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Posted to commits@commons.apache.org by er...@apache.org on 2014/12/14 18:49:42 UTC
[math] MATH-1172: Simple curve fitter
Repository: commons-math
Updated Branches:
refs/heads/master 753f278d1 -> 491786ce4
MATH-1172: Simple curve fitter
Provides boiler-plate code so that users can readily fit any parametric function.
Project: http://git-wip-us.apache.org/repos/asf/commons-math/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-math/commit/491786ce
Tree: http://git-wip-us.apache.org/repos/asf/commons-math/tree/491786ce
Diff: http://git-wip-us.apache.org/repos/asf/commons-math/diff/491786ce
Branch: refs/heads/master
Commit: 491786ce4182daa57ea61deaf701f756f57f6f1e
Parents: 753f278
Author: Gilles <er...@apache.org>
Authored: Sun Dec 14 18:48:01 2014 +0100
Committer: Gilles <er...@apache.org>
Committed: Sun Dec 14 18:48:01 2014 +0100
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src/changes/changes.xml | 4 +
.../math3/fitting/SimpleCurveFitter.java | 126 +++++++++++++++++++
.../math3/fitting/SimpleCurveFitterTest.java | 60 +++++++++
3 files changed, 190 insertions(+)
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http://git-wip-us.apache.org/repos/asf/commons-math/blob/491786ce/src/changes/changes.xml
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diff --git a/src/changes/changes.xml b/src/changes/changes.xml
index e54d71e..cbf1eb8 100644
--- a/src/changes/changes.xml
+++ b/src/changes/changes.xml
@@ -79,6 +79,10 @@ Users are encouraged to upgrade to this version as this release not
2. A few methods in the FastMath class are in fact slower that their
counterpart in either Math or StrictMath (cf. MATH-740 and MATH-901).
">
+ <action dev="erans" type="add" issue="MATH-1172">
+ New class "SimpleCurveFitter": Boiler-plate code to allow fitting of
+ a user-defined parametric function.
+ </action>
<action dev="erans" type="add" issue="MATH-1173">
New classes "TricubicInterpolatingFunction" and "TricubicInterpolator" to
replace "TricubicSplineInterpolatingFunction" and "TricubicSplineInterpolator".
http://git-wip-us.apache.org/repos/asf/commons-math/blob/491786ce/src/main/java/org/apache/commons/math3/fitting/SimpleCurveFitter.java
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diff --git a/src/main/java/org/apache/commons/math3/fitting/SimpleCurveFitter.java b/src/main/java/org/apache/commons/math3/fitting/SimpleCurveFitter.java
new file mode 100644
index 0000000..0307e42
--- /dev/null
+++ b/src/main/java/org/apache/commons/math3/fitting/SimpleCurveFitter.java
@@ -0,0 +1,126 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+package org.apache.commons.math3.fitting;
+
+import java.util.Collection;
+
+import org.apache.commons.math3.analysis.ParametricUnivariateFunction;
+import org.apache.commons.math3.fitting.leastsquares.LeastSquaresBuilder;
+import org.apache.commons.math3.fitting.leastsquares.LeastSquaresProblem;
+import org.apache.commons.math3.linear.DiagonalMatrix;
+
+/**
+ * Fits points to a user-defined {@link ParametricUnivariateFunction function}.
+ *
+ * @since 3.4
+ */
+public class SimpleCurveFitter extends AbstractCurveFitter {
+ /** Function to fit. */
+ private final ParametricUnivariateFunction function;
+ /** Initial guess for the parameters. */
+ private final double[] initialGuess;
+ /** Maximum number of iterations of the optimization algorithm. */
+ private final int maxIter;
+
+ /**
+ * Contructor used by the factory methods.
+ *
+ * @param function Function to fit.
+ * @param initialGuess Initial guess. Cannot be {@code null}. Its length must
+ * be consistent with the number of parameters of the {@code function} to fit.
+ * @param maxIter Maximum number of iterations of the optimization algorithm.
+ */
+ private SimpleCurveFitter(ParametricUnivariateFunction function,
+ double[] initialGuess,
+ int maxIter) {
+ this.function = function;
+ this.initialGuess = initialGuess;
+ this.maxIter = maxIter;
+ }
+
+ /**
+ * Creates a curve fitter.
+ * The initial guess for the parameters will be {@link ParameterGuesser}
+ * computed automatically, and the maximum number of iterations of the
+ * optimization algorithm is set to {@link Integer#MAX_VALUE}.
+ *
+ * @param f Function to fit.
+ * @param start Initial guess for the parameters. Cannot be {@code null}.
+ * Its length must be consistent with the number of parameters of the
+ * function to fit.
+ * @return a curve fitter.
+ *
+ * @see #withStartPoint(double[])
+ * @see #withMaxIterations(int)
+ */
+ public static SimpleCurveFitter create(ParametricUnivariateFunction f,
+ double[] start) {
+ return new SimpleCurveFitter(f, start, Integer.MAX_VALUE);
+ }
+
+ /**
+ * Configure the start point (initial guess).
+ * @param newStart new start point (initial guess)
+ * @return a new instance.
+ */
+ public SimpleCurveFitter withStartPoint(double[] newStart) {
+ return new SimpleCurveFitter(function,
+ newStart.clone(),
+ maxIter);
+ }
+
+ /**
+ * Configure the maximum number of iterations.
+ * @param newMaxIter maximum number of iterations
+ * @return a new instance.
+ */
+ public SimpleCurveFitter withMaxIterations(int newMaxIter) {
+ return new SimpleCurveFitter(function,
+ initialGuess,
+ newMaxIter);
+ }
+
+ /** {@inheritDoc} */
+ @Override
+ protected LeastSquaresProblem getProblem(Collection<WeightedObservedPoint> observations) {
+ // Prepare least-squares problem.
+ final int len = observations.size();
+ final double[] target = new double[len];
+ final double[] weights = new double[len];
+
+ int count = 0;
+ for (WeightedObservedPoint obs : observations) {
+ target[count] = obs.getY();
+ weights[count] = obs.getWeight();
+ ++count;
+ }
+
+ final AbstractCurveFitter.TheoreticalValuesFunction model
+ = new AbstractCurveFitter.TheoreticalValuesFunction(function,
+ observations);
+
+ // Create an optimizer for fitting the curve to the observed points.
+ return new LeastSquaresBuilder().
+ maxEvaluations(Integer.MAX_VALUE).
+ maxIterations(maxIter).
+ start(initialGuess).
+ target(target).
+ weight(new DiagonalMatrix(weights)).
+ model(model.getModelFunction(), model.getModelFunctionJacobian()).
+ build();
+ }
+}
http://git-wip-us.apache.org/repos/asf/commons-math/blob/491786ce/src/test/java/org/apache/commons/math3/fitting/SimpleCurveFitterTest.java
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diff --git a/src/test/java/org/apache/commons/math3/fitting/SimpleCurveFitterTest.java b/src/test/java/org/apache/commons/math3/fitting/SimpleCurveFitterTest.java
new file mode 100644
index 0000000..d411d4a
--- /dev/null
+++ b/src/test/java/org/apache/commons/math3/fitting/SimpleCurveFitterTest.java
@@ -0,0 +1,60 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+package org.apache.commons.math3.fitting;
+
+import java.util.Random;
+
+import org.apache.commons.math3.TestUtils;
+import org.apache.commons.math3.analysis.ParametricUnivariateFunction;
+import org.apache.commons.math3.analysis.polynomials.PolynomialFunction;
+import org.apache.commons.math3.distribution.RealDistribution;
+import org.apache.commons.math3.distribution.UniformRealDistribution;
+import org.apache.commons.math3.exception.ConvergenceException;
+import org.apache.commons.math3.util.FastMath;
+import org.junit.Assert;
+import org.junit.Test;
+
+/**
+ * Test for class {@link SimpleCurveFitter}.
+ */
+public class SimpleCurveFitterTest {
+ @Test
+ public void testPolynomialFit() {
+ final Random randomizer = new Random(53882150042L);
+ final RealDistribution rng = new UniformRealDistribution(-100, 100);
+ rng.reseedRandomGenerator(64925784252L);
+
+ final double[] coeff = { 12.9, -3.4, 2.1 }; // 12.9 - 3.4 x + 2.1 x^2
+ final PolynomialFunction f = new PolynomialFunction(coeff);
+
+ // Collect data from a known polynomial.
+ final WeightedObservedPoints obs = new WeightedObservedPoints();
+ for (int i = 0; i < 100; i++) {
+ final double x = rng.sample();
+ obs.add(x, f.value(x) + 0.1 * randomizer.nextGaussian());
+ }
+
+ final ParametricUnivariateFunction function = new PolynomialFunction.Parametric();
+ // Start fit from initial guesses that are far from the optimal values.
+ final SimpleCurveFitter fitter
+ = SimpleCurveFitter.create(function,
+ new double[] { -1e20, 3e15, -5e25 });
+ final double[] best = fitter.fit(obs.toList());
+
+ TestUtils.assertEquals("best != coeff", coeff, best, 2e-2);
+ }
+}