Hi again, I rearranged the least squares package and I've posted the results.[1] I've also created a pull request[2] and an associated issue.[3]
[1] https://github.com/wardev/commons-math/tree/sepOpt [2] https://github.com/apache/commons-math/pull/1 [3] https://issues.apache.org/jira/browse/MATH-1026 A summary of what I changed: (See the git log for more details.) 1. Separate LeastSquaresProblem from LeastSquaresOptimizer. Update tests to use the new interfaces. 2. Immutable fluent builders for optimizers. 3. Remove weights from the LeastSquaresProblem interface. They are pre-applied to the Jacobian and residuals. 4. Single function for computed values and Jacobian. I'm not 100% on the name. Call it MultivariateVectorMatrixFunction? or MultivariateJacobianFunction? or MultivariateVectorAndMatrixFunctionWithANameLongerThan80Characters? :) 5. Make LevenbergMarquardt thread safe by using explicit temporary parameters instead of instance fields. 6. In GaussNewton change useLU to an Enum 7. Change ConvergenceChecker<PointVectorValuePair> to CovergenceChecker<Evaluation>. Would allow conditions like "RMS changes less than 1e-3". 8. Use [math] linear package in interfaces (RealMatrix and RealVector instead of double[] and double[][]) I did not understand some things in the test code: 1. Why is AbstractLeastSquaresOptimizerTestValidation (renamed to EvaluationTestValidation) disabled by default and how do I tell if it passed? 2. Other smaller questions about the tests. Theses are in comments in the test package and marked with TODO. 3. LU and QR use a default singularity threshold. Caused test failures when GaussNewton is configured to use QR. (MATH-1024) 4. A single test case in LevenburgMarquardt.testControlParameters() now converges where it used to diverge. It estimates a reasonable rms after 15 iterations. I'm not sure why it used to diverge... There are still several items on the TODO list. Code and discussion is appreciated. :) Affecting the interface: 4. Immutable fluent builders for LSProblem? 6. maxIterations and ConvergenceChecker seem to have duplicate functionality. (To stop the algorithm after a certain number of iterations.) Remove the maxIterations parameter and let the ConvergenceCheck handle that job. Implementation only: 2. Efficient diagonal weights. (don't need to create a new matrix, just multiply in place) 3. Add more convenience methods to Factory and Builder. E.g. for diagonal weights, ... 4. Add conditional logic to Factory so it can use efficient diagonal weights even if they are provided in a matrix. 3. Use [math] linear package in optimizer implementations. To match the current code in performance I think this would mean adding "views" or specialized multiplication methods to the linear package. Depends on MATH-765 and MATH-928. Thanks for looking over the proposal and reviewing it. Regards, Evan --------------------------------------------------------------------- To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org For additional commands, e-mail: dev-h...@commons.apache.org
