public void testFit() { final GeneralizedLeastSquare gls = new GeneralizedLeastSquare(); final double[] y = new double[Y.length]; for (int i = 0; i < Y.length; i++) { y[i] = Y[i] + SIGMA[i] * NORMAL.nextRandom(); } final LeastSquareResults results = gls.solve(X, y, SIGMA, SIN_FUNCTIONS); assertTrue(results.getChiSq() < 3 * Y.length); }
public void solveRandomNoiseTest() { final MatrixAlgebra ma = new OGMatrixAlgebra(); final double[] y = new double[20]; for (int i = 0; i < 20; i++) { y[i] = Y.get(i) + SIGMA.get(i) * NORMAL.nextRandom(); } final DoubleArray start = DoubleArray.of(0.7, 1.4, 0.2, -0.3); final NonLinearLeastSquare ls = new NonLinearLeastSquare(); final LeastSquareResults res = ls.solve(X, DoubleArray.copyOf(y), SIGMA, PARAM_FUNCTION, PARAM_GRAD, start); final double chiSqDoF = res.getChiSq() / 16; assertTrue(chiSqDoF > 0.25); assertTrue(chiSqDoF < 3.0); final DoubleArray trueValues = DoubleArray.of(1, 1, 0, 0); final DoubleArray delta = (DoubleArray) ma.subtract(res.getFitParameters(), trueValues); final LUDecompositionCommons decmp = new LUDecompositionCommons(); final LUDecompositionResult decmpRes = decmp.apply(res.getCovariance()); final DoubleMatrix invCovariance = decmpRes.solve(DoubleMatrix.identity(4)); double z = ma.getInnerProduct(delta, ma.multiply(invCovariance, delta)); z = Math.sqrt(z); assertTrue(z < 3.0); }
public void smallPertubationTest() { final MatrixAlgebra ma = new OGMatrixAlgebra(); final double[] dy = new double[20]; for (int i = 0; i < 20; i++) { dy[i] = 0.1 * SIGMA.get(i) * NORMAL.nextRandom(); } final DoubleArray deltaY = DoubleArray.copyOf(dy); final DoubleArray solution = DoubleArray.of(1.0, 1.0, 0.0, 0.0); final NonLinearLeastSquare ls = new NonLinearLeastSquare(); final DoubleMatrix res = ls.calInverseJacobian(SIGMA, FUNCTION, GRAD, solution); final DoubleArray deltaParms = (DoubleArray) ma.multiply(res, deltaY); final DoubleArray y = (DoubleArray) ma.add(Y, deltaY); final LeastSquareResults lsRes = ls.solve(X, y, SIGMA, PARAM_FUNCTION, PARAM_GRAD, solution); final DoubleArray trueDeltaParms = (DoubleArray) ma.subtract(lsRes.getFitParameters(), solution); assertEquals(trueDeltaParms.get(0), deltaParms.get(0), 5e-5); assertEquals(trueDeltaParms.get(1), deltaParms.get(1), 5e-5); assertEquals(trueDeltaParms.get(2), deltaParms.get(2), 5e-5); assertEquals(trueDeltaParms.get(3), deltaParms.get(3), 5e-5); }