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Extended Parmest Capability for weighted SSE objective #3535

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slilonfe5
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Fixes # .

Summary/Motivation:

Currently, the Parmest SSE objective does not support measurements in different units. This work adds a new capability (i.e., weighted SSE) to Parmest to handle measurements in different units.

Changes proposed in this PR:

  • Added a new weighted SSE calculation
  • Added a new covariance matrix calculation for the weighted SSE objective

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  1. I agree my contributions are submitted under the BSD license.
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@adowling2 @djlaky

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@slilonfe5 Here is some quick feedback

compute_jacobian function

  • Make this a private method by adding _ to the function name
  • Add as an argument to the function relative_perturbation
  • In the document string, explain this is using forward (?) finite difference
  • Add as an argument the solver object. You can make the default Ipopt.

Feedback on the compute_FIM method:

  • Add relative_tolerance and solver as arguments
  • Also add a check that error_list must be the same length as y_hat_list
  • Add a debugging step for the linear algebra error, compute the condition number of the Jacobian matrix and print it out
  • Why would you ever get a linear algebra error for just matrix multiplication? Is this check even needed?

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slilonfe5 commented Apr 19, 2025

@adowling2 @djlaky I also updated the calculation for the normal SSE such that we can use the user-supplied measurement error if defined; otherwise, we calculate the measurement error as usual.

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Nice progress. I think it is time to start writing tests for the new capabilities.

cov = pd.DataFrame(
cov, index=thetavals.keys(), columns=thetavals.keys()
)
# elif self.obj_function == 'SSE_weighted':
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Remove this commented out code?

cov = pd.DataFrame(
cov, index=thetavals.keys(), columns=thetavals.keys()
)
if self.obj_function == 'SSE': # covariance calculation for measurements in the same unit
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Are you adding the same code in two places? If so, can we streamline this into a function to avoid duplicate code?

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@slilonfe5 Once you have the tests ready, tag us for feedback. Also, I think you can skip adding this to the depreciated class.

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2 participants