Class LeastSquaresConverter
- All Implemented Interfaces:
MultivariateFunction
vectorial objective functions
to
scalar objective functions
when the goal is to minimize them.
This class is mostly used when the vectorial objective function represents a theoretical result computed from a point set applied to a model and the models point must be adjusted to fit the theoretical result to some reference observations. The observations may be obtained for example from physical measurements whether the model is built from theoretical considerations.
This class computes a possibly weighted squared sum of the residuals, which is a scalar value. The residuals are the difference between the theoretical model (i.e. the output of the vectorial objective function) and the observations. The class implements the
MultivariateFunction
interface and can therefore be
minimized by any optimizer supporting scalar objectives functions.This is one way
to perform a least square estimation. There are other ways to do this without using
this converter, as some optimization algorithms directly support vectorial objective
functions.
This class support combination of residuals with or without weights and correlations.
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Constructor Summary
ConstructorDescriptionLeastSquaresConverter
(MultivariateVectorFunction function, double[] observations) Builds a simple converter for uncorrelated residuals with identical weights.LeastSquaresConverter
(MultivariateVectorFunction function, double[] observations, double[] weights) Builds a simple converter for uncorrelated residuals with the specified weights.LeastSquaresConverter
(MultivariateVectorFunction function, double[] observations, RealMatrix scale) Builds a simple converter for correlated residuals with the specified weights. -
Method Summary
Modifier and TypeMethodDescriptiondouble
value
(double[] point) Compute the value for the function at the given point.
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Constructor Details
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LeastSquaresConverter
Builds a simple converter for uncorrelated residuals with identical weights.- Parameters:
function
- vectorial residuals function to wrapobservations
- observations to be compared to objective function to compute residuals
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LeastSquaresConverter
public LeastSquaresConverter(MultivariateVectorFunction function, double[] observations, double[] weights) Builds a simple converter for uncorrelated residuals with the specified weights.The scalar objective function value is computed as: objective = ∑weighti(observationi-objectivei)2
Weights can be used for example to combine residuals with different standard deviations. As an example, consider a residuals array in which even elements are angular measurements in degrees with a 0.01° standard deviation and odd elements are distance measurements in meters with a 15m standard deviation. In this case, the weights array should be initialized with value 1.0/(0.012) in the even elements and 1.0/(15.02) in the odd elements (i.e. reciprocals of variances).
The array computed by the objective function, the observations array and the weights array must have consistent sizes or a
MathIllegalArgumentException
will be triggered while computing the scalar objective.- Parameters:
function
- vectorial residuals function to wrapobservations
- observations to be compared to objective function to compute residualsweights
- weights to apply to the residuals- Throws:
MathIllegalArgumentException
- if the observations vector and the weights vector dimensions do not match (objective function dimension is checked only when thevalue(double[])
method is called)
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LeastSquaresConverter
public LeastSquaresConverter(MultivariateVectorFunction function, double[] observations, RealMatrix scale) Builds a simple converter for correlated residuals with the specified weights.The scalar objective function value is computed as: objective = yTy with y = scale×(observation-objective)
The array computed by the objective function, the observations array and the the scaling matrix must have consistent sizes or a
MathIllegalArgumentException
will be triggered while computing the scalar objective.- Parameters:
function
- vectorial residuals function to wrapobservations
- observations to be compared to objective function to compute residualsscale
- scaling matrix- Throws:
MathIllegalArgumentException
- if the observations vector and the scale matrix dimensions do not match (objective function dimension is checked only when thevalue(double[])
method is called)
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Method Details
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value
public double value(double[] point) Compute the value for the function at the given point.- Specified by:
value
in interfaceMultivariateFunction
- Parameters:
point
- Point at which the function must be evaluated.- Returns:
- the function value for the given point.
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