Package org.apache.commons.math3.distribution

Examples of org.apache.commons.math3.distribution.SaddlePointExpansion

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        SiteWithPolynomial nearSite = nearestSites.get(row);
        DefaultPolynomial.populateMatrix(matrix, row, nearSite.pos.x, nearSite.pos.z);
        vector.setEntry(row, nearSite.pos.y);
      }
     
      QRDecomposition qr = new QRDecomposition(matrix);
      RealVector solution = qr.getSolver().solve(vector);
       
      double[] coeffs = solution.toArray();
     
      for (double coeff : coeffs) {
        if (coeff > 10e3) {
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        }

        // solve the rectangular system in the least square sense
        // to get the best estimate of the Nordsieck vector [s2 ... sk]
        QRDecomposition decomposition;
        decomposition = new QRDecomposition(new Array2DRowRealMatrix(a, false));
        RealMatrix x = decomposition.getSolver().solve(new Array2DRowRealMatrix(b, false));
        return new Array2DRowRealMatrix(x.getData(), false);
    }
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     * if the covariance matrix cannot be computed (singular problem).
     */
    public double[][] computeCovariances(double[] params,
                                         double threshold) {
        // Set up the Jacobian.
        final RealMatrix j = computeWeightedJacobian(params);

        // Compute transpose(J)J.
        final RealMatrix jTj = j.transpose().multiply(j);

        // Compute the covariances matrix.
        final DecompositionSolver solver
            = new QRDecomposition(jTj, threshold).getSolver();
        return solver.getInverse().getData();
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     * @return the square-root of the weight matrix.
     */
    private RealMatrix squareRoot(RealMatrix m) {
        if (m instanceof DiagonalMatrix) {
            final int dim = m.getRowDimension();
            final RealMatrix sqrtM = new DiagonalMatrix(dim);
            for (int i = 0; i < dim; i++) {
                sqrtM.setEntry(i, i, FastMath.sqrt(m.getEntry(i, i)));
            }
            return sqrtM;
        } else {
            final EigenDecomposition dec = new EigenDecomposition(m);
            return dec.getSquareRoot();
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      List<SiteWithPolynomial> nearestSites =
          nearestSiteMap.get(site);
     
      RealVector vector = new ArrayRealVector(SITES_FOR_APPROX);
      RealMatrix matrix = new Array2DRowRealMatrix(
          SITES_FOR_APPROX, DefaultPolynomial.NUM_COEFFS);
     
      for (int row = 0; row < SITES_FOR_APPROX; row++) {
        SiteWithPolynomial nearSite = nearestSites.get(row);
        DefaultPolynomial.populateMatrix(matrix, row, nearSite.pos.x, nearSite.pos.z);
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     * @param matrix matrix with columns representing variables to correlate
     * @return correlation matrix
     */
    public RealMatrix computeCorrelationMatrix(final RealMatrix matrix) {
        int nVars = matrix.getColumnDimension();
        RealMatrix outMatrix = new BlockRealMatrix(nVars, nVars);
        for (int i = 0; i < nVars; i++) {
            for (int j = 0; j < i; j++) {
                double corr = correlation(matrix.getColumn(i), matrix.getColumn(j));
                outMatrix.setEntry(i, j, corr);
                outMatrix.setEntry(j, i, corr);
            }
            outMatrix.setEntry(i, i, 1d);
        }
        return outMatrix;
    }
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        // solve the rectangular system in the least square sense
        // to get the best estimate of the Nordsieck vector [s2 ... sk]
        QRDecomposition decomposition;
        decomposition = new QRDecomposition(new Array2DRowRealMatrix(a, false));
        RealMatrix x = decomposition.getSolver().solve(new Array2DRowRealMatrix(b, false));
        return new Array2DRowRealMatrix(x.getData(), false);
    }
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        double[] qtf     = new double[nR];
        double[] work1   = new double[nC];
        double[] work2   = new double[nC];
        double[] work3   = new double[nC];

        final RealMatrix weightMatrixSqrt = getWeightSquareRoot();

        // Evaluate the function at the starting point and calculate its norm.
        double[] currentObjective = computeObjectiveValue(currentPoint);
        double[] currentResiduals = computeResiduals(currentObjective);
        PointVectorValuePair current = new PointVectorValuePair(currentPoint, currentObjective);
        double currentCost = computeCost(currentResiduals);

        // Outer loop.
        lmPar = 0;
        boolean firstIteration = true;
        final ConvergenceChecker<PointVectorValuePair> checker = getConvergenceChecker();
        while (true) {
            incrementIterationCount();

            final PointVectorValuePair previous = current;

            // QR decomposition of the jacobian matrix
            qrDecomposition(computeWeightedJacobian(currentPoint));

            weightedResidual = weightMatrixSqrt.operate(currentResiduals);
            for (int i = 0; i < nR; i++) {
                qtf[i] = weightedResidual[i];
            }

            // compute Qt.res
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        double[] qtf     = new double[nR];
        double[] work1   = new double[nC];
        double[] work2   = new double[nC];
        double[] work3   = new double[nC];

        final RealMatrix weightMatrixSqrt = getWeightSquareRoot();

        // Evaluate the function at the starting point and calculate its norm.
        double[] currentObjective = computeObjectiveValue(currentPoint);
        double[] currentResiduals = computeResiduals(currentObjective);
        PointVectorValuePair current = new PointVectorValuePair(currentPoint, currentObjective);
        double currentCost = computeCost(currentResiduals);

        // Outer loop.
        lmPar = 0;
        boolean firstIteration = true;
        int iter = 0;
        final ConvergenceChecker<PointVectorValuePair> checker = getConvergenceChecker();
        while (true) {
            ++iter;
            final PointVectorValuePair previous = current;

            // QR decomposition of the jacobian matrix
            qrDecomposition(computeWeightedJacobian(currentPoint));

            weightedResidual = weightMatrixSqrt.operate(currentResiduals);
            for (int i = 0; i < nR; i++) {
                qtf[i] = weightedResidual[i];
            }

            // compute Qt.res
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     * if the covariance matrix cannot be computed (singular problem).
     */
    public double[][] computeCovariances(double[] params,
                                         double threshold) {
        // Set up the Jacobian.
        final RealMatrix j = computeWeightedJacobian(params);

        // Compute transpose(J)J.
        final RealMatrix jTj = j.transpose().multiply(j);

        // Compute the covariances matrix.
        final DecompositionSolver solver
            = new QRDecomposition(jTj, threshold).getSolver();
        return solver.getInverse().getData();
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Related Classes of org.apache.commons.math3.distribution.SaddlePointExpansion

  • org.apache.commons.math3.analysis.differentiation.DerivativeStructure
  • org.apache.commons.math3.analysis.differentiation.MultivariateDifferentiableVectorFunction
  • org.apache.commons.math3.analysis.function.HarmonicOscillator
  • org.apache.commons.math3.analysis.function.Sin
  • org.apache.commons.math3.analysis.function.Sinc
  • org.apache.commons.math3.analysis.MultivariateFunction
  • org.apache.commons.math3.analysis.QuinticFunction
  • org.apache.commons.math3.analysis.solvers.BrentSolver
  • org.apache.commons.math3.analysis.UnivariateFunction
  • org.apache.commons.math3.complex.Complex
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