Anent tangent and quadratic estimates: Specifies the approach used to obtain initial estimates of the basic variables in each one-dimensional search.
Tangent Uses linear extrapolation from a tangent vector. Quadratic Uses quadratic extrapolation, which can improve the results on highly nonlinear problems. (Excel does this). Please let me know if this explanation is still insufficient. On Nov 30, 2007 12:36 PM, Luc Maisonobe <[EMAIL PROTECTED]> wrote: > [EMAIL PROTECTED] a écrit : > > > > > Selon Al Lelopath <[EMAIL PROTECTED]>: > > > >> I see that apache commons has Estimators (aka Solvers, yes?): > >> EstimatedParameter > >> GaussNewtonEstimator > >> LevenbergMarquardtEstimator > >> SimpleEstimationProblem > >> WeightedMeasurement > > > > Not all these classes represent solvers. Only the ones that implement > > Estimator > > (i.e. GaussNewtonEstimator and LevenbergMarquardtEstimator) are estimators. > > The > > other classes are used for estimation but are not the solvers themselves. > > EStimatedParameters represent the parameters of the models, and the job of > > the > > solver is to update these parameters in order to minimize a cost function. > > When > > the solvers has finished its work, retrieving the results is a matter of > > reading > > the updated value hold by the instances of this class. > > SimpleEstimationProblem > > is mostly a container for the parameters and the measurements. The basic > > usage > > is for the user to create a problem-specific class extending this one, the > > created class implementing the logic of the model (relation between > > parameters > > and model, relation between model and theoretical measurements, container > > for > > the observed measurements). The cost function is automatically computed > > from the > > residuals between theoretical and observed measurements). The > > WeightedMeasurements class represent a measurement, it should also be > > specialized by creating a class extending this one for each type of > > measurements. > >> Our mathematician has specified features we will need: > >> 1. Assume non-negative parameters, > > > > This feature is a simple bound constraint. The estimators do not > > handle any constraints yet (neither simple bounds, nor linear, nor > > non-linear). > > This will most probably be added one day as it is rather important. > > > > Simple bounds constraints can be simulated artificially though, by adding a > > layer between the solved parameters and the real parameters of the model. > > For > > example, if your model needs three parameters p1, p2 and p3 with p1 that > > should > > be positive, you can really solve using q1, p2, p3 with an additional > > transform > > p1 = q1^2 implemented by your model. Similar transforms can be built for > > double > > bounds constraints. > > > >> 2. forward and central derivatives, > > > > The derivatives are not computed by the classes provided by commons-math, > > they > > should be provided by the user when extending the SimpleEstimationProblem > > class > > (or implementing directly the EstimationProblem interface if prefered). This > > means you can use any method you prefer for computeing them : forward, > > central > > or backward finite differences or analycally computed derivatives. > > > >> 3. tangent estimates > > > > I'm not sure I understand what you mean here. The solvers are based on > > gradient > > computation at the current point which is updated according to the selected > > solver algorithm. > > > >> 4. quadratic estimates, > > > > I'm also not sure to understand what you mean here. The problem are defined > > in > > terms of observed measurements which are defined at problem start and > > theoretical measurements which are automatically recomputed during the > > search as > > the current point moves. The algorithms compute a quadratic cost function > > as the > > sum of the weighted residuals between theoretical measurements and observed > > I meant sum of weighted SQUARED residuals, of course. > > > > measurements. This cost function is minimized (i.e. parameters are adjusted > > in > > such a way theoretically recomputed measurements match the observations). > > The > > quadratic structure of the cost function is fixed, but the measurements > > involved > > and the weights can be specified by the user. > > > >> 5. Newton and conjugate search direction > > > > The GaussNewtonEstimator is based on ... the Gauss-Newton algorithm which > > iterates over a Newton search. > > > > The LevenbergMarquardtEstimator is a much more elaborate algorithm which > > interpolates between a Gauss-Newton and a gradient method. It is more robust > > than Gauss-Newton and highly recommended. > > > > Commons-math currently does not yet provide a simple conjugate-gradient > > method. > > > > > >> Does apache commons have these capabilities? > > > > To conclude, commons-math provide some of these capabilities, but not all of > > them. > > > > Luc > > > > > > > > --------------------------------------------------------------------- > > To unsubscribe, e-mail: [EMAIL PROTECTED] > > For additional commands, e-mail: [EMAIL PROTECTED] > > > > > > > --------------------------------------------------------------------- To unsubscribe, e-mail: [EMAIL PROTECTED] For additional commands, e-mail: [EMAIL PROTECTED]
