Return-Path: Delivered-To: apmail-commons-commits-archive@minotaur.apache.org Received: (qmail 71997 invoked from network); 6 Jun 2010 14:02:13 -0000 Received: from unknown (HELO mail.apache.org) (140.211.11.3) by 140.211.11.9 with SMTP; 6 Jun 2010 14:02:13 -0000 Received: (qmail 69540 invoked by uid 500); 6 Jun 2010 14:02:13 -0000 Delivered-To: apmail-commons-commits-archive@commons.apache.org Received: (qmail 69285 invoked by uid 500); 6 Jun 2010 14:02:13 -0000 Mailing-List: contact commits-help@commons.apache.org; run by ezmlm Precedence: bulk List-Help: List-Unsubscribe: List-Post: List-Id: Reply-To: dev@commons.apache.org Delivered-To: mailing list commits@commons.apache.org Received: (qmail 69278 invoked by uid 99); 6 Jun 2010 14:02:13 -0000 Received: from athena.apache.org (HELO athena.apache.org) (140.211.11.136) by apache.org (qpsmtpd/0.29) with ESMTP; Sun, 06 Jun 2010 14:02:13 +0000 X-ASF-Spam-Status: No, hits=-1139.1 required=10.0 tests=ALL_TRUSTED,AWL X-Spam-Check-By: apache.org Received: from [140.211.11.4] (HELO eris.apache.org) (140.211.11.4) by apache.org (qpsmtpd/0.29) with ESMTP; Sun, 06 Jun 2010 14:02:12 +0000 Received: by eris.apache.org (Postfix, from userid 65534) id 5284F23889C5; Sun, 6 Jun 2010 14:01:52 +0000 (UTC) Content-Type: text/plain; charset="utf-8" MIME-Version: 1.0 Content-Transfer-Encoding: 7bit Subject: svn commit: r951864 - in /commons/proper/math/trunk/src: main/java/org/apache/commons/math/optimization/general/ site/xdoc/ test/java/org/apache/commons/math/optimization/general/ Date: Sun, 06 Jun 2010 14:01:52 -0000 To: commits@commons.apache.org From: luc@apache.org X-Mailer: svnmailer-1.0.8 Message-Id: <20100606140152.5284F23889C5@eris.apache.org> Author: luc Date: Sun Jun 6 14:01:51 2010 New Revision: 951864 URL: http://svn.apache.org/viewvc?rev=951864&view=rev Log: Added a setQRRankingThreshold method to Levenberg-Marquardt optimizer to improve robustness of rank determination. JIRA: MATH-352 Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizer.java commons/proper/math/trunk/src/site/xdoc/changes.xml commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizerTest.java 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=951864&r1=951863&r2=951864&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 Sun Jun 6 14:01:51 2010 @@ -21,6 +21,7 @@ import java.util.Arrays; import org.apache.commons.math.FunctionEvaluationException; import org.apache.commons.math.optimization.OptimizationException; import org.apache.commons.math.optimization.VectorialPointValuePair; +import org.apache.commons.math.util.MathUtils; /** @@ -140,16 +141,20 @@ public class LevenbergMarquardtOptimizer * and the columns of the jacobian. */ private double orthoTolerance; + /** Threshold for QR ranking. */ + private double qrRankingThreshold; + /** * Build an optimizer for least squares problems. *

The default values for the algorithm settings are: *

{@link #setConvergenceChecker vectorial convergence checker}: null
{@link #setInitialStepBoundFactor initial step bound factor}: 100.0
{@link #setMaxIterations maximal iterations}: 1000
{@link #setCostRelativeTolerance cost relative tolerance}: 1.0e-10
{@link #setParRelativeTolerance parameters relative tolerance}: 1.0e-10
{@link #setOrthoTolerance orthogonality tolerance}: 1.0e-10
{@link #setConvergenceChecker(VectorialConvergenceChecker) vectorial convergence checker}: null
{@link #setInitialStepBoundFactor(double) initial step bound factor}: 100.0
{@link #setMaxIterations(int) maximal iterations}: 1000
{@link #setCostRelativeTolerance(double) cost relative tolerance}: 1.0e-10
{@link #setParRelativeTolerance(double) parameters relative tolerance}: 1.0e-10
{@link #setOrthoTolerance(double) orthogonality tolerance}: 1.0e-10
{@link #setQRRankingThreshold(double) QR ranking threshold}: {@link MathUtils#SAFE_MIN}

These default values may be overridden after construction. If the {@link @@ -168,6 +173,7 @@ public class LevenbergMarquardtOptimizer setCostRelativeTolerance(1.0e-10); setParRelativeTolerance(1.0e-10); setOrthoTolerance(1.0e-10); + setQRRankingThreshold(MathUtils.SAFE_MIN); } @@ -216,6 +222,19 @@ public class LevenbergMarquardtOptimizer this.orthoTolerance = orthoTolerance; } + /** + * Set the desired threshold for QR ranking. + *

+ * If the squared norm of a column vector is smaller or equal to this threshold + * during QR decomposition, it is considered to be a zero vector and hence the + * rank of the matrix is reduced. + *

+ * @param qrRankingThreshold threshold for QR ranking + */ + public void setQRRankingThreshold(final double qrRankingThreshold) { + this.qrRankingThreshold = qrRankingThreshold; + } + /** {@inheritDoc} */ @Override protected VectorialPointValuePair doOptimize() @@ -805,7 +824,7 @@ public class LevenbergMarquardtOptimizer ak2 = norm2; } } - if (ak2 == 0) { + if (ak2 <= qrRankingThreshold) { rank = k; return; } 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=951864&r1=951863&r2=951864&view=diff ============================================================================== --- commons/proper/math/trunk/src/site/xdoc/changes.xml (original) +++ commons/proper/math/trunk/src/site/xdoc/changes.xml Sun Jun 6 14:01:51 2010 @@ -52,6 +52,10 @@ The type attribute can be add,u If the output is not quite correct, check for invisible trailing spaces! --> + + Added a setQRRankingThreshold method to Levenberg-Marquardt optimizer to improve robustness + of rank determination. + Added random data generation methods to RandomDataImpl for the remaining distributions in the distributions package. Added a generic nextInversionDeviate method that takes a discrete Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizerTest.java URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizerTest.java?rev=951864&r1=951863&r2=951864&view=diff ============================================================================== --- commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizerTest.java (original) +++ commons/proper/math/trunk/src/test/java/org/apache/commons/math/optimization/general/LevenbergMarquardtOptimizerTest.java Sun Jun 6 14:01:51 2010 @@ -505,10 +505,12 @@ public class LevenbergMarquardtOptimizer problem.addPoint (2, -2.1488478161387325); problem.addPoint (3, -1.9122489313410047); problem.addPoint (4, 1.7785661310051026); - new LevenbergMarquardtOptimizer().optimize(problem, - new double[] { 0, 0, 0, 0, 0 }, - new double[] { 0.0, 4.4e-323, 1.0, 4.4e-323, 0.0 }, - new double[] { 0, 0, 0 }); + LevenbergMarquardtOptimizer optimizer = new LevenbergMarquardtOptimizer(); + optimizer.setQRRankingThreshold(0); + optimizer.optimize(problem, + new double[] { 0, 0, 0, 0, 0 }, + new double[] { 0.0, 4.4e-323, 1.0, 4.4e-323, 0.0 }, + new double[] { 0, 0, 0 }); fail("an exception should have been thrown"); } catch (OptimizationException ee) { // expected behavior