Java Code Examples for org.apache.commons.math.linear.MatrixUtils#createRealIdentityMatrix()
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org.apache.commons.math.linear.MatrixUtils#createRealIdentityMatrix() .
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Example 1
| Source File: GLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 6 votes |
|
/**
* Verifies that GLS with identity covariance matrix gives the same results
* as OLS.
*/
@Test
public void testGLSOLSConsistency() throws Exception {
RealMatrix identityCov = MatrixUtils.createRealIdentityMatrix(16);
GLSMultipleLinearRegression glsModel = new GLSMultipleLinearRegression();
OLSMultipleLinearRegression olsModel = new OLSMultipleLinearRegression();
glsModel.newSampleData(longley, 16, 6);
olsModel.newSampleData(longley, 16, 6);
glsModel.newCovarianceData(identityCov.getData());
double[] olsBeta = olsModel.calculateBeta().getData();
double[] glsBeta = glsModel.calculateBeta().getData();
// TODO: Should have assertRelativelyEquals(double[], double[], eps) in TestUtils
// Should also add RealVector and RealMatrix versions
for (int i = 0; i < olsBeta.length; i++) {
TestUtils.assertRelativelyEquals(olsBeta[i], glsBeta[i], 10E-7);
}
}
Example 2
| Source File: GLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 6 votes |
|
/**
* Verifies that GLS with identity covariance matrix gives the same results
* as OLS.
*/
@Test
public void testGLSOLSConsistency() throws Exception {
RealMatrix identityCov = MatrixUtils.createRealIdentityMatrix(16);
GLSMultipleLinearRegression glsModel = new GLSMultipleLinearRegression();
OLSMultipleLinearRegression olsModel = new OLSMultipleLinearRegression();
glsModel.newSampleData(longley, 16, 6);
olsModel.newSampleData(longley, 16, 6);
glsModel.newCovarianceData(identityCov.getData());
double[] olsBeta = olsModel.calculateBeta().getData();
double[] glsBeta = glsModel.calculateBeta().getData();
// TODO: Should have assertRelativelyEquals(double[], double[], eps) in TestUtils
// Should also add RealVector and RealMatrix versions
for (int i = 0; i < olsBeta.length; i++) {
TestUtils.assertRelativelyEquals(olsBeta[i], glsBeta[i], 10E-7);
}
}
Example 3
| Source File: EigenDecompositionImplTest.java From astor with GNU General Public License v2.0 | 5 votes |
|
/** test that V is orthogonal */
public void testVOrthogonal() {
RealMatrix v = new EigenDecompositionImpl(matrix, MathUtils.SAFE_MIN).getV();
RealMatrix vTv = v.transpose().multiply(v);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(vTv.getRowDimension());
assertEquals(0, vTv.subtract(id).getNorm(), 2.0e-13);
}
Example 4
| Source File: KalmanFilter.java From astor with GNU General Public License v2.0 | 5 votes |
|
/**
* Correct the current state estimate with an actual measurement.
*
* @param z
* the measurement vector
* @throws DimensionMismatchException
* if the dimension of the measurement vector does not fit
* @throws org.apache.commons.math.linear.SingularMatrixException
* if the covariance matrix could not be inverted
*/
public void correct(final RealVector z) {
// sanity checks
MathUtils.checkNotNull(z);
if (z.getDimension() != measurementMatrix.getRowDimension()) {
throw new DimensionMismatchException(z.getDimension(),
measurementMatrix.getRowDimension());
}
// S = H * P(k) - * H' + R
RealMatrix s = measurementMatrix.multiply(errorCovariance)
.multiply(measurementMatrixT)
.add(measurementModel.getMeasurementNoise());
// invert S
// as the error covariance matrix is a symmetric positive
// semi-definite matrix, we can use the cholesky decomposition
DecompositionSolver solver = new CholeskyDecompositionImpl(s).getSolver();
RealMatrix invertedS = solver.getInverse();
// Inn = z(k) - H * xHat(k)-
RealVector innovation = z.subtract(measurementMatrix.operate(stateEstimation));
// calculate gain matrix
// K(k) = P(k)- * H' * (H * P(k)- * H' + R)^-1
// K(k) = P(k)- * H' * S^-1
RealMatrix kalmanGain = errorCovariance.multiply(measurementMatrixT).multiply(invertedS);
// update estimate with measurement z(k)
// xHat(k) = xHat(k)- + K * Inn
stateEstimation = stateEstimation.add(kalmanGain.operate(innovation));
// update covariance of prediction error
// P(k) = (I - K * H) * P(k)-
RealMatrix identity = MatrixUtils.createRealIdentityMatrix(kalmanGain.getRowDimension());
errorCovariance = identity.subtract(kalmanGain.multiply(measurementMatrix)).multiply(errorCovariance);
}
Example 5
| Source File: QRDecompositionImplTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkQOrthogonal(RealMatrix m) {
QRDecomposition qr = new QRDecompositionImpl(m);
RealMatrix eye = MatrixUtils.createRealIdentityMatrix(m.getRowDimension());
double norm = qr.getQT().multiply(qr.getQ()).subtract(eye).getNorm();
assertEquals(0, norm, normTolerance);
}
Example 6
| Source File: OLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
/**
* Test hat matrix computation
*
* @throws Exception
*/
@Test
public void testHat() throws Exception {
/*
* This example is from "The Hat Matrix in Regression and ANOVA",
* David C. Hoaglin and Roy E. Welsch,
* The American Statistician, Vol. 32, No. 1 (Feb., 1978), pp. 17-22.
*
*/
double[] design = new double[] {
11.14, .499, 11.1,
12.74, .558, 8.9,
13.13, .604, 8.8,
11.51, .441, 8.9,
12.38, .550, 8.8,
12.60, .528, 9.9,
11.13, .418, 10.7,
11.7, .480, 10.5,
11.02, .406, 10.5,
11.41, .467, 10.7
};
int nobs = 10;
int nvars = 2;
// Estimate the model
OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
model.newSampleData(design, nobs, nvars);
RealMatrix hat = model.calculateHat();
// Reference data is upper half of symmetric hat matrix
double[] referenceData = new double[] {
.418, -.002, .079, -.274, -.046, .181, .128, .222, .050, .242,
.242, .292, .136, .243, .128, -.041, .033, -.035, .004,
.417, -.019, .273, .187, -.126, .044, -.153, .004,
.604, .197, -.038, .168, -.022, .275, -.028,
.252, .111, -.030, .019, -.010, -.010,
.148, .042, .117, .012, .111,
.262, .145, .277, .174,
.154, .120, .168,
.315, .148,
.187
};
// Check against reference data and verify symmetry
int k = 0;
for (int i = 0; i < 10; i++) {
for (int j = i; j < 10; j++) {
assertEquals(referenceData[k], hat.getEntry(i, j), 10e-3);
assertEquals(hat.getEntry(i, j), hat.getEntry(j, i), 10e-12);
k++;
}
}
/*
* Verify that residuals computed using the hat matrix are close to
* what we get from direct computation, i.e. r = (I - H) y
*/
double[] residuals = model.estimateResiduals();
RealMatrix I = MatrixUtils.createRealIdentityMatrix(10);
double[] hatResiduals = I.subtract(hat).operate(model.Y).getData();
TestUtils.assertEquals(residuals, hatResiduals, 10e-12);
}
Example 7
| Source File: BiDiagonalTransformerTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkOrthogonal(RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
Assert.assertEquals(0, mTm.subtract(id).getNorm(), 1.0e-14);
}
Example 8
| Source File: OLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
/**
* Test hat matrix computation
*
* @throws Exception
*/
@Test
public void testHat() throws Exception {
/*
* This example is from "The Hat Matrix in Regression and ANOVA",
* David C. Hoaglin and Roy E. Welsch,
* The American Statistician, Vol. 32, No. 1 (Feb., 1978), pp. 17-22.
*
*/
double[] design = new double[] {
11.14, .499, 11.1,
12.74, .558, 8.9,
13.13, .604, 8.8,
11.51, .441, 8.9,
12.38, .550, 8.8,
12.60, .528, 9.9,
11.13, .418, 10.7,
11.7, .480, 10.5,
11.02, .406, 10.5,
11.41, .467, 10.7
};
int nobs = 10;
int nvars = 2;
// Estimate the model
OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
model.newSampleData(design, nobs, nvars);
RealMatrix hat = model.calculateHat();
// Reference data is upper half of symmetric hat matrix
double[] referenceData = new double[] {
.418, -.002, .079, -.274, -.046, .181, .128, .222, .050, .242,
.242, .292, .136, .243, .128, -.041, .033, -.035, .004,
.417, -.019, .273, .187, -.126, .044, -.153, .004,
.604, .197, -.038, .168, -.022, .275, -.028,
.252, .111, -.030, .019, -.010, -.010,
.148, .042, .117, .012, .111,
.262, .145, .277, .174,
.154, .120, .168,
.315, .148,
.187
};
// Check against reference data and verify symmetry
int k = 0;
for (int i = 0; i < 10; i++) {
for (int j = i; j < 10; j++) {
assertEquals(referenceData[k], hat.getEntry(i, j), 10e-3);
assertEquals(hat.getEntry(i, j), hat.getEntry(j, i), 10e-12);
k++;
}
}
/*
* Verify that residuals computed using the hat matrix are close to
* what we get from direct computation, i.e. r = (I - H) y
*/
double[] residuals = model.estimateResiduals();
RealMatrix I = MatrixUtils.createRealIdentityMatrix(10);
double[] hatResiduals = I.subtract(hat).operate(model.Y).getData();
TestUtils.assertEquals(residuals, hatResiduals, 10e-12);
}
Example 9
| Source File: OLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
/**
* Test hat matrix computation
*
* @throws Exception
*/
@Test
public void testHat() throws Exception {
/*
* This example is from "The Hat Matrix in Regression and ANOVA",
* David C. Hoaglin and Roy E. Welsch,
* The American Statistician, Vol. 32, No. 1 (Feb., 1978), pp. 17-22.
*
*/
double[] design = new double[] {
11.14, .499, 11.1,
12.74, .558, 8.9,
13.13, .604, 8.8,
11.51, .441, 8.9,
12.38, .550, 8.8,
12.60, .528, 9.9,
11.13, .418, 10.7,
11.7, .480, 10.5,
11.02, .406, 10.5,
11.41, .467, 10.7
};
int nobs = 10;
int nvars = 2;
// Estimate the model
OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
model.newSampleData(design, nobs, nvars);
RealMatrix hat = model.calculateHat();
// Reference data is upper half of symmetric hat matrix
double[] referenceData = new double[] {
.418, -.002, .079, -.274, -.046, .181, .128, .222, .050, .242,
.242, .292, .136, .243, .128, -.041, .033, -.035, .004,
.417, -.019, .273, .187, -.126, .044, -.153, .004,
.604, .197, -.038, .168, -.022, .275, -.028,
.252, .111, -.030, .019, -.010, -.010,
.148, .042, .117, .012, .111,
.262, .145, .277, .174,
.154, .120, .168,
.315, .148,
.187
};
// Check against reference data and verify symmetry
int k = 0;
for (int i = 0; i < 10; i++) {
for (int j = i; j < 10; j++) {
Assert.assertEquals(referenceData[k], hat.getEntry(i, j), 10e-3);
Assert.assertEquals(hat.getEntry(i, j), hat.getEntry(j, i), 10e-12);
k++;
}
}
/*
* Verify that residuals computed using the hat matrix are close to
* what we get from direct computation, i.e. r = (I - H) y
*/
double[] residuals = model.estimateResiduals();
RealMatrix I = MatrixUtils.createRealIdentityMatrix(10);
double[] hatResiduals = I.subtract(hat).operate(model.Y).getData();
TestUtils.assertEquals(residuals, hatResiduals, 10e-12);
}
Example 10
| Source File: QRDecompositionImplTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkQOrthogonal(RealMatrix m) {
QRDecomposition qr = new QRDecompositionImpl(m);
RealMatrix eye = MatrixUtils.createRealIdentityMatrix(m.getRowDimension());
double norm = qr.getQT().multiply(qr.getQ()).subtract(eye).getNorm();
assertEquals(0, norm, normTolerance);
}
Example 11
| Source File: QRDecompositionImplTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkQOrthogonal(RealMatrix m) {
QRDecomposition qr = new QRDecompositionImpl(m);
RealMatrix eye = MatrixUtils.createRealIdentityMatrix(m.getRowDimension());
double norm = qr.getQT().multiply(qr.getQ()).subtract(eye).getNorm();
assertEquals(0, norm, normTolerance);
}
Example 12
| Source File: BiDiagonalTransformerTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkOrthogonal(RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
assertEquals(0, mTm.subtract(id).getNorm(), 1.0e-14);
}
Example 13
| Source File: BiDiagonalTransformerTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkOrthogonal(RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
Assert.assertEquals(0, mTm.subtract(id).getNorm(), 1.0e-14);
}
Example 14
| Source File: OLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
/**
* Test hat matrix computation
*
* @throws Exception
*/
@Test
public void testHat() throws Exception {
/*
* This example is from "The Hat Matrix in Regression and ANOVA",
* David C. Hoaglin and Roy E. Welsch,
* The American Statistician, Vol. 32, No. 1 (Feb., 1978), pp. 17-22.
*
*/
double[] design = new double[] {
11.14, .499, 11.1,
12.74, .558, 8.9,
13.13, .604, 8.8,
11.51, .441, 8.9,
12.38, .550, 8.8,
12.60, .528, 9.9,
11.13, .418, 10.7,
11.7, .480, 10.5,
11.02, .406, 10.5,
11.41, .467, 10.7
};
int nobs = 10;
int nvars = 2;
// Estimate the model
OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
model.newSampleData(design, nobs, nvars);
RealMatrix hat = model.calculateHat();
// Reference data is upper half of symmetric hat matrix
double[] referenceData = new double[] {
.418, -.002, .079, -.274, -.046, .181, .128, .222, .050, .242,
.242, .292, .136, .243, .128, -.041, .033, -.035, .004,
.417, -.019, .273, .187, -.126, .044, -.153, .004,
.604, .197, -.038, .168, -.022, .275, -.028,
.252, .111, -.030, .019, -.010, -.010,
.148, .042, .117, .012, .111,
.262, .145, .277, .174,
.154, .120, .168,
.315, .148,
.187
};
// Check against reference data and verify symmetry
int k = 0;
for (int i = 0; i < 10; i++) {
for (int j = i; j < 10; j++) {
assertEquals(referenceData[k], hat.getEntry(i, j), 10e-3);
assertEquals(hat.getEntry(i, j), hat.getEntry(j, i), 10e-12);
k++;
}
}
/*
* Verify that residuals computed using the hat matrix are close to
* what we get from direct computation, i.e. r = (I - H) y
*/
double[] residuals = model.estimateResiduals();
RealMatrix I = MatrixUtils.createRealIdentityMatrix(10);
double[] hatResiduals = I.subtract(hat).operate(model.Y).getData();
TestUtils.assertEquals(residuals, hatResiduals, 10e-12);
}
Example 15
| Source File: OLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
/**
* Test hat matrix computation
*
* @throws Exception
*/
@Test
public void testHat() throws Exception {
/*
* This example is from "The Hat Matrix in Regression and ANOVA",
* David C. Hoaglin and Roy E. Welsch,
* The American Statistician, Vol. 32, No. 1 (Feb., 1978), pp. 17-22.
*
*/
double[] design = new double[] {
11.14, .499, 11.1,
12.74, .558, 8.9,
13.13, .604, 8.8,
11.51, .441, 8.9,
12.38, .550, 8.8,
12.60, .528, 9.9,
11.13, .418, 10.7,
11.7, .480, 10.5,
11.02, .406, 10.5,
11.41, .467, 10.7
};
int nobs = 10;
int nvars = 2;
// Estimate the model
OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
model.newSampleData(design, nobs, nvars);
RealMatrix hat = model.calculateHat();
// Reference data is upper half of symmetric hat matrix
double[] referenceData = new double[] {
.418, -.002, .079, -.274, -.046, .181, .128, .222, .050, .242,
.242, .292, .136, .243, .128, -.041, .033, -.035, .004,
.417, -.019, .273, .187, -.126, .044, -.153, .004,
.604, .197, -.038, .168, -.022, .275, -.028,
.252, .111, -.030, .019, -.010, -.010,
.148, .042, .117, .012, .111,
.262, .145, .277, .174,
.154, .120, .168,
.315, .148,
.187
};
// Check against reference data and verify symmetry
int k = 0;
for (int i = 0; i < 10; i++) {
for (int j = i; j < 10; j++) {
Assert.assertEquals(referenceData[k], hat.getEntry(i, j), 10e-3);
Assert.assertEquals(hat.getEntry(i, j), hat.getEntry(j, i), 10e-12);
k++;
}
}
/*
* Verify that residuals computed using the hat matrix are close to
* what we get from direct computation, i.e. r = (I - H) y
*/
double[] residuals = model.estimateResiduals();
RealMatrix I = MatrixUtils.createRealIdentityMatrix(10);
double[] hatResiduals = I.subtract(hat).operate(model.Y).getData();
TestUtils.assertEquals(residuals, hatResiduals, 10e-12);
}
Example 16
| Source File: SingularValueDecompositionImplTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
public void checkOrthogonal(final RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
assertEquals(0, mTm.subtract(id).getNorm(), normTolerance);
}
Example 17
| Source File: BiDiagonalTransformerTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkOrthogonal(RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
Assert.assertEquals(0, mTm.subtract(id).getNorm(), 1.0e-14);
}
Example 18
| Source File: OLSMultipleLinearRegressionTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
/**
* Test hat matrix computation
*
* @throws Exception
*/
@Test
public void testHat() throws Exception {
/*
* This example is from "The Hat Matrix in Regression and ANOVA",
* David C. Hoaglin and Roy E. Welsch,
* The American Statistician, Vol. 32, No. 1 (Feb., 1978), pp. 17-22.
*
*/
double[] design = new double[] {
11.14, .499, 11.1,
12.74, .558, 8.9,
13.13, .604, 8.8,
11.51, .441, 8.9,
12.38, .550, 8.8,
12.60, .528, 9.9,
11.13, .418, 10.7,
11.7, .480, 10.5,
11.02, .406, 10.5,
11.41, .467, 10.7
};
int nobs = 10;
int nvars = 2;
// Estimate the model
OLSMultipleLinearRegression model = new OLSMultipleLinearRegression();
model.newSampleData(design, nobs, nvars);
RealMatrix hat = model.calculateHat();
// Reference data is upper half of symmetric hat matrix
double[] referenceData = new double[] {
.418, -.002, .079, -.274, -.046, .181, .128, .222, .050, .242,
.242, .292, .136, .243, .128, -.041, .033, -.035, .004,
.417, -.019, .273, .187, -.126, .044, -.153, .004,
.604, .197, -.038, .168, -.022, .275, -.028,
.252, .111, -.030, .019, -.010, -.010,
.148, .042, .117, .012, .111,
.262, .145, .277, .174,
.154, .120, .168,
.315, .148,
.187
};
// Check against reference data and verify symmetry
int k = 0;
for (int i = 0; i < 10; i++) {
for (int j = i; j < 10; j++) {
assertEquals(referenceData[k], hat.getEntry(i, j), 10e-3);
assertEquals(hat.getEntry(i, j), hat.getEntry(j, i), 10e-12);
k++;
}
}
/*
* Verify that residuals computed using the hat matrix are close to
* what we get from direct computation, i.e. r = (I - H) y
*/
double[] residuals = model.estimateResiduals();
RealMatrix I = MatrixUtils.createRealIdentityMatrix(10);
double[] hatResiduals = I.subtract(hat).operate(model.Y).getData();
TestUtils.assertEquals(residuals, hatResiduals, 10e-12);
}
Example 19
| Source File: BiDiagonalTransformerTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkOrthogonal(RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
Assert.assertEquals(0, mTm.subtract(id).getNorm(), 1.0e-14);
}
Example 20
| Source File: BiDiagonalTransformerTest.java From astor with GNU General Public License v2.0 | 4 votes |
|
private void checkOrthogonal(RealMatrix m) {
RealMatrix mTm = m.transpose().multiply(m);
RealMatrix id = MatrixUtils.createRealIdentityMatrix(mTm.getRowDimension());
Assert.assertEquals(0, mTm.subtract(id).getNorm(), 1.0e-14);
}
