Examples of com.opengamma.analytics.math.minimization.NonLinearParameterTransforms

com.opengamma.analytics.math.minimization.NonLinearParameterTransforms

Describes the transformation (and its inverse) from a set of n variables (e.g. model parameters) to a set of m variables (e.g. fitting parameters), where m <= n.The principle use is in constrained optimisation, where the valid values of the parameters of a model live in some hyper-volume in R^n, but we wish to work with unconstrained variables in R^m.

The model parameters are denoted as y and the unconstrained variables as y*, which are related by the vector function y* = f(y), and its inverse y = f^-1(y*). The i,j element of the Jacobian is the rate of change of the i^th element of y* with respect to the j ^th element of y, which is a (matrix) function of y, i.e. J(y). The inverse Jacobian is the rate of change of y with respect to y*, i.e. J^-1(y*). These four functions must be provided by implementations of this interface.

   * @param start The first guess at the parameter values
   * @param fixed Indicates which parameters are fixed
   * @return The LeastSquareResults
   */
  public LeastSquareResultsWithTransform solve(final DoubleMatrix1D start, final BitSet fixed) {
    final NonLinearParameterTransforms transform = getTransform(start, fixed);
    return solve(start, transform);
  }

Examples of com.opengamma.analytics.math.minimization.NonLinearParameterTransforms

Related Classes of com.opengamma.analytics.math.minimization.NonLinearParameterTransforms