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Posted to commits@commons.apache.org by di...@apache.org on 2010/08/14 23:59:08 UTC
svn commit: r985589 - in /commons/proper/math/trunk/src:
main/java/org/apache/commons/math/optimization/general/
test/java/org/apache/commons/math/optimization/general/
Author: dimpbx
Date: Sat Aug 14 21:59:07 2010
New Revision: 985589
URL: http://svn.apache.org/viewvc?rev=985589&view=rev
Log:
MATH-406 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/GaussNewtonOptimizerTest.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=985589&r1=985588&r2=985589&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 Sat Aug 14 21:59:07 2010
@@ -84,6 +84,12 @@ public abstract class AbstractLeastSquar
/** Current residuals. */
protected double[] residuals;
+
+ /** Weighted Jacobian */
+ protected double[][] wjacobian;
+
+ /** Weighted residuals */
+ protected double[] wresiduals;
/** Cost value (square root of the sum of the residuals). */
protected double cost;
@@ -189,9 +195,10 @@ public abstract class AbstractLeastSquar
}
for (int i = 0; i < rows; i++) {
final double[] ji = jacobian[i];
- final double factor = -Math.sqrt(residualsWeights[i]);
+ double wi = Math.sqrt(residualsWeights[i]);
for (int j = 0; j < cols; ++j) {
- ji[j] *= factor;
+ ji[j] *= -1.0;
+ wjacobian[i][j] = ji[j]*wi;
}
}
}
@@ -219,6 +226,7 @@ public abstract class AbstractLeastSquar
for (int i = 0; i < rows; i++) {
final double residual = targetValues[i] - objective[i];
residuals[i] = residual;
+ wresiduals[i]= residual*Math.sqrt(residualsWeights[i]);
cost += residualsWeights[i] * residual * residual;
index += cols;
}
@@ -270,7 +278,7 @@ public abstract class AbstractLeastSquar
for (int j = i; j < cols; ++j) {
double sum = 0;
for (int k = 0; k < rows; ++k) {
- sum += jacobian[k][i] * jacobian[k][j];
+ sum += wjacobian[k][i] * wjacobian[k][j];
}
jTj[i][j] = sum;
jTj[j][i] = sum;
@@ -342,6 +350,9 @@ public abstract class AbstractLeastSquar
cols = point.length;
jacobian = new double[rows][cols];
+ wjacobian = new double[rows][cols];
+ wresiduals = new double[rows];
+
cost = Double.POSITIVE_INFINITY;
return doOptimize();
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=985589&r1=985588&r2=985589&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 Sat Aug 14 21:59:07 2010
@@ -270,7 +270,7 @@ public class LevenbergMarquardtOptimizer
VectorialPointValuePair current = new VectorialPointValuePair(point, objective);
while (true) {
for (int i=0;i<rows;i++) {
- qtf[i]=residuals[i];
+ qtf[i]=wresiduals[i];
}
incrementIterationsCounter();
@@ -285,7 +285,7 @@ public class LevenbergMarquardtOptimizer
// so let jacobian contain the R matrix with its diagonal elements
for (int k = 0; k < solvedCols; ++k) {
int pk = permutation[k];
- jacobian[k][pk] = diagR[pk];
+ wjacobian[k][pk] = diagR[pk];
}
if (firstIteration) {
@@ -318,7 +318,7 @@ public class LevenbergMarquardtOptimizer
if (s != 0) {
double sum = 0;
for (int i = 0; i <= j; ++i) {
- sum += jacobian[i][pj] * qtf[i];
+ sum += wjacobian[i][pj] * qtf[i];
}
maxCosine = Math.max(maxCosine, Math.abs(sum) / (s * cost));
}
@@ -387,7 +387,7 @@ public class LevenbergMarquardtOptimizer
double dirJ = lmDir[pj];
work1[j] = 0;
for (int i = 0; i <= j; ++i) {
- work1[i] += jacobian[i][pj] * dirJ;
+ work1[i] += wjacobian[i][pj] * dirJ;
}
}
double coeff1 = 0;
@@ -514,7 +514,7 @@ public class LevenbergMarquardtOptimizer
int pk = permutation[k];
double ypk = lmDir[pk] / diagR[pk];
for (int i = 0; i < k; ++i) {
- lmDir[permutation[i]] -= ypk * jacobian[i][pk];
+ lmDir[permutation[i]] -= ypk * wjacobian[i][pk];
}
lmDir[pk] = ypk;
}
@@ -550,7 +550,7 @@ public class LevenbergMarquardtOptimizer
int pj = permutation[j];
double sum = 0;
for (int i = 0; i < j; ++i) {
- sum += jacobian[i][pj] * work1[permutation[i]];
+ sum += wjacobian[i][pj] * work1[permutation[i]];
}
double s = (work1[pj] - sum) / diagR[pj];
work1[pj] = s;
@@ -565,7 +565,7 @@ public class LevenbergMarquardtOptimizer
int pj = permutation[j];
double sum = 0;
for (int i = 0; i <= j; ++i) {
- sum += jacobian[i][pj] * qy[i];
+ sum += wjacobian[i][pj] * qy[i];
}
sum /= diag[pj];
sum2 += sum * sum;
@@ -625,7 +625,7 @@ public class LevenbergMarquardtOptimizer
work1[pj] /= work2[j];
double tmp = work1[pj];
for (int i = j + 1; i < solvedCols; ++i) {
- work1[permutation[i]] -= jacobian[i][pj] * tmp;
+ work1[permutation[i]] -= wjacobian[i][pj] * tmp;
}
}
sum2 = 0;
@@ -676,7 +676,7 @@ public class LevenbergMarquardtOptimizer
for (int j = 0; j < solvedCols; ++j) {
int pj = permutation[j];
for (int i = j + 1; i < solvedCols; ++i) {
- jacobian[i][pj] = jacobian[j][permutation[i]];
+ wjacobian[i][pj] = wjacobian[j][permutation[i]];
}
lmDir[j] = diagR[pj];
work[j] = qy[j];
@@ -707,7 +707,7 @@ public class LevenbergMarquardtOptimizer
final double sin;
final double cos;
- double rkk = jacobian[k][pk];
+ double rkk = wjacobian[k][pk];
if (Math.abs(rkk) < Math.abs(lmDiag[k])) {
final double cotan = rkk / lmDiag[k];
sin = 1.0 / Math.sqrt(1.0 + cotan * cotan);
@@ -720,17 +720,17 @@ public class LevenbergMarquardtOptimizer
// compute the modified diagonal element of R and
// the modified element of (Qty,0)
- jacobian[k][pk] = cos * rkk + sin * lmDiag[k];
+ wjacobian[k][pk] = cos * rkk + sin * lmDiag[k];
final double temp = cos * work[k] + sin * qtbpj;
qtbpj = -sin * work[k] + cos * qtbpj;
work[k] = temp;
// accumulate the tranformation in the row of s
for (int i = k + 1; i < solvedCols; ++i) {
- double rik = jacobian[i][pk];
+ double rik = wjacobian[i][pk];
final double temp2 = cos * rik + sin * lmDiag[i];
lmDiag[i] = -sin * rik + cos * lmDiag[i];
- jacobian[i][pk] = temp2;
+ wjacobian[i][pk] = temp2;
}
}
@@ -738,8 +738,8 @@ public class LevenbergMarquardtOptimizer
// store the diagonal element of s and restore
// the corresponding diagonal element of R
- lmDiag[j] = jacobian[j][permutation[j]];
- jacobian[j][permutation[j]] = lmDir[j];
+ lmDiag[j] = wjacobian[j][permutation[j]];
+ wjacobian[j][permutation[j]] = lmDir[j];
}
@@ -759,7 +759,7 @@ public class LevenbergMarquardtOptimizer
int pj = permutation[j];
double sum = 0;
for (int i = j + 1; i < nSing; ++i) {
- sum += jacobian[i][pj] * work[i];
+ sum += wjacobian[i][pj] * work[i];
}
work[j] = (work[j] - sum) / lmDiag[j];
}
@@ -800,8 +800,8 @@ public class LevenbergMarquardtOptimizer
for (int k = 0; k < cols; ++k) {
permutation[k] = k;
double norm2 = 0;
- for (int i = 0; i < jacobian.length; ++i) {
- double akk = jacobian[i][k];
+ for (int i = 0; i < wjacobian.length; ++i) {
+ double akk = wjacobian[i][k];
norm2 += akk * akk;
}
jacNorm[k] = Math.sqrt(norm2);
@@ -815,8 +815,8 @@ public class LevenbergMarquardtOptimizer
double ak2 = Double.NEGATIVE_INFINITY;
for (int i = k; i < cols; ++i) {
double norm2 = 0;
- for (int j = k; j < jacobian.length; ++j) {
- double aki = jacobian[j][permutation[i]];
+ for (int j = k; j < wjacobian.length; ++j) {
+ double aki = wjacobian[j][permutation[i]];
norm2 += aki * aki;
}
if (Double.isInfinite(norm2) || Double.isNaN(norm2)) {
@@ -837,24 +837,24 @@ public class LevenbergMarquardtOptimizer
permutation[k] = pk;
// choose alpha such that Hk.u = alpha ek
- double akk = jacobian[k][pk];
+ double akk = wjacobian[k][pk];
double alpha = (akk > 0) ? -Math.sqrt(ak2) : Math.sqrt(ak2);
double betak = 1.0 / (ak2 - akk * alpha);
beta[pk] = betak;
// transform the current column
diagR[pk] = alpha;
- jacobian[k][pk] -= alpha;
+ wjacobian[k][pk] -= alpha;
// transform the remaining columns
for (int dk = cols - 1 - k; dk > 0; --dk) {
double gamma = 0;
- for (int j = k; j < jacobian.length; ++j) {
- gamma += jacobian[j][pk] * jacobian[j][permutation[k + dk]];
+ for (int j = k; j < wjacobian.length; ++j) {
+ gamma += wjacobian[j][pk] * wjacobian[j][permutation[k + dk]];
}
gamma *= betak;
- for (int j = k; j < jacobian.length; ++j) {
- jacobian[j][permutation[k + dk]] -= gamma * jacobian[j][pk];
+ for (int j = k; j < wjacobian.length; ++j) {
+ wjacobian[j][permutation[k + dk]] -= gamma * wjacobian[j][pk];
}
}
@@ -874,11 +874,11 @@ public class LevenbergMarquardtOptimizer
int pk = permutation[k];
double gamma = 0;
for (int i = k; i < rows; ++i) {
- gamma += jacobian[i][pk] * y[i];
+ gamma += wjacobian[i][pk] * y[i];
}
gamma *= beta[pk];
for (int i = k; i < rows; ++i) {
- y[i] -= gamma * jacobian[i][pk];
+ y[i] -= gamma * wjacobian[i][pk];
}
}
}
Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/GaussNewtonOptimizerTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/GaussNewtonOptimizerTest.java?rev=985589&r1=985588&r2=985589&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/GaussNewtonOptimizerTest.java (original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/GaussNewtonOptimizerTest.java Sat Aug 14 21:59:07 2010
@@ -472,8 +472,8 @@ extends TestCase {
VectorialPointValuePair optimum =
optimizer.optimize(circle, target, weights, new double[] { 0, 0 });
- assertEquals(-0.1517383071957963, optimum.getPointRef()[0], 1.0e-8);
- assertEquals(0.2074999736353867, optimum.getPointRef()[1], 1.0e-8);
+ assertEquals(-0.1517383071957963, optimum.getPointRef()[0], 1.0e-6);
+ assertEquals(0.2074999736353867, optimum.getPointRef()[1], 1.0e-6);
assertEquals(0.04268731682389561, optimizer.getRMS(), 1.0e-8);
}