Class GaussNewtonEstimator

  • All Implemented Interfaces:
    java.io.Serializable, Estimator

    @Deprecated
    public class GaussNewtonEstimator
    extends AbstractEstimator
    implements java.io.Serializable
    Deprecated.
    as of 2.0, everything in package org.apache.commons.math.estimation has been deprecated and replaced by package org.apache.commons.math.optimization.general
    This class implements a solver for estimation problems.

    This class solves estimation problems using a weighted least squares criterion on the measurement residuals. It uses a Gauss-Newton algorithm.

    Since:
    1.2
    See Also:
    Serialized Form
    • Constructor Detail

      • GaussNewtonEstimator

        public GaussNewtonEstimator​(int maxCostEval,
                                    double convergence,
                                    double steadyStateThreshold)
        Deprecated.
        Simple constructor.

        This constructor builds an estimator and stores its convergence characteristics.

        An estimator is considered to have converged whenever either the criterion goes below a physical threshold under which improvements are considered useless or when the algorithm is unable to improve it (even if it is still high). The first condition that is met stops the iterations.

        The fact an estimator has converged does not mean that the model accurately fits the measurements. It only means no better solution can be found, it does not mean this one is good. Such an analysis is left to the caller.

        If neither conditions are fulfilled before a given number of iterations, the algorithm is considered to have failed and an EstimationException is thrown.

        Parameters:
        maxCostEval - maximal number of cost evaluations allowed
        convergence - criterion threshold below which we do not need to improve the criterion anymore
        steadyStateThreshold - steady state detection threshold, the problem has converged has reached a steady state if FastMath.abs(Jn - Jn-1) < Jn × convergence, where Jn and Jn-1 are the current and preceding criterion values (square sum of the weighted residuals of considered measurements).
    • Method Detail

      • setConvergence

        public void setConvergence​(double convergence)
        Deprecated.
        Set the convergence criterion threshold.
        Parameters:
        convergence - criterion threshold below which we do not need to improve the criterion anymore
      • setSteadyStateThreshold

        public void setSteadyStateThreshold​(double steadyStateThreshold)
        Deprecated.
        Set the steady state detection threshold.

        The problem has converged has reached a steady state if FastMath.abs(Jn - Jn-1) < Jn × convergence, where Jn and Jn-1 are the current and preceding criterion values (square sum of the weighted residuals of considered measurements).

        Parameters:
        steadyStateThreshold - steady state detection threshold
      • estimate

        public void estimate​(EstimationProblem problem)
                      throws EstimationException
        Deprecated.
        Solve an estimation problem using a least squares criterion.

        This method set the unbound parameters of the given problem starting from their current values through several iterations. At each step, the unbound parameters are changed in order to minimize a weighted least square criterion based on the measurements of the problem.

        The iterations are stopped either when the criterion goes below a physical threshold under which improvement are considered useless or when the algorithm is unable to improve it (even if it is still high). The first condition that is met stops the iterations. If the convergence it not reached before the maximum number of iterations, an EstimationException is thrown.

        Specified by:
        estimate in interface Estimator
        Specified by:
        estimate in class AbstractEstimator
        Parameters:
        problem - estimation problem to solve
        Throws:
        EstimationException - if the problem cannot be solved
        See Also:
        EstimationProblem