source: trunk/yat/regression/MultiDimensionalWeighted.h @ 1437

Last change on this file since 1437 was 1437, checked in by Peter, 13 years ago

merge patch release 0.4.2 to trunk. Delta 0.4.2-0.4.1

  • Property svn:eol-style set to native
  • Property svn:keywords set to Id
File size: 2.5 KB
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1#ifndef _theplu_yat_regression_multidimensionalweighted_
2#define _theplu_yat_regression_multidimensionalweighted_
3
4// $Id: MultiDimensionalWeighted.h 1437 2008-08-25 17:55:00Z peter $
5
6/*
7  Copyright (C) 2006, 2007 Jari Häkkinen, Peter Johansson
8  Copyright (C) 2008 Peter Johansson
9
10  This file is part of the yat library, http://dev.thep.lu.se/yat
11
12  The yat library is free software; you can redistribute it and/or
13  modify it under the terms of the GNU General Public License as
14  published by the Free Software Foundation; either version 2 of the
15  License, or (at your option) any later version.
16
17  The yat library is distributed in the hope that it will be useful,
18  but WITHOUT ANY WARRANTY; without even the implied warranty of
19  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
20  General Public License for more details.
21
22  You should have received a copy of the GNU General Public License
23  along with this program; if not, write to the Free Software
24  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA
25  02111-1307, USA.
26*/
27
28#include "yat/utility/Matrix.h"
29#include "yat/utility/Vector.h"
30
31#include <gsl/gsl_multifit.h>
32
33namespace theplu {
34namespace yat {
35namespace regression {
36
37  ///
38  /// @brief MultiDimesional fitting.
39  ///
40  class MultiDimensionalWeighted
41  {
42  public:
43
44    ///
45    /// @brief Default Constructor
46    ///
47    MultiDimensionalWeighted(void);
48
49    ///
50    /// @brief Destructor
51    ///
52    ~MultiDimensionalWeighted(void);
53
54    ///
55    /// @return sum of squared residuals
56    ///
57    double chisq(void) const;
58
59    /**
60       \see gsl_multifit_wlinear
61
62       \throw A GSL_error exception is thrown if memory allocation
63       fails or the underlying GSL calls fails (usually matrix
64       dimension errors).
65    */
66    void fit(const utility::Matrix& X, const utility::VectorBase& y, 
67             const utility::VectorBase& w);
68
69    ///
70    /// @return value in @a x according to fitted model
71    ///
72    double predict(const utility::VectorBase& x) const;
73
74    ///
75    /// @return expected squared prediction error for a new data point
76    /// in @a x
77    ///
78    double prediction_error2(const utility::VectorBase& x, const double w=1) const;
79
80    ///
81    /// @return error of model value in @a x
82    ///
83    double standard_error2(const utility::VectorBase& x) const;
84
85    ///
86    /// @return parameters of fitted model
87    ///
88    const utility::Vector& fit_parameters(void) const;
89
90    ///
91    /// @return variance of residuals
92    ///
93    double s2(const double w=1.0) const;
94
95  private:
96    double chisquare_;
97    utility::Matrix covariance_;
98    utility::Vector fit_parameters_;
99    double s2_;
100    gsl_multifit_linear_workspace* work_;
101
102  };
103
104}}} // of namespaces regression, yat, and theplu
105
106#endif
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