Class LevenbergMarquardtOptimizer

  • All Implemented Interfaces:
    LeastSquaresOptimizer

    public class LevenbergMarquardtOptimizer
    extends Object
    implements LeastSquaresOptimizer
    This class solves a least-squares problem using the Levenberg-Marquardt algorithm.

    This implementation should work even for over-determined systems (i.e. systems having more point than equations). Over-determined systems are solved by ignoring the point which have the smallest impact according to their jacobian column norm. Only the rank of the matrix and some loop bounds are changed to implement this.

    The resolution engine is a simple translation of the MINPACK lmder routine with minor changes. The changes include the over-determined resolution, the use of inherited convergence checker and the Q.R. decomposition which has been rewritten following the algorithm described in the P. Lascaux and R. Theodor book Analyse numérique matricielle appliquée à l'art de l'ingénieur, Masson 1986.

    The authors of the original fortran version are:

    • Argonne National Laboratory. MINPACK project. March 1980
    • Burton S. Garbow
    • Kenneth E. Hillstrom
    • Jorge J. More

    The redistribution policy for MINPACK is available here, for convenience, it is reproduced below.

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    • Constructor Detail

      • LevenbergMarquardtOptimizer

        public LevenbergMarquardtOptimizer()
        Default constructor.

        The default values for the algorithm settings are:

        • Initial step bound factor: 100
        • Cost relative tolerance: 1e-10
        • Parameters relative tolerance: 1e-10
        • Orthogonality tolerance: 1e-10
        • QR ranking threshold: Precision.SAFE_MIN
      • LevenbergMarquardtOptimizer

        public LevenbergMarquardtOptimizer​(double initialStepBoundFactor,
                                           double costRelativeTolerance,
                                           double parRelativeTolerance,
                                           double orthoTolerance,
                                           double qrRankingThreshold)
        Construct an instance with all parameters specified.
        Parameters:
        initialStepBoundFactor - initial step bound factor
        costRelativeTolerance - cost relative tolerance
        parRelativeTolerance - parameters relative tolerance
        orthoTolerance - orthogonality tolerance
        qrRankingThreshold - threshold in the QR decomposition. Columns with a 2 norm less than this threshold are considered to be all 0s.
    • Method Detail

      • withInitialStepBoundFactor

        public LevenbergMarquardtOptimizer withInitialStepBoundFactor​(double newInitialStepBoundFactor)
        Build new instance with initial step bound factor.
        Parameters:
        newInitialStepBoundFactor - Positive input variable used in determining the initial step bound. This bound is set to the product of initialStepBoundFactor and the euclidean norm of diag * x if non-zero, or else to newInitialStepBoundFactor itself. In most cases factor should lie in the interval (0.1, 100.0). 100 is a generally recommended value. of the matrix is reduced.
        Returns:
        a new instance.
      • withCostRelativeTolerance

        public LevenbergMarquardtOptimizer withCostRelativeTolerance​(double newCostRelativeTolerance)
        Build new instance with cost relative tolerance.
        Parameters:
        newCostRelativeTolerance - Desired relative error in the sum of squares.
        Returns:
        a new instance.
      • withParameterRelativeTolerance

        public LevenbergMarquardtOptimizer withParameterRelativeTolerance​(double newParRelativeTolerance)
        Build new instance with parameter relative tolerance.
        Parameters:
        newParRelativeTolerance - Desired relative error in the approximate solution parameters.
        Returns:
        a new instance.
      • withOrthoTolerance

        public LevenbergMarquardtOptimizer withOrthoTolerance​(double newOrthoTolerance)
        Build new instance with ortho tolerance.
        Parameters:
        newOrthoTolerance - Desired max cosine on the orthogonality between the function vector and the columns of the Jacobian.
        Returns:
        a new instance.
      • withRankingThreshold

        public LevenbergMarquardtOptimizer withRankingThreshold​(double newQRRankingThreshold)
        Build new instance with ranking threshold.
        Parameters:
        newQRRankingThreshold - Desired threshold for QR ranking. If the squared norm of a column vector is smaller or equal to this threshold during QR decomposition, it is considered to be a zero vector and hence the rank of the matrix is reduced.
        Returns:
        a new instance.
      • getInitialStepBoundFactor

        public double getInitialStepBoundFactor()
        Gets the value of a tuning parameter.
        Returns:
        the parameter's value.
        See Also:
        withInitialStepBoundFactor(double)
      • getCostRelativeTolerance

        public double getCostRelativeTolerance()
        Gets the value of a tuning parameter.
        Returns:
        the parameter's value.
        See Also:
        withCostRelativeTolerance(double)
      • getParameterRelativeTolerance

        public double getParameterRelativeTolerance()
        Gets the value of a tuning parameter.
        Returns:
        the parameter's value.
        See Also:
        withParameterRelativeTolerance(double)
      • getOrthoTolerance

        public double getOrthoTolerance()
        Gets the value of a tuning parameter.
        Returns:
        the parameter's value.
        See Also:
        withOrthoTolerance(double)
      • getRankingThreshold

        public double getRankingThreshold()
        Gets the value of a tuning parameter.
        Returns:
        the parameter's value.
        See Also:
        withRankingThreshold(double)