LevenbergMarquardtOptimizer无法对107x2 jacobian矩阵执行QR分解
[英]LevenbergMarquardtOptimizer unable to perform Q.R decomposition on the 107x2 jacobian matrix
问题描述
I really need some help to get the LevenbergMarquardtOptimizer up and running. 
我真的需要一些帮助来启动和运行LevenbergMarquardtOptimizer。 Please see the following compileable code (needs apache common math 3). 请参阅以下可编译代码（需要apache常用数学3）。 No matter how I try to return the gradients an Exception will raise ... hmmm get stuck ... 无论我如何尝试返回渐变，异常都会提升......嗯被卡住了......
package tryout;
import java.sql.Date;
import java.util.Calendar;
import java.util.Arrays;
import org.apache.commons.math3.linear.Array2DRowRealMatrix;
import org.apache.commons.math3.linear.ArrayRealVector;
import org.apache.commons.math3.linear.DecompositionSolver;
import org.apache.commons.math3.linear.LUDecomposition;
import org.apache.commons.math3.linear.RealMatrix;
import org.apache.commons.math3.linear.RealVector;
import org.apache.commons.math.util.FastMath;
import org.apache.commons.math3.analysis.ParametricUnivariateFunction;
import org.apache.commons.math3.analysis.differentiation.DerivativeStructure;
import org.apache.commons.math3.fitting.CurveFitter;
import org.apache.commons.math3.optim.nonlinear.vector.jacobian.LevenbergMarquardtOptimizer;
import static org.apache.commons.math.util.FastMath.pow;
import static org.apache.commons.math.util.FastMath.cos;
import static org.apache.commons.math.util.FastMath.sin;
public class Sornette2NoLogPriceLevenberg {
static String[] T = new String[]{"2010-04-01","2010-04-05","2010-04-06","2010-04-07","2010-04-08","2010-04-09","2010-04-12","2010-04-13","2010-04-14","2010-04-15","2010-04-16","2010-04-19","2010-04-20","2010-04-21","2010-04-22","2010-04-23","2010-04-26","2010-04-27","2010-04-28","2010-04-29","2010-04-30","2010-05-03","2010-05-04","2010-05-05","2010-05-06","2010-05-07","2010-05-10","2010-05-11","2010-05-12","2010-05-13","2010-05-14","2010-05-18","2010-05-19","2010-05-20","2010-05-21","2010-05-24","2010-05-25","2010-05-26","2010-05-27","2010-05-28","2010-06-01","2010-06-02","2010-06-03","2010-06-04","2010-06-07","2010-06-08","2010-06-09","2010-06-10","2010-06-11","2010-06-14","2010-06-15","2010-06-16","2010-06-17","2010-06-18","2010-06-21","2010-06-22","2010-06-23","2010-06-24","2010-06-25","2010-06-28","2010-06-29","2010-06-30","2010-07-01","2010-07-02","2010-07-06","2010-07-07","2010-07-08","2010-07-09","2010-07-12","2010-07-13","2010-07-14","2010-07-15","2010-07-16","2010-07-19","2010-07-20","2010-07-21","2010-07-22","2010-07-23","2010-07-26","2010-07-27","2010-07-28","2010-07-29","2010-07-30","2010-08-02","2010-08-03","2010-08-04","2010-08-05","2010-08-06","2010-08-09","2010-08-10","2010-08-11","2010-08-12","2010-08-13","2010-08-16","2010-08-17","2010-08-18","2010-08-19","2010-08-20","2010-08-23","2010-08-24","2010-08-25","2010-08-26","2010-08-27","2010-08-30","2010-08-31","2010-09-01","2010-09-02","2010-09-03","2010-09-07","2010-09-08","2010-09-09","2010-09-10","2010-09-13","2010-09-14","2010-09-15","2010-09-16","2010-09-17","2010-09-20","2010-09-21","2010-09-22","2010-09-23","2010-09-24","2010-09-27","2010-09-28","2010-09-29","2010-09-30","2010-10-01","2010-10-04","2010-10-05","2010-10-06","2010-10-07","2010-10-08","2010-10-11","2010-10-12","2010-10-13","2010-10-14","2010-10-15","2010-10-18","2010-10-19","2010-10-20","2010-10-21","2010-10-22","2010-10-25","2010-10-26","2010-10-27","2010-10-28","2010-10-29","2010-11-01","2010-11-02","2010-11-03","2010-11-04","2010-11-05","2010-11-08","2010-11-09","2010-11-10","2010-11-11","2010-11-12","2010-11-15","2010-11-16","2010-11-17","2010-11-18","2010-11-19","2010-11-22","2010-11-23","2010-11-24","2010-11-26","2010-11-29","2010-11-30","2010-12-01","2010-12-02","2010-12-03","2010-12-06","2010-12-07","2010-12-08","2010-12-09","2010-12-10","2010-12-13","2010-12-14","2010-12-15","2010-12-16","2010-12-17","2010-12-20","2010-12-21","2010-12-22","2010-12-23","2010-12-27","2010-12-28","2010-12-29","2010-12-30","2010-12-31","2011-01-03","2011-01-04","2011-01-05","2011-01-06","2011-01-07","2011-01-10","2011-01-11","2011-01-12","2011-01-13","2011-01-14","2011-01-18","2011-01-19","2011-01-20","2011-01-21","2011-01-24","2011-01-25","2011-01-26","2011-01-27","2011-01-28","2011-01-31","2011-02-01","2011-02-02","2011-02-03","2011-02-04","2011-02-07","2011-02-08","2011-02-09","2011-02-10","2011-02-11","2011-02-14","2011-02-15","2011-02-16","2011-02-17","2011-02-18","2011-02-22","2011-02-23","2011-02-24","2011-02-25","2011-02-28","2011-03-01","2011-03-02","2011-03-03","2011-03-04","2011-03-07","2011-03-08","2011-03-09","2011-03-10","2011-03-11","2011-03-14","2011-03-15","2011-03-16","2011-03-17","2011-03-18","2011-03-21","2011-03-22","2011-03-23","2011-03-24","2011-03-25","2011-03-28","2011-03-29","2011-03-30","2011-03-31","2011-04-01","2011-04-04","2011-04-05","2011-04-06","2011-04-07","2011-04-08","2011-04-11","2011-04-12","2011-04-13","2011-04-14","2011-04-15","2011-04-18","2011-04-19","2011-04-20","2011-04-21","2011-04-25","2011-04-26","2011-04-27","2011-04-28","2011-04-29","2011-05-02","2011-05-03","2011-05-04","2011-05-05","2011-05-06","2011-05-09","2011-05-10","2011-05-11","2011-05-12","2011-05-13","2011-05-16","2011-05-17","2011-05-18","2011-05-19","2011-05-20","2011-05-23","2011-05-24","2011-05-25","2011-05-26","2011-05-27","2011-05-31","2011-06-01","2011-06-02","2011-06-03","2011-06-06","2011-06-07","2011-06-08","2011-06-09","2011-06-10","2011-06-13","2011-06-14","2011-06-15","2011-06-16","2011-06-17","2011-06-20","2011-06-21","2011-06-22","2011-06-23","2011-06-24","2011-06-27","2011-06-28","2011-06-29","2011-06-30","2011-07-01","2011-07-05","2011-07-06","2011-07-07","2011-07-08","2011-07-11","2011-07-12","2011-07-13","2011-07-14","2011-07-15","2011-07-18","2011-07-19","2011-07-20","2011-07-21","2011-07-22","2011-07-25","2011-07-26","2011-07-27","2011-07-28","2011-07-29","2011-08-01","2011-08-02","2011-08-03","2011-08-04","2011-08-05","2011-08-08","2011-08-09","2011-08-10","2011-08-11","2011-08-12","2011-08-15","2011-08-16","2011-08-17","2011-08-18","2011-08-19","2011-08-22","2011-08-23","2011-08-24","2011-08-25","2011-08-26","2011-08-29","2011-08-30","2011-08-31","2011-09-01","2011-09-02","2011-09-06","2011-09-07","2011-09-08","2011-09-09","2011-09-12","2011-09-13","2011-09-14","2011-09-15","2011-09-16","2011-09-19","2011-09-20","2011-09-21","2011-09-22","2011-09-23","2011-09-26","2011-09-27","2011-09-28","2011-09-29","2011-09-30","2011-10-03","2011-10-04","2011-10-05","2011-10-06","2011-10-07","2011-10-10","2011-10-11","2011-10-12","2011-10-13","2011-10-14","2011-10-17","2011-10-18","2011-10-19","2011-10-20","2011-10-21","2011-10-24","2011-10-25","2011-10-26","2011-10-27","2011-10-28","2011-10-31","2011-11-01","2011-11-02","2011-11-03","2011-11-04","2011-11-07","2011-11-08","2011-11-09","2011-11-10","2011-11-11","2011-11-14","2011-11-15","2011-11-16","2011-11-17","2011-11-18","2011-11-21","2011-11-22","2011-11-23","2011-11-25","2011-11-28","2011-11-29","2011-11-30","2011-12-01","2011-12-02","2011-12-05","2011-12-06","2011-12-07","2011-12-08","2011-12-09","2011-12-12","2011-12-13","2011-12-14","2011-12-15","2011-12-16","2011-12-19","2011-12-20","2011-12-21","2011-12-22","2011-12-23","2011-12-27","2011-12-28","2011-12-29","2011-12-30","2012-01-03","2012-01-04","2012-01-05","2012-01-06","2012-01-09","2012-01-10","2012-01-11","2012-01-12","2012-01-13","2012-01-17","2012-01-18","2012-01-19","2012-01-20","2012-01-23","2012-01-24","2012-01-25","2012-01-26","2012-01-27","2012-01-30","2012-01-31","2012-02-01","2012-02-02","2012-02-03","2012-02-06","2012-02-07","2012-02-08","2012-02-09","2012-02-10","2012-02-13","2012-02-14","2012-02-15","2012-02-16","2012-02-17","2012-02-21","2012-02-22","2012-02-23","2012-02-24","2012-02-27","2012-02-28","2012-02-29","2012-03-01","2012-03-02","2012-03-05","2012-03-06","2012-03-07","2012-03-08","2012-03-09","2012-03-12","2012-03-13","2012-03-14","2012-03-15","2012-03-16","2012-03-19","2012-03-20","2012-03-21","2012-03-22","2012-03-23","2012-03-26","2012-03-27","2012-03-28","2012-03-29","2012-03-30","2012-04-02","2012-04-03","2012-04-04","2012-04-05","2012-04-09","2012-04-10","2012-04-11","2012-04-12","2012-04-13","2012-04-16","2012-04-17","2012-04-18","2012-04-19","2012-04-20","2012-04-23","2012-04-24","2012-04-25","2012-04-26","2012-04-27","2012-04-30","2012-05-01","2012-05-02","2012-05-03","2012-05-04","2012-05-07","2012-05-08","2012-05-09","2012-05-10","2012-05-11","2012-05-14","2012-05-15","2012-05-16","2012-05-17","2012-05-18","2012-05-21","2012-05-22","2012-05-23","2012-05-24","2012-05-25","2012-05-29","2012-05-30","2012-05-31","2012-06-01","2012-06-04","2012-06-05","2012-06-06","2012-06-07","2012-06-08","2012-06-11","2012-06-12","2012-06-13","2012-06-14","2012-06-15","2012-06-18","2012-06-19","2012-06-20","2012-06-21","2012-06-22","2012-06-25","2012-06-26","2012-06-27","2012-06-28","2012-06-29","2012-07-02","2012-07-03","2012-07-05","2012-07-06","2012-07-09","2012-07-10","2012-07-11","2012-07-12","2012-07-13","2012-07-16","2012-07-17","2012-07-18","2012-07-19","2012-07-20","2012-07-23","2012-07-24","2012-07-25","2012-07-26","2012-07-27"};
static double[] p = new double[]{229.49,231.94,232.97,234,233.36,235.15,235.64,235.78,238.95,242.09,240.61,240.29,237.88,252.11,259.16,263.4,262.1,254.85,254.42,261.27,253.92,259.04,251.58,248.96,239.49,229.39,247.02,249.48,254.9,251.27,246.85,245.43,241.52,231.23,235.67,239.99,238.49,237.41,246.4,249.83,253.67,256.71,255.9,248.93,244.05,242.49,236.52,243.63,246.55,247.3,252.56,259.91,264.41,266.55,262.75,266.33,263.53,261.62,259.38,260.94,249.14,244.63,241.66,240.16,241.81,251.57,251.01,252.49,250.23,244.89,245.79,244.55,243.04,238.84,244.98,247.26,251.91,252.81,252.16,256.83,253.8,251.03,250.19,254.66,254.74,255.76,254.52,252.95,254.57,252.29,243.32,244.88,242.26,240.84,245.05,246.12,243.02,242.79,239.05,233.34,236.22,233.69,234.99,235.84,236.43,243.46,245.25,251.67,250.73,255.7,255.85,256.18,259.71,260.7,262.8,268.98,267.81,275.46,275.98,279.85,280.99,284.3,283.17,278.99,279.48,275.96,274.77,270.99,281.01,281.25,281.28,286,287.25,290.35,291.9,294.01,306.1,309.27,301,302.01,301.02,299.03,300.36,299.59,299.38,296.86,292.72,295.83,300.87,304.21,309.53,308.43,309.87,307.4,309.3,307.96,299.58,298.61,293.31,292.25,299.96,298.31,304.76,300.26,306.16,306.35,308.17,302.61,307.72,309.42,308.73,311.36,309.48,312.2,310.98,311.76,312.84,311.5,311.57,312.43,311.81,313.37,315.3,316.24,314.72,315.77,316.54,316.36,314.78,313.71,320.52,322.2,324.83,324.57,326.89,333.05,332.26,334.97,336.19,338.92,331.3,329.54,323.55,317.75,328.19,332.03,334.41,333.79,326.88,330.01,335.56,334.87,334.01,336.99,342.22,345.45,348.33,344.81,347.06,349.32,350.02,353.16,348.47,340.94,329.32,333.22,333.47,338.6,343.52,339.72,342.46,349.69,350.12,345.61,346,342.8,337.15,342.33,343.86,335.95,320.95,325.46,321.59,329.99,331.84,329.88,335.5,341.89,340.82,341.33,339.06,338.94,335.1,331.83,329.59,328.76,328.8,325.86,321.72,323.28,326.9,323.3,318.47,322.74,328.59,333.01,341.07,343.32,340.8,340.54,337.23,340.52,336.78,338.64,339.98,337.23,337.15,338.06,339.86,337.7,337.06,331.15,324.15,326.91,330.54,331.18,326.02,325.22,323.07,327.54,325.81,328.15,338.28,336.03,336.6,334.01,328.76,322.93,323.12,322.39,316.96,317.64,323.32,317.78,316.24,311.47,306.67,316.37,313.76,322.14,317.39,322.93,326.06,324.87,326.46,333.84,339.84,342.11,347.4,349.84,344.28,344.04,348.19,347.95,354.9,363.54,366.51,376.28,376.66,382.51,387.56,392.34,381.81,381.07,379.76,385.86,378.24,381.8,367.01,363.37,343.52,363.74,353.71,363.44,366.64,372.89,370.04,370,356,346.26,346.66,363.35,365.85,363.46,373.05,379.27,379.29,374.27,370.57,363.78,369.32,373.39,373.6,367.12,369.51,374.06,378.61,382.17,389.51,400.33,402.1,400.83,390.79,393.2,392.1,388.3,386.11,379.85,370.85,364.32,362.28,367.87,367.01,359.65,378.14,389.3,391.15,397.22,410.42,408.46,410.65,387.68,384.46,382.09,394.63,386.85,389.6,393.58,393.84,393.67,385.63,386.5,392.01,389.25,388.76,395.08,384.43,374.65,374.06,368.85,378.16,374.21,367.05,364.65,358.88,366.18,356.92,353.59,365.8,362.96,371.71,377.28,379,382.22,380.22,378.41,379.94,382.82,381.09,378.14,369.75,368.54,370.56,371.72,385.08,385.57,387.61,392.26,395.37,391.59,394,393.88,399.94,402.09,406.56,410.81,410.15,411.62,410.95,409.82,408.29,413.04,417.33,416.01,408.76,415.68,408.87,434.4,432.43,435,440.58,443.95,443.67,442.63,447.06,451.24,455.96,463.6,479.63,479.88,488.81,495.48,484.01,488.43,488.34,500.72,498.96,502.22,508.07,511.33,520.71,527.55,529.53,530.22,518.53,515.71,516.12,527.11,530.21,536.85,552.51,573.4,569.49,569.5,584.6,589.33,585.96,582.89,579.69,590.32,597.61,600.67,593.12,583.09,601.65,612.05,607.17,616.29,618.77,611.19,609.01,605.68,588.62,564.21,592.97,591.64,571.32,557.25,556.01,544.9,593.26,591.02,586.45,567.95,566.15,569.9,565.85,549.74,553.85,552.59,553.56,554.86,551.16,542.9,537.99,531.09,515.57,515.82,545.87,541.68,554.9,549.8,546.86,556.56,563.27,561.87,545.59,548.8,547.38,555.78,556.03,564.39,555.49,560.35,556.46,555.84,558.37,569.7,571.29,569.66,561.81,566.12,555.1,556.33,558.73,553.43,567.97,576.26,582.96,593.2,589.25,597.04,591.52,587.84,582.46,588.37,590.25,590.28,589.62,597.46,587.71,587.26,584.43,559.19,559.1,569.1};
static int N = 507; // T.length; // 507 is just right before all time high
static int start = 400;
public static void main(String[] args) throws Exception {
System.out.println(T.length == p.length);
if (args.length>0) start = Integer.parseInt(args[0]);
if (args.length>1) N = Integer.parseInt(args[1]);
double tc = decimalYear(T[N+2]);
System.out.println("tc: " + tc);
double m = 0.5;
double w = 1d;
// Fitting
System.out.println("Curve fitting ... ");
LogPeriodic lppl = new LogPeriodic(tc);
final CurveFitter fitter = new CurveFitter(new LevenbergMarquardtOptimizer());
for (int i=start;i<N;i++) fitter.addObservedPoint(decimalYear(T[i]), p[i]);
double[] initialguess = new double[]{
0.5, // m
9d // w
};
double[] fitted = fitter.fit(lppl, initialguess);
System.out.println("fitted m,w: " + Arrays.toString(fitted));
// print result as csv
StringBuilder sb = new StringBuilder();
for (int i=start;i<T.length;i++) {
sb.append(T[i]).append(";");
sb.append(log(p[i])).append(";");
sb.append(p[i]).append(";");
sb.append(lppl.value(decimalYear(T[i]), fitted)).append(";");
sb.append(i>=N?1:0).append(";"); // is predicted price
sb.append("\n");
}
System.out.println(sb.toString());
}
public static double decimalYear(String date) {
Calendar cal = Calendar.getInstance();
cal.setTime(Date.valueOf(date));
int doy = cal.get(Calendar.DAY_OF_YEAR);
int year = cal.get(Calendar.YEAR);
return doy/365.2425 + year;
// return doy/(((year & 3) == 0 && ((year % 25) != 0 || (year & 15) == 0)) ? 366 : 365) + year;
}
// helper to switch between log and log10
public static double log(double d) { return FastMath.log(d); } // Math.log10
// http://commons.apache.org/proper/commons-math/userguide/linear.html
public static double[] getABCC(double tc, double m, double w) {
double sum_fi=0,sum_gi=0,sum_fi2=0,sum_fi_gi=0,sum_gi2=0,sum_yi=0,sum_yi_fi=0,sum_yi_gi=0,sum_hi=0,sum_fi_hi=0,sum_gi_hi=0,sum_hi2=0,sum_yi_hi=0;
for (int i=start;i<N;i++) {
double t = decimalYear(T[i]);
double fi = pow((tc - t),m);
double gi = fi * cos(w * log(tc - t));
double hi = fi * sin(w * log(tc - t));
// double yi = log(p[i]);
double yi = p[i];
sum_fi += fi;
sum_gi += gi;
sum_fi2 += fi * fi;
sum_fi_gi += fi * gi;
sum_gi2 += gi * gi;
sum_yi += yi;
sum_yi_fi += yi * fi;
sum_yi_gi += yi * gi;
sum_hi += hi;
sum_fi_hi += fi * hi;
sum_gi_hi += gi * hi;
sum_hi2 += hi * hi;
sum_yi_hi += yi * hi;
}
RealMatrix coefficients = new Array2DRowRealMatrix(new double[][] {
{ N-start+0, sum_fi, sum_gi, sum_hi }, // interessanterweise passt der chart nicht so gut bei N+1 übereinander, der zeitpunkt war aber präzierser, ist das bei allen so?
{ sum_fi, sum_fi2, sum_fi_gi, sum_fi_hi },
{ sum_gi, sum_fi_gi, sum_gi2, sum_gi_hi },
{ sum_hi, sum_fi_hi, sum_gi_hi, sum_hi2 }},
false
);
DecompositionSolver solver = new LUDecomposition(coefficients).getSolver();
//Next create a RealVector array to represent the constant vector B and use solve(RealVector) to solve the system
RealVector constants = new ArrayRealVector(new double[] { sum_yi, sum_yi_fi, sum_yi_gi, sum_yi_hi }, false); // das hinter dem = in der matrix gleichung
RealVector solution = solver.solve(constants);
return new double[] {solution.getEntry(0),solution.getEntry(1),solution.getEntry(2),solution.getEntry(3)};
}
// 12.6: http://commons.apache.org/proper/commons-math/userguide/optimization.html
public static class LogPeriodic implements ParametricUnivariateFunction {
public final double tc;
public double A,B,C1,C2,w,m,o;
public double[] best = new double[3];
public double[] info;
public LogPeriodic(double tc) {
this.tc = tc;
}
@Override
public double value(double t, double... parameters) {
m = parameters[0];
w = parameters[1];
// solve the linear parameters
double[] ABCC = getABCC(tc, m, w);
A = ABCC[0];
B = ABCC[1];
C1 = ABCC[2];
C2 = ABCC[3];
double a=pow((tc - t),m);
return A + B * a + C1 * a * cos(w * log(tc - t)) + C2 * a * sin(w * log(tc - t));
}
@Override
public double[] gradient(double t, double... parameters) {
int params = 2;
int order = 2;
DerivativeStructure m = new DerivativeStructure(params,order,0, parameters[0]);
DerivativeStructure w = new DerivativeStructure(params,order,1, parameters[1]);
double[] ABCC = getABCC(tc, parameters[0], parameters[1]);
A = ABCC[0];
B = ABCC[1];
C1 = ABCC[2];
C2 = ABCC[3];
// return A + B * pow((tc - t),m) + C1 * pow((tc - t),m) * cos(w * log(tc - t)) + C2 * pow((tc - t),m) * sin(w * log(tc - t));
/* == A
* + B * pow((tc - t),m)
* + C1 * pow((tc - t),m) * cos(w * log(tc - t))
* + C2 * pow((tc - t),m) * sin(w * log(tc - t));
*/
DerivativeStructure f = new DerivativeStructure(params, order, A);
f = f.add(B).multiply(tc-t).pow(m);
f = f.add(C1).multiply(tc-t).pow(m).multiply(w.multiply(log(tc-t)).cos());
f = f.add(C2).multiply(tc-t).pow(m).multiply(w.multiply(log(tc-t)).sin());
// throws java.lang.ArrayIndexOutOfBoundsException: 2 at org.apache.commons.math3.optim.nonlinear.vector.jacobian.LevenbergMarquardtOptimizer.qrDecomposition(LevenbergMarquardtOptimizer.java:862)
// return f.getAllDerivatives();
// throws unable to perform Q.R decomposition on the 107x2 jacobian matrix
return new double[] {
f.getPartialDerivative(1,0),
f.getPartialDerivative(1,1),
};
}
}
}
EDIT - Stack: 编辑 - 堆栈：
Exception in thread "main" org.apache.commons.math3.exception.ConvergenceException: illegal state: unable to perform Q.R decomposition on the 107x2 jacobian matrix
at org.apache.commons.math3.optim.nonlinear.vector.jacobian.LevenbergMarquardtOptimizer.qrDecomposition(LevenbergMarquardtOptimizer.java:884)
at org.apache.commons.math3.optim.nonlinear.vector.jacobian.LevenbergMarquardtOptimizer.doOptimize(LevenbergMarquardtOptimizer.java:331)
at org.apache.commons.math3.optim.nonlinear.vector.jacobian.LevenbergMarquardtOptimizer.doOptimize(LevenbergMarquardtOptimizer.java:113)
at org.apache.commons.math3.optim.BaseOptimizer.optimize(BaseOptimizer.java:143)
at org.apache.commons.math3.optim.BaseMultivariateOptimizer.optimize(BaseMultivariateOptimizer.java:66)
at org.apache.commons.math3.optim.nonlinear.vector.MultivariateVectorOptimizer.optimize(MultivariateVectorOptimizer.java:87)
at org.apache.commons.math3.optim.nonlinear.vector.JacobianMultivariateVectorOptimizer.optimize(JacobianMultivariateVectorOptimizer.java:83)
at org.apache.commons.math3.optim.nonlinear.vector.jacobian.AbstractLeastSquaresOptimizer.optimize(AbstractLeastSquaresOptimizer.java:197)
at org.apache.commons.math3.fitting.CurveFitter.fit(CurveFitter.java:172)
at org.apache.commons.math3.fitting.CurveFitter.fit(CurveFitter.java:136)
at tryout.Sornette2NoLogPriceLevenberg.main(Sornette2NoLogPriceLevenberg.java:62)
Java Result: 1
2 个解决方案
解决方案1
1 2013-10-17 09:07:08
It looks like you have solved your problem, but i'll post my suggestion anyway as it might be usefull to others. 看起来你已经解决了你的问题，但我会发布我的建议，因为它可能对其他人有用。
I did get this exception when the jacobian matrix contained infinite or NaN values. 当jacobian矩阵包含无限或NaN值时，我确实得到了这个例外。 And indeed, when trying to run your code, the partial derivatives return NaNs. 事实上，在尝试运行代码时，偏导数会返回NaN。
There is surely a problem in your derivatives calculation as the code 作为代码，您的衍生品计算肯定存在问题
DerivativeStructure f = new DerivativeStructure(params, order, A);
f = f.add(B).multiply(tc-t).pow(m);
f = f.add(C1).multiply(tc-t).pow(m).multiply(w.multiply(log(tc-t)).cos());
f = f.add(C2).multiply(tc-t).pow(m).multiply(w.multiply(log(tc-t)).sin());
does not calculate the formula that is in the comments. 不计算评论中的公式。 The order of operations is wrong. 操作顺序错误。 For example the second line does ((A+B)*(tc-t))^m not A + B * (tc-t)^m. 例如，第二行确实是（（A + B）*（tc-t））^ m而不是A + B *（tc-t）^ m。
解决方案2
0 已采纳 2013-10-02 05:43:18
finally I was able to get things working by using another library: http://finmath.net There is a LevenbergMarquardt class you need to extend. 最后我能够通过使用另一个库来解决问题： http ：//finmath.net你需要扩展一个LevenbergMarquardt类。 And you do not need to provide any derivatives. 而且您不需要提供任何衍生品。
public static class LogPeriodic extends LevenbergMarquardt {
public final double tc;
public double A,B,C1,C2,w,m,o;
public double[] best = new double[3];
public double[] info;
public LogPeriodic(int threads, double tc) {
super(threads);
this.tc = tc;
}
public double value(double t, double... parameters) {
m = parameters[0];
w = parameters[1];
// solve the linear parameters
double[] ABCC = getABCC(tc, m, w);
A = ABCC[0];
B = ABCC[1];
C1 = ABCC[2];
C2 = ABCC[3];
double a=pow((tc - t),m);
return A + B * a + C1 * a * cos(w * log(tc - t)) + C2 * a * sin(w * log(tc - t));
}
@Override
public void setValues(double[] parameters, double[] values) {
int j=0;
for (int i=start;i<N;i++) {
double t = decimalYear(T[i]);
double a=pow((tc - t),m);
values[j++] = value(decimalYear(T[i]), parameters);
}
}
}
then you can simply 那么你可以简单
LogPeriodic lppl = new LogPeriodic(1,tc);
int j=0;
double[] curve = new double[N-start];
double[] weight = new double[N-start];
for (int i=start;i<N;i++) {
curve[j] = p[i];
weight[j++] = 1;
}
double[] initialguess = new double[]{
0.5, // m
9d // w
};
lppl.setInitialParameters(initialguess);
lppl.setWeights(weight);
lppl.setMaxIteration(100);
lppl.setTargetValues(curve);
lppl.setErrorTolerance(1d);
lppl.run();
double[] fitted = lppl.getBestFitParameters();
System.out.println("fitted m,w: " + Arrays.toString(fitted) + " in iterations " + lppl.getIterations());
Outputs: 输出：
Curve fitting ...
fitted m,w: [-0.0895644617344549, 8.162571129643649] in iterations 5
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