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Extended Parmest Capability for weighted SSE objective #3535

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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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By contributing to this software project, I have read the contribution guide and agree to the following terms and conditions for my contribution:

  1. I agree my contributions are submitted under the BSD license.
  2. I represent I am authorized to make the contributions and grant the license. If my employer has rights to intellectual property that includes these contributions, I represent that I have received permission to make contributions and grant the required license on behalf of that employer.

@slilonfe5
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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 @adowling2