Author: erans
Date: Sat Sep 10 21:53:49 2011
New Revision: 1167612
URL: http://svn.apache.org/viewvc?rev=1167612&view=rev
Log:
MATH-664
Allow to pass a singularity threshold value to "getCovariances".
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/AbstractLeastSquaresOptimizer.java
commons/proper/math/trunk/src/site/xdoc/changes.xml
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=1167612&r1=1167611&r2=1167612&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 Sep 10 21:53:49 2011
@@ -23,8 +23,8 @@ import org.apache.commons.math.analysis.
import org.apache.commons.math.analysis.MultivariateMatrixFunction;
import org.apache.commons.math.exception.util.LocalizedFormats;
import org.apache.commons.math.linear.LUDecompositionImpl;
+import org.apache.commons.math.linear.DecompositionSolver;
import org.apache.commons.math.linear.MatrixUtils;
-import org.apache.commons.math.linear.RealMatrix;
import org.apache.commons.math.optimization.ConvergenceChecker;
import
org.apache.commons.math.optimization.DifferentiableMultivariateVectorialOptimizer;
import org.apache.commons.math.optimization.VectorialPointValuePair;
@@ -51,6 +51,8 @@ import org.apache.commons.math.util.Fast
public abstract class AbstractLeastSquaresOptimizer
extends
BaseAbstractVectorialOptimizer<DifferentiableMultivariateVectorialFunction>
implements DifferentiableMultivariateVectorialOptimizer {
+ /** Singularity threshold (cf. {@link #getCovariances(double)}). */
+ private static final double DEFAULT_SINGULARITY_THRESHOLD = 1e-14;
/**
* Jacobian matrix of the weighted residuals.
* This matrix is in canonical form just after the calls to
@@ -180,10 +182,22 @@ public abstract class AbstractLeastSquar
* if the covariance matrix cannot be computed (singular problem).
*/
public double[][] getCovariances() {
- // set up the jacobian
+ return getCovariances(DEFAULT_SINGULARITY_THRESHOLD);
+ }
+
+ /**
+ * Get the covariance matrix of the optimized parameters.
+ *
+ * @param threshold Singularity threshold.
+ * @return the covariance matrix.
+ * @throws org.apache.commons.math.linear.SingularMatrixException
+ * if the covariance matrix cannot be computed (singular problem).
+ */
+ public double[][] getCovariances(double threshold) {
+ // Set up the jacobian.
updateJacobian();
- // compute transpose(J).J, avoiding building big intermediate matrices
+ // Compute transpose(J)J, without building intermediate matrices.
double[][] jTj = new double[cols][cols];
for (int i = 0; i < cols; ++i) {
for (int j = i; j < cols; ++j) {
@@ -196,10 +210,10 @@ public abstract class AbstractLeastSquar
}
}
- // compute the covariances matrix
- RealMatrix inverse =
- new
LUDecompositionImpl(MatrixUtils.createRealMatrix(jTj)).getSolver().getInverse();
- return inverse.getData();
+ // Compute the covariances matrix.
+ final DecompositionSolver solver
+ = new LUDecompositionImpl(MatrixUtils.createRealMatrix(jTj),
threshold).getSolver();
+ return solver.getInverse().getData();
}
/**
Modified: commons/proper/math/trunk/src/site/xdoc/changes.xml
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/site/xdoc/changes.xml?rev=1167612&r1=1167611&r2=1167612&view=diff
==============================================================================
--- commons/proper/math/trunk/src/site/xdoc/changes.xml (original)
+++ commons/proper/math/trunk/src/site/xdoc/changes.xml Sat Sep 10 21:53:49 2011
@@ -52,6 +52,10 @@ The <action> type attribute can be add,u
If the output is not quite correct, check for invisible trailing spaces!
-->
<release version="3.0" date="TBD" description="TBD">
+ <action dev="erans" type="fix" issue="MATH-664">
+ In class "AbstractLeastSquaresOptimizer": Allow to specify a
singularity
+ threshold in call to "getCovariances" method.
+ </action>
<action dev="gregs" type="fix" issue="MATH-649">
Added the ability to suppress the estimation of the intercept.
</action>
