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<title>GNU Scientific Library – Reference Manual: Nonlinear Least-Squares Exponential Fit Example</title>
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<a name="Nonlinear-Least_002dSquares-Exponential-Fit-Example"></a>
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<p>
Next: <a href="Nonlinear-Least_002dSquares-Geodesic-Acceleration-Example.html#Nonlinear-Least_002dSquares-Geodesic-Acceleration-Example" accesskey="n" rel="next">Nonlinear Least-Squares Geodesic Acceleration Example</a>, Up: <a href="Nonlinear-Least_002dSquares-Examples.html#Nonlinear-Least_002dSquares-Examples" accesskey="u" rel="up">Nonlinear Least-Squares Examples</a> [<a href="Function-Index.html#Function-Index" title="Index" rel="index">Index</a>]</p>
</div>
<hr>
<a name="Exponential-Fitting-Example"></a>
<h4 class="subsection">39.12.1 Exponential Fitting Example</h4>
<p>The following example program fits a weighted exponential model with
background to experimental data, <em>Y = A \exp(-\lambda t) + b</em>. The
first part of the program sets up the functions <code>expb_f</code> and
<code>expb_df</code> to calculate the model and its Jacobian. The appropriate
fitting function is given by,
</p>
<div class="example">
<pre class="example">f_i = (A \exp(-\lambda t_i) + b) - y_i
</pre></div>
<p>where we have chosen <em>t_i = i</em>. The Jacobian matrix <em>J</em> is
the derivative of these functions with respect to the three parameters
(<em>A</em>, <em>\lambda</em>, <em>b</em>). It is given by,
</p>
<div class="example">
<pre class="example">J_{ij} = d f_i / d x_j
</pre></div>
<p>where <em>x_0 = A</em>, <em>x_1 = \lambda</em> and <em>x_2 = b</em>.
The <em>i</em>th row of the Jacobian is therefore
</p>
<p>The main part of the program sets up a Levenberg-Marquardt solver and
some simulated random data. The data uses the known parameters
(5.0,0.1,1.0) combined with Gaussian noise (standard deviation = 0.1)
over a range of 40 timesteps. The initial guess for the parameters is
chosen as (1.0, 1.0, 0.0). The iteration terminates when the relative
change in x is smaller than <em>10^{-8}</em>, or when the magnitude of
the gradient falls below <em>10^{-8}</em>. Here are the results of running
the program:
</p>
<div class="smallexample">
<pre class="smallexample">iter 0: A = 1.0000, lambda = 1.0000, b = 0.0000, cond(J) = inf, |f(x)| = 62.2029
iter 1: A = 1.2196, lambda = 0.3663, b = 0.0436, cond(J) = 53.6368, |f(x)| = 59.8062
iter 2: A = 1.6062, lambda = 0.1506, b = 0.1054, cond(J) = 23.8178, |f(x)| = 53.9039
iter 3: A = 2.4528, lambda = 0.0583, b = 0.2470, cond(J) = 20.0493, |f(x)| = 28.8039
iter 4: A = 2.9723, lambda = 0.0494, b = 0.3727, cond(J) = 94.5601, |f(x)| = 15.3252
iter 5: A = 3.3473, lambda = 0.0477, b = 0.4410, cond(J) = 229.3627, |f(x)| = 10.7511
iter 6: A = 3.6690, lambda = 0.0508, b = 0.4617, cond(J) = 298.3589, |f(x)| = 9.7373
iter 7: A = 3.9907, lambda = 0.0580, b = 0.5433, cond(J) = 250.0194, |f(x)| = 8.7661
iter 8: A = 4.2353, lambda = 0.0731, b = 0.7989, cond(J) = 154.8571, |f(x)| = 7.4299
iter 9: A = 4.6573, lambda = 0.0958, b = 1.0302, cond(J) = 140.2265, |f(x)| = 6.1893
iter 10: A = 5.0138, lambda = 0.1060, b = 1.0329, cond(J) = 109.4141, |f(x)| = 5.4961
iter 11: A = 5.1505, lambda = 0.1103, b = 1.0497, cond(J) = 100.8762, |f(x)| = 5.4552
iter 12: A = 5.1724, lambda = 0.1110, b = 1.0526, cond(J) = 97.3403, |f(x)| = 5.4542
iter 13: A = 5.1737, lambda = 0.1110, b = 1.0528, cond(J) = 96.7136, |f(x)| = 5.4542
iter 14: A = 5.1738, lambda = 0.1110, b = 1.0528, cond(J) = 96.6678, |f(x)| = 5.4542
iter 15: A = 5.1738, lambda = 0.1110, b = 1.0528, cond(J) = 96.6663, |f(x)| = 5.4542
iter 16: A = 5.1738, lambda = 0.1110, b = 1.0528, cond(J) = 96.6663, |f(x)| = 5.4542
summary from method 'trust-region/levenberg-marquardt'
number of iterations: 16
function evaluations: 23
Jacobian evaluations: 17
reason for stopping: small step size
initial |f(x)| = 62.202928
final |f(x)| = 5.454180
chisq/dof = 0.804002
A = 5.17379 +/- 0.27938
lambda = 0.11104 +/- 0.00817
b = 1.05283 +/- 0.05365
status = success
</pre></div>
<p>The approximate values of the parameters are found correctly, and the
chi-squared value indicates a good fit (the chi-squared per degree of
freedom is approximately 1). In this case the errors on the parameters
can be estimated from the square roots of the diagonal elements of the
covariance matrix. If the chi-squared value shows a poor fit (i.e.
<em>chi^2/dof >> 1</em>) then the error estimates obtained from the
covariance matrix will be too small. In the example program the error estimates
are multiplied by <em>\sqrt{\chi^2/dof}</em> in this case, a common way of increasing the
errors for a poor fit. Note that a poor fit will result from the use
of an inappropriate model, and the scaled error estimates may then
be outside the range of validity for Gaussian errors.
</p>
<p>Additionally, we see that the condition number of <em>J(x)</em> stays
reasonably small throughout the iteration. This indicates we could
safely switch to the Cholesky solver for speed improvement,
although this particular system is too small to really benefit.
</p>
<div class="example">
<pre class="verbatim">#include <stdlib.h>
#include <stdio.h>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_randist.h>
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_vector.h>
#include <gsl/gsl_blas.h>
#include <gsl/gsl_multifit_nlinear.h>
/* number of data points to fit */
#define N 40
struct data {
size_t n;
double * y;
};
int
expb_f (const gsl_vector * x, void *data,
gsl_vector * f)
{
size_t n = ((struct data *)data)->n;
double *y = ((struct data *)data)->y;
double A = gsl_vector_get (x, 0);
double lambda = gsl_vector_get (x, 1);
double b = gsl_vector_get (x, 2);
size_t i;
for (i = 0; i < n; i++)
{
/* Model Yi = A * exp(-lambda * i) + b */
double t = i;
double Yi = A * exp (-lambda * t) + b;
gsl_vector_set (f, i, Yi - y[i]);
}
return GSL_SUCCESS;
}
int
expb_df (const gsl_vector * x, void *data,
gsl_matrix * J)
{
size_t n = ((struct data *)data)->n;
double A = gsl_vector_get (x, 0);
double lambda = gsl_vector_get (x, 1);
size_t i;
for (i = 0; i < n; i++)
{
/* Jacobian matrix J(i,j) = dfi / dxj, */
/* where fi = (Yi - yi)/sigma[i], */
/* Yi = A * exp(-lambda * i) + b */
/* and the xj are the parameters (A,lambda,b) */
double t = i;
double e = exp(-lambda * t);
gsl_matrix_set (J, i, 0, e);
gsl_matrix_set (J, i, 1, -t * A * e);
gsl_matrix_set (J, i, 2, 1.0);
}
return GSL_SUCCESS;
}
void
callback(const size_t iter, void *params,
const gsl_multifit_nlinear_workspace *w)
{
gsl_vector *f = gsl_multifit_nlinear_residual(w);
gsl_vector *x = gsl_multifit_nlinear_position(w);
double rcond;
/* compute reciprocal condition number of J(x) */
gsl_multifit_nlinear_rcond(&rcond, w);
fprintf(stderr, "iter %2zu: A = %.4f, lambda = %.4f, b = %.4f, cond(J) = %8.4f, |f(x)| = %.4f\n",
iter,
gsl_vector_get(x, 0),
gsl_vector_get(x, 1),
gsl_vector_get(x, 2),
1.0 / rcond,
gsl_blas_dnrm2(f));
}
int
main (void)
{
const gsl_multifit_nlinear_type *T = gsl_multifit_nlinear_trust;
gsl_multifit_nlinear_workspace *w;
gsl_multifit_nlinear_fdf fdf;
gsl_multifit_nlinear_parameters fdf_params =
gsl_multifit_nlinear_default_parameters();
const size_t n = N;
const size_t p = 3;
gsl_vector *f;
gsl_matrix *J;
gsl_matrix *covar = gsl_matrix_alloc (p, p);
double y[N], weights[N];
struct data d = { n, y };
double x_init[3] = { 1.0, 1.0, 0.0 }; /* starting values */
gsl_vector_view x = gsl_vector_view_array (x_init, p);
gsl_vector_view wts = gsl_vector_view_array(weights, n);
gsl_rng * r;
double chisq, chisq0;
int status, info;
size_t i;
const double xtol = 1e-8;
const double gtol = 1e-8;
const double ftol = 0.0;
gsl_rng_env_setup();
r = gsl_rng_alloc(gsl_rng_default);
/* define the function to be minimized */
fdf.f = expb_f;
fdf.df = expb_df; /* set to NULL for finite-difference Jacobian */
fdf.fvv = NULL; /* not using geodesic acceleration */
fdf.n = n;
fdf.p = p;
fdf.params = &d;
/* this is the data to be fitted */
for (i = 0; i < n; i++)
{
double t = i;
double yi = 1.0 + 5 * exp (-0.1 * t);
double si = 0.1 * yi;
double dy = gsl_ran_gaussian(r, si);
weights[i] = 1.0 / (si * si);
y[i] = yi + dy;
printf ("data: %zu %g %g\n", i, y[i], si);
};
/* allocate workspace with default parameters */
w = gsl_multifit_nlinear_alloc (T, &fdf_params, n, p);
/* initialize solver with starting point and weights */
gsl_multifit_nlinear_winit (&x.vector, &wts.vector, &fdf, w);
/* compute initial cost function */
f = gsl_multifit_nlinear_residual(w);
gsl_blas_ddot(f, f, &chisq0);
/* solve the system with a maximum of 20 iterations */
status = gsl_multifit_nlinear_driver(20, xtol, gtol, ftol,
callback, NULL, &info, w);
/* compute covariance of best fit parameters */
J = gsl_multifit_nlinear_jac(w);
gsl_multifit_nlinear_covar (J, 0.0, covar);
/* compute final cost */
gsl_blas_ddot(f, f, &chisq);
#define FIT(i) gsl_vector_get(w->x, i)
#define ERR(i) sqrt(gsl_matrix_get(covar,i,i))
fprintf(stderr, "summary from method '%s/%s'\n",
gsl_multifit_nlinear_name(w),
gsl_multifit_nlinear_trs_name(w));
fprintf(stderr, "number of iterations: %zu\n",
gsl_multifit_nlinear_niter(w));
fprintf(stderr, "function evaluations: %zu\n", fdf.nevalf);
fprintf(stderr, "Jacobian evaluations: %zu\n", fdf.nevaldf);
fprintf(stderr, "reason for stopping: %s\n",
(info == 1) ? "small step size" : "small gradient");
fprintf(stderr, "initial |f(x)| = %f\n", sqrt(chisq0));
fprintf(stderr, "final |f(x)| = %f\n", sqrt(chisq));
{
double dof = n - p;
double c = GSL_MAX_DBL(1, sqrt(chisq / dof));
fprintf(stderr, "chisq/dof = %g\n", chisq / dof);
fprintf (stderr, "A = %.5f +/- %.5f\n", FIT(0), c*ERR(0));
fprintf (stderr, "lambda = %.5f +/- %.5f\n", FIT(1), c*ERR(1));
fprintf (stderr, "b = %.5f +/- %.5f\n", FIT(2), c*ERR(2));
}
fprintf (stderr, "status = %s\n", gsl_strerror (status));
gsl_multifit_nlinear_free (w);
gsl_matrix_free (covar);
gsl_rng_free (r);
return 0;
}
</pre></div>
<hr>
<div class="header">
<p>
Next: <a href="Nonlinear-Least_002dSquares-Geodesic-Acceleration-Example.html#Nonlinear-Least_002dSquares-Geodesic-Acceleration-Example" accesskey="n" rel="next">Nonlinear Least-Squares Geodesic Acceleration Example</a>, Up: <a href="Nonlinear-Least_002dSquares-Examples.html#Nonlinear-Least_002dSquares-Examples" accesskey="u" rel="up">Nonlinear Least-Squares Examples</a> [<a href="Function-Index.html#Function-Index" title="Index" rel="index">Index</a>]</p>
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