source: trunk/yat/regression/MultiDimensionalWeighted.cc @ 682

Last change on this file since 682 was 682, checked in by Jari Häkkinen, 16 years ago

Addresses #153. Moved regression files to .../yat/regression.

  • Property svn:eol-style set to native
  • Property svn:keywords set to Id
File size: 2.3 KB
Line 
1// $Id: MultiDimensionalWeighted.cc 682 2006-10-11 22:06:38Z jari $
2
3/*
4  Copyright (C) The authors contributing to this file.
5
6  This file is part of the yat library, http://lev.thep.lu.se/trac/yat
7
8  The yat library is free software; you can redistribute it and/or
9  modify it under the terms of the GNU General Public License as
10  published by the Free Software Foundation; either version 2 of the
11  License, or (at your option) any later version.
12
13  The yat library is distributed in the hope that it will be useful,
14  but WITHOUT ANY WARRANTY; without even the implied warranty of
15  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
16  General Public License for more details.
17
18  You should have received a copy of the GNU General Public License
19  along with this program; if not, write to the Free Software
20  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA
21  02111-1307, USA.
22*/
23
24#include "MultiDimensionalWeighted.h"
25#include "yat/utility/matrix.h"
26#include "yat/utility/vector.h"
27
28#include <cassert>
29
30namespace theplu {
31namespace yat {
32namespace regression {
33
34  void MultiDimensionalWeighted::fit(const utility::matrix& x, 
35                                     const utility::vector& y,
36                                     const utility::vector& w)
37  {
38    assert(y.size()==w.size());
39    assert(x.rows()==y.size());
40
41    covariance_=utility::matrix(x.columns(),x.columns());
42    fit_parameters_=utility::vector(x.columns());
43    if (work_)
44      gsl_multifit_linear_free(work_);
45    work_=gsl_multifit_linear_alloc(x.rows(),fit_parameters_.size());
46    gsl_multifit_wlinear(x.gsl_matrix_p(),w.gsl_vector_p(),y.gsl_vector_p(),
47                         fit_parameters_.gsl_vector_p(),
48                         covariance_.gsl_matrix_p(),&chisquare_,work_);
49  }
50
51  double MultiDimensionalWeighted::prediction_error(const utility::vector& x,
52                                                    const double w) const
53  {
54    double s2 = 0;
55    for (size_t i=0; i<x.size(); ++i){
56      s2 += covariance_(i,i)*x(i)*x(i);
57      for (size_t j=i+1; j<x.size(); ++j)
58        s2 += 2*covariance_(i,j)*x(i)*x(j);
59    }
60    return sqrt(s2+chisquare_/w);
61  }
62
63
64  double MultiDimensionalWeighted::standard_error(const utility::vector& x) const
65  {
66    double s2 = 0;
67    for (size_t i=0; i<x.size(); ++i){
68      s2 += covariance_(i,i)*x(i)*x(i);
69      for (size_t j=i+1; j<x.size(); ++j)
70        s2 += 2*covariance_(i,j)*x(i)*x(j);
71    }
72    return sqrt(s2);
73  }
74
75}}} // of namespaces regression, yat, and theplu
Note: See TracBrowser for help on using the repository browser.