/usr/include/boost/accumulators/statistics
Edit: /usr/include/boost/accumulators/statistics/covariance.hpp (7137B)
///////////////////////////////////////////////////////////////////////////////
// covariance.hpp
//
// Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost
// Software License, Version 1.0. (See accompanying file
// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
#ifndef BOOST_ACCUMULATORS_STATISTICS_COVARIANCE_HPP_DE_01_01_2006
#define BOOST_ACCUMULATORS_STATISTICS_COVARIANCE_HPP_DE_01_01_2006
#include
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namespace boost { namespace numeric
{
namespace functional
{
struct std_vector_tag;
///////////////////////////////////////////////////////////////////////////////
// functional::outer_product
template
struct outer_product_base
: functional::multiplies
{};
template::type, typename RightTag = typename tag::type>
struct outer_product
: outer_product_base
{};
template
struct outer_product
{
typedef Left first_argument_type;
typedef Right second_argument_type;
typedef
ublas::matrix<
typename functional::multiplies<
typename Left::value_type
, typename Right::value_type
>::result_type
>
result_type;
result_type
operator ()(Left & left, Right & right) const
{
std::size_t left_size = left.size();
std::size_t right_size = right.size();
result_type result(left_size, right_size);
for (std::size_t i = 0; i < left_size; ++i)
for (std::size_t j = 0; j < right_size; ++j)
result(i,j) = numeric::multiplies(left[i], right[j]);
return result;
}
};
}
namespace op
{
struct outer_product
: boost::detail::function2, functional::tag<_2> > >
{};
}
namespace
{
op::outer_product const &outer_product = boost::detail::pod_singleton::instance;
}
}}
namespace boost { namespace accumulators
{
namespace impl
{
///////////////////////////////////////////////////////////////////////////////
// covariance_impl
//
/**
@brief Covariance Estimator
An iterative Monte Carlo estimator for the covariance \f$\mathrm{Cov}(X,X')\f$, where \f$X\f$ is a sample
and \f$X'\f$ is a variate, is given by:
\f[
\hat{c}_n = \frac{n-1}{n} \hat{c}_{n-1} + \frac{1}{n-1}(X_n - \hat{\mu}_n)(X_n' - \hat{\mu}_n'),\quad n\ge2,\quad\hat{c}_1 = 0,
\f]
\f$\hat{\mu}_n\f$ and \f$\hat{\mu}_n'\f$ being the means of the samples and variates.
*/
template
struct covariance_impl
: accumulator_base
{
typedef typename numeric::functional::fdiv::result_type sample_type;
typedef typename numeric::functional::fdiv::result_type variate_type;
// for boost::result_of
typedef typename numeric::functional::outer_product::result_type result_type;
template
covariance_impl(Args const &args)
: cov_(
numeric::outer_product(
numeric::fdiv(args[sample | Sample()], (std::size_t)1)
, numeric::fdiv(args[parameter::keyword::get() | VariateType()], (std::size_t)1)
)
)
{
}
template
void operator ()(Args const &args)
{
std::size_t cnt = count(args);
if (cnt > 1)
{
extractor > const some_mean_of_variates = {};
this->cov_ = this->cov_*(cnt-1.)/cnt
+ numeric::outer_product(
some_mean_of_variates(args) - args[parameter::keyword::get()]
, mean(args) - args[sample]
) / (cnt-1.);
}
}
result_type result(dont_care) const
{
return this->cov_;
}
// make this accumulator serializeable
template
void serialize(Archive & ar, const unsigned int file_version)
{
ar & cov_;
}
private:
result_type cov_;
};
} // namespace impl
///////////////////////////////////////////////////////////////////////////////
// tag::covariance
//
namespace tag
{
template
struct covariance
: depends_on >
{
typedef accumulators::impl::covariance_impl impl;
};
struct abstract_covariance
: depends_on<>
{
};
}
///////////////////////////////////////////////////////////////////////////////
// extract::covariance
//
namespace extract
{
extractor const covariance = {};
BOOST_ACCUMULATORS_IGNORE_GLOBAL(covariance)
}
using extract::covariance;
template
struct feature_of >
: feature_of
{
};
// So that covariance can be automatically substituted with
// weighted_covariance when the weight parameter is non-void.
template
struct as_weighted_feature >
{
typedef tag::weighted_covariance type;
};
template
struct feature_of >
: feature_of >
{};
}} // namespace boost::accumulators
#endif