static GeneralizedLeastSquareTest()
{
SIN_FUNCTIONS = new List <>();
for (int i = 0; i < WEIGHTS.Length; i++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int k = i;
int k = i;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.function.Function<double, double> func = new java.util.function.Function<double, double>()
System.Func <double, double> func = (final double?x) =>
{
return(Math.Sin((2 * k + 1) * x));
};
SIN_FUNCTIONS.Add(func);
}
TEST_FUNCTION = new BasisFunctionAggregation <>(SIN_FUNCTIONS, WEIGHTS);
VECTOR_TRIG_FUNCTIONS = new List <>();
for (int i = 0; i < WEIGHTS.Length; i++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int k = i;
int k = i;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.function.Function<com.opengamma.strata.collect.array.DoubleArray, double> func = new java.util.function.Function<com.opengamma.strata.collect.array.DoubleArray, double>()
System.Func <DoubleArray, double> func = (final DoubleArray x) =>
{
ArgChecker.isTrue(x.size() == 2);
return(Math.Sin((2 * k + 1) * x.get(0)) * Math.Cos((2 * k + 1) * x.get(1)));
};
VECTOR_TRIG_FUNCTIONS.Add(func);
}
VECTOR_TEST_FUNCTION = new BasisFunctionAggregation <>(VECTOR_TRIG_FUNCTIONS, WEIGHTS);
SIN_EXP_FUNCTION = (final double[] x) =>
{
return(Math.Sin(Math.PI * x[0] / 10.0) * Math.Exp(-x[1] / 5.0));
};
const int n = 10;
X = new double?[n];
Y = new double[n];
SIGMA = new double[n];
X_TRIG = new List <>();
Y_TRIG = new List <>();
SIGMA_TRIG = new List <>();
for (int i = 0; i < n; i++)
{
X[i] = i / 5.0;
Y[i] = TEST_FUNCTION.apply(X[i]);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] temp = new double[2];
double[] temp = new double[2];
temp[0] = 2.0 * RANDOM.NextDouble();
temp[1] = 2.0 * RANDOM.NextDouble();
X_TRIG.Add(DoubleArray.copyOf(temp));
Y_TRIG.Add(VECTOR_TEST_FUNCTION.apply(X_TRIG[i]));
SIGMA[i] = 0.01;
SIGMA_TRIG.Add(0.01);
}
SIGMA_COS_EXP = new List <>();
X_SIN_EXP = new List <>();
Y_SIN_EXP = new List <>();
for (int i = 0; i < 20; i++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] temp = new double[2];
double[] temp = new double[2];
temp[0] = 10.0 * RANDOM.NextDouble();
temp[1] = 10.0 * RANDOM.NextDouble();
X_SIN_EXP.Add(temp);
Y_SIN_EXP.Add(SIN_EXP_FUNCTION.apply(X_SIN_EXP[i]));
SIGMA_COS_EXP.Add(0.01);
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.BasisFunctionGenerator generator = new com.opengamma.strata.math.impl.interpolation.BasisFunctionGenerator();
BasisFunctionGenerator generator = new BasisFunctionGenerator();
BASIS_FUNCTIONS = generator.generateSet(BasisFunctionKnots.fromUniform(0.0, 2.0, 20, 3));
BasisFunctionKnots[] knots = new BasisFunctionKnots[2];
knots[0] = BasisFunctionKnots.fromUniform(0, 10, 10, 3);
knots[1] = BasisFunctionKnots.fromUniform(0, 10, 10, 3);
BASIS_FUNCTIONS_2D = generator.generateSet(knots);
}
public virtual void testPSplineFit2()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.BasisFunctionGenerator generator = new com.opengamma.strata.math.impl.interpolation.BasisFunctionGenerator();
BasisFunctionGenerator generator = new BasisFunctionGenerator();
IList <System.Func <double, double> > basisFuncs = generator.generateSet(BasisFunctionKnots.fromUniform(0, 12, 100, 3));
IList <System.Func <double, double> > basisFuncsLog = generator.generateSet(BasisFunctionKnots.fromUniform(-5, 3, 100, 3));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final GeneralizedLeastSquare gls = new GeneralizedLeastSquare();
GeneralizedLeastSquare gls = new GeneralizedLeastSquare();
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] xData = new double[] {7.0 / 365, 14 / 365.0, 21 / 365.0, 1 / 12.0, 3 / 12.0, 0.5, 0.75, 1, 5, 10 };
double[] xData = new double[] { 7.0 / 365, 14 / 365.0, 21 / 365.0, 1 / 12.0, 3 / 12.0, 0.5, 0.75, 1, 5, 10 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] yData = new double[] {0.972452371, 0.749039802, 0.759792085, 0.714206462, 0.604446956, 0.517955313, 0.474807307, 0.443532132, 0.2404755, 0.197128583};
double[] yData = new double[] { 0.972452371, 0.749039802, 0.759792085, 0.714206462, 0.604446956, 0.517955313, 0.474807307, 0.443532132, 0.2404755, 0.197128583 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int n = xData.length;
int n = xData.Length;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] lnX = new double[n];
double[] lnX = new double[n];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] yData2 = new double[n];
double[] yData2 = new double[n];
for (int i = 0; i < n; i++)
{
lnX[i] = Math.Log(xData[i]);
yData2[i] = yData[i] * yData[i] * xData[i];
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] sigma = new double[n];
double[] sigma = new double[n];
Arrays.fill(sigma, 0.01);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final GeneralizedLeastSquareResults<double> results = gls.solve(xData, yData, sigma, basisFuncs, 1000.0, 2);
GeneralizedLeastSquareResults <double> results = gls.solve(xData, yData, sigma, basisFuncs, 1000.0, 2);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.function.Function<double, double> spline = results.getFunction();
System.Func <double, double> spline = results.Function;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final GeneralizedLeastSquareResults<double> resultsLog = gls.solve(lnX, yData, sigma, basisFuncsLog, 1000.0, 2);
GeneralizedLeastSquareResults <double> resultsLog = gls.solve(lnX, yData, sigma, basisFuncsLog, 1000.0, 2);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.function.Function<double, double> splineLog = resultsLog.getFunction();
System.Func <double, double> splineLog = resultsLog.Function;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final GeneralizedLeastSquareResults<double> resultsVar = gls.solve(xData, yData2, sigma, basisFuncs, 1000.0, 2);
GeneralizedLeastSquareResults <double> resultsVar = gls.solve(xData, yData2, sigma, basisFuncs, 1000.0, 2);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.function.Function<double, double> splineVar = resultsVar.getFunction();
System.Func <double, double> splineVar = resultsVar.Function;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final GeneralizedLeastSquareResults<double> resultsVarLog = gls.solve(lnX, yData2, sigma, basisFuncsLog, 1000.0, 2);
GeneralizedLeastSquareResults <double> resultsVarLog = gls.solve(lnX, yData2, sigma, basisFuncsLog, 1000.0, 2);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.function.Function<double, double> splineVarLog = resultsVarLog.getFunction();
System.Func <double, double> splineVarLog = resultsVarLog.Function;
if (PRINT)
{
Console.WriteLine("Chi^2:\t" + results.ChiSq);
Console.WriteLine("weights:\t" + results.FitParameters);
for (int i = 0; i < 101; i++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double logX = -5 + 8 * i / 100.0;
double logX = -5 + 8 * i / 100.0;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double x = Math.exp(logX);
double x = Math.Exp(logX);
Console.WriteLine(x + "\t" + +logX + "\t" + spline(x) + "\t" + splineLog(logX) + "\t" + splineVar(x) + "\t" + splineVarLog(logX));
}
for (int i = 0; i < n; i++)
{
Console.WriteLine(lnX[i] + "\t" + yData[i]);
}
}
}