StatTools.cs

How to use TMtxNonLinReg component?

1. Drop a crefTMtxNonLinReg component on the form.
2. Define crefX the vector of independent variables.
3. Define crefY the vector of dependent variables. Make sure that X and Y have the same length.
4. Define initial estimates for crefB regression parameters.
5. (Optionaly) define crefWeights. If you'll use weights, set crefUseWeights property to true.
6. Define regression function.
7. (Optionally) define the derivative procedure. If you don't define derivative procedure then the numeric approximation will be used to calculate the derivative at specific point.
8. Define the optimization method. Depending on your function different methods will give better/worse results.
9. (Optionally) define desired tolerance for result.
10. Define the maximum number of steps for optimization method. Internal optimization method will stop when number of iterations exceeds MaxIter or internal minimum precision is within Tolerance.
11. Verbose property, if assigned, stores Fun, evaluated at each iteration step. Optionally, you can also assign crefTOptControl object to the Verbose property. This allows the optimization procedure to be interrupted from another thread and optionally also allows logging and iteration count monitoring.

In case of performance problems consider using TMtxMultiNonLinReg. That component internally performs vectorized optimization process. It can also be used to speed-up nonlinear regression with only one independent variable by 10-20x.  

Results:  

1. crefB : Regression coefficients estimates.
2. crefYCalc : Fitted Y values.

In the following example we use the TMtxNonLinReg component to fit generated data to non-linear function B[0]/Power((1.0 + Exp(B[1]-B[2]*X)),1/B[3]). In this example exact derivate procedure is not used - algorithm uses numerical derivatives:

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