VB Weighted Least Squares Example

Imports System

Imports CenterSpace.NMath.Core


Namespace CenterSpace.NMath.Examples.VisualBasic

  A .NET example in Visual Basic demonstrating the features of the classes for solving weighted least squares problems.
  Module WeightedLeastSquaresExample

    Sub Main()

      Construct some test data.
      Dim A As New DoubleMatrix("5x2[1 2  1 3  1 6  1 10  1 7]")
      Dim B As New DoubleVector("[ 3 6 8 10 11]")

      Constructs some arbitrary weights. Observations are given 
      increasingly higher weights.
      Dim Weights As New DoubleVector(A.Rows, 0.2, 0.2)

      Console.WriteLine()
      Console.WriteLine("Solving weighted least squares problem, Ax = b ")
      Console.WriteLine()
      Console.WriteLine("with A = ")
      Console.WriteLine(A.ToTabDelimited())
      Console.WriteLine("and b = " & B.ToString())
      Console.WriteLine()
      Console.WriteLine("with weights = " & Weights.ToString())
      Console.WriteLine()

      Construct a weighted least squares object and solve the problem. The third
      parameter says do not prepend a column of ones to the input matrix A (the
      column of ones represents a constant term in the model) as the first column
      of A is already ones.
      Dim WLS As New DoubleCOWeightedLeastSq(A, Weights, False)
      Dim Solution As DoubleVector = WLS.Solve(B)
      Console.WriteLine("Solution = " & Solution.ToString("G5"))
      Console.WriteLine("Residuals = " & WLS.ResidualVector(B).ToString("G5"))

      Construct a random problem, obtain an ordinary least squares solution,
      then use the resulting residuals to solve the same problem using a
      weighted least squares - downweighting the outliers.
      Dim RNG As New RandGenUniform(-1, 2, 24)
      Dim Rows As Integer = 10
      Dim Cols As Integer = 3
      A = New DoubleMatrix(Rows, Cols, RNG)
      B = New DoubleVector(Rows, RNG)

      Ordinary Least Squares (OLS):
      Dim Ols As New DoubleQRLeastSq()
      Ols.Factor(A)
      Dim OlsSolution As DoubleVector = Ols.Solve(B)
      Dim Residuals As DoubleVector = Ols.ResidualVector(B)
      Console.WriteLine()
      Console.WriteLine("OLS solution = " & OlsSolution.ToString("G5"))

      Now, construct a Bisquare weighting function object
      // and use it to compute weights:
      Dim WeightingFunction As New DoubleBisquareWeightingFunction(A)
      WeightingFunction.GetWeights(Residuals, Weights)

      Perform the factorization with the input matrix and weights. Once the factorization is
      done we can use the weighted least squares to quickly solve for different right hand
      sides. The third parameter to the Factor method indicates that we want a column of 
      ones prepended to the input matrix A representing a constant term in the model.
      WLS.Factor(A, Weights, True)

      Now solve the weighted least squares problem.
      Dim WlsSolution1 As DoubleVector = WLS.Solve(B)
      Console.WriteLine("WLS solution = " & WlsSolution1.ToString("G5"))

      Solve with a different right hand side.
      Dim C As New DoubleVector(Rows, RNG)
      Dim WlsSolution2 As DoubleVector = WLS.Solve(C)
      Console.WriteLine("WLS solution 2 = " & WlsSolution2.ToString("G5"))

      Console.WriteLine()
      Console.WriteLine("Press Enter Key")
      Console.Read()
    End Sub
  End Module
End Namespace