private void EvaluateCovariance(IObjectiveModel objective)
{
objective.EvaluateAt(objective.Point); // Hessian may be not yet updated.
var Hessian = objective.Hessian;
if (Hessian == null || objective.DegreeOfFreedom < 1)
{
Covariance = null;
Correlation = null;
StandardErrors = null;
return;
}
Covariance = Hessian.PseudoInverse() * objective.Value / objective.DegreeOfFreedom;
if (Covariance != null)
{
StandardErrors = Covariance.Diagonal().PointwiseSqrt();
var correlation = Covariance.Clone();
var d = correlation.Diagonal().PointwiseSqrt();
var dd = d.OuterProduct(d);
Correlation = correlation.PointwiseDivide(dd);
}
else
{
StandardErrors = null;
Correlation = null;
}
}
protected double EvaluateFunction(IObjectiveModel objective, Vector <double> Pint)
{
var Pext = ProjectToExternalParameters(Pint);
objective.EvaluateAt(Pext);
return(objective.Value);
}