Chris, you had an algorithm in mind? -Greg
On Sat, Jul 23, 2011 at 11:29 AM, Phil Steitz <[email protected]> wrote:
> On 7/22/11 11:40 AM, Greg Sterijevski wrote:
> > Sorry,
> >
> > public ConstrainedOLSMultipleRegression extends OLSMultipleRegression{}
> >
> > should read:
> >
> > public ConstrainedOLSMultipleRegression extends OLSMultipleRegression{
> > @Override
> > public void newSampleData(double[] data, double[][] coeff, double[]
> rhs,
> > int nob, int nvars) {
> > adjustData( data, coeff, rhs);
> > super.newSampleData(data, nobs, nvars);
> > qr = new QRDecompositionImpl(X);
> > }
> >
> >> }
> > The data would be transformed on the way in, and everything else would
> > remain the same...
>
> Got it. Sounds good. Patch away...
>
> Couple of things to keep in mind:
>
> 0) We may want to dispense with the QRDecomposition interface
> altogther. If we keep it, we should trim it down to what is common
> and meaningfully implemented in all impls. So both the Householder
> and permutation getters are dropped. If you need a pivoting impl,
> go a head and code it up and we can reassess the interface.
>
> 1) We should be aiming to standardize the regression API. Lets pick
> up the other thread on regression refactoring. Before hacking too
> much more on OLS, lets refine and retrofit the new regression API on
> this class.
>
> Phil
> >
> >
> > On Fri, Jul 22, 2011 at 1:37 PM, Greg Sterijevski <
> [email protected]>wrote:
> >
> >> On the need for pivoting:
> >>
> >> Here is my first approach for changing OLSMultipleRegression to do
> >> constrained estimation:
> >>
> >> public double[] calculateBeta(double[][] coeff, double[] rhs) {
> >> if (rhs.length != coeff.length) {
> >> throw new IllegalArgumentException("");
> >> }
> >> for (double[] rest : coeff) {
> >> if (rest.length != this.X.getColumnDimension()) {
> >> throw new IllegalArgumentException("");
> >> }
> >> }
> >> RealMatrix Coeff = new Array2DRowRealMatrix(coeff, false);
> >> RealVector rhsVec = new ArrayRealVector(rhs);
> >> QRDecomposition coeffQRd = new
> >> QRDecompositionImpl(Coeff.transpose());
> >> RealMatrix Qcoeff = coeffQRd.getQ();
> >> RealMatrix R = X.multiply(Qcoeff);
> >>
> >> final int nvars = X.getColumnDimension();
> >> final int nobs = X.getRowDimension();
> >> final int ncons = coeff.length;
> >>
> >> RealMatrix R2 = R.getSubMatrix(
> >> 0, nobs - 1, ncons, nvars - 1);
> >>
> >> RealMatrix R1 = R.getSubMatrix(
> >> 0, nobs - 1, 0, ncons - 1);
> >>
> >> RealVector gamma = rhsVec.copy();
> >>
> >> RealMatrix coeffR = coeffQRd.getR().getSubMatrix(
> >> 0, ncons - 1, 0, ncons - 1);
> >>
> >> MatrixUtils.solveLowerTriangularSystem(coeffR.transpose(),
> gamma);
> >>
> >> RealVector gammPrime = Y.subtract(R1.operate(gamma));
> >>
> >> QRDecomposition qr2 = new QRDecompositionImpl(R2);
> >>
> >> RealVector constrainedSolution =
> >> (qr2.getSolver().solve(gammPrime));
> >>
> >> RealVector stackedVector =
> >> new ArrayRealVector(
> >> gamma.toArray(),
> >> constrainedSolution.toArray());
> >>
> >> stackedVector = Qcoeff.operate(stackedVector);
> >>
> >> return stackedVector.toArray();
> >> }
> >>
> >> This approach is based on Dongarra et al:
> >>
> >> LAPACK Working Note
> >> Generalized QR Factorization and its Applications
> >> Work in Progress
> >> E. Anderson, Z. Bai and J. Dongarra
> >> December 9, 1991
> >> August 9, 1994
> >>
> >> There is nothing terrible about this approach, the coding is not
> finished
> >> and tidy, but its a work in progress.
> >>
> >> I am also aware of second approach. I do not have a cite for it, I think
> I
> >> may have derived it myself, but it would not surprise me if it is in
> some
> >> textbook somewhere... That second approach takes the QR decomposition of
> the
> >> coefficient matrix and calculates adjustment matrices for the design
> matrix
> >> and dependent vector. The problem is that I need to reorganize the
> design
> >> matrix by the pivots of the QR decomposition. Once I have the adjustment
> >> matrices, everything should proceed as in the case of an unconstrained
> >> estimation. I like the idea that if we transform the data, everything
> works
> >> the same way.
> >>
> >> Since then the ConstrainedOLSMultipleRegression class looks like:
> >> public ConstrainedOLSMultipleRegression extends OLSMultipleRegression{
> >>
> >> }
> >>
> >>
> >> As for the fact that the QRDecompositionImpl reflects its interface. We
> >> should probably add the functions:
> >> public int[] getPivots();
> >> public boolean isPivotting();
> >>
> >> to the interface. As Christopher pointed out, if the current
> decomposition
> >> is non pivoting, its pivot record is the canonical one, {0,1,2,...,n-1}.
> >>
> >> -Greg
> >>
> >>
> >>
> >>
> >>
>
>
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