NonlinearRegression (JMSL Numerical Library)

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com.imsl.stat
Class NonlinearRegression

java.lang.Object
  com.imsl.stat.NonlinearRegression

public class NonlinearRegression
extends Object
extends Object

Fits a multivariate nonlinear regression model using least squares. The nonlinear regression model is

where the observed values of the

constitute the responses or values of the dependent variable, the known

are vectors of values of the independent (explanatory) variables,

is the vector of

regression parameters, and the

are independently distributed normal errors each with mean zero and variance

. For this model, a least squares estimate of

is also a maximum likelihood estimate of

The residuals for the model are

A value of that minimizes

$sumlimits_{i=1}^n[e_i(theta)]^2$

is the least-squares estimate of calculated by this class. NonlinearRegression accepts these residuals one at a time as input from a user-supplied function. This allows NonlinearRegression to handle cases where is so large that data cannot reside in an array but must reside in a secondary storage device.

NonlinearRegression is based on MINPACK routines LMDIF and LMDER by More' et al. (1980). NonlinearRegression uses a modified Levenberg-Marquardt method to generate a sequence of approximations to the solution. Let be the current estimate of . A new estimate is given by

where is a solution to

Here, is the Jacobian evaluated at .

The algorithm uses a "trust region" approach with a step bound of . A solution of the equations is first obtained for . If , this update is accepted; otherwise, is set to a positive value and another solution is obtained. The method is discussed by Levenberg (1944), Marquardt (1963), and Dennis and Schnabel (1983, pages 129 - 147, 218 - 338).

Forward finite differences are used to estimate the Jacobian numerically unless the user supplied function computes the derivatives. In this case the Jacobian is computed analytically via the user-supplied function.

NonlinearRegression does not actually store the Jacobian but uses fast Givens transformations to construct an orthogonal reduction of the Jacobian to upper triangular form. The reduction is based on fast Givens transformations (see Golub and Van Loan 1983, pages 156-162, Gentleman 1974). This method has two main advantages: (1) the loss of accuracy resulting from forming the crossproduct matrix used in the equations for is avoided, and (2) the n x p Jacobian need not be stored saving space when .

A weighted least squares fit can also be performed. This is appropriate when the variance of in the nonlinear regression model is not constant but instead is . Here, are weights input via the user supplied function. For the weighted case, NonlinearRegression finds the estimate by minimizing a weighted sum of squares error.

Programming Notes

Nonlinear regression allows users to specify the model's functional form. This added flexibility can cause unexpected convergence problems for users who are unaware of the limitations of the algorithm. Also, in many cases, there are possible remedies that may not be immediately obvious. The following is a list of possible convergence problems and some remedies. There is not a one-to-one correspondence between the problems and the remedies. Remedies for some problems may also be relevant for the other problems.

A local minimum is found. Try a different starting value. Good starting values often can be obtained by fitting simpler models. For example, for a nonlinear function
$f(x;theta) = theta_1e^{theta_2x}$
good starting values can be obtained from the estimated linear regression coefficients and from a simple linear regression of ln y on ln x. The starting values for the nonlinear regression in this case would be
$theta_1=e^{hatbeta_0},and,theta_2= hatbeta_1$
If an approximate linear model is unclear, then simplify the model by reducing the number of nonlinear regression parameters. For example, some nonlinear parameters for which good starting values are known could be set to these values. This simplifies the approach to computing starting values for the remaining parameters.
The estimate of is incorrectly returned as the same or very close to the initial estimate.
- The scale of the problem may be orders of magnitude smaller than the assumed default of 1 causing premature stopping. For example, if the sums of squares for error is less than approximately ${(2.22e^{-16})}^2$ , the routine stops. See Example 3, which shows how to shut down some of the stopping criteria that may not be relevant for your particular problem and which also shows how to improve the speed of convergence by the input of the scale of the model parameters.
- The scale of the problem may be orders of magnitude larger than the assumed default causing premature stopping. The information with regard to the input of the scale of the model parameters in Example 3 is also relevant here. In addition, the maximum allowable step size (setMaxStepsize(double)) in Example 3 may need to be increased.
- The residuals are input with accuracy much less than machine accuracy causing premature stopping because a local minimum is found. Again see Example 3 to see generally how to change some default tolerances. If you cannot improve the precision of the computations of the residual, you need to use method setDigits(int) to indicate the actual number of good digits in the residuals.
The model is discontinuous as a function of . There may be a mistake in the user-supplied function. Note that the function can be a discontinuous function of x.
The R matrix returned by getR is inaccurate. If only a function is supplied try providing the NonlinearRegression.Derivative. If the derivative is supplied try providing only NonlinearRegression.Function.
Overflow occurs during the computations. Make sure the user-supplied functions do not overflow at some value of .
The estimate of is going to infinity. A parameterization of the problem in terms of reciprocals may help.
Some components of are outside known bounds. This can sometimes be handled by making a function that produces artificially large residuals outside of the bounds (even though this introduces a discontinuity in the model function).

Note that the solve method must be called prior to calling the "get" member functions, otherwise a null is returned.

See Also:: Example 1, Example 2, Example 3

Nested Class Summary
`static interface`	`NonlinearRegression.Derivative` Public interface for the user supplied function to compute the derivative for `NonlinearRegression`.
`static interface`	`NonlinearRegression.Function` Public interface for the user supplied function for `NonlinearRegression`.
`static class`	`NonlinearRegression.NegativeFreqException` A negative frequency was encountered.
`static class`	`NonlinearRegression.NegativeWeightException` A negative weight was encountered.
`static class`	`NonlinearRegression.NoProgressException` The algorithm is not making any progress, try new initial guess.
`static class`	`NonlinearRegression.TooManyIterationsException` The number of iterations has exceeded the maximum allowed.

Constructor Summary
`NonlinearRegression(int nparm)` Constructs a new nonlinear regression object.

Method Summary
`double`	`getCoefficient(int i)` Returns the estimate for a coefficient.
`double[]`	`getCoefficients()` Returns the regression coefficients.
`double`	`getDFError()` Returns the degrees of freedom for error.
`int`	`getErrorStatus()` Gets information about the performance of `NonlinearRegression`.
`double[][]`	`getR()` Returns a copy of the `R` matrix.
`int`	`getRank()` Returns the rank of the matrix.
`double`	`getSSE()` Returns the sums of squares for error.
`void`	`setAbsoluteTolerance(double absoluteTolerance)` Sets the absolute function tolerance.
`void`	`setDigits(int nGood)` Sets the number of good digits in the residuals.
`void`	`setFalseConvergenceTolerance(double falseConvergenceTolerance)` Sets the false convergence tolerance.
`void`	`setGradientTolerance(double gradientTolerance)` Sets the gradient tolerance used to compute the gradient.
`void`	`setGuess(double[] thetaGuess)` Sets the initial guess of the parameter values
`void`	`setInitialTrustRegion(double initialTrustRegion)` Sets the initial trust region radius.
`void`	`setMaxIterations(int maxIterations)` Sets the maximum number of iterations allowed during optimization
`void`	`setMaxStepsize(double maxStepsize)` Sets the maximum allowable stepsize.
`void`	`setRelativeTolerance(double relativeTolerance)` Sets the relative function tolerance
`void`	`setScale(double[] scale)` Sets the scaling array for `theta`.
`void`	`setStepTolerance(double stepTolerance)` Sets the step tolerance used to step between two points.
`double[]`	`solve(NonlinearRegression.Function F)` Solves the least squares problem and returns the regression coefficients.

Methods inherited from class java.lang.Object
`clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait`

Constructor Detail

NonlinearRegression

public NonlinearRegression(int nparm)

Constructs a new nonlinear regression object.

Parameters:: nparm - An int which specifies the number of unknown parameters in the regression.

Method Detail

getCoefficient

public double getCoefficient(int i)

Returns the estimate for a coefficient.

Parameters:: i - An int which specifies the index of a coefficient whose estimate is to be returned.
Returns:: A double which contains the estimate for the i-th coefficient or null if solve has not been called.

getCoefficients

public double[] getCoefficients()

Returns the regression coefficients.

Returns:: A double array containing the regression coefficients or null if solve has not been called.

getDFError

public double getDFError()

Returns the degrees of freedom for error.

Returns:: A double which specifies the degrees of freedom for error or null if solve has not been called.

getErrorStatus

public int getErrorStatus()

Gets information about the performance of NonlinearRegression.

Returns:

An int specifying information about convergence.

Value	Description
0	All convergence tests were met.
1	Scaled step tolerance was satisfied. The current point may be an approximate local solution, or the algorithm is making very slow progress and is not near a solution, or `StepTolerance` is too big.
2	Scaled actual and predicted reductions in the function are less than or equal to the relative function convergence tolerance `RelativeTolerance`.
3	Iterates appear to be converging to a noncritical point. Incorrect gradient information, a discontinuous function, or stopping tolerances being too tight may be the cause.
4	Five consecutive steps with the maximum stepsize have been taken. Either the function is unbounded below, or has a finite asymptote in some direction, or the `maxStepsize` is too small.

getR

public double[][] getR()

Returns a copy of the R matrix. R is the upper triangular matrix containing the R matrix from a QR decomposition of the matrix of regressors.

Returns:: A two dimensional double array containing a copy of the R matrix or null if solve has not been called.

getRank

public int getRank()

Returns the rank of the matrix.

Returns:: An int which specifies the rank of the matrix or null if solve has not been called.

getSSE

public double getSSE()

Returns the sums of squares for error.

Returns:: A double which contains the sum of squares for error or null if solve has not been called.

setAbsoluteTolerance

public void setAbsoluteTolerance(double absoluteTolerance)

Sets the absolute function tolerance.

Parameters:: absoluteTolerance - A double scalar value specifying the absolute function tolerance. The tolerance must be greater than or equal to zero. The default value is 4.93e-32.
Throws:: IllegalArgumentException - is thrown if absoluteTolerance is less than 0

setDigits

public void setDigits(int nGood)

Sets the number of good digits in the residuals.

Parameters:: nGood - An int specifying the number of good digits in the residuals. The number of digits must be greater than zero. The default value is 15.
Throws:: IllegalArgumentException - is thrown if ngood is less than or equal to 0

setFalseConvergenceTolerance

public void setFalseConvergenceTolerance(double falseConvergenceTolerance)

Sets the false convergence tolerance.

Parameters:: falseConvergenceTolerance - A double scalar value specifying the false convergence tolerance. The tolerance must be greater than or equal to zero. The default value is 2.22e-14.
Throws:: IllegalArgumentException - is thrown if falseConvergenceTolerance is less than 0

setGradientTolerance

public void setGradientTolerance(double gradientTolerance)

Sets the gradient tolerance used to compute the gradient.

Parameters:: gradientTolerance - A double specifying the gradient tolerance used to compute the gradient. The tolerance must be greater than or equal to zero. The default value is 6.055e-6.
Throws:: IllegalArgumentException - is thrown if gradientTolerance is less than 0

setGuess

public void setGuess(double[] thetaGuess)

Sets the initial guess of the parameter values

Parameters:: thetaGuess - A double array of initial values for the parameters. The default value is an array of zeroes.

setInitialTrustRegion

public void setInitialTrustRegion(double initialTrustRegion)

Sets the initial trust region radius.

Parameters:: initialTrustRegion - A double scalar value specifying the initial trust region radius. The initial trust radius must be greater than zero. If this member function is not called, a default is set based on the initial scaled Cauchy step.
Throws:: IllegalArgumentException - is thrown if initialTrustRegion is less than or equal to 0

setMaxIterations

public void setMaxIterations(int maxIterations)

Sets the maximum number of iterations allowed during optimization

Parameters:: maxIterations - An int specifying the maximum number of iterations allowed during optimization. The value must be greater than 0. The default value is 100.
Throws:: IllegalArgumentException - is thrown if maxIterations is less than or equal to 0

setMaxStepsize

public void setMaxStepsize(double maxStepsize)

Sets the maximum allowable stepsize.

Parameters:: maxStepsize - A nonnegative double value specifying the maximum allowable stepsize. The maximum allowable stepsize must be greater than zero. If this member function is not called, maximum stepsize is set to a default value based on a scaled theta.
Throws:: IllegalArgumentException - is thrown if maxStepsize is less than or equal to 0

setRelativeTolerance

public void setRelativeTolerance(double relativeTolerance)

Sets the relative function tolerance

Parameters:: relativeTolerance - A double scalar value specifying the relative function tolerance. The relative function tolerance must be greater than or equal to zero. The default value is 1.0e-20.
Throws:: IllegalArgumentException - is thrown if relativeTolerance is less than 0

setScale

public void setScale(double[] scale)

Sets the scaling array for theta.

Parameters:: scale - A double array containing the scaling values for the parameters (theta). The elements of the scaling array must be greater than zero. scale is used mainly in scaling the gradient and the distance between points. If good starting values of thetaGuess are known and are nonzero, then a good choice is scale[i]=1.0/thetaGuess[i]. Otherwise, if theta is known to be in the interval (-10.e5, 10.e5), set scale[i]=10.e-5. By default, the elements of the scaling array are set to 1.0.
Throws:: IllegalArgumentException - is thrown if any of the elements of scale is less than or equal to 0

setStepTolerance

public void setStepTolerance(double stepTolerance)

Sets the step tolerance used to step between two points.

Parameters:: stepTolerance - A double scalar value specifying the step tolerance used to step between two points. The step tolerance must be greater than or equal to zero. The default value is 3.667e-11.
Throws:: IllegalArgumentException - is thrown if stepTolerance is less than 0

solve

public double[] solve(NonlinearRegression.Function F)
               throws NonlinearRegression.TooManyIterationsException,
                      NonlinearRegression.NegativeFreqException,
                      NonlinearRegression.NegativeWeightException,
                      NonlinearRegression.NoProgressException

Solves the least squares problem and returns the regression coefficients.

Parameters:: F - A NonlinearRegression.Function whose coefficients are to be computed.
Returns:: A double array containing the regression coefficients.
Throws:: NonlinearRegression.TooManyIterationsException - is thrown when the number of allowed iterations is exceeded; NonlinearRegression.NegativeFreqException - is thrown when the specified frequency is negative; NonlinearRegression.NegativeWeightException - is thrown when the weight is negative; NonlinearRegression.NoProgressException - is thrown when the algorithm is not making any progress. Try a new initial guess.