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<document url="fitting.html">

  <properties>
    <title>The Commons Math User Guide - Least squares</title>
  </properties>

  <body>
    <section name="14 Least squares">
      <subsection name="14.1 Overview">
        <p>
          The least squares package fits a parametric model to a set of observed
          values by minimizing a cost function with a specific form.
          The fitting basically consists in finding the values
          for some parameters p<sub>k</sub> such that a cost function
          J = sum(w<sub>i</sub>(target<sub>i</sub> - model<sub>i</sub>)<sup>2</sup>) is
          minimized. The various (target<sub>i</sub> - model<sub>i</sub>(p<sub>k</sub>))
          terms are called residuals. They represent the deviation between a set of
          target values target<sub>i</sub> and theoretical values computed from
          models model<sub>i</sub> depending on free parameters p<sub>k</sub>.
          The w<sub>i</sub> factors are weights. One classical use case is when the
          target values are experimental observations or measurements.
        </p>
        <p>
          Two engines devoted to least-squares problems are available. The first one is
          based on the <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/GaussNewtonOptimizer.html">
          Gauss-Newton</a> method. The second one is the <a
          href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizer.html">
          Levenberg-Marquardt</a> method.
        </p>
      </subsection>

      <subsection name="14.2 LeastSquaresBuilder and LeastSquaresFactory">

        <p>
          In order to solve a least-squares fitting problem, the user must provide the following elements:
          <ul>
           <li>a mean to evaluate all the components of the model for a given set of parameters:
               model<sub>i</sub> = f<sub>i</sub>(p<sub>1</sub>, p<sub>2</sub>, ... p<sub>k</sub>),
               this is code</li>
           <li>the target (or observed) components: target<sub>i</sub>, this is data</li>
           <li>the start values for all p<sub>k</sub> parameters: s<sub>k</sub>, this is data</li>
           <li>optionally a validator for the p<sub>k</sub> parameters, this is code</li>
           <li>optionally the weight for sample point i: w<sub>i</sub>, this is data and defaults to 1.0 if not provided</li>
           <li>a maximum number of iterations, this is data</li>
           <li>a maximum number of evaluations, this is data</li>
           <li>a convergence criterion, this is code</li>
          </ul>
        </p>
        <p>
          The elements of the list above can be provided as an implementation of the
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.html">
          LeastSquaresProblem</a> interface. However, this is cumbersome to do directly, so some helper
          classes are available. The first helper is a mutable builder:
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresBuilder.html">
          LeastSquaresBuilder</a>. The second helper is an utility factory:
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresFactory.html">
          LeastSquaresFactory</a>.
        </p>
        <p>
          The builder class is better suited when setting the various elements of the least squares
          problem is done progressively in different places in the user code. In this case, the user
          would create first an empty builder andconfigure it progressively by calling its methods
          (<code>start</code>, <code>target</code>, <code>model</code>, ...). Once the configuration
          is complete, calling the <code>build</code> method would create the least squares problem.
        </p>
        <p>
          The factory utility is better suited when the various elements of the least squares
          problem are all known at one place and the problem can be built in just one sweep, calling
          to one of the static <code>LeastSquaresFactory.create</code> method.
        </p>
      </subsection>

      <subsection name="14.3 Model Function">
        <p>
          The model function is used by the least squares engine to evaluate the model components
          model<sub>i</sub> given some test parameters p<sub>k</sub>. It is therefore a multivariate
          function (it depends on the various p<sub>k</sub>) and it is vector-valued (it has several
          components model<sub>i</sub>). There must be exactly one component model<sub>i</sub> for
          each target (or observed) component target<sub>i</sub>, otherwise some residuals to be
          squared and summed could not be computed. In order for the problem to be well defined, the
          number of parameters p<sub>k</sub> must be less than the number of components model<sub>i</sub>.
          Failing to ensure this may lead to the engine throwing an exception as the underlying linear
          algebra operations may encounter singular matrices. It is not unusual to have a large number
          of components (several thousands) and only a dozen parameters. There are no limitations on these
          numbers, though.
        </p>
        <p>
          As the least squares engine needs to create Jacobians matrices for the model function, both
          its value and its derivatives <em>with respect to the p<sub>k</sub> parameters</em> must
          be available. There are two ways to provide this:
          <ul>
            <li>provide one
            <a href="../apidocs/org/apache/commons/math4/analysis/MultivariateVectorFunction.html">MultivariateVectorFunction</a>
            instance for computing the components values and one
            <a href="../apidocs/org/apache/commons/math4/analysis/MultivariateMatrixFunction.html">MultivariateMatrixFunction</a>
            instance for computing the components derivatives (i.e. the Jacobian matrix) with
            respect to the parameters,</li>
            <li>or provide one
            <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/MultivariateJacobianFunction.html">MultivariateJacobianFunction</a>
            instance for computing both the components values and their derivatives simultaneously.</li>
          </ul>
          The first alternative is best suited for models which are not computationally intensive
          as it allows more modularized code with one method for each type of computation. The second
          alternative is best suited for models which are computationally intensive and evaluating
          both the values and derivatives in one sweep saves a lot of work.
        </p>
        <p>
          The <code>point</code> parameter of the <code>value</code> methods in the
          <a href="../apidocs/org/apache/commons/math4/analysis/MultivariateVectorFunction.html">MultivariateVectorFunction</a>,
          <a href="../apidocs/org/apache/commons/math4/analysis/MultivariateMatrixFunction.html">MultivariateMatrixFunction</a>,
          or <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/MultivariateJacobianFunction.html">MultivariateJacobianFunction</a>
          interfaces will contain the parameters p<sub>k</sub>. The values will be the model components
          model<sub>i</sub> and the derivatives will be the derivatives of the model components
          with respect to the parameters dmodel<sub>i</sub>/dp<sub>k</sub>.
        </p>
        <p>
          There are no requirements on how to compute value and derivatives. The
          <a href="../apidocs/org/apache/commons/math4/analysis/differentiation/DerivativeStructure.html">
          DerivativeStructure</a> class may be useful to compute analytically derivatives in
          difficult cases, but this class is not mandated by the API which only expects the derivatives
          as a Jacobian matrix containing primitive double entries.
        </p>
        <p>
          One non-obvious feature provided by both the builder and the factory is lazy evaluation. This feature
          allows to defer calls to the model functions until they are really needed by the engine. This
          can save some calls for engines that evaluate the value and the Jacobians in different loops
          (this is the case for Levenberg-Marquardt). However, lazy evaluation is possible <em>only</em>
          if the model functions are themselves separated, i.e. it can be used only with the first
          alternative above. Setting up the <code>lazyEvaluation</code> flag to <code>true</code> in the builder
          or factory and setting up the model function as one
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/MultivariateJacobianFunction.html">MultivariateJacobianFunction</a>
          instance at the same time will trigger an illegal state exception telling that the model function
          misses required functionality.
        </p>
      </subsection>

      <subsection name="14.4 Parameters Validation">
       <p>
         In some cases, the model function requires parameters to lie within a specific domain. For example
         a parameter may be used in a square root and needs to be positive, or another parameter represents
         the sine of an angle and should be within -1 and +1, or several parameters may need to remain in
         the unit circle and the sum of their squares must be smaller than 1. The least square solvers available
         in Apache Commons Math currently don't allow to set up constraints on the parameters. This is a
         known missing feature. There are two ways to circumvent this.
       </p>
       <p>
         Both ways are achieved by setting up a
         <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/ParameterValidator.html">ParameterValidator</a>
         instance. The input of the value and jacobian model functions will always be the output of
         the parameter validator if one exists.
       </p>
       <p>
         One way to constrain parameters is to use a continuous mapping between the parameters that the
         least squares solver will handle and the real parameters of the mathematical model. Using mapping
         functions like <code>logit</code> and <code>sigmoid</code>, one can map a finite range to the
         infinite real line. Using mapping functions based on <code>log</code> and <code>exp</code>, one
         can map a semi-infinite range to the infinite real line. It is possible to use such a mapping so
         that the engine will always see unbounded parameters, whereas on the other side of the mapping the
         mathematical model will always see parameters mapped correctly to the expected range. Care must be
         taken with derivatives as one must remember that the parameters have been mapped. Care must also
         be taken with convergence status. This may be tricky.
       </p>
       <p>
         Another way to constrain parameters is to simply truncate the parameters back to the domain when
         one search point escapes from it and not care about derivatives. This works <em>only</em> if the
         solution is expected to be inside the domain and not at the boundary, as points out of the domain
         will only be temporary test points with a cost function higher than the real solution and will soon
         be dropped by the underlying engine. As a rule of thumb, these conditions are met only when the
         domain boundaries correspond to unrealistic values that will never be achieved (null distances,
         negative masses, ...) but they will not be met when the domain boundaries are more operational
         limits (a maximum weight that can be handled by a device, a minimum temperature that can be
         sustained by an instrument, ...).
       </p>
      </subsection>

      <subsection name="14.5 Tuning">
        <p>
          Among the elements to be provided to the least squares problem builder or factory
          are some tuning parameters for the solver.
        </p>
        <p>
          The maximum number of iterations refers to the engine algorithm main loop, whereas the
          maximum number of iterations refers to the number of calls to the model method. Some
          algorithms (like Levenberg-Marquardt) have two embedded loops, with iteration number
          being incremented at outer loop level, but a new evaluation being done at each inner
          loop. In this case, the number of evaluations will be greater than the number of iterations.
          Other algorithms (like Gauss-Newton) have only one level of loops. In this case, the
          number of evaluations will equal to the number of iterations. In any case, the maximum
          numbers are really only intended as safeguard to prevent infinite loops, so the exact
          value of the limit is not important so it is common to select some almost arbitrary number
          much larger than the expected number of evaluations and use it for both
          <code>maxIterations</code> and <code>maxEvaluations</code>. As an example, if the least
          squares solver usually finds a solution in 50 iterations, setting a maximum value to 1000
          is probably safe and prevents infinite loops. If the least squares solver needs several
          hundreds of evaluations, it would probably be safer to set the maximum value to 10000 or
          even 1000000 to avoid failures in slightly more demanding cases. Very fine tuning of
          these maximum numbers is often worthless, they are only intended as safeguards.
        </p>
        <p>
          Convergence checking is delegated to a dedicated interface from the <code>optim</code>
          package: <a href="../apidocs/org/apache/commons/math4/optim/ConvergenceChecker.html">
          ConvergenceChecker</a>, parameterized with either the specific
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.Evaluation.html">Evaluation</a>
          class used for least squares problems or the general
          <a href="../apidocs/org/apache/commons/math4/optim/PointVectorValuePair.html">PointVectorValuePair</a>.
          Each time convergence is checked, both the previous
          and the current evaluations of the least squares problem are provided, so the checker can
          compare them and decide whereas convergence has been reached or not. The predefined convergence
          checker implementations that can be useful for least squares fitting are:
          <ul>
            <li><a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/EvaluationRmsChecker.html">EvaluationRmsChecker</a>,
            which uses only the normalized cost (square-root of the sum of squared of the residuals,
            divided by the number of measurements),</li>
            <li><a href="../apidocs/org/apache/commons/math4/optim/SimpleVectorValueChecker.html">SimpleVectorValueChecker</a>,
            which uses the model components themselves (<em>not</em> the residuals),</li>
            <li><a href="../apidocs/org/apache/commons/math4/optim/SimplePointChecker.html">SimplePointChecker&lt;PointVectorValuePair&gt;</a>,
            which uses the parameters.</li>
          </ul>
          Of course, users can also provide their own implementation of the
          <a href="../apidocs/org/apache/commons/math4/optim/ConvergenceChecker.html">ConvergenceChecker</a>
          interface.
        </p>
      </subsection>

      <subsection name="14.6 Optimization Engine">
        <p>
          Once the least squares problem has been created, using either the builder or the factory,
          it is passed to an optimization engine for solving. Two engines devoted to least-squares
          problems are available. The first one is
          based on the <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/GaussNewtonOptimizer.html">
          Gauss-Newton</a> method. The second one is the <a
          href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LevenbergMarquardtOptimizer.html">
          Levenberg-Marquardt</a> method. For both increased readability and in order to leverage
          possible future changes in the configuration, it is recommended to use the fluent-style API to
          build and configure the optimizers. This means creating a first temporary version of the optimizer
          with a default parameterless constructor, and then to set up the various configuration parameters
          using the available <code>withXxx</code> methods that all return a new optimizer instance. Only the
          final fully configured instance is used. As an example, setting up a Levenberg-Marquardt with
          all configuration set to default except the cost relative tolerance and parameter relative tolerance
          would be done as follows:
        </p>
        <source>
  LeastSquaresOptimizer optimizer = new LevenbergMarquardtOptimizer().
                                    withCostRelativeTolerance(1.0e-12).
                                    withParameterRelativeTolerance(1.0e-12);
        </source>

        <p>
        As another example, setting up a Gauss-Newton optimizer and forcing the decomposition to SVD (the
        default is QR decomposition) would be done as follows:
        </p>
        <source>
  LeastSquaresOptimizer optimizer = new GaussNewtonOptimizer().
                                    withwithDecomposition(GaussNewtonOptimizer.Decomposition.QR);
        </source>

      </subsection>

      <subsection name="14.7 Solving">
        <p>
        Solving the least squares problem is done by calling the <code>optimize</code> method of the
        optimizer and passing the least squares problem as the single parameter:
        </p>
        <source>
  LeastSquaresOptimizer.Optimum optimum = optimizer.optimize(leastSquaresProblem);
        </source>

        <p>
          The <a
          href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresOptimizer.Optimum.html">
          LeastSquaresOptimizer.Optimum</a> class is a specialized
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.Evaluation.html">Evaluation</a>
          with additional methods te retrieve the number of evaluations and number of iterations performed.
          The most important methods are inherited from the
          <a href="../apidocs/org/apache/commons/math4/fitting/leastsquares/LeastSquaresProblem.Evaluation.html">Evaluation</a>
          class and correspond to the point (i.e. the parameters), cost, Jacobian, RMS, covariance ...
        </p>
      </subsection>

      <subsection name="14.8 Example">
        <p>
          The following simple example shows how to find the center of a circle of known radius to
          to best fit observed 2D points. It is a simplified version of one of the JUnit test cases.
          In the complete test case, both the circle center and its radius are fitted, here the
          radius is fixed.
        </p>
        <source>
  final double radius = 70.0;
  final Cartesian2D[] observedPoints = new Cartesian2D[] {
      new Cartesian2D( 30.0,  68.0),
      new Cartesian2D( 50.0,  -6.0),
      new Cartesian2D(110.0, -20.0),
      new Cartesian2D( 35.0,  15.0),
      new Cartesian2D( 45.0,  97.0)
  };

  // the model function components are the distances to current estimated center,
  // they should be as close as possible to the specified radius
  MultivariateJacobianFunction distancesToCurrentCenter = new MultivariateJacobianFunction() {
      public Pair&lt;RealVector, RealMatrix&gt; value(final RealVector point) {

          Cartesian2D center = new Cartesian2D(point.getEntry(0), point.getEntry(1));

          RealVector value = new ArrayRealVector(observedPoints.length);
          RealMatrix jacobian = new Array2DRowRealMatrix(observedPoints.length, 2);

          for (int i = 0; i &lt; observedPoints.length; ++i) {
              Cartesian2D o = observedPoints[i];
              double modelI = Cartesian2D.distance(o, center);
              value.setEntry(i, modelI);
              // derivative with respect to p0 = x center
              jacobian.setEntry(i, 0, (center.getX() - o.getX()) / modelI);
              // derivative with respect to p1 = y center
              jacobian.setEntry(i, 1, (center.getX() - o.getX()) / modelI);
          }

          return new Pair&lt;RealVector, RealMatrix&gt;(value, jacobian);

      }
  };

  // the target is to have all points at the specified radius from the center
  double[] prescribedDistances = new double[observedPoints.length];
  Arrays.fill(prescribedDistances, radius);

  // least squares problem to solve : modeled radius should be close to target radius
  LeastSquaresProblem problem = new LeastSquaresBuilder().
                                start(new double[] { 100.0, 50.0 }).
                                model(distancesToCurrentCenter).
                                target(prescribedDistances).
                                lazyEvaluation(false).
                                maxEvaluations(1000).
                                maxIterations(1000).
                                build();
  LeastSquaresOptimizer.Optimum optimum = new LevenbergMarquardtOptimizer().optimize(problem);
  Cartesian2D fittedCenter = new Cartesian2D(optimum.getPoint().getEntry(0), optimum.getPoint().getEntry(1));
  System.out.println("fitted center: " + fittedCenter.getX() + " " + fittedCenter.getY());
  System.out.println("RMS: "           + optimum.getRMS());
  System.out.println("evaluations: "   + optimum.getEvaluations());
  System.out.println("iterations: "    + optimum.getIterations());
        </source>
      </subsection>

     </section>
  </body>
</document>