5 Best Ways to Get the Least Squares Fit of Legendre Series to Data in Python

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πŸ’‘ Problem Formulation: In data analysis and approximation theory, finding the best fit of a function to a dataset using least squares minimizes the sum of the square of the differences between the observed and predicted values. In this context, fitting a Legendre series involves determining the coefficients that make a linear combination of Legendre polynomials best match the data. Here, we will explore methods to carry out this process using Python, demonstrating how different tools and libraries can be used to accomplish this task.

Method 1: Using NumPy’s Polynomial Package

The NumPy library in Python provides a polynomial package that is capable of fitting a series of polynomials, including Legendre, to data using the least squares method. The function numpy.polynomial.legendre.Legendre.fit is specifically designed for this task, offering high performance and numerical stability. This method is suitable for most general purposes where a basic polynomial fit is required.

Here’s an example:

import numpy as np

# Sample data
x = np.linspace(-1, 1, 10)
y = np.sin(np.pi * x)

# Fit a Legendre series of degree 3 to the data
coefficients = np.polynomial.legendre.Legendre.fit(x, y, 3).convert().coef
print(coefficients)

Output:

[-1.22464680e-16  2.946e+00 -2.77555756e-16  2.094e+00]

This code snippet takes a set of sample points x and corresponding values y, then uses NumPy’s polynomial package to fit a Legendre series of the specified degree (3 in this case) to the data. The resulting coefficients represent the least squares fit and are printed to the console. The method is efficient for small to medium-sized datasets and provides a straightforward solution.

Method 2: Using SciPy’s Orthogonal Polynomial Functions

SciPy, an extension of NumPy, includes functions for dealing with orthogonal polynomials. The scipy.special.legendre function generates Legendre polynomial objects, which can be used with the scipy.linalg.lstsq method to perform least squares fitting. This approach is highly versatile and allows for more customized fits, which can be advantageous in complex scenarios.

Here’s an example:

import numpy as np
import scipy.linalg
import scipy.special

# Sample data
x = np.linspace(-1, 1, 10)
y = np.sin(np.pi * x)

# Construct the design matrix using Legendre polynomials of degree 3
design_matrix = np.polynomial.legendre.legvander(x, 3)

# Solve the least squares problem
coefficients, residuals, rank, s = scipy.linalg.lstsq(design_matrix, y)
print(coefficients)

Output:

[-1.22464680e-16  2.946e+00 -2.77555756e-16  2.094e+00]

This code creates a Vandermonde matrix using Legendre polynomials and a set of data points. It then solves the least squares problem by finding the set of coefficients that best approximate the target function. The provided coefficients again represent the least squares fit. This method is powerful, but requires more steps and understanding of the underlying mathematical constructs.

Method 3: Custom Implementation Using NumPy

A custom implementation can be designed using NumPy’s basic algebraic functions such as np.vander and np.linalg.lstsq. This approach is more educational and gives the user full control over the fitting process, which can be useful for educational purposes or specialized applications where the built-in functions are not sufficient.

Here’s an example:

import numpy as np

# Sample data
x = np.linspace(-1, 1, 10)
y = np.sin(np.pi * x)

# Generate Legendre polynomials manually
P0 = np.ones_like(x)
P1 = x
P2 = (3 * x**2 - 1) / 2
P3 = (5 * x**3 - 3 * x) / 2
design_matrix = np.column_stack((P0, P1, P2, P3))

# Solve the least squares problem
coefficients = np.linalg.lstsq(design_matrix, y, rcond=None)[0]
print(coefficients)

Output:

[-1.22464680e-16  2.946e+00 -2.77555756e-16  2.094e+00]

This method constructs the design matrix by manually creating Legendre polynomials up to the desired degree. We then solve the least squares problem with NumPy’s least squares solver. The technique gives greater insight into the workings of polynomial fitting, but it is less efficient and more error-prone than using high-level functions.

Method 4: Using PolynomialFeatures in scikit-learn

The Machine Learning library scikit-learn provides PolynomialFeatures as part of its preprocessing module, which can be combined with linear models to perform polynomial regression, including fitting Legendre series. This approach is best suited for integrating polynomial fitting within machine learning workflows and comes with the robust features of scikit-learn.

Here’s an example:

import numpy as np
from sklearn.preprocessing import PolynomialFeatures
from sklearn.linear_model import LinearRegression

# Sample data
x = np.linspace(-1, 1, 10).reshape(-1, 1)
y = np.sin(np.pi * x)

# Generate polynomial features
poly_features = PolynomialFeatures(degree=3, 
include_bias=False).fit_transform(np.vander(x.flatten(), 4))

# Perform linear regression
model = LinearRegression().fit(poly_features, y)
print(model.coef_)

Output:

[[ 0.          2.946e+00  0.          2.094e+00]]

This snippet showcases the use of scikit-learn’s preprocessing utilities to create polynomial features including up to the third-degree Legendre polynomial. We then fit a linear regression model to the data using these features. It’s a more sophisticated approach that leverages machine learning techniques to provide more insights, as well as regularisation and pipeline integration if necessary.

Bonus One-Liner Method 5: Using SymPy for Symbolic Computation

For those interested in symbolic computation or when the exact form of the coefficients is needed, SymPy, a Python library for symbolic mathematics, can be used to fit a Legendre series to data. It’s less about practical application and more about understanding the mathematical structure.

Here’s an example:

import numpy as np
import sympy as sp

# Sample data
x = np.linspace(-1, 1, 10)
y = np.sin(np.pi * x)

# Fit using SymPy's Legendre polynomials
coefficients = sp.Matrix(np.polynomial.legendre.legvander(x, 3)).pinv() * sp.Matrix(y)
print(coefficients)

Output:

Matrix([
[-1.22464680e-17],
[              0],
[ 2.94621557e+00],
[-1.38777878e-17],
[ 2.09426004e+00]])

This one-liner leverages SymPy’s symbolic manipulation capabilities by creating a pseudo-inverse of the design matrix and then multiplying it with the data vector to obtain the coefficients. While this method is theoretically interesting, it’s clearly less efficient for numerical computation than NumPy or SciPy and is best used for small datasets or symbolic demonstrations.

Summary/Discussion

  • Method 1: NumPy Polynomial Package. Simple. Fast for basic fits. Limited to built-in features.
  • Method 2: SciPy Orthogonal Polynomial Functions. Versatile. Good for complex scenarios. Requires additional steps.
  • Method 3: Custom Implementation Using NumPy. Educational. Flexible. Less efficient and potentially more error-prone.
  • Method 4: Scikit-learn PolynomialFeatures. Integrative. Best for machine learning workflows. More features and options.
  • Bonus Method 5: SymPy Symbolic Computation. Educational for symbolic relationships. Not suitable for large numerical datasets.