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fit: stable variance inversion and SVD dynamic range

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This commit is contained in:
Antonin Portelli 2022-02-16 18:55:08 +00:00
parent 857a8e59c9
commit ebc1bd4c2e
4 changed files with 68 additions and 14 deletions
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30
lib/Statistics/XYSampleData.cpp
View File

@ -62,6 +62,11 @@ double SampleFitResult::getPValue(const Index s) const
return Math::chi2PValue(getChi2(s), getNDof());
}
double SampleFitResult::getSvdRangeDb(void) const
{
return svdRangeDb_;
}
double SampleFitResult::getCcdf(const Index s) const
{
return Math::chi2Ccdf(getChi2(s), getNDof());
@ -107,9 +112,11 @@ void SampleFitResult::print(const bool printXsi, ostream &out) const
getChi2(), static_cast<int>(getNDof()), getChi2PerDof(), getCcdf(),
getPValue());
out << buf << endl;
sprintf(buf, "correlation dynamic range= %.1f dB", getSvdRangeDb());
out << buf << endl;
for (Index p = 0; p < pMax; ++p)
{
sprintf(buf, "%8s= % e +/- %e", parName_[p].c_str(),
sprintf(buf, "%12s= % e +/- %e", parName_[p].c_str(),
(*this)[central](p), err(p));
out << buf << endl;
}
@ -249,6 +256,20 @@ const DMat & XYSampleData::getFitVarMatPInv(void)
return data_.getFitVarMatPInv();
}
const DMat & XYSampleData::getFitCorrMat(void)
{
computeVarMat();
return data_.getFitCorrMat();
}
const DMat & XYSampleData::getFitCorrMatPInv(void)
{
computeVarMat();
return data_.getFitCorrMatPInv();
}
// set data to a particular sample /////////////////////////////////////////////
void XYSampleData::setDataToSample(const Index s)
{
@ -319,9 +340,10 @@ SampleFitResult XYSampleData::fit(std::vector<Minimizer *> &minimizer,
}
}
minimizer.back()->setVerbosity(verbCopy);
result.nPar_ = sampleResult.getNPar();
result.nDof_ = sampleResult.nDof_;
result.parName_ = sampleResult.parName_;
result.nPar_ = sampleResult.getNPar();
result.nDof_ = sampleResult.nDof_;
result.parName_ = sampleResult.parName_;
result.svdRangeDb_ = Math::svdDynamicRangeDb(getFitCorrMat());
return result;
}

6
lib/Statistics/XYSampleData.hpp
View File

@ -49,6 +49,7 @@ public:
double getNDof(void) const;
Index getNPar(void) const;
double getPValue(const Index s = central) const;
double getSvdRangeDb(void) const;
double getCcdf(const Index s = central) const;
const DoubleFunction & getModel(const Index s = central,
const Index j = 0) const;
@ -60,6 +61,7 @@ public:
std::ostream &out = std::cout) const;
private:
DSample chi2_;
double svdRangeDb_{0.};
Index nDof_{0}, nPar_{0};
std::vector<DoubleFunctionSample> model_;
std::vector<std::string> parName_;
@ -91,9 +93,11 @@ public:
const DMat & getXYVar(const Index i, const Index j);
DVec getXError(const Index i);
DVec getYError(const Index j);
// get total fit variance matrix and its pseudo-inverse
// get total fit variance & correlation matrices and their pseudo-inverse
const DMat & getFitVarMat(void);
const DMat & getFitVarMatPInv(void);
const DMat & getFitCorrMat(void);
const DMat & getFitCorrMatPInv(void);
// set data to a particular sample
void setDataToSample(const Index s);
// get internal XYStatData

37
lib/Statistics/XYStatData.cpp
View File

@ -60,6 +60,11 @@ double FitResult::getCcdf(void) const
return Math::chi2Ccdf(getChi2(), getNDof());;
}
double FitResult::getSvdRangeDb(void) const
{
return svdRangeDb_;
}
const DoubleFunction & FitResult::getModel(const Index j) const
{
return model_[j];
@ -75,9 +80,11 @@ void FitResult::print(const bool printXsi, ostream &out) const
getChi2(), static_cast<int>(getNDof()), getChi2PerDof(), getCcdf(),
getPValue());
out << buf << endl;
sprintf(buf, "correlation dynamic range= %.1f dB", getSvdRangeDb());
out << buf << endl;
for (Index p = 0; p < pMax; ++p)
{
sprintf(buf, "%8s= %e", parName_[p].c_str(), (*this)(p));
sprintf(buf, "%12s= %e", parName_[p].c_str(), (*this)(p));
out << buf << endl;
}
}
@ -259,6 +266,20 @@ const DMat & XYStatData::getFitVarMatPInv(void)
return fitVarInv_;
}
const DMat & XYStatData::getFitCorrMat(void)
{
updateFitVarMat();
return fitCorr_;
}
const DMat & XYStatData::getFitCorrMatPInv(void)
{
updateFitVarMat();
return fitCorrInv_;
}
// fit /////////////////////////////////////////////////////////////////////////
FitResult XYStatData::fit(vector<Minimizer *> &minimizer, const DVec &init,
const vector<const DoubleModel *> &v)
@ -337,9 +358,10 @@ FitResult XYStatData::fit(vector<Minimizer *> &minimizer, const DVec &init,
result = (*m)(chi2);
totalInit = result;
}
result.chi2_ = chi2(result);
result.nPar_ = nPar;
result.nDof_ = layout.totalYSize - nPar;
result.svdRangeDb_ = Math::svdDynamicRangeDb(getFitCorrMat());
result.chi2_ = chi2(result);
result.nPar_ = nPar;
result.nDof_ = layout.totalYSize - nPar;
result.model_.resize(v.size());
for (unsigned int j = 0; j < v.size(); ++j)
{
@ -551,8 +573,11 @@ void XYStatData::updateFitVarMat(void)
chi2DataVec_.resize(layout.totalSize);
chi2ModVec_.resize(layout.totalSize);
chi2Vec_.resize(layout.totalSize);
fitVar_ = fitVar_.cwiseProduct(makeCorrFilter());
fitVarInv_ = fitVar_.pInverse(getSvdTolerance());
fitVar_ = fitVar_.cwiseProduct(makeCorrFilter());
fitCorr_ = Math::varToCorr(fitVar_);
fitCorrInv_ = fitCorr_.pInverse(getSvdTolerance());
fitVarInv_ = Math::corrToVar(fitCorrInv_, fitVar_.diagonal().cwiseInverse());
scheduleFitVarMatInit(false);
}
}

9
lib/Statistics/XYStatData.hpp
View File

@ -48,12 +48,13 @@ public:
Index getNPar(void) const;
double getPValue(void) const;
double getCcdf(void) const;
double getSvdRangeDb(void) const;
const DoubleFunction & getModel(const Index j = 0) const;
// IO
void print(const bool printXsi = false,
std::ostream &out = std::cout) const;
private:
double chi2_{0.};
double chi2_{0.}, svdRangeDb_{0.};
Index nDof_{0}, nPar_{0};
std::vector<DoubleFunction> model_;
std::vector<std::string> parName_;
@ -88,9 +89,11 @@ public:
DVec getXError(const Index i) const;
DVec getYError(const Index j) const;
DMat getTable(const Index i, const Index j) const;
// get total fit variance matrix and its pseudo-inverse
// get total fit variance & correlation matrices and their pseudo-inverse
const DMat & getFitVarMat(void);
const DMat & getFitVarMatPInv(void);
const DMat & getFitCorrMat(void);
const DMat & getFitCorrMatPInv(void);
// fit
FitResult fit(std::vector<Minimizer *> &minimizer, const DVec &init,
const std::vector<const DoubleModel *> &v);
@ -131,7 +134,7 @@ private:
std::vector<DVec> xData_;
std::vector<DVec> xMap_;
Mat<DMat> xxVar_, yyVar_, xyVar_;
DMat fitVar_, fitVarInv_;
DMat fitVar_, fitVarInv_, fitCorr_, fitCorrInv_;
DVec chi2DataVec_, chi2ModVec_, chi2Vec_;
DVec xBuf_;
bool initXMap_{true};