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323 lines
11 KiB
C++
323 lines
11 KiB
C++
//$$ newmatnl.h definition file for non-linear optimisation
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// Copyright (C) 1993,4,5: R B Davies
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#ifndef NEWMATNL_LIB
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#define NEWMATNL_LIB 0
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#include "newmat.h"
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#ifdef use_namespace
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namespace NEWMAT {
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#endif
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/*
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This is a beginning of a series of classes for non-linear optimisation.
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At present there are two classes. FindMaximum2 is the basic optimisation
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strategy when one is doing an optimisation where one has first
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derivatives and estimates of the second derivatives. Class
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NonLinearLeastSquares is derived from FindMaximum2. This provides the
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functions that calculate function values and derivatives.
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A third class is now added. This is for doing maximum-likelihood when
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you have first derviatives and something like the Fisher Information
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matrix (eg the variance covariance matrix of the first derivatives or
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minus the second derivatives - this matrix is assumed to be positive
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definite).
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class FindMaximum2
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Suppose T is the ColumnVector of parameters, F(T) the function we want
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to maximise, D(T) the ColumnVector of derivatives of F with respect to
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T, and S(T) the matrix of second derivatives.
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Then the basic iteration is given a value of T, update it to
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T - S.i() * D
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where .i() denotes inverse.
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If F was quadratic this would give exactly the right answer (except it
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might get a minimum rather than a maximum). Since F is not usually
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quadratic, the simple procedure would be to recalculate S and D with the
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new value of T and keep iterating until the process converges. This is
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known as the method of conjugate gradients.
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In practice, this method may not converge. FindMaximum2 considers an
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iteration of the form
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T - x * S.i() * D
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where x is a number. It tries x = 1 and uses the values of F and its
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slope with respect to x at x = 0 and x = 1 to fit a cubic in x. It then
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choses x to maximise the resulting function. This gives our new value of
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T. The program checks that the value of F is getting better and carries
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out a variety of strategies if it is not.
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The program also has a second strategy. If the successive values of T
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seem to be lying along a curve - eg we are following along a curved
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ridge, the program will try to fit this ridge and project along it. This
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does not work at present and is commented out.
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FindMaximum2 has three virtual functions which need to be over-ridden by
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a derived class.
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void Value(const ColumnVector& T, bool wg, Real& f, bool& oorg);
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T is the column vector of parameters. The function returns the value of
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the function to f, but may instead set oorg to true if the parameter
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values are not valid. If wg is true it may also calculate and store the
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second derivative information.
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bool NextPoint(ColumnVector& H, Real& d);
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Using the value of T provided in the previous call of Value, find the
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conjugate gradients adjustment to T, that is - S.i() * D. Also return
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d = D.t() * S.i() * D.
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NextPoint should return true if it considers that the process has
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converged (d very small) and false otherwise. The previous call of Value
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will have set wg to true, so that S will be available.
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Real LastDerivative(const ColumnVector& H);
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Return the scalar product of H and the vector of derivatives at the last
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value of T.
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The function Fit is the function that calls the iteration.
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void Fit(ColumnVector&, int);
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The arguments are the trial parameter values as a ColumnVector and the
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maximum number of iterations. The program calls a DataException if the
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initial parameters are not valid and a ConvergenceException if the
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process fails to converge.
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class NonLinearLeastSquares
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This class is derived from FindMaximum2 and carries out a non-linear
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least squares fit. It uses a QR decomposition to carry out the
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operations required by FindMaximum2.
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A prototype class R1_Col_I_D is provided. The user needs to derive a
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class from this which includes functions the predicted value of each
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observation its derivatives. An object from this class has to be
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provided to class NonLinearLeastSquares.
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Suppose we observe n normal random variables with the same unknown
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variance and such the i-th one has expected value given by f(i,P)
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where P is a column vector of unknown parameters and f is a known
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function. We wish to estimate P.
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First derive a class from R1_Col_I_D and override Real operator()(int i)
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to give the value of the function f in terms of i and the ColumnVector
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para defined in class R1_CoL_I_D. Also override ReturnMatrix
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Derivatives() to give the derivates of f at para and the value of i
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used in the preceeding call to operator(). Return the result as a
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RowVector. Construct an object from this class. Suppose in what follows
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it is called pred.
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Now constuct a NonLinearLeastSquaresObject accessing pred and optionally
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an iteration limit and an accuracy critierion.
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NonLinearLeastSquares NLLS(pred, 1000, 0.0001);
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The accuracy critierion should be somewhat less than one and 0.0001 is
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about the smallest sensible value.
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Define a ColumnVector P containing a guess at the value of the unknown
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parameter, and a ColumnVector Y containing the unknown data. Call
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NLLS.Fit(Y,P);
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If the process converges, P will contain the estimates of the unknown
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parameters. If it does not converge an exception will be generated.
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The following member functions can be called after you have done a fit.
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Real ResidualVariance() const;
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The estimate of the variance of the observations.
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void GetResiduals(ColumnVector& Z) const;
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The residuals of the individual observations.
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void GetStandardErrors(ColumnVector&);
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The standard errors of the observations.
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void GetCorrelations(SymmetricMatrix&);
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The correlations of the observations.
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void GetHatDiagonal(DiagonalMatrix&) const;
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Forms a diagonal matrix of values between 0 and 1. If the i-th value is
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larger than, say 0.2, then the i-th data value could have an undue
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influence on your estimates.
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*/
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class FindMaximum2
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{
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virtual void Value(const ColumnVector&, bool, Real&, bool&) = 0;
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virtual bool NextPoint(ColumnVector&, Real&) = 0;
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virtual Real LastDerivative(const ColumnVector&) = 0;
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public:
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void Fit(ColumnVector&, int);
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virtual ~FindMaximum2() {} // to keep gnu happy
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};
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class R1_Col_I_D
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{
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// The prototype for a Real function of a ColumnVector and an
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// integer.
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// You need to derive your function from this one and put in your
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// function for operator() and Derivatives() at least.
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// You may also want to set up a constructor to enter in additional
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// parameter values (that will not vary during the solve).
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protected:
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ColumnVector para; // Current x value
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public:
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virtual bool IsValid() { return true; }
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// is the current x value OK
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virtual Real operator()(int i) = 0; // i-th function value at current para
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virtual void Set(const ColumnVector& X) { para = X; }
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// set current para
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bool IsValid(const ColumnVector& X)
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{ Set(X); return IsValid(); }
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// set para, check OK
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Real operator()(int i, const ColumnVector& X)
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{ Set(X); return operator()(i); }
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// set para, return value
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virtual ReturnMatrix Derivatives() = 0;
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// return derivatives as RowVector
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virtual ~R1_Col_I_D() {} // to keep gnu happy
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};
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class NonLinearLeastSquares : public FindMaximum2
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{
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// these replace the corresponding functions in FindMaximum2
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void Value(const ColumnVector&, bool, Real&, bool&);
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bool NextPoint(ColumnVector&, Real&);
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Real LastDerivative(const ColumnVector&);
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Matrix X; // the things we need to do the
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ColumnVector Y; // QR triangularisation
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UpperTriangularMatrix U; // see the write-up in newmata.txt
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ColumnVector M;
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Real errorvar, criterion;
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int n_obs, n_param;
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const ColumnVector* DataPointer;
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RowVector Derivs;
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SymmetricMatrix Covariance;
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DiagonalMatrix SE;
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R1_Col_I_D& Pred; // Reference to predictor object
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int Lim; // maximum number of iterations
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public:
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NonLinearLeastSquares(R1_Col_I_D& pred, int lim=1000, Real crit=0.0001)
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: criterion(crit), Pred(pred), Lim(lim) {}
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void Fit(const ColumnVector&, ColumnVector&);
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Real ResidualVariance() const { return errorvar; }
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void GetResiduals(ColumnVector& Z) const { Z = Y; }
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void GetStandardErrors(ColumnVector&);
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void GetCorrelations(SymmetricMatrix&);
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void GetHatDiagonal(DiagonalMatrix&) const;
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private:
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void MakeCovariance();
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};
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// The next class is the prototype class for calculating the
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// log-likelihood.
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// I assume first derivatives are available and something like the
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// Fisher Information or variance/covariance matrix of the first
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// derivatives or minus the matrix of second derivatives is
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// available. This matrix must be positive definite.
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class LL_D_FI
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{
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protected:
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ColumnVector para; // current parameter values
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bool wg; // true if FI matrix wanted
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public:
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virtual void Set(const ColumnVector& X) { para = X; }
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// set parameter values
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virtual void WG(bool wgx) { wg = wgx; }
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// set wg
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virtual bool IsValid() { return true; }
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// return true is para is OK
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bool IsValid(const ColumnVector& X, bool wgx=true)
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{ Set(X); WG(wgx); return IsValid(); }
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virtual Real LogLikelihood() = 0; // return the loglikelihhod
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Real LogLikelihood(const ColumnVector& X, bool wgx=true)
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{ Set(X); WG(wgx); return LogLikelihood(); }
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virtual ReturnMatrix Derivatives() = 0;
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// column vector of derivatives
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virtual ReturnMatrix FI() = 0; // Fisher Information matrix
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virtual ~LL_D_FI() {} // to keep gnu happy
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};
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// This is the class for doing the maximum likelihood estimation
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class MLE_D_FI : public FindMaximum2
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{
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// these replace the corresponding functions in FindMaximum2
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void Value(const ColumnVector&, bool, Real&, bool&);
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bool NextPoint(ColumnVector&, Real&);
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Real LastDerivative(const ColumnVector&);
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// the things we need for the analysis
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LL_D_FI& LL; // reference to log-likelihood
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int Lim; // maximum number of iterations
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Real Criterion; // convergence criterion
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ColumnVector Derivs; // for the derivatives
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LowerTriangularMatrix LT; // Cholesky decomposition of FI
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SymmetricMatrix Covariance;
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DiagonalMatrix SE;
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public:
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MLE_D_FI(LL_D_FI& ll, int lim=1000, Real criterion=0.0001)
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: LL(ll), Lim(lim), Criterion(criterion) {}
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void Fit(ColumnVector& Parameters);
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void GetStandardErrors(ColumnVector&);
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void GetCorrelations(SymmetricMatrix&);
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private:
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void MakeCovariance();
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};
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#ifdef use_namespace
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}
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#endif
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#endif
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// body file: newmatnl.cpp
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