LeastSqFitter1d.h

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// -*- LSST-C++ -*-

/* 
 * LSST Data Management System
 * Copyright 2008, 2009, 2010 LSST Corporation.
 * 
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#ifndef LEAST_SQ_FITTER_1D
#define LEAST_SQ_FITTER_1D

#include <cstdio>
#include <vector>

#include "boost/shared_ptr.hpp"
#include "Eigen/Core"
#include "Eigen/SVD"

#include "lsst/pex/exceptions/Runtime.h"
#include "lsst/pex/logging/Trace.h"
#include "lsst/afw/math/FunctionLibrary.h"

namespace except = lsst::pex::exceptions;
namespace pexLogging = lsst::pex::logging;


namespace lsst { 
namespace meas { 
namespace astrom { 
namespace sip {

template <class FittingFunc>class LeastSqFitter1d {
public:
    LeastSqFitter1d(const std::vector<double> &x, const std::vector<double> &y, 
                    const std::vector<double> &s,  
                    unsigned int order);

    Eigen::VectorXd getParams();
    Eigen::VectorXd getErrors();
    FittingFunc getBestFitFunction();
    double valueAt(double x);
    std::vector<double> residuals();
    
    double getChiSq();
    double getReducedChiSq();

    
private:
    void initFunctions();

    double func1d(double value, int exponent);
    
    std::vector<double> _x, _y, _s;
    int _order;   //Degree of polynomial to fit, e.g 4=> cubic
    int _nData;   //Number of data points, == _x.size()
    
    Eigen::JacobiSVD<Eigen::MatrixXd> _svd;
    Eigen::VectorXd _par;

    std::vector<boost::shared_ptr<FittingFunc> > _funcArray;
};

//The .cc part

template<class FittingFunc> LeastSqFitter1d<FittingFunc>::LeastSqFitter1d(const std::vector<double> &x, 
    const std::vector<double> &y, const std::vector<double> &s, unsigned int order) :
    _x(x), _y(y), _s(s), _order(order) {
    
    if (order == 0) {
        throw LSST_EXCEPT(except::RuntimeError, "Fit order must be >= 1");        
    }
    
    _nData = _x.size();
    if  (_nData != static_cast<int>(_y.size())) {
        throw LSST_EXCEPT(except::RuntimeError, "x and y vectors of different lengths");        
    }
    if (_nData != static_cast<int>(_s.size())) {
        throw LSST_EXCEPT(except::RuntimeError, "x and s vectors of different lengths");        
    }

    if (_nData < _order) {
        throw LSST_EXCEPT(except::RuntimeError, "Fewer data points than parameters");        
    }

    initFunctions();

    Eigen::MatrixXd design(_nData, _order);
    Eigen::VectorXd rhs(_nData);
    for (int i = 0; i < _nData; ++i) {
        rhs[i] = y[i] / _s[i];
        for (int j = 0; j < _order; ++j) {
            design(i, j) = func1d(_x[i], j) / _s[i];
        }
    }
    _svd.compute(design, Eigen::ComputeThinU | Eigen::ComputeThinV);
    _par = _svd.solve(rhs);
}
        


template<class FittingFunc> Eigen::VectorXd LeastSqFitter1d<FittingFunc>::getParams() {

    Eigen::VectorXd vec = Eigen::VectorXd::Zero(_order);
    for (int i = 0; i < _order; ++i) {
        vec(i) = _par(i);
    }
    return vec;
}


template<class FittingFunc> Eigen::VectorXd LeastSqFitter1d<FittingFunc>::getErrors() {
    Eigen::ArrayXd variance(_order);
    for (int i = 0; i < _order; ++i) {
        variance[i] = _svd.matrixV().row(i).dot(
            (_svd.singularValues().array().inverse().square() * _svd.matrixV().col(i).array()).matrix()
        );
    }
    return variance.sqrt().matrix();
}


template<class FittingFunc> FittingFunc LeastSqFitter1d<FittingFunc>::getBestFitFunction() {

    //FittingFunc and LeastSqFitter disagree on the definition of order of a function.
    //LSF says that a linear function is order 2 (two coefficients), FF says only 1
    FittingFunc func(_order - 1);

    for (int i = 0; i < _order; ++i) {
        func.setParameter(i, _par(i));
    }
    return func;
}


template<class FittingFunc> double LeastSqFitter1d<FittingFunc>::valueAt(double x) {
        FittingFunc f = getBestFitFunction();
        
        return f(x);
}



template<class FittingFunc>  std::vector<double> LeastSqFitter1d<FittingFunc>::residuals(){
    std::vector<double> out;
    out.reserve(_nData);
    
    FittingFunc f = getBestFitFunction();
    
    for (int i = 0; i < _nData; ++i) {
        out.push_back(_y[i] - f(_x[i]));
    }
    
    return out;
}


template<class FittingFunc> double LeastSqFitter1d<FittingFunc>::getChiSq() {
    FittingFunc f = getBestFitFunction();

    double chisq = 0;
    for (int i = 0; i < _nData; ++i) {
        double val = _y[i] - f(_x[i]);
        val /= _s[i];
        chisq += pow(val, 2);
    }

    return chisq;
}


template<class FittingFunc> double LeastSqFitter1d<FittingFunc>::getReducedChiSq() {
    return getChiSq()/(double) (_nData - _order);
}



template<class FittingFunc> void LeastSqFitter1d<FittingFunc>::initFunctions() {

    _funcArray.reserve(_order);
    
    std::vector<double> coeff;
    coeff.reserve( _order);
    
    coeff.push_back(1.0);
    for (int i = 0; i < _order; ++i) {
        boost::shared_ptr<FittingFunc> p(new FittingFunc(coeff));
        _funcArray.push_back(p);
        coeff[i] = 0.0;
        coeff.push_back(1.0);  //coeff now looks like [0,0,...,0,1]
    }
}
    
template<class FittingFunc> double LeastSqFitter1d<FittingFunc>::func1d(double value, int exponent) {
    return (*_funcArray[exponent])(value);
}

}}}}

#endif