularity threshold (cf. {@link #getCovariances(double)}). */
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/**
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* Singularity threshold (cf. {@link #getCovariances(double)}).
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* @deprecated As of 3.1.
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*/
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@Deprecated
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private static final double DEFAULT_SINGULARITY_THRESHOLD = 1e-14;
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/**
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* Jacobian matrix of the weighted residuals.
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@ -69,19 +72,41 @@ public abstract class AbstractLeastSquaresOptimizer
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* {@link #updateJacobian()}, but may be modified by the solver
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* in the derived class (the {@link LevenbergMarquardtOptimizer
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* Levenberg-Marquardt optimizer} does this).
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* @deprecated As of 3.1. To be removed in 4.0. Please use
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* {@link #computeJacobian(double[])} instead.
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*/
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@Deprecated
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protected double[][] weightedResidualJacobian;
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/** Number of columns of the jacobian matrix. */
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/** Number of columns of the jacobian matrix.
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* @deprecated As of 3.1.
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*/
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@Deprecated
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protected int cols;
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/** Number of rows of the jacobian matrix. */
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/** Number of rows of the jacobian matrix.
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* @deprecated As of 3.1.
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*/
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@Deprecated
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protected int rows;
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/** Current point. */
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/** Current point.
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* @deprecated As of 3.1.
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*/
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@Deprecated
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protected double[] point;
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/** Current objective function value. */
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/** Current objective function value.
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* @deprecated As of 3.1.
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*/
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@Deprecated
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protected double[] objective;
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/** Weighted residuals */
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/** Weighted residuals
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* @deprecated As of 3.1.
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*/
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@Deprecated
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protected double[] weightedResiduals;
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/** Cost value (square root of the sum of the residuals). */
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/** Cost value (square root of the sum of the residuals).
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* @deprecated As of 3.1. Field to become "private" in 4.0.
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* Please use {@link #setCost(double)}.
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*/
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@Deprecated
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protected double cost;
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/** Objective function derivatives. */
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private MultivariateDifferentiableVectorFunction jF;
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@ -118,23 +143,39 @@ public abstract class AbstractLeastSquaresOptimizer
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*
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* @throws DimensionMismatchException if the Jacobian dimension does not
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* match problem dimension.
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* @deprecated As of 3.1. Please use {@link #computeJacobian(double[])}
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* instead.
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*/
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@Deprecated
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protected void updateJacobian() {
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computeJacobian(point);
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}
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/**
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* Computes the Jacobian matrix.
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*
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* @param params Model parameters at which to compute the Jacobian.
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* @return the weighted Jacobian: -(W<sup>1/2</sup> J).
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* @throws DimensionMismatchException if the Jacobian dimension does not
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* match problem dimension.
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* @since 3.1
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*/
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protected RealMatrix computeJacobian(double[] params) {
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++jacobianEvaluations;
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DerivativeStructure[] dsPoint = new DerivativeStructure[point.length];
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for (int i = 0; i < point.length; ++i) {
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dsPoint[i] = new DerivativeStructure(point.length, 1, i, point[i]);
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}
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DerivativeStructure[] dsValue = jF.value(dsPoint);
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if (dsValue.length != rows) {
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throw new DimensionMismatchException(dsValue.length, rows);
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final DerivativeStructure[] dsPoint = new DerivativeStructure[params.length];
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final int nC = params.length;
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for (int i = 0; i < nC; ++i) {
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dsPoint[i] = new DerivativeStructure(nC, 1, i, params[i]);
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}
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final DerivativeStructure[] dsValue = jF.value(dsPoint);
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final int nR = getTarget().length;
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final int nC = point.length;
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if (dsValue.length != nR) {
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throw new DimensionMismatchException(dsValue.length, nR);
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}
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final double[][] jacobianData = new double[nR][nC];
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for (int i = 0; i < nR; ++i) {
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int[] orders = new int[point.length];
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int[] orders = new int[nC];
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for (int j = 0; j < nC; ++j) {
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orders[j] = 1;
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jacobianData[i][j] = dsValue[i].getPartialDerivative(orders);
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@ -142,8 +183,15 @@ public abstract class AbstractLeastSquaresOptimizer
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}
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}
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weightedResidualJacobian
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= weightMatrixSqrt.multiply(MatrixUtils.createRealMatrix(jacobianData)).scalarMultiply(-1).getData();
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// XXX What is the purpose of the multiplication by -1?
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final RealMatrix weightedJacobian
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= weightMatrixSqrt.multiply(MatrixUtils.createRealMatrix(jacobianData)).scalarMultiply(-1);
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// XXX For backwards-compatibility (field "weightedResidualJacobian"
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// must be removed in 4.0).
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weightedResidualJacobian = weightedJacobian.getData();
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return weightedJacobian;
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}
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/**
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@ -152,18 +200,36 @@ public abstract class AbstractLeastSquaresOptimizer
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* problem dimension.
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* @throws org.apache.commons.math3.exception.TooManyEvaluationsException
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* if the maximal number of evaluations is exceeded.
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* @deprecated As of 3.1. Please use {@link #computeResiduals(double[])},
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* {@link #computeObjectiveValue(double[])} and {@link #computeCost(double[])}
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* instead.
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*/
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@Deprecated
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protected void updateResidualsAndCost() {
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final double[] res = computeResidual(point);
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final ArrayRealVector residuals = new ArrayRealVector(res);
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final RealMatrix weight = getWeight();
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objective = computeObjectiveValue(point);
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final double[] res = computeResiduals(objective);
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// Compute cost.
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cost = FastMath.sqrt(residuals.dotProduct(weight.operate(residuals)));
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// Compute weighted residuals.
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cost = computeCost(res);
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// Compute weighted residuals. XXX To be moved to "LevenbergMarquardtOptimizer".
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final ArrayRealVector residuals = new ArrayRealVector(res);
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weightedResiduals = weightMatrixSqrt.operate(residuals).toArray();
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}
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/**
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* Computes the cost.
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*
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* @param residuals Residuals.
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* @return the cost.
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* @see #computeResiduals(double[])
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* @since 3.1
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*/
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protected double computeCost(double[] residuals) {
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final ArrayRealVector r = new ArrayRealVector(residuals);
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return FastMath.sqrt(r.dotProduct(getWeight().operate(r)));
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}
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/**
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* Get the Root Mean Square value.
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* Get the Root Mean Square value, i.e. the root of the arithmetic
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@ -188,15 +254,27 @@ public abstract class AbstractLeastSquaresOptimizer
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return cost * cost;
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}
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/**
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* Sets the cost.
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*
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* @param cost Cost value.
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* @since 3.1
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*/
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public void setCost(double cost) {
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this.cost = cost;
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}
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/**
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* Get the covariance matrix of the optimized parameters.
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*
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* @return the covariance matrix.
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* @throws org.apache.commons.math3.linear.SingularMatrixException
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* if the covariance matrix cannot be computed (singular problem).
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*
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* @see #getCovariances(double)
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* @deprecated As of 3.1. Please use {@link #computeCovariances(double[],double)}
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* instead.
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*/
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@Deprecated
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public double[][] getCovariances() {
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return getCovariances(DEFAULT_SINGULARITY_THRESHOLD);
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}
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@ -215,14 +293,37 @@ public abstract class AbstractLeastSquaresOptimizer
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* @return the covariance matrix.
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* @throws org.apache.commons.math3.linear.SingularMatrixException
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* if the covariance matrix cannot be computed (singular problem).
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* @deprecated As of 3.1. Please use {@link #computeCovariances(double[],double)}
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* instead.
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*/
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@Deprecated
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public double[][] getCovariances(double threshold) {
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// Set up the jacobian.
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updateJacobian();
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return computeCovariances(point, threshold);
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}
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/**
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* Get the covariance matrix of the optimized parameters.
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* <br/>
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* Note that this operation involves the inversion of the
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* <code>J<sup>T</sup>J</code> matrix, where {@code J} is the
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* Jacobian matrix.
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* The {@code threshold} parameter is a way for the caller to specify
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* that the result of this computation should be considered meaningless,
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* and thus trigger an exception.
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*
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* @param params Model parameters.
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* @param threshold Singularity threshold.
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* @return the covariance matrix.
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* @throws org.apache.commons.math3.linear.SingularMatrixException
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* if the covariance matrix cannot be computed (singular problem).
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*/
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public double[][] computeCovariances(double[] params,
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double threshold) {
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// Set up the Jacobian.
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final RealMatrix j = computeJacobian(params);
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// Compute transpose(J)J.
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final RealMatrix wrj = new Array2DRowRealMatrix(weightedResidualJacobian);
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final RealMatrix jTj = wrj.transpose().multiply(wrj);
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final RealMatrix jTj = j.transpose().multiply(j);
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// Compute the covariances matrix.
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final DecompositionSolver solver
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@ -255,9 +356,9 @@ public abstract class AbstractLeastSquaresOptimizer
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* @throws NumberIsTooSmallException if the number of degrees of freedom is not
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* positive, i.e. the number of measurements is less or equal to the number of
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* parameters.
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* @deprecated as of version 3.1, {@link #getSigma()} should be used
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* instead. It should be emphasized that {@link #guessParametersErrors()} and
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* {@link #getSigma()} are <em>not</em> strictly equivalent.
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* @deprecated as of version 3.1, {@link #computeSigma(double[],double)} should be used
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* instead. It should be emphasized that {@code guessParametersErrors} and
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* {@code computeSigma} are <em>not</em> strictly equivalent.
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*/
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@Deprecated
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public double[] guessParametersErrors() {
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@ -267,7 +368,7 @@ public abstract class AbstractLeastSquaresOptimizer
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}
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double[] errors = new double[cols];
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final double c = FastMath.sqrt(getChiSquare() / (rows - cols));
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double[][] covar = getCovariances();
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double[][] covar = computeCovariances(point, 1e-14);
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for (int i = 0; i < errors.length; ++i) {
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errors[i] = FastMath.sqrt(covar[i][i]) * c;
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}
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@ -275,22 +376,25 @@ public abstract class AbstractLeastSquaresOptimizer
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}
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/**
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* <p>
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* Returns an estimate of the standard deviation of the parameters. The
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* Computes an estimate of the standard deviation of the parameters. The
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* returned values are the square root of the diagonal coefficients of the
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* covariance matrix, {@code sd(a[i]) ~= sqrt(C[i][i])}, where {@code a[i]}
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* is the optimized value of the {@code i}-th parameter, and {@code C} is
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* the covariance matrix.
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* </p>
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*
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* @param params Model parameters.
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* @param covarianceSingularityThreshold Singularity threshold (see
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* {@link #computeCovariances(double[],double) computeCovariances}).
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* @return an estimate of the standard deviation of the optimized parameters
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* @throws org.apache.commons.math3.linear.SingularMatrixException
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* if the covariance matrix cannot be computed.
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*/
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public double[] getSigma() {
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final double[] sig = new double[cols];
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final double[][] cov = getCovariances();
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for (int i = 0; i < sig.length; ++i) {
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public double[] computeSigma(double[] params,
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double covarianceSingularityThreshold) {
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final int nC = params.length;
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final double[] sig = new double[nC];
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final double[][] cov = computeCovariances(params, covarianceSingularityThreshold);
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for (int i = 0; i < nC; ++i) {
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sig[i] = FastMath.sqrt(cov[i][i]);
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}
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return sig;
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@ -409,6 +513,36 @@ public abstract class AbstractLeastSquaresOptimizer
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cols = point.length;
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}
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/**
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* Computes the residuals.
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* The residual is the difference between the observed (target)
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* values and the model (objective function) value.
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* There is one residual for each element of the vector-valued
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* function.
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*
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* @param objectiveValue Value of the the objective function. This is
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* the value returned from a call to
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* {@link #computeObjectiveValue(double[]) computeObjectiveValue}
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* (whose array argument contains the model parameters).
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* @return the residuals.
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* @throws DimensionMismatchException if {@code params} has a wrong
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* length.
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*/
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protected double[] computeResiduals(double[] objectiveValue) {
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final double[] target = getTarget();
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if (objectiveValue.length != target.length) {
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throw new DimensionMismatchException(target.length,
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objectiveValue.length);
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}
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final double[] residuals = new double[target.length];
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for (int i = 0; i < target.length; i++) {
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residuals[i] = target[i] - objectiveValue[i];
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}
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return residuals;
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}
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/**
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* Computes the square-root of the weight matrix.
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*
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@ -419,34 +553,4 @@ public abstract class AbstractLeastSquaresOptimizer
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final EigenDecomposition dec = new EigenDecomposition(m);
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return dec.getSquareRoot();
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}
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/**
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* Computes the residuals.
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* The residual is the difference between the observed (target)
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* values and the model (objective function) value, for the given
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* parameters.
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* There is one residual for each element of the vector-valued
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* function.
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*
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* @param params Parameters of the model.
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* @return the residuals.
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* @throws DimensionMismatchException if {@code params} has a wrong
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* length.
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*/
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private double[] computeResidual(double[] params) {
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if (params.length != getStartPoint().length) {
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throw new DimensionMismatchException(params.length,
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getStartPoint().length);
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}
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objective = computeObjectiveValue(params);
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final double[] target = getTarget();
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final double[] residuals = new double[target.length];
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for (int i = 0; i < target.length; i++) {
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residuals[i] = target[i] - objective[i];
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}
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return residuals;
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}
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}
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@ -364,14 +364,11 @@ public abstract class AbstractLeastSquaresOptimizerAbstractTest {
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Assert.assertEquals(69.96016176931406, circle.getRadius(center), 1.0e-6);
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Assert.assertEquals(96.07590211815305, center.getX(), 1.0e-6);
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Assert.assertEquals(48.13516790438953, center.getY(), 1.0e-6);
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double[][] cov = optimizer.getCovariances();
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double[][] cov = optimizer.computeCovariances(optimum.getPoint(), 1e-14);
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Assert.assertEquals(1.839, cov[0][0], 0.001);
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Assert.assertEquals(0.731, cov[0][1], 0.001);
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Assert.assertEquals(cov[0][1], cov[1][0], 1.0e-14);
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Assert.assertEquals(0.786, cov[1][1], 0.001);
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double[] errors = optimizer.guessParametersErrors();
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Assert.assertEquals(1.384, errors[0], 0.001);
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Assert.assertEquals(0.905, errors[1], 0.001);
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// add perfect measurements and check errors are reduced
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double r = circle.getRadius(center);
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@ -382,15 +379,12 @@ public abstract class AbstractLeastSquaresOptimizerAbstractTest {
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Arrays.fill(target, 0.0);
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double[] weights = new double[circle.getN()];
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Arrays.fill(weights, 2.0);
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optimizer.optimize(100, circle, target, weights, new double[] { 98.680, 47.345 });
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cov = optimizer.getCovariances();
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optimum = optimizer.optimize(100, circle, target, weights, new double[] { 98.680, 47.345 });
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cov = optimizer.computeCovariances(optimum.getPoint(), 1e-14);
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Assert.assertEquals(0.0016, cov[0][0], 0.001);
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Assert.assertEquals(3.2e-7, cov[0][1], 1.0e-9);
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Assert.assertEquals(cov[0][1], cov[1][0], 1.0e-14);
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Assert.assertEquals(0.0016, cov[1][1], 0.001);
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errors = optimizer.guessParametersErrors();
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Assert.assertEquals(0.004, errors[0], 0.001);
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Assert.assertEquals(0.004, errors[1], 0.001);
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}
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@Test
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@ -481,16 +475,11 @@ public abstract class AbstractLeastSquaresOptimizerAbstractTest {
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optimum = optimizer.optimize(100, problem, data[1], w, initial);
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final double[] actual = optimum.getPoint();
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final double[] actualSig = optimizer.guessParametersErrors();
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for (int i = 0; i < actual.length; i++) {
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double expected = dataset.getParameter(i);
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double delta = FastMath.abs(errParams * expected);
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Assert.assertEquals(dataset.getName() + ", param #" + i,
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expected, actual[i], delta);
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expected = dataset.getParameterStandardDeviation(i);
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delta = FastMath.abs(errParamsSd * expected);
|
||||
Assert.assertEquals(dataset.getName() + ", sd of param #" + i,
|
||||
expected, actualSig[i], delta);
|
||||
}
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -29,9 +29,10 @@ public class AbstractLeastSquaresOptimizerTest {
|
|||
|
||||
@Override
|
||||
protected PointVectorValuePair doOptimize() {
|
||||
updateResidualsAndCost();
|
||||
updateJacobian();
|
||||
return null;
|
||||
final double[] params = getStartPoint();
|
||||
final double[] res = computeResiduals(computeObjectiveValue(params));
|
||||
setCost(computeCost(res));
|
||||
return new PointVectorValuePair(params, null);
|
||||
}
|
||||
};
|
||||
}
|
||||
|
|
@ -75,7 +76,7 @@ public class AbstractLeastSquaresOptimizerTest {
|
|||
}
|
||||
|
||||
@Test
|
||||
public void testGetSigma() throws IOException {
|
||||
public void testComputeSigma() throws IOException {
|
||||
final StatisticalReferenceDataset dataset;
|
||||
dataset = StatisticalReferenceDatasetFactory.createKirby2();
|
||||
final AbstractLeastSquaresOptimizer optimizer;
|
||||
|
|
@ -86,13 +87,13 @@ public class AbstractLeastSquaresOptimizerTest {
|
|||
Arrays.fill(w, 1.0);
|
||||
|
||||
final int dof = y.length - a.length;
|
||||
optimizer.optimize(1, dataset.getLeastSquaresProblem(), y, w, a);
|
||||
final double[] sig = optimizer.getSigma();
|
||||
final PointVectorValuePair optimum = optimizer.optimize(1, dataset.getLeastSquaresProblem(), y, w, a);
|
||||
final double[] sig = optimizer.computeSigma(optimum.getPoint(), 1e-14);
|
||||
final double[] expected = dataset.getParametersStandardDeviations();
|
||||
for (int i = 0; i < sig.length; i++) {
|
||||
final double actual = FastMath.sqrt(optimizer.getChiSquare() / dof) * sig[i];
|
||||
Assert.assertEquals(dataset.getName() + ", parameter #" + i,
|
||||
expected[i], actual, 1.3e-8 * expected[i]);
|
||||
expected[i], actual, 1e-7 * expected[i]);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -115,9 +115,9 @@ public class AbstractLeastSquaresOptimizerTestValidation {
|
|||
|
||||
// Estimation of the standard deviation (diagonal elements of the
|
||||
// covariance matrix).
|
||||
optim.optimize(Integer.MAX_VALUE,
|
||||
final PointVectorValuePair optimum = optim.optimize(Integer.MAX_VALUE,
|
||||
problem, problem.target(), problem.weight(), init);
|
||||
final double[] sigma = optim.getSigma();
|
||||
final double[] sigma = optim.computeSigma(optimum.getPoint(), 1e-14);
|
||||
|
||||
// Accumulate statistics.
|
||||
for (int i = 0; i < numParams; i++) {
|
||||
|
|
@ -220,7 +220,7 @@ public class AbstractLeastSquaresOptimizerTestValidation {
|
|||
// Get chi-square of the best parameters set for the given set of
|
||||
// observations.
|
||||
final double bestChi2N = getChi2N(optim, problem, regress);
|
||||
final double[] sigma = optim.getSigma();
|
||||
final double[] sigma = optim.computeSigma(regress, 1e-14);
|
||||
|
||||
// Monte-Carlo (generates a grid of parameters).
|
||||
final int mcRepeat = MONTE_CARLO_RUNS;
|
||||
|
|
@ -312,10 +312,9 @@ class DummyOptimizer extends AbstractLeastSquaresOptimizer {
|
|||
*/
|
||||
@Override
|
||||
public PointVectorValuePair doOptimize() {
|
||||
// In order to be able to access the chi-square.
|
||||
updateResidualsAndCost();
|
||||
|
||||
// Dummy value.
|
||||
return null;
|
||||
final double[] params = getStartPoint();
|
||||
final double[] res = computeResiduals(computeObjectiveValue(params));
|
||||
setCost(computeCost(res));
|
||||
return new PointVectorValuePair(params, null);
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue