Author: dimpbx
Date: Wed Aug 11 13:40:39 2010
New Revision: 984404
URL: http://svn.apache.org/viewvc?rev=984404&view=rev
Log:
MATH-405 corrected
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/AbstractLeastSquaresOptimizer.java
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizer.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/MinpackTest.java
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/AbstractLeastSquaresOptimizer.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/AbstractLeastSquaresOptimizer.java?rev=984404&r1=984403&r2=984404&view=diff
==============================================================================
---
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/AbstractLeastSquaresOptimizer.java
(original)
+++
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/AbstractLeastSquaresOptimizer.java
Wed Aug 11 13:40:39 2010
@@ -247,12 +247,7 @@ public abstract class AbstractLeastSquar
* @return chi-square value
*/
public double getChiSquare() {
- double chiSquare = 0;
- for (int i = 0; i < rows; ++i) {
- final double residual = residuals[i];
- chiSquare += residual * residual * residualsWeights[i];
- }
- return chiSquare;
+ return cost*cost;
}
/**
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizer.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizer.java?rev=984404&r1=984403&r2=984404&view=diff
==============================================================================
---
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizer.java
(original)
+++
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizer.java
Wed Aug 11 13:40:39 2010
@@ -255,6 +255,8 @@ public class LevenbergMarquardtOptimizer
double[] diag = new double[cols];
double[] oldX = new double[cols];
double[] oldRes = new double[rows];
+ double[] oldObj = new double[rows];
+ double[] qtf = new double[rows];
double[] work1 = new double[cols];
double[] work2 = new double[cols];
double[] work3 = new double[cols];
@@ -267,7 +269,9 @@ public class LevenbergMarquardtOptimizer
boolean firstIteration = true;
VectorialPointValuePair current = new VectorialPointValuePair(point,
objective);
while (true) {
-
+ for (int i=0;i<rows;i++) {
+ qtf[i]=residuals[i];
+ }
incrementIterationsCounter();
// compute the Q.R. decomposition of the jacobian matrix
@@ -276,8 +280,7 @@ public class LevenbergMarquardtOptimizer
qrDecomposition();
// compute Qt.res
- qTy(residuals);
-
+ qTy(qtf);
// now we don't need Q anymore,
// so let jacobian contain the R matrix with its diagonal elements
for (int k = 0; k < solvedCols; ++k) {
@@ -315,7 +318,7 @@ public class LevenbergMarquardtOptimizer
if (s != 0) {
double sum = 0;
for (int i = 0; i <= j; ++i) {
- sum += jacobian[i][pj] * residuals[i];
+ sum += jacobian[i][pj] * qtf[i];
}
maxCosine = Math.max(maxCosine, Math.abs(sum) / (s *
cost));
}
@@ -323,6 +326,8 @@ public class LevenbergMarquardtOptimizer
}
if (maxCosine <= orthoTolerance) {
// convergence has been reached
+ updateResidualsAndCost();
+ current = new VectorialPointValuePair(point, objective);
return current;
}
@@ -343,9 +348,12 @@ public class LevenbergMarquardtOptimizer
double[] tmpVec = residuals;
residuals = oldRes;
oldRes = tmpVec;
+ tmpVec = objective;
+ objective = oldObj;
+ oldObj = tmpVec;
// determine the Levenberg-Marquardt parameter
- determineLMParameter(oldRes, delta, diag, work1, work2, work3);
+ determineLMParameter(qtf, delta, diag, work1, work2, work3);
// compute the new point and the norm of the evolution
direction
double lmNorm = 0;
@@ -357,7 +365,6 @@ public class LevenbergMarquardtOptimizer
lmNorm += s * s;
}
lmNorm = Math.sqrt(lmNorm);
-
// on the first iteration, adjust the initial step bound.
if (firstIteration) {
delta = Math.min(delta, lmNorm);
@@ -365,7 +372,6 @@ public class LevenbergMarquardtOptimizer
// evaluate the function at x + p and calculate its norm
updateResidualsAndCost();
- current = new VectorialPointValuePair(point, objective);
// compute the scaled actual reduction
double actRed = -1.0;
@@ -421,6 +427,15 @@ public class LevenbergMarquardtOptimizer
xNorm += xK * xK;
}
xNorm = Math.sqrt(xNorm);
+ current = new VectorialPointValuePair(point, objective);
+
+ // tests for convergence.
+ if (checker != null) {
+ // we use the vectorial convergence checker
+ if (checker.converged(getIterations(), previous,
current)) {
+ return current;
+ }
+ }
} else {
// failed iteration, reset the previous values
cost = previousCost;
@@ -431,24 +446,18 @@ public class LevenbergMarquardtOptimizer
tmpVec = residuals;
residuals = oldRes;
oldRes = tmpVec;
+ tmpVec = objective;
+ objective = oldObj;
+ oldObj = tmpVec;
+ }
+ if (checker==null) {
+ if (((Math.abs(actRed) <= costRelativeTolerance) &&
+ (preRed <= costRelativeTolerance) &&
+ (ratio <= 2.0)) ||
+ (delta <= parRelativeTolerance * xNorm)) {
+ return current;
+ }
}
-
- // tests for convergence.
- if (checker != null) {
- // we use the vectorial convergence checker
- if (checker.converged(getIterations(), previous, current))
{
- return current;
- }
- } else {
- // we use the Levenberg-Marquardt specific convergence
parameters
- if (((Math.abs(actRed) <= costRelativeTolerance) &&
- (preRed <= costRelativeTolerance) &&
- (ratio <= 2.0)) ||
- (delta <= parRelativeTolerance * xNorm)) {
- return current;
- }
- }
-
// tests for termination and stringent tolerances
// (2.2204e-16 is the machine epsilon for IEEE754)
if ((Math.abs(actRed) <= 2.2204e-16) && (preRed <= 2.2204e-16)
&& (ratio <= 2.0)) {
Modified:
commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/MinpackTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/MinpackTest.java?rev=984404&r1=984403&r2=984404&view=diff
==============================================================================
---
commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/MinpackTest.java
(original)
+++
commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/MinpackTest.java
Wed Aug 11 13:40:39 2010
@@ -152,14 +152,14 @@ public class MinpackTest extends TestCas
minpackTest(new FreudensteinRothFunction(new double[] { 5.0, -20.0 },
12432.833948863, 6.9988751744895,
new double[] {
- 11.4121122022341,
- -0.8968550851268697
+ 11.41300466147456,
+ -0.896796038685959
}), false);
minpackTest(new FreudensteinRothFunction(new double[] { 50.0, -200.0 },
11426454.595762, 6.99887517242903,
new double[] {
- 11.412069435091231,
- -0.8968582807605691
+ 11.412781785788564,
+ -0.8968051074920405
}), false);
}
@@ -325,7 +325,8 @@ public class MinpackTest extends TestCas
minpackTest(new JennrichSampsonFunction(10, new double[] { 0.3, 0.4 },
64.5856498144943, 11.1517793413499,
new double[] {
- 0.2578330049, 0.257829976764542
+ // 0.2578330049, 0.257829976764542
+ 0.2578199266368004,
0.25782997676455244
}), false);
}
