/// <summary>
/// Solve using a user supplied NonLinearParameterTransforms.
/// <para>
/// This returns <seealso cref="LeastSquareResults"/>.
///
/// </para>
/// </summary>
/// <param name="start"> the first guess at the parameter values </param>
/// <param name="transform"> transform from model parameters to fitting parameters, and vice versa </param>
/// <returns> the calibration results </returns>
public virtual LeastSquareResultsWithTransform solve(DoubleArray start, NonLinearParameterTransforms transform)
{
NonLinearTransformFunction transFunc = new NonLinearTransformFunction(volFunc, volAdjointFunc, transform);
LeastSquareResults solRes = SOLVER.solve(marketValues, errors, transFunc.FittingFunction, transFunc.FittingJacobian, transform.transform(start), getConstraintFunction(transform), MaximumStep);
return(new LeastSquareResultsWithTransform(solRes, transform));
}
public NonLinearTransformFunction(System.Func <DoubleArray, DoubleArray> func, System.Func <DoubleArray, DoubleMatrix> jac, NonLinearParameterTransforms transform)
{
_transform = transform;
_func = new FuncAnonymousInnerClass(this, func);
_jac = new FuncAnonymousInnerClass2(this, jac);
}
public virtual void testExactFitWithTransform()
{
double[] start = new double[] { 0.01, 0.99, 0.9, 0.4 };
NonLinearParameterTransforms transf = _fitter.getTransform(DoubleArray.copyOf(start));
LeastSquareResultsWithTransform results = _fitter.solve(DoubleArray.copyOf(start), transf);
double[] res = results.ModelParameters.toArray();
double eps = 1e-6;
assertEquals(ALPHA, res[0], eps);
assertEquals(BETA, res[1], eps);
assertEquals(RHO, res[2], eps);
assertEquals(NU, res[3], eps);
assertEquals(0.0, results.ChiSq, eps);
}
/// <summary>
/// Obtains the constraint function.
/// <para>
/// This is defaulted to be "unconstrained".
///
/// </para>
/// </summary>
/// <param name="t"> the nonlinear transformation </param>
/// <returns> the constraint function </returns>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: protected java.util.function.Function<com.opengamma.strata.collect.array.DoubleArray, bool> getConstraintFunction(@SuppressWarnings("unused") final com.opengamma.strata.math.impl.minimization.NonLinearParameterTransforms t)
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
protected internal virtual System.Func <DoubleArray, bool> getConstraintFunction(NonLinearParameterTransforms t)
{
return(UNCONSTRAINED);
}
/// <summary>
/// Solve using the default NonLinearParameterTransforms for the concrete implementation with some parameters fixed
/// to their initial values (indicated by fixed).
/// <para>
/// This returns <seealso cref="LeastSquareResults"/>.
///
/// </para>
/// </summary>
/// <param name="start"> the first guess at the parameter values </param>
/// <param name="fixed"> the parameters are fixed </param>
/// <returns> the calibration results </returns>
public virtual LeastSquareResultsWithTransform solve(DoubleArray start, BitArray @fixed)
{
NonLinearParameterTransforms transform = getTransform(start, @fixed);
return(solve(start, transform));
}
