* cholesky

CMakeLists.txt

@@ -25,9 +25,13 @@ INCLUDE(FindPkgConfig)
 PKG_CHECK_MODULES(EO eo REQUIRED)
 PKG_CHECK_MODULES(MO mo REQUIRED)
 
+FIND_PACKAGE(Boost 1.33.0)
+
 INCLUDE_DIRECTORIES(
   ${EO_INCLUDE_DIRS}
   ${MO_INCLUDE_DIRS}
+  ${Boost_INCLUDE_DIRS}
+  /Dev/ometah-0.3/common
   )
 
 ######################################################################################

application/cma_sa/CMakeLists.txt

@@ -1,7 +1,12 @@
 PROJECT(cma_sa)
 
+FIND_PACKAGE(Boost 1.33.0)
+
 INCLUDE_DIRECTORIES(${CMAKE_CURRENT_SOURCE_DIR})
 
+INCLUDE_DIRECTORIES(${Boost_INCLUDE_DIRS})
+LINK_DIRECTORIES(${Boost_LIBRARY_DIRS})
+
 SET(RESOURCES
   cma_sa.param
   plot.py
@@ -20,4 +25,4 @@ FILE(GLOB SOURCES *.cpp)
 SET(EXECUTABLE_OUTPUT_PATH ${DO_BINARY_DIR})
 
 ADD_EXECUTABLE(${PROJECT_NAME} ${SOURCES})
-TARGET_LINK_LIBRARIES(${PROJECT_NAME} do ${EO_LIBRARIES} ${MO_LIBRARIES})
+TARGET_LINK_LIBRARIES(${PROJECT_NAME} do ${EO_LIBRARIES} ${MO_LIBRARIES} ${Boost_LIBRARIES})

src/doCMASA.h

@@ -168,7 +168,7 @@ public:
 
 	    for (int i = 0; i < size; ++i)
 		{
-		    hv.update( distrib.variance()[i] );
+		    //hv.update( distrib.varcovar()[i] );
 		}
 
 	    _ofs_params_var << hv << std::endl;
@@ -286,7 +286,7 @@ public:
 
 		    ofs << size << " ";
 		    std::copy(distrib.mean().begin(), distrib.mean().end(), std::ostream_iterator< double >(ofs, " "));
-		    std::copy(distrib.variance().begin(), distrib.variance().end(), std::ostream_iterator< double >(ofs, " "));
+		    //std::copy(distrib.varcovar().begin(), distrib.varcovar().end(), std::ostream_iterator< double >(ofs, " "));
 		    ofs << std::endl;
 		}
 
@@ -336,7 +336,7 @@ public:
 
 		    for (int i = 0; i < size; ++i)
 			{
-			    hv.update( distrib.variance()[i] );
+			    //hv.update( distrib.varcovar()[i] );
 			}
 
 		    _ofs_params_var << hv << std::endl;

src/doEstimatorNormal.h

@@ -9,6 +9,8 @@ template < typename EOT >
 class doEstimatorNormal : public doEstimator< doNormal< EOT > >
 {
 public:
+    typedef typename EOT::AtomType AtomType;
+
     doNormal< EOT > operator()(eoPop<EOT>& pop)
     {
 	unsigned int popsize = pop.size();
@@ -17,23 +19,12 @@ public:
 	unsigned int dimsize = pop[0].size();
 	assert(dimsize > 0);
 
-	doCovMatrix cov(dimsize);
+	//doCovMatrix cov(dimsize);
+	doUblasCovMatrix< EOT > cov;
 
-	for (unsigned int i = 0; i < popsize; ++i)
+	cov.update(pop);
-	    {
-		cov.update(pop[i]);
-	    }
 
-	EOT mean(dimsize);
+	return doNormal< EOT >(cov.get_mean(), cov.get_varcovar());
-	EOT covariance(dimsize);
-
-	for (unsigned int d = 0; d < dimsize; ++d)
-	    {
-		mean[d] = cov.get_mean(d);
-		covariance[d] = cov.get_var(d);
-	    }
-
-	return doNormal< EOT >(mean, covariance);
     }
 };
 

src/doNormal.h

@@ -8,8 +8,10 @@ template < typename EOT >
 class doNormal : public doDistrib< EOT >, public doNormalParams< EOT >
 {
 public:
-    doNormal(EOT mean, EOT variance)
+    typedef typename EOT::AtomType AtomType;
-	: doNormalParams< EOT >(mean, variance)
+
+    doNormal( const EOT& mean, const ublas::symmetric_matrix< AtomType, ublas::lower >& varcovar )
+	: doNormalParams< EOT >( mean, varcovar )
     {}
 };
 

src/doNormalParams.h

@@ -1,29 +1,38 @@
 #ifndef _doNormalParams_h
 #define _doNormalParams_h
 
+#include <boost/numeric/ublas/symmetric.hpp>
+#include <boost/numeric/ublas/lu.hpp>
+
+namespace ublas = boost::numeric::ublas;
+
 template < typename EOT >
 class doNormalParams
 {
 public:
-    doNormalParams(EOT mean, EOT variance)
+    typedef typename EOT::AtomType AtomType;
-	: _mean(mean), _variance(variance)
+
+    doNormalParams(const EOT& mean, const ublas::symmetric_matrix< AtomType, ublas::lower >& varcovar)
+	: _mean(mean), _varcovar(varcovar)
     {
 	assert(_mean.size() > 0);
-	assert(_mean.size() == _variance.size());
+	assert(_mean.size() == _varcovar.size1());
+	assert(_mean.size() == _varcovar.size2());
     }
 
     EOT& mean(){return _mean;}
-    EOT& variance(){return _variance;}
+    ublas::symmetric_matrix< AtomType, ublas::lower >& varcovar(){return _varcovar;}
 
     unsigned int size()
     {
-	assert(_mean.size() == _variance.size());
+	assert(_mean.size() == _varcovar.size1());
+	assert(_mean.size() == _varcovar.size2());
 	return _mean.size();
     }
 
 private:
     EOT _mean;
-    EOT _variance;
+    ublas::symmetric_matrix< AtomType, ublas::lower > _varcovar;
 };
 
 #endif // !_doNormalParams_h

src/doSamplerNormal.h

@@ -6,6 +6,7 @@
 #include "doSampler.h"
 #include "doNormal.h"
 #include "doBounder.h"
+#include "doStats.h"
 
 /**
  * doSamplerNormal
@@ -45,10 +46,16 @@ public:
 
 	for (unsigned int i = 0; i < size; ++i)
 	    {
-		solution.push_back(
+		Cholesky< EOT > cholesky;
-				   rng.normal(distrib.mean()[i],
+
-					      distrib.variance()[i])
+		cholesky.update( distrib.varcovar() );
-				   );
+
+		// solution.push_back(
+		// 		   rng.normal(distrib.mean()[i],
+		// 			      distrib.varcovar()[i])
+		// 		   );
+
+		//rng.normal() + 
 	    }
 
 	//-------------------------------------------------------------

src/doStats.h

@@ -18,7 +18,14 @@
 #ifndef _doStats_h
 #define _doStats_h
 
+#include <boost/numeric/ublas/matrix.hpp>
+#include <boost/numeric/ublas/symmetric.hpp>
+#include <boost/numeric/ublas/lu.hpp>
+
 #include <eoPrintable.h>
+#include <eoPop.h>
+
+namespace ublas = boost::numeric::ublas;
 
 class doStats : public eoPrintable
 {
@@ -110,9 +117,146 @@ protected:
     double _hv;
 };
 
-class doCholesky : public doStats
+template < typename EOT >
+class doUblasCovMatrix : public doStats
 {
+public:
+    typedef typename EOT::AtomType AtomType;
 
+    virtual void update( const eoPop< EOT >& pop )
+    {
+	unsigned int p_size = pop.size(); // population size
+
+	assert(p_size > 0);
+
+	unsigned int s_size = pop[0].size(); // solution size
+
+	assert(s_size > 0);
+
+	ublas::matrix< AtomType > sample( p_size, s_size );
+
+	for (unsigned int i = 0; i < p_size; ++i)
+	    {
+		for (unsigned int j = 0; j < s_size; ++j)
+		    {
+			sample(i, j) = pop[i][j];
+		    }
+	    }
+
+	_varcovar.resize(s_size, s_size);
+
+	// variance-covariance matrix are symmetric (and semi-definite positive),
+	// thus a triangular storage is sufficient
+	ublas::symmetric_matrix< AtomType, ublas::lower > var(s_size, s_size);
+
+	// variance-covariance matrix computation : A * transpose(A)
+	var = ublas::prod( sample, ublas::trans( sample ) );
+
+	for (unsigned int i = 0; i < s_size; ++i)
+	    {
+		// triangular LOWER matrix, thus j is not going further than i
+		for (unsigned int j = 0; j <= i; ++j)
+		    {
+			// we want a reducted covariance matrix
+			_varcovar(i, j) = var(i, j) / p_size;
+		    }
+	    }
+
+	//_varcovar = varcovar;
+
+	_mean.resize(s_size);
+
+        // unit vector
+	ublas::scalar_vector< AtomType > u( p_size, 1 );
+
+	// sum over columns
+	ublas::vector< AtomType > mean = ublas::prod( ublas::trans( sample ), u );
+
+	// division by n
+	mean /= p_size;
+
+	// copy results in the params std::vector
+	std::copy(mean.begin(), mean.end(), _mean.begin());
+    }
+
+    const ublas::symmetric_matrix< AtomType, ublas::lower >& get_varcovar() const {return _varcovar;}
+
+    const EOT& get_mean() const {return _mean;}
+
+private:
+    ublas::symmetric_matrix< AtomType, ublas::lower > _varcovar;
+    EOT _mean;
+};
+
+template < typename EOT >
+class Cholesky : public doStats
+{
+public:
+    typedef typename EOT::AtomType AtomType;
+
+    virtual void update( const ublas::symmetric_matrix< AtomType, ublas::lower >& V)
+    {
+	unsigned int Vl = V.size1();
+
+	assert(Vl > 0);
+
+	unsigned int Vc = V.size2();
+
+	assert(Vc > 0);
+
+	_L.resize(Vl, Vc);
+
+	unsigned int i,j,k;
+
+	// first column
+	i=0;
+
+	// diagonal
+	j=0;
+	_L(0, 0) = sqrt( V(0, 0) );
+
+	// end of the column
+	for ( j = 1; j < Vc; ++j )
+	    {
+		_L(j, 0) = V(0, j) / _L(0, 0);
+	    }
+
+	// end of the matrix
+	for ( i = 1; i < Vl; ++i )
+	    { // each column
+
+		// diagonal
+		double sum = 0.0;
+
+		for ( k = 0; k < i; ++k)
+		    {
+			sum += _L(i, k) * _L(i, k);
+		    }
+
+		assert( ( V(i, i) - sum ) > 0 );
+
+		_L(i, i) = sqrt( V(i, i) - sum );
+
+		for ( j = i + 1; j < Vl; ++j )
+		    { // rows
+
+			// one element
+			sum = 0.0;
+
+			for ( k = 0; k < i; ++k )
+			    {
+				sum += _L(j, k) * _L(i, k);
+			    }
+
+			_L(j, i) = (V(j, i) - sum) / _L(i, i);
+		    }
+	    }
+    }
+
+    const ublas::symmetric_matrix< AtomType, ublas::lower >& get_L() const {return _L;}
+
+private:
+    ublas::symmetric_matrix< AtomType, ublas::lower > _L;
 };
 
 #endif // !_doStats_h