Mercurial > libavutil.hg
view lls.c @ 76:8c75234388b5 libavutil
linear least squares solver using cholesky factorization
author | michael |
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date | Fri, 14 Jul 2006 10:03:09 +0000 |
parents | |
children | 1eb5129d5030 |
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/* * linear least squares model * * Copyright (c) 2006 Michael Niedermayer <michaelni@gmx.at> * * This library is free software; you can redistribute it and/or * modify it under the terms of the GNU Lesser General Public * License as published by the Free Software Foundation; either * version 2 of the License, or (at your option) any later version. * * This library is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU * Lesser General Public License for more details. * * You should have received a copy of the GNU Lesser General Public * License along with this library; if not, write to the Free Software * Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA */ /** * @file lls.c * linear least squares model */ #include <math.h> #include <string.h> #include "lls.h" #undef NDEBUG // allways check asserts, the speed effect is far too small to disable them #include <assert.h> #ifdef TEST #define av_log(a,b,...) printf(__VA_ARGS__) #endif void av_init_lls(LLSModel *m, int indep_count){ memset(m, 0, sizeof(LLSModel)); m->indep_count= indep_count; } void av_update_lls(LLSModel *m, double *var, double decay){ int i,j; for(i=0; i<=m->indep_count; i++){ for(j=i; j<=m->indep_count; j++){ m->covariance[i][j] *= decay; m->covariance[i][j] += var[i]*var[j]; } } } double av_solve_lls(LLSModel *m, double threshold){ int i,j,k; double (*factor)[MAX_VARS+1]= &m->covariance[1][0]; double (*covar )[MAX_VARS+1]= &m->covariance[1][1]; double *covar_y = m->covariance[0]; double variance; int count= m->indep_count; for(i=0; i<count; i++){ for(j=i; j<count; j++){ double sum= covar[i][j]; for(k=i-1; k>=0; k--) sum -= factor[i][k]*factor[j][k]; if(i==j){ if(sum < threshold) sum= 1.0; factor[i][i]= sqrt(sum); }else factor[j][i]= sum / factor[i][i]; } } for(i=0; i<count; i++){ double sum= covar_y[i+1]; for(k=i-1; k>=0; k--) sum -= factor[i][k]*m->coeff[k]; m->coeff[i]= sum / factor[i][i]; } for(i=count-1; i>=0; i--){ double sum= m->coeff[i]; for(k=i+1; k<count; k++) sum -= factor[k][i]*m->coeff[k]; m->coeff[i]= sum / factor[i][i]; } variance= covar_y[0]; for(i=0; i<count; i++){ double sum= m->coeff[i]*covar[i][i] - 2*covar_y[i+1]; for(j=0; j<i; j++) sum += 2*m->coeff[j]*covar[j][i]; variance += m->coeff[i]*sum; } return variance; } double av_evaluate_lls(LLSModel *m, double *param){ int i; double out= 0; for(i=0; i<m->indep_count; i++) out+= param[i]*m->coeff[i]; return out; } #ifdef TEST #include <stdlib.h> #include <stdio.h> int main(){ LLSModel m; int i; av_init_lls(&m, 3); for(i=0; i<100; i++){ double var[4]; double eval, variance; var[1] = rand() / (double)RAND_MAX; var[2] = rand() / (double)RAND_MAX; var[3] = rand() / (double)RAND_MAX; var[2]= var[1] + var[3]; var[0] = var[1] + var[2] + var[3] + var[1]*var[2]/100; eval= av_evaluate_lls(&m, var+1); av_update_lls(&m, var, 0.99); variance= av_solve_lls(&m, 0.001); av_log(NULL, AV_LOG_DEBUG, "real:%f pred:%f var:%f coeffs:%f %f %f\n", var[0], eval, sqrt(variance / (i+1)), m.coeff[0], m.coeff[1], m.coeff[2]); } return 0; } #endif