The LsqFit package is a small library that provides basic least-squares fitting in pure Julia under an MIT license. The basic functionality was originaly in Optim.jl, before being separated into this library. At this time, `LsqFit`

only utilizes the Levenberg-Marquardt algorithm for non-linear fitting.

There are top-level methods `curve_fit()`

and `estimate_errors()`

that are useful for fitting data to non-linear models. See the following example. Let's first define the model function:

```
using LsqFit
# a two-parameter exponential model
# x: array of independent variables
# p: array of model parameters
# model(x, p) will accept the full data set as the first argument `x`.
# This means that we need to write our model function so it applies
# the model to the full dataset. We use `@.` to apply the calculations
# across all rows.
@. model(x, p) = p[1]*exp(-x*p[2])
```

The function applies the per observation function `p[1]*exp(-x[i]*p[2])`

to the full dataset in `x`

, with `i`

denoting an observation row. We simulate some data and chose our "true" parameters.

```
# some example data
# xdata: independent variables
# ydata: dependent variable
xdata = range(0, stop=10, length=20)
ydata = model(xdata, [1.0 2.0]) + 0.01*randn(length(xdata))
p0 = [0.5, 0.5]
```

Now, we're ready to fit the model.

```
fit = curve_fit(model, xdata, ydata, p0)
# fit is a composite type (LsqFitResult), with some interesting values:
# dof(fit): degrees of freedom
# coef(fit): best fit parameters
# fit.resid: residuals = vector of residuals
# fit.jacobian: estimated Jacobian at solution
lb = [1.1, -0.5]
ub = [1.9, Inf]
# Optional upper and/or lower bounds on the free parameters can be passed as an argument.
# Bounded and unbouded variables can be mixed by setting `-Inf` if no lower bounds
# is to be enforced for that variable and similarly for `+Inf`
fit_bounds = curve_fit(model, xdata, ydata, p0, lower=lb, upper=ub)
# We can estimate errors on the fit parameters,
# to get standard error of each parameter:
sigma = stderror(fit)
# to get margin of error and confidence interval of each parameter at 5% significance level:
margin_of_error = margin_error(fit, 0.05)
confidence_inter = confidence_interval(fit, 0.05)
# The finite difference method is used above to approximate the Jacobian.
# Alternatively, a function which calculates it exactly can be supplied instead.
function jacobian_model(x,p)
J = Array{Float64}(undef, length(x),length(p))
J[:,1] = exp.(-x.*p[2]) #dmodel/dp[1]
J[:,2] = -x.*p[1].*J[:,1] #dmodel/dp[2]
J
end
fit = curve_fit(model, jacobian_model, xdata, ydata, p0)
```

There's nothing inherently different if there are more than one variable entering the problem. We just need to specify the columns appropriately in our model specification:

```
@. multimodel(x, p) = p[1]*exp(-x[:, 1]*p[2]+x[:, 2]*p[3])
```

The default is to calculate the Jacobian using a central finite differences scheme if no Jacobian function is provided. The defaul is to use central differences because it can be more accurate than forward finite differences, but at the expense of computational cost. It is also possible to use forward mode automatic differentiation as implemented in ForwardDiff.jl by using the `autodiff=:forwarddiff`

keyword.

```
fit = curve_fit(model, xdata, ydata, p0; autodiff=:forwarddiff)
```

`fit = curve_fit(model, [jacobian], x, y, [w,] p0; kwargs...)`

:

`model`

: function that takes two arguments (x, params)`jacobian`

: (optional) function that returns the Jacobian matrix of`model`

`x`

: the independent variable`y`

: the dependent variable that constrains`model`

`w`

: (optional) weight applied to the residual; can be a vector (of`length(x)`

size or empty) or matrix (inverse covariance matrix)`p0`

: initial guess of the model parameters`kwargs`

: tuning parameters for fitting, passed to`levenberg_marquardt`

, such as`maxIter`

,`show_trace`

or`lower`

and`upper`

bounds`fit`

: composite type of results (`LsqFitResult`

)

This performs a fit using a non-linear iteration to minimize the (weighted) residual between the model and the dependent variable data (`y`

). The weight (`w`

) can be neglected (as per the example) to perform an unweighted fit. An unweighted fit is the numerical equivalent of `w=1`

for each point (although unweighted error estimates are handled differently from weighted error estimates even when the weights are uniform).

`sigma = stderror(fit; atol, rtol)`

:

`fit`

: result of curve_fit (a`LsqFitResult`

type)`atol`

: absolute tolerance for negativity check`rtol`

: relative tolerance for negativity check

This returns the error or uncertainty of each parameter fit to the model and already scaled by the associated degrees of freedom. Please note, this is a LOCAL quantity calculated from the jacobian of the model evaluated at the best fit point and NOT the result of a parameter exploration.

If no weights are provided for the fits, the variance is estimated from the mean squared error of the fits. If weights are provided, the weights are assumed to be the inverse of the variances or of the covariance matrix, and errors are estimated based on these and the jacobian, assuming a linearization of the model around the minimum squared error point.

`margin_of_error = margin_error(fit, alpha=0.05; atol, rtol)`

:

`fit`

: result of curve_fit (a`LsqFitResult`

type)`alpha`

: significance level`atol`

: absolute tolerance for negativity check`rtol`

: relative tolerance for negativity check

This returns the product of standard error and critical value of each parameter at `alpha`

significance level.

`confidence_interval = confidence_interval(fit, alpha=0.05; atol, rtol)`

:

`fit`

: result of curve_fit (a`LsqFitResult`

type)`alpha`

: significance level`atol`

: absolute tolerance for negativity check`rtol`

: relative tolerance for negativity check

This returns confidence interval of each parameter at `alpha`

significance level.

`covar = estimate_covar(fit)`

:

`fit`

: result of curve_fit (a`LsqFitResult`

type)`covar`

: parameter covariance matrix calculated from the jacobian of the model at the fit point, using the weights (if specified) as the inverse covariance of observations

This returns the parameter covariance matrix evaluted at the best fit point.

05/31/2014

5 days ago

261 commits