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From er...@apache.org
Subject [math] MATH-1206
Date Thu, 09 Apr 2015 12:38:57 GMT
Repository: commons-math
Updated Branches:
  refs/heads/master c768ed307 -> 0a499402d


MATH-1206

New API methods in "LeastSquaresProblem.Evaluation" class.


Project: http://git-wip-us.apache.org/repos/asf/commons-math/repo
Commit: http://git-wip-us.apache.org/repos/asf/commons-math/commit/0a499402
Tree: http://git-wip-us.apache.org/repos/asf/commons-math/tree/0a499402
Diff: http://git-wip-us.apache.org/repos/asf/commons-math/diff/0a499402

Branch: refs/heads/master
Commit: 0a499402d707bc8cf775d7f9b3840780a7401f7d
Parents: c768ed3
Author: Gilles <erans@apache.org>
Authored: Thu Apr 9 14:37:42 2015 +0200
Committer: Gilles <erans@apache.org>
Committed: Thu Apr 9 14:37:42 2015 +0200

----------------------------------------------------------------------
 src/changes/changes.xml                         |  3 +++
 .../leastsquares/AbstractEvaluation.java        | 20 ++++++++++++------
 .../leastsquares/LeastSquaresProblem.java       | 22 ++++++++++++++++++--
 .../math4/fitting/leastsquares/OptimumImpl.java | 10 +++++++++
 .../leastsquares/EvaluationRmsCheckerTest.java  |  8 +++++++
 .../LevenbergMarquardtOptimizerTest.java        | 19 +++++++++++++++++
 6 files changed, 74 insertions(+), 8 deletions(-)
----------------------------------------------------------------------


http://git-wip-us.apache.org/repos/asf/commons-math/blob/0a499402/src/changes/changes.xml
----------------------------------------------------------------------
diff --git a/src/changes/changes.xml b/src/changes/changes.xml
index 485458b..d20a18b 100644
--- a/src/changes/changes.xml
+++ b/src/changes/changes.xml
@@ -54,6 +54,9 @@ If the output is not quite correct, check for invisible trailing spaces!
     </release>
 
     <release version="4.0" date="XXXX-XX-XX" description="">
+      <action dev="erans" type="update" issue="MATH-1206">
+        Added new API methods in "LeastSquares.Evaluation" (package "o.a.c.m.fitting.leastsquares").
+      </action>
       <action dev="erans" type="update" issue="MATH-1210">
         "QRDecomposition": include information about the condition that
         triggers a "SingularMatrixException".

http://git-wip-us.apache.org/repos/asf/commons-math/blob/0a499402/src/main/java/org/apache/commons/math4/fitting/leastsquares/AbstractEvaluation.java
----------------------------------------------------------------------
diff --git a/src/main/java/org/apache/commons/math4/fitting/leastsquares/AbstractEvaluation.java
b/src/main/java/org/apache/commons/math4/fitting/leastsquares/AbstractEvaluation.java
index 2326b38..29e5065 100644
--- a/src/main/java/org/apache/commons/math4/fitting/leastsquares/AbstractEvaluation.java
+++ b/src/main/java/org/apache/commons/math4/fitting/leastsquares/AbstractEvaluation.java
@@ -40,8 +40,8 @@ public abstract class AbstractEvaluation implements Evaluation {
     /**
      * Constructor.
      *
-     * @param observationSize the number of observation. Needed for {@link
-     *                        #getRMS()}.
+     * @param observationSize the number of observations.
+     * Needed for {@link #getRMS()} and {@link #getReducedChiSquare()}.
      */
     AbstractEvaluation(final int observationSize) {
         this.observationSize = observationSize;
@@ -74,14 +74,22 @@ public abstract class AbstractEvaluation implements Evaluation {
 
     /** {@inheritDoc} */
     public double getRMS() {
-        final double cost = this.getCost();
-        return FastMath.sqrt(cost * cost / this.observationSize);
+        return FastMath.sqrt(getReducedChiSquare(1));
     }
 
     /** {@inheritDoc} */
     public double getCost() {
-        final ArrayRealVector r = new ArrayRealVector(this.getResiduals());
-        return FastMath.sqrt(r.dotProduct(r));
+        return FastMath.sqrt(getChiSquare());
     }
 
+    /** {@inheritDoc} */
+    public double getChiSquare() {
+        final ArrayRealVector r = new ArrayRealVector(getResiduals());
+        return r.dotProduct(r);
+    }
+
+    /** {@inheritDoc} */
+    public double getReducedChiSquare(int numberOfFittedParameters) {
+        return getChiSquare() / (observationSize - numberOfFittedParameters + 1);
+    }
 }

http://git-wip-us.apache.org/repos/asf/commons-math/blob/0a499402/src/main/java/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.java
----------------------------------------------------------------------
diff --git a/src/main/java/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.java
b/src/main/java/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.java
index dfc5b5e..353c925 100644
--- a/src/main/java/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.java
+++ b/src/main/java/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.java
@@ -86,7 +86,6 @@ public interface LeastSquaresProblem extends OptimizationProblem<LeastSquaresPro
          * way for the caller to specify that the result of this computation should be
          * considered meaningless, and thus trigger an exception.
          *
-         *
          * @param threshold Singularity threshold.
          * @return the covariance matrix.
          * @throws org.apache.commons.math4.linear.SingularMatrixException
@@ -100,7 +99,6 @@ public interface LeastSquaresProblem extends OptimizationProblem<LeastSquaresPro
          * matrix, {@code sd(a[i]) ~= sqrt(C[i][i])}, where {@code a[i]} is the optimized
          * value of the {@code i}-th parameter, and {@code C} is the covariance matrix.
          *
-         *
          * @param covarianceSingularityThreshold Singularity threshold (see {@link
          *                                       #getCovariances(double) computeCovariances}).
          * @return an estimate of the standard deviation of the optimized parameters
@@ -128,13 +126,33 @@ public interface LeastSquaresProblem extends OptimizationProblem<LeastSquaresPro
 
         /**
          * Get the cost.
+         * It is the square-root of the {@link #getChiSquare() objective function}.
          *
          * @return the cost.
          * @see #getResiduals()
+         * @see #getChiSquare()
          */
         double getCost();
 
         /**
+         * Get the sum of the squares of the residuals.
+         *
+         * @return the cost.
+         * @see #getResiduals()
+         * @see #getCost()
+         */
+        double getChiSquare();
+
+        /**
+         * Get the reduced chi-square.
+         *
+         * @param n Number of fitted parameters.
+         * @return the sum of the squares of the residuals divided by the number
+         * of degrees of freedom.
+         */
+        double getReducedChiSquare(int n);
+
+        /**
          * Get the weighted residuals. The residual is the difference between the
          * observed (target) values and the model (objective function) value. There is one
          * residual for each element of the vector-valued function. The raw residuals are

http://git-wip-us.apache.org/repos/asf/commons-math/blob/0a499402/src/main/java/org/apache/commons/math4/fitting/leastsquares/OptimumImpl.java
----------------------------------------------------------------------
diff --git a/src/main/java/org/apache/commons/math4/fitting/leastsquares/OptimumImpl.java
b/src/main/java/org/apache/commons/math4/fitting/leastsquares/OptimumImpl.java
index e01b750..ddd478d 100644
--- a/src/main/java/org/apache/commons/math4/fitting/leastsquares/OptimumImpl.java
+++ b/src/main/java/org/apache/commons/math4/fitting/leastsquares/OptimumImpl.java
@@ -86,6 +86,16 @@ class OptimumImpl implements Optimum {
     }
 
     /** {@inheritDoc} */
+    public double getChiSquare() {
+        return value.getChiSquare();
+    }
+
+    /** {@inheritDoc} */
+    public double getReducedChiSquare(int n) {
+        return value.getReducedChiSquare(n);
+    }
+
+    /** {@inheritDoc} */
     public RealVector getResiduals() {
         return value.getResiduals();
     }

http://git-wip-us.apache.org/repos/asf/commons-math/blob/0a499402/src/test/java/org/apache/commons/math4/fitting/leastsquares/EvaluationRmsCheckerTest.java
----------------------------------------------------------------------
diff --git a/src/test/java/org/apache/commons/math4/fitting/leastsquares/EvaluationRmsCheckerTest.java
b/src/test/java/org/apache/commons/math4/fitting/leastsquares/EvaluationRmsCheckerTest.java
index d98dcaa..767c04e 100644
--- a/src/test/java/org/apache/commons/math4/fitting/leastsquares/EvaluationRmsCheckerTest.java
+++ b/src/test/java/org/apache/commons/math4/fitting/leastsquares/EvaluationRmsCheckerTest.java
@@ -74,6 +74,14 @@ public class EvaluationRmsCheckerTest {
                 return 0;
             }
 
+            public double getChiSquare() {
+                return 0;
+            }
+
+            public double getReducedChiSquare(int n) {
+                return 0;
+            }
+
             public RealVector getResiduals() {
                 return null;
             }

http://git-wip-us.apache.org/repos/asf/commons-math/blob/0a499402/src/test/java/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizerTest.java
----------------------------------------------------------------------
diff --git a/src/test/java/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizerTest.java
b/src/test/java/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizerTest.java
index 73b443d..6198eb7 100644
--- a/src/test/java/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizerTest.java
+++ b/src/test/java/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizerTest.java
@@ -233,6 +233,25 @@ public class LevenbergMarquardtOptimizerTest
                                     FastMath.abs(0.1 * expectedCovarMatrix[i][j]));
             }
         }
+
+        // Check various measures of goodness-of-fit.
+        final double chi2 = optimum.getChiSquare();
+        final double cost = optimum.getCost();
+        final double rms = optimum.getRMS();
+        final double reducedChi2 = optimum.getReducedChiSquare(start.length);
+
+        // XXX Values computed by the CM code: It would be better to compare
+        // with the results from another library.
+        final double expectedChi2 = 66.07852350839286;
+        final double expectedReducedChi2 = 1.2014277001525975;
+        final double expectedCost = 8.128869755900439;
+        final double expectedRms = 1.0582887010256337;
+
+        final double tol = 1e14;
+        Assert.assertEquals(expectedChi2, chi2, tol);
+        Assert.assertEquals(expectedReducedChi2, reducedChi2, tol);
+        Assert.assertEquals(expectedCost, cost, tol);
+        Assert.assertEquals(expectedRms, rms, tol);
     }
 
     @Test


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