NonLinearLeastSquares Class Reference

#include <newmatnl.h>

Inheritance diagram for NonLinearLeastSquares:

Public Member Functions
	NonLinearLeastSquares (R1_Col_I_D &pred, int lim=1000, Real crit=0.0001)
void	Fit (const ColumnVector &, ColumnVector &)
Real	ResidualVariance () const
void	GetResiduals (ColumnVector &Z) const
void	GetStandardErrors (ColumnVector &)
void	GetCorrelations (SymmetricMatrix &)
void	GetHatDiagonal (DiagonalMatrix &) const
Public Member Functions inherited from FindMaximum2
void	Fit (ColumnVector &, int)
virtual	~FindMaximum2 ()

Private Member Functions
void	Value (const ColumnVector &, bool, Real &, bool &)
bool	NextPoint (ColumnVector &, Real &)
Real	LastDerivative (const ColumnVector &)
void	MakeCovariance ()

Private Attributes
Matrix	X
ColumnVector	Y
UpperTriangularMatrix	U
ColumnVector	M
Real	errorvar
Real	criterion
int	n_obs
int	n_param
const ColumnVector *	DataPointer
RowVector	Derivs
SymmetricMatrix	Covariance
DiagonalMatrix	SE
R1_Col_I_D &	Pred
int	Lim

Detailed Description

Definition at line 211 of file newmatnl.h.

Constructor & Destructor Documentation

NonLinearLeastSquares()

NonLinearLeastSquares::NonLinearLeastSquares ( R1_Col_I_D &  pred, int  lim = 1000, Real  crit = 0.0001  )

inline

Definition at line 232 of file newmatnl.h.

      : criterion(crit), Pred(pred), Lim(lim) {}

Member Function Documentation

Fit()

void NonLinearLeastSquares::Fit	(	const ColumnVector &	Data,
		ColumnVector &	Parameters
	)

Definition at line 169 of file newmatnl.cpp.

References FindMaximum2::Fit(), and GeneralMatrix::Nrows().

{
   Tracer tr("NonLinearLeastSquares::Fit");
   n_param = Parameters.Nrows(); n_obs = Data.Nrows();
   DataPointer = &Data;
   FindMaximum2::Fit(Parameters, Lim);
   cout << "\nConverged" << endl;
}

GetCorrelations()

void NonLinearLeastSquares::GetCorrelations

(

SymmetricMatrix &

Corr

)

Definition at line 193 of file newmatnl.cpp.

References BaseMatrix::i().

   { MakeCovariance(); Corr << SE.i() * Covariance * SE.i(); }

GetHatDiagonal()

void NonLinearLeastSquares::GetHatDiagonal

(

DiagonalMatrix &

Hat

)

const

Definition at line 196 of file newmatnl.cpp.

References DiagonalMatrix::ReSize(), BaseMatrix::Row(), and BaseMatrix::SumSquare().

{
   Hat.ReSize(n_obs);
   for (int i = 1; i<=n_obs; i++) Hat(i) = X.Row(i).SumSquare();
}

GetResiduals()

void NonLinearLeastSquares::GetResiduals ( ColumnVector &  Z ) const

inline

Definition at line 236 of file newmatnl.h.

{ Z = Y; }

GetStandardErrors()

void NonLinearLeastSquares::GetStandardErrors

(

ColumnVector &

SEX

)

Definition at line 190 of file newmatnl.cpp.

References BaseMatrix::AsColumn().

   { MakeCovariance(); SEX = SE.AsColumn(); }

LastDerivative()

Real NonLinearLeastSquares::LastDerivative ( const ColumnVector &  H )

privatevirtual

Implements FindMaximum2.

Definition at line 166 of file newmatnl.cpp.

{ return (Derivs * H).AsScalar(); }

MakeCovariance()

void NonLinearLeastSquares::MakeCovariance ( )

private

Definition at line 179 of file newmatnl.cpp.

References BaseMatrix::i(), and BaseMatrix::t().

{
   if (Covariance.Nrows()==0)
   {
      UpperTriangularMatrix UI = U.i();
      Covariance << UI * UI.t() * errorvar;
      SE << Covariance;                 // get diagonals
      for (int i = 1; i<=n_param; i++) SE(i) = sqrt(SE(i));
   }
}

NextPoint()

bool NonLinearLeastSquares::NextPoint ( ColumnVector &  Adj, Real &  test  )

privatevirtual

Implements FindMaximum2.

Definition at line 154 of file newmatnl.cpp.

References BaseMatrix::i(), and QRZ().

{
   Tracer tr("NonLinearLeastSquares::NextPoint");
   QRZ(X, U); QRZ(X, Y, M);     // do the QR decomposition
   test = M.SumSquare();
   cout << " " << setw(15) << setprecision(10)
      << test << " " << Y.SumSquare() / (n_obs - n_param);
   Adj = U.i() * M;
   if (test < errorvar * criterion) return true;
   else return false;
}

ResidualVariance()

Real NonLinearLeastSquares::ResidualVariance ( ) const

inline

Definition at line 235 of file newmatnl.h.

{ return errorvar; }

Value()

void NonLinearLeastSquares::Value ( const ColumnVector &  Parameters, bool  , Real &  v, bool &  oorg  )

privatevirtual

Implements FindMaximum2.

Definition at line 133 of file newmatnl.cpp.

{
   Tracer tr("NonLinearLeastSquares::Value");
   Y.ReSize(n_obs); X.ReSize(n_obs,n_param);
   // put the fitted values in Y, the derivatives in X.
   Pred.Set(Parameters);
   if (!Pred.IsValid()) { oorg=true; return; }
   for (int i=1; i<=n_obs; i++)
   {
      Y(i) = Pred(i);
      X.Row(i) = Pred.Derivatives();
   }
   if (!Pred.IsValid()) { oorg=true; return; }  // check afterwards as well
   Y = *DataPointer - Y; Real ssq = Y.SumSquare();
   errorvar =  ssq / (n_obs - n_param);
   cout << endl;
   cout << setw(15) << setprecision(10) << " " << errorvar;
   Derivs = Y.t() * X;          // get the derivative and stash it
   oorg = false; v = -0.5 * ssq;
}

Member Data Documentation

Covariance

SymmetricMatrix NonLinearLeastSquares::Covariance

private

Definition at line 226 of file newmatnl.h.

criterion

Real NonLinearLeastSquares::criterion

private

Definition at line 222 of file newmatnl.h.

DataPointer

const ColumnVector* NonLinearLeastSquares::DataPointer

private

Definition at line 224 of file newmatnl.h.

Derivs

RowVector NonLinearLeastSquares::Derivs

private

Definition at line 225 of file newmatnl.h.

errorvar

Real NonLinearLeastSquares::errorvar

private

Definition at line 222 of file newmatnl.h.

Lim

int NonLinearLeastSquares::Lim

private

Definition at line 229 of file newmatnl.h.

M

ColumnVector NonLinearLeastSquares::M

private

Definition at line 221 of file newmatnl.h.

n_obs

int NonLinearLeastSquares::n_obs

private

Definition at line 223 of file newmatnl.h.

n_param

int NonLinearLeastSquares::n_param

private

Definition at line 223 of file newmatnl.h.

Pred

R1_Col_I_D& NonLinearLeastSquares::Pred

private

Definition at line 228 of file newmatnl.h.

SE

DiagonalMatrix NonLinearLeastSquares::SE

private

Definition at line 227 of file newmatnl.h.

U

UpperTriangularMatrix NonLinearLeastSquares::U

private

Definition at line 220 of file newmatnl.h.

X

Matrix NonLinearLeastSquares::X

private

Definition at line 218 of file newmatnl.h.

Y

ColumnVector NonLinearLeastSquares::Y

private

Definition at line 219 of file newmatnl.h.

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The documentation for this class was generated from the following files:

• newmatnl.h
• newmatnl.cpp