Package org.hipparchus.optim.nonlinear.vector.leastsquares

Class GaussNewtonOptimizer

java.lang.Object
org.hipparchus.optim.nonlinear.vector.leastsquares.GaussNewtonOptimizer
All Implemented Interfaces:
LeastSquaresOptimizer
public class GaussNewtonOptimizer extends Object implements LeastSquaresOptimizer
Gauss-Newton least-squares solver.

This class solve a least-square problem by solving the normal equations of the linearized problem at each iteration. Either LU decomposition or Cholesky decomposition can be used to solve the normal equations, or QR decomposition or SVD decomposition can be used to solve the linear system. Cholesky/LU decomposition is faster but QR decomposition is more robust for difficult problems, and SVD can compute a solution for rank-deficient problems.

  • Constructor Details

    • GaussNewtonOptimizer

      public GaussNewtonOptimizer()
      Creates a Gauss Newton optimizer.

      The default for the algorithm is to use QR decomposition and not form normal equations.

    • GaussNewtonOptimizer

      public GaussNewtonOptimizer(MatrixDecomposer decomposer, boolean formNormalEquations)
      Create a Gauss Newton optimizer that uses the given matrix decomposition algorithm to solve the normal equations.
      Parameters:
      decomposer - the decomposition algorithm to use.
      formNormalEquations - whether the normal equations should be explicitly formed. If true then decomposer is used to solve JTJx=JTr, otherwise decomposer is used to solve Jx=r. If decomposer can only solve square systems then this parameter should be true.

  • Method Details

    • getDecomposer

      public MatrixDecomposer getDecomposer()
      Get the matrix decomposition algorithm.
      Returns:
      the decomposition algorithm.

    • withDecomposer

      public GaussNewtonOptimizer withDecomposer(MatrixDecomposer newDecomposer)
      Configure the matrix decomposition algorithm.
      Parameters:
      newDecomposer - the decomposition algorithm to use.
      Returns:
      a new instance.

    • isFormNormalEquations

      public boolean isFormNormalEquations()
      Get if the normal equations are explicitly formed.
      Returns:
      if the normal equations should be explicitly formed. If true then decomposer is used to solve JTJx=JTr, otherwise decomposer is used to solve Jx=r.

    • withFormNormalEquations

      public GaussNewtonOptimizer withFormNormalEquations(boolean newFormNormalEquations)
      Configure if the normal equations should be explicitly formed.
      Parameters:
      newFormNormalEquations - whether the normal equations should be explicitly formed. If true then decomposer is used to solve JTJx=JTr, otherwise decomposer is used to solve Jx=r. If decomposer can only solve square systems then this parameter should be true.
      Returns:
      a new instance.

    • optimize

      public LeastSquaresOptimizer.Optimum optimize(LeastSquaresProblem lsp)
      Solve the non-linear least squares problem.
      Specified by:
      optimize in interface LeastSquaresOptimizer
      Parameters:
      lsp - the problem definition, including model function and convergence criteria.
      Returns:
      The optimum.

    • toString

      public String toString()
      Overrides:
      toString in class Object