org.apache.commons.math.optimization.general
Class GaussNewtonOptimizer

java.lang.Object
  org.apache.commons.math.optimization.general.AbstractLeastSquaresOptimizer
      org.apache.commons.math.optimization.general.GaussNewtonOptimizer

All Implemented Interfaces:

DifferentiableMultivariateVectorialOptimizer

public class GaussNewtonOptimizer
extends AbstractLeastSquaresOptimizer

Gauss-Newton least-squares solver.

This class solve a least-square problem by solving the normal equations of the linearized problem at each iteration. Either LU decomposition or QR decomposition can be used to solve the normal equations. LU decomposition is faster but QR decomposition is more robust for difficult problems.

Since:

2.0

Version:

$Revision: 1073158 $ $Date: 2011-02-21 22:46:52 +0100 (lun. 21 févr. 2011) $

Field Summary

Fields inherited from class org.apache.commons.math.optimization.general.AbstractLeastSquaresOptimizer

checker, cols, cost, DEFAULT_MAX_ITERATIONS, jacobian, objective, point, residuals, residualsWeights, rows, targetValues, wjacobian, wresiduals

Constructor Summary

GaussNewtonOptimizer(boolean useLU)
Simple constructor with default settings.

Method Summary

VectorialPointValuePair

doOptimize() Perform the bulk of optimization algorithm.

Methods inherited from class org.apache.commons.math.optimization.general.AbstractLeastSquaresOptimizer

getChiSquare, getConvergenceChecker, getCovariances, getEvaluations, getIterations, getJacobianEvaluations, getMaxEvaluations, getMaxIterations, getRMS, guessParametersErrors, incrementIterationsCounter, optimize, setConvergenceChecker, setMaxEvaluations, setMaxIterations, updateJacobian, updateResidualsAndCost

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GaussNewtonOptimizer

public GaussNewtonOptimizer(boolean useLU)

Simple constructor with default settings.

The convergence check is set to a SimpleVectorialValueChecker and the maximal number of evaluation is set to AbstractLeastSquaresOptimizer.DEFAULT_MAX_ITERATIONS.

Parameters:

useLU - if true, the normal equations will be solved using LU decomposition, otherwise they will be solved using QR decomposition

Method Detail

doOptimize

public VectorialPointValuePair doOptimize()
                                   throws FunctionEvaluationException,
                                          OptimizationException,
                                          IllegalArgumentException

Perform the bulk of optimization algorithm.

Specified by:

doOptimize in class AbstractLeastSquaresOptimizer

Returns:

the point/value pair giving the optimal value for objective function

Throws:

FunctionEvaluationException - if the objective function throws one during the search

OptimizationException - if the algorithm failed to converge

IllegalArgumentException - if the start point dimension is wrong