1 | #ifndef _theplu_yat_regression_multidimensional_ |
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2 | #define _theplu_yat_regression_multidimensional_ |
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3 | |
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4 | // $Id: MultiDimensional.h 3611 2017-01-31 02:16:25Z peter $ |
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5 | |
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6 | /* |
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7 | Copyright (C) 2005, 2006, 2007, 2008 Jari Häkkinen, Peter Johansson |
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8 | Copyright (C) 2009 Peter Johansson |
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9 | |
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10 | This file is part of the yat library, http://dev.thep.lu.se/yat |
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11 | |
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12 | The yat library is free software; you can redistribute it and/or |
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13 | modify it under the terms of the GNU General Public License as |
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14 | published by the Free Software Foundation; either version 3 of the |
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15 | License, or (at your option) any later version. |
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16 | |
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17 | The yat library is distributed in the hope that it will be useful, |
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18 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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19 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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20 | General Public License for more details. |
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21 | |
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22 | You should have received a copy of the GNU General Public License |
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23 | along with yat. If not, see <http://www.gnu.org/licenses/>. |
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24 | */ |
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25 | |
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26 | #include "yat/utility/Matrix.h" |
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27 | #include "yat/utility/Vector.h" |
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28 | |
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29 | #include <gsl/gsl_multifit.h> |
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30 | |
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31 | namespace theplu { |
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32 | namespace yat { |
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33 | namespace regression { |
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34 | |
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35 | /// |
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36 | /// @brief MultiDimesional fitting. |
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37 | /// |
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38 | class MultiDimensional |
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39 | { |
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40 | public: |
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41 | |
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42 | /// |
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43 | /// @brief Default Constructor |
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44 | /// |
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45 | MultiDimensional(void); |
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46 | |
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47 | /// |
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48 | /// @brief Destructor |
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49 | /// |
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50 | ~MultiDimensional(void); |
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51 | |
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52 | /** |
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53 | \brief covariance of parameters |
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54 | |
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55 | The covariance of fit parameters are calculated as \f$ \sigma^2 |
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56 | (X'X)^{-1} \f$ where \f$ \sigma^2 \f$ is the variance of the of |
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57 | the error terms. |
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58 | */ |
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59 | const utility::Matrix& covariance(void) const; |
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60 | |
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61 | /** |
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62 | \brief Function fitting parameters of the linear model by |
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63 | miminizing the quadratic deviation between model and data. |
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64 | |
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65 | Number of rows in \a X must match size of \a y. |
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66 | |
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67 | \throw A GSL_error exception is thrown if memory allocation |
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68 | fails or the underlying GSL calls fails (usually matrix |
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69 | dimension errors). |
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70 | */ |
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71 | void fit(const utility::Matrix& X, const utility::VectorBase& y); |
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72 | |
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73 | /// |
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74 | /// @return parameters of the model |
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75 | /// |
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76 | const utility::Vector& fit_parameters(void) const; |
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77 | |
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78 | /** |
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79 | @brief Summed Squared Error |
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80 | */ |
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81 | double chisq(void) const; |
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82 | |
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83 | /// |
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84 | /// @return value in @a x according to fitted model |
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85 | /// |
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86 | double predict(const utility::VectorBase& x) const; |
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87 | |
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88 | /// |
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89 | /// @return expected squared prediction error for a new data point |
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90 | /// in @a x |
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91 | /// |
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92 | double prediction_error2(const utility::VectorBase& x) const; |
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93 | |
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94 | /// |
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95 | /// @return squared error of model value in @a x |
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96 | /// |
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97 | double standard_error2(const utility::VectorBase& x) const; |
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98 | |
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99 | private: |
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100 | // no copy allowed |
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101 | MultiDimensional(const MultiDimensional&); |
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102 | MultiDimensional& operator=(const MultiDimensional&); |
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103 | |
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104 | double chisquare_; |
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105 | double s2_; |
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106 | utility::Matrix covariance_; |
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107 | utility::Vector fit_parameters_; |
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108 | gsl_multifit_linear_workspace* work_; |
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109 | |
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110 | }; |
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111 | |
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112 | }}} // of namespaces regression, yat, and theplu |
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113 | |
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114 | #endif |
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