I am trying to find the Java library which can fit data to multivariate Taylor series expansion.
Here is the mathematical description of the problem:
I have a dependent variable y and several independent variables, xi (e.g., x1, x2, x3). The Taylor expansion of y around each xi can be written as:
y = a0 + a1*x1 + a2*x2 + a3*x3
+ a11 * x1 * x1 + a22 *x2 * x2 + a33 *x3 *x3
+ a12 * x1 * x2 + a13 * x1 * x3 + a23 * x2 * x3
I have many observations of y and the corresponding x1, x2, x3.
[y, x1, x2, x3]_1
[y, x1, x2, x3]_2
[y, x1, x2, x3]_3
.....
[y, x1, x2, x3]_n
( _n stands for an observation )
I would like to fit these observations to the above Taylor expansion and find out the values of the parameters (a0, a1, a2, a3, a11 etc).
I am trying to find a java math library to do the job.
It looks that Apache Commons Math may do the job.
But I really could not find which class should be used.
Any suggestions/help is highly appreciated.
Thanks,