add the Eigen library implementations of normal distributions computations
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5 changed files with 301 additions and 106 deletions
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@ -34,8 +34,8 @@ Authors:
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#include "edoNormalMulti.h"
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#ifdef WITH_BOOST
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//! edoEstimatorNormalMulti< EOT >
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//! edoEstimatorNormalMulti< EOT >
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template < typename EOT >
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class edoEstimatorNormalMulti : public edoEstimator< edoNormalMulti< EOT > >
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{
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@ -43,95 +43,95 @@ public:
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class CovMatrix
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{
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public:
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typedef typename EOT::AtomType AtomType;
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typedef typename EOT::AtomType AtomType;
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CovMatrix( const eoPop< EOT >& pop )
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{
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//-------------------------------------------------------------
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// Some checks before starting to estimate covar
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//-------------------------------------------------------------
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CovMatrix( const eoPop< EOT >& pop )
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{
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//-------------------------------------------------------------
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// Some checks before starting to estimate covar
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//-------------------------------------------------------------
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unsigned int p_size = pop.size(); // population size
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assert(p_size > 0);
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unsigned int p_size = pop.size(); // population size
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assert(p_size > 0);
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unsigned int s_size = pop[0].size(); // solution size
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assert(s_size > 0);
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unsigned int s_size = pop[0].size(); // solution size
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assert(s_size > 0);
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//-------------------------------------------------------------
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//-------------------------------------------------------------
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//-------------------------------------------------------------
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// Copy the population to an ublas matrix
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//-------------------------------------------------------------
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//-------------------------------------------------------------
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// Copy the population to an ublas matrix
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//-------------------------------------------------------------
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ublas::matrix< AtomType > sample( p_size, s_size );
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ublas::matrix< AtomType > sample( p_size, s_size );
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for (unsigned int i = 0; i < p_size; ++i)
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{
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for (unsigned int j = 0; j < s_size; ++j)
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{
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sample(i, j) = pop[i][j];
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}
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}
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for (unsigned int i = 0; i < p_size; ++i)
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{
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for (unsigned int j = 0; j < s_size; ++j)
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{
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sample(i, j) = pop[i][j];
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}
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}
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//-------------------------------------------------------------
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//-------------------------------------------------------------
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_varcovar.resize(s_size);
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_varcovar.resize(s_size);
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//-------------------------------------------------------------
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// variance-covariance matrix are symmetric (and semi-definite
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// positive), thus a triangular storage is sufficient
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//
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// variance-covariance matrix computation : transpose(A) * A
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//-------------------------------------------------------------
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//-------------------------------------------------------------
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// variance-covariance matrix are symmetric (and semi-definite
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// positive), thus a triangular storage is sufficient
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//
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// variance-covariance matrix computation : transpose(A) * A
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//-------------------------------------------------------------
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ublas::symmetric_matrix< AtomType, ublas::lower > var = ublas::prod( ublas::trans( sample ), sample );
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ublas::symmetric_matrix< AtomType, ublas::lower > var = ublas::prod( ublas::trans( sample ), sample );
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// Be sure that the symmetric matrix got the good size
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// Be sure that the symmetric matrix got the good size
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assert(var.size1() == s_size);
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assert(var.size2() == s_size);
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assert(var.size1() == _varcovar.size1());
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assert(var.size2() == _varcovar.size2());
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assert(var.size1() == s_size);
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assert(var.size2() == s_size);
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assert(var.size1() == _varcovar.size1());
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assert(var.size2() == _varcovar.size2());
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//-------------------------------------------------------------
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//-------------------------------------------------------------
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// TODO: to remove the comment below
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// TODO: to remove the comment below
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// for (unsigned int i = 0; i < s_size; ++i)
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// {
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// // triangular LOWER matrix, thus j is not going further than i
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// for (unsigned int j = 0; j <= i; ++j)
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// {
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// // we want a reducted covariance matrix
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// _varcovar(i, j) = var(i, j) / p_size;
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// }
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// }
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// for (unsigned int i = 0; i < s_size; ++i)
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// {
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// // triangular LOWER matrix, thus j is not going further than i
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// for (unsigned int j = 0; j <= i; ++j)
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// {
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// // we want a reducted covariance matrix
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// _varcovar(i, j) = var(i, j) / p_size;
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// }
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// }
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_varcovar = var / p_size;
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_varcovar = var / p_size;
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_mean.resize(s_size); // FIXME: check if it is really used because of the assignation below
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_mean.resize(s_size); // FIXME: check if it is really used because of the assignation below
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// unit vector
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ublas::scalar_vector< AtomType > u( p_size, 1 );
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// unit vector
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ublas::scalar_vector< AtomType > u( p_size, 1 );
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// sum over columns
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_mean = ublas::prod( ublas::trans( sample ), u );
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// sum over columns
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_mean = ublas::prod( ublas::trans( sample ), u );
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// division by n
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_mean /= p_size;
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}
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// division by n
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_mean /= p_size;
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}
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const ublas::symmetric_matrix< AtomType, ublas::lower >& get_varcovar() const {return _varcovar;}
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const ublas::symmetric_matrix< AtomType, ublas::lower >& get_varcovar() const {return _varcovar;}
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const ublas::vector< AtomType >& get_mean() const {return _mean;}
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const ublas::vector< AtomType >& get_mean() const {return _mean;}
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private:
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ublas::symmetric_matrix< AtomType, ublas::lower > _varcovar;
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ublas::vector< AtomType > _mean;
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ublas::symmetric_matrix< AtomType, ublas::lower > _varcovar;
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ublas::vector< AtomType > _mean;
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};
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public:
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@ -139,21 +139,109 @@ public:
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edoNormalMulti< EOT > operator()(eoPop<EOT>& pop)
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{
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unsigned int popsize = pop.size();
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assert(popsize > 0);
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unsigned int popsize = pop.size();
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assert(popsize > 0);
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unsigned int dimsize = pop[0].size();
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assert(dimsize > 0);
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unsigned int dimsize = pop[0].size();
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assert(dimsize > 0);
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CovMatrix cov( pop );
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CovMatrix cov( pop );
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return edoNormalMulti< EOT >( cov.get_mean(), cov.get_varcovar() );
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return edoNormalMulti< EOT >( cov.get_mean(), cov.get_varcovar() );
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}
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};
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#else
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#ifdef WITH_EIGEN
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//! edoEstimatorNormalMulti< EOT >
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template < typename EOT >
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class edoEstimatorNormalMulti : public edoEstimator< edoNormalMulti< EOT > >
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{
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public:
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class CovMatrix
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{
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public:
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typedef typename EOT::AtomType AtomType;
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typedef Eigen::Matrix< AtomType, Eigen::Dynamic, 1> Vector;
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typedef Eigen::Matrix< AtomType, Eigen::Dynamic, Eigen::Dynamic> Matrix;
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CovMatrix( const eoPop< EOT >& pop )
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{
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// Some checks before starting to estimate covar
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unsigned int p_size = pop.size(); // population size
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assert(p_size > 0);
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unsigned int s_size = pop[0].size(); // solution size
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assert(s_size > 0);
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// Copy the population to an ublas matrix
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//ublas::matrix< AtomType > sample( p_size, s_size );
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Matrix sample( p_size, s_size );
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for (unsigned int i = 0; i < p_size; ++i) {
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for (unsigned int j = 0; j < s_size; ++j) {
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sample(i, j) = pop[i][j];
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}
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}
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// _varcovar.resize(s_size);
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// variance-covariance matrix are symmetric, thus a triangular storage is sufficient
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// variance-covariance matrix computation : transpose(A) * A
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//ublas::symmetric_matrix< AtomType, ublas::lower > var = ublas::prod( ublas::trans( sample ), sample );
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Matrix var = sample.transpose() * sample;
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// Be sure that the symmetric matrix got the good size
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assert(var.innerSize() == s_size);
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assert(var.outerSize() == s_size);
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assert(var.innerSize() == _varcovar.innerSize());
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assert(var.outerSize() == _varcovar.outerSize());
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_varcovar = var / p_size;
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// _mean.resize(s_size); // FIXME: check if it is really used because of the assignation below
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// unit vector
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// ublas::scalar_vector< AtomType > u( p_size, 1 );
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Vector u( p_size, 1);
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// sum over columns
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// _mean = ublas::prod( ublas::trans( sample ), u );
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_mean = sample.transpose() * u;
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// division by n
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_mean /= p_size;
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}
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// const ublas::symmetric_matrix< AtomType, ublas::lower >& get_varcovar() const {return _varcovar;}
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const Matrix& get_varcovar() const {return _varcovar;}
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// const ublas::vector< AtomType >& get_mean() const {return _mean;}
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const Vector& get_mean() const {return _mean;}
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private:
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// ublas::symmetric_matrix< AtomType, ublas::lower > _varcovar;
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Matrix _varcovar;
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// ublas::vector< AtomType > _mean;
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Vector _mean;
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};
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public:
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typedef typename EOT::AtomType AtomType;
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edoNormalMulti< EOT > operator()(eoPop<EOT>& pop)
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{
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unsigned int popsize = pop.size();
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assert(popsize > 0);
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unsigned int dimsize = pop[0].size();
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assert(dimsize > 0);
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CovMatrix cov( pop );
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return edoNormalMulti< EOT >( cov.get_mean(), cov.get_varcovar() );
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}
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};
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#endif // WITH_EIGEN
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#endif // WITH_BOOST
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@ -21,8 +21,8 @@ Copyright (C) 2010 Thales group
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*/
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/*
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Authors:
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Johann Dreo <johann.dreo@thalesgroup.com>
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Caner Candan <caner.candan@thalesgroup.com>
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Johann Dreo <johann.dreo@thalesgroup.com>
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Caner Candan <caner.candan@thalesgroup.com>
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*/
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#ifndef _edoNormalMulti_h
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@ -39,7 +39,6 @@ Copyright (C) 2010 Thales group
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namespace ublas = boost::numeric::ublas;
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//! edoNormalMulti< EOT >
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template < typename EOT >
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class edoNormalMulti : public edoDistrib< EOT >
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{
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@ -51,18 +50,18 @@ public:
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const ublas::vector< AtomType >& mean,
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const ublas::symmetric_matrix< AtomType, ublas::lower >& varcovar
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)
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: _mean(mean), _varcovar(varcovar)
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: _mean(mean), _varcovar(varcovar)
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{
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assert(_mean.size() > 0);
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assert(_mean.size() == _varcovar.size1());
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assert(_mean.size() == _varcovar.size2());
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assert(_mean.size() > 0);
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assert(_mean.size() == _varcovar.size1());
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assert(_mean.size() == _varcovar.size2());
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}
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unsigned int size()
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{
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assert(_mean.size() == _varcovar.size1());
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assert(_mean.size() == _varcovar.size2());
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return _mean.size();
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assert(_mean.size() == _varcovar.size1());
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assert(_mean.size() == _varcovar.size2());
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return _mean.size();
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}
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ublas::vector< AtomType > mean() const {return _mean;}
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@ -77,6 +76,44 @@ private:
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#else
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#ifdef WITH_EIGEN
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#include <Eigen/Dense>
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template < typename EOT >
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class edoNormalMulti : public edoDistrib< EOT >
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{
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public:
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typedef typename EOT::AtomType AtomType;
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typedef Eigen::Matrix< AtomType, Eigen::Dynamic, 1> Vector; // Note: by default, Eigen is column-major
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typedef Eigen::Matrix< AtomType, Eigen::Dynamic, Eigen::Dynamic> Matrix;
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edoNormalMulti(
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const Vector & mean,
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const Matrix & varcovar
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)
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: _mean(mean), _varcovar(varcovar)
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{
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assert(_mean.innerSize() > 0);
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assert(_mean.innerSize() == _varcovar.innerSize());
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assert(_mean.innerSize() == _varcovar.outerSize());
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}
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unsigned int size()
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{
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assert(_mean.innerSize() == _varcovar.innerSize());
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assert(_mean.innerSize() == _varcovar.outerSize());
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return _mean.innerSize();
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}
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Vector mean() const {return _mean;}
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Matrix varcovar() const {return _varcovar;}
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private:
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Vector _mean;
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Matrix _varcovar;
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};
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#endif // WITH_EIGEN
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#endif // WITH_BOOST
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@ -31,7 +31,6 @@ Authors:
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#include "edoModifierMass.h"
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#include "edoNormalMulti.h"
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#ifdef WITH_BOOST
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//! edoNormalMultiCenter< EOT >
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@ -44,15 +43,29 @@ public:
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void operator() ( edoNormalMulti< EOT >& distrib, EOT& mass )
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{
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ublas::vector< AtomType > mean( distrib.size() );
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std::copy( mass.begin(), mass.end(), mean.begin() );
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distrib.mean() = mean;
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ublas::vector< AtomType > mean( distrib.size() );
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std::copy( mass.begin(), mass.end(), mean.begin() );
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distrib.mean() = mean;
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}
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};
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#else
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#ifdef WITH_EIGEN
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template < typename EOT >
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class edoNormalMultiCenter : public edoModifierMass< edoNormalMulti< EOT > >
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{
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public:
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typedef typename EOT::AtomType AtomType;
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void operator() ( edoNormalMulti< EOT >& distrib, EOT& mass )
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{
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assert( distrib.size() == mass.innerSize() );
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Eigen::Matrix< AtomType, Eigen::Dynamic, 1 > mean( mass );
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distrib.mean() = mean;
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}
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};
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#endif // WITH_EIGEN
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#endif // WITH_BOOST
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@ -33,12 +33,6 @@ Authors:
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#include <edoSampler.h>
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#ifdef WITH_BOOST
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#include <utils/edoCholesky.h>
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#include <boost/numeric/ublas/lu.hpp>
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#include <boost/numeric/ublas/symmetric.hpp>
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/** Sample points in a multi-normal law defined by a mean vector and a covariance matrix.
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*
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* Given M the mean vector and V the covariance matrix, of order n:
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* - compute the Cholesky decomposition L of V (i.e. such as V=LL*)
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* - return X = M + LT
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*/
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#ifdef WITH_BOOST
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#include <utils/edoCholesky.h>
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#include <boost/numeric/ublas/lu.hpp>
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#include <boost/numeric/ublas/symmetric.hpp>
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template< class EOT, typename EOD = edoNormalMulti< EOT > >
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class edoSamplerNormalMulti : public edoSampler< EOD >
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{
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@ -90,6 +91,60 @@ protected:
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#else
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#ifdef WITH_EIGEN
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template< class EOT, typename EOD = edoNormalMulti< EOT > >
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class edoSamplerNormalMulti : public edoSampler< EOD >
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{
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public:
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typedef typename EOT::AtomType AtomType;
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typedef Eigen::Matrix< AtomType, Eigen::Dynamic, 1> Vector;
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typedef Eigen::Matrix< AtomType, Eigen::Dynamic, Eigen::Dynamic> Matrix;
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edoSamplerNormalMulti( edoRepairer<EOT> & repairer )
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: edoSampler< EOD >( repairer)
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{}
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EOT sample( EOD& distrib )
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{
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unsigned int size = distrib.size();
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assert(size > 0);
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// L = cholesky decomposition of varcovar
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// Computes L and D such as V = L D L^T
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Eigen::LDLT<Matrix> cholesky( distrib.varcovar() );
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Matrix L0 = cholesky.matrixL();
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Eigen::Diagonal<const Matrix> D = cholesky.vectorD();
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// now compute the final symetric matrix: this->_L = L D^1/2
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// remember that V = ( L D^1/2) ( L D^1/2)^T
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// fortunately, the square root of a diagonal matrix is the square
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// root of all its elements
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Eigen::Diagonal<const Matrix> sqrtD = D.cwiseSqrt();
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Matrix L = L0 * D;
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// T = vector of size elements drawn in N(0,1)
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Vector T( size );
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for ( unsigned int i = 0; i < size; ++i ) {
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||||
T( i ) = rng.normal();
|
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}
|
||||
|
||||
// LT = L * T
|
||||
Vector LT = L * T;
|
||||
|
||||
// solution = means + LT
|
||||
Vector mean = distrib.mean();
|
||||
Vector typed_solution = mean + LT;
|
||||
EOT solution( size );
|
||||
for( unsigned int i = 0; i < mean.innerSize(); i++ ) {
|
||||
solution.push_back( typed_solution(i) );
|
||||
}
|
||||
|
||||
return solution;
|
||||
}
|
||||
};
|
||||
#endif // WITH_EIGEN
|
||||
#endif // WITH_BOOST
|
||||
|
||||
|
|
|
|||
|
|
@ -28,16 +28,24 @@ Authors:
|
|||
#ifndef _edoStatNormalMulti_h
|
||||
#define _edoStatNormalMulti_h
|
||||
|
||||
#include <boost/numeric/ublas/io.hpp>
|
||||
#include<sstream>
|
||||
|
||||
#include "edoStat.h"
|
||||
#include "edoNormalMulti.h"
|
||||
|
||||
|
||||
#ifdef WITH_BOOST
|
||||
|
||||
//! edoStatNormalMulti< EOT >
|
||||
#include <boost/numeric/ublas/io.hpp>
|
||||
|
||||
#else
|
||||
#ifdef WITH_EIGEN
|
||||
|
||||
// include nothing
|
||||
|
||||
#endif // WITH_EIGEN
|
||||
#endif // WITH_BOOST
|
||||
|
||||
//! edoStatNormalMulti< EOT >
|
||||
template < typename EOT >
|
||||
class edoStatNormalMulti : public edoDistribStat< edoNormalMulti< EOT > >
|
||||
{
|
||||
|
|
@ -47,34 +55,28 @@ public:
|
|||
using edoDistribStat< edoNormalMulti< EOT > >::value;
|
||||
|
||||
edoStatNormalMulti( std::string desc = "" )
|
||||
: edoDistribStat< edoNormalMulti< EOT > >( desc )
|
||||
: edoDistribStat< edoNormalMulti< EOT > >( desc )
|
||||
{}
|
||||
|
||||
void operator()( const edoNormalMulti< EOT >& distrib )
|
||||
{
|
||||
value() = "\n# ====== multi normal distribution dump =====\n";
|
||||
value() = "\n# ====== multi normal distribution dump =====\n";
|
||||
|
||||
std::ostringstream os;
|
||||
std::ostringstream os;
|
||||
|
||||
os << distrib.mean() << " " << distrib.varcovar() << std::endl;
|
||||
os << distrib.mean() << " " << distrib.varcovar() << std::endl;
|
||||
|
||||
// ublas::vector< AtomType > mean = distrib.mean();
|
||||
// std::copy(mean.begin(), mean.end(), std::ostream_iterator< std::string >( os, " " ));
|
||||
// ublas::vector< AtomType > mean = distrib.mean();
|
||||
// std::copy(mean.begin(), mean.end(), std::ostream_iterator< std::string >( os, " " ));
|
||||
|
||||
// ublas::symmetric_matrix< AtomType, ublas::lower > varcovar = distrib.varcovar();
|
||||
// std::copy(varcovar.begin(), varcovar.end(), std::ostream_iterator< std::string >( os, " " ));
|
||||
// ublas::symmetric_matrix< AtomType, ublas::lower > varcovar = distrib.varcovar();
|
||||
// std::copy(varcovar.begin(), varcovar.end(), std::ostream_iterator< std::string >( os, " " ));
|
||||
|
||||
// os << std::endl;
|
||||
// os << std::endl;
|
||||
|
||||
value() += os.str();
|
||||
value() += os.str();
|
||||
}
|
||||
};
|
||||
|
||||
#else
|
||||
#ifdef WITH_EIGEN
|
||||
|
||||
#endif // WITH_EIGEN
|
||||
#endif // WITH_BOOST
|
||||
|
||||
|
||||
#endif // !_edoStatNormalMulti_h
|
||||
|
|
|
|||
Reference in a new issue