List of usage examples for org.apache.commons.math3.stat.correlation StorelessCovariance getCovarianceMatrix
@Override public RealMatrix getCovarianceMatrix() throws NumberIsTooSmallException
From source file:edu.oregonstate.eecs.mcplan.ml.LinearDiscriminantAnalysis.java
/** * @param data The elements of 'data' will be modified. * @param label/*from w w w.ja v a2 s .c o m*/ * @param Nclasses * @param shrinkage_intensity */ public LinearDiscriminantAnalysis(final ArrayList<double[]> data, final int[] label, final int Nclasses, final double shrinkage) { assert (data.size() == label.length); final int Ndata = data.size(); final int Ndim = data.get(0).length; // Partition data by class final ArrayList<ArrayList<double[]>> classes = new ArrayList<ArrayList<double[]>>(Nclasses); for (int i = 0; i < Nclasses; ++i) { classes.add(new ArrayList<double[]>()); } for (int i = 0; i < data.size(); ++i) { classes.get(label[i]).add(data.get(i)); } // Mean center the data final VectorMeanVarianceAccumulator mv = new VectorMeanVarianceAccumulator(Ndim); for (int i = 0; i < Ndata; ++i) { mv.add(data.get(i)); } mean = mv.mean(); // Subtract global mean for (final double[] x : data) { Fn.vminus_inplace(x, mean); } // Calculate class means and covariances final double[][] class_mean = new double[Nclasses][Ndim]; final RealMatrix[] class_cov = new RealMatrix[Nclasses]; for (int i = 0; i < Nclasses; ++i) { final ArrayList<double[]> Xc = classes.get(i); final VectorMeanVarianceAccumulator mv_i = new VectorMeanVarianceAccumulator(Ndim); final StorelessCovariance cov = new StorelessCovariance(Ndim); for (int j = 0; j < Xc.size(); ++j) { final double[] x = Xc.get(j); mv_i.add(x); cov.increment(x); } class_mean[i] = mv_i.mean(); class_cov[i] = cov.getCovarianceMatrix(); } // Between-class scatter. // Note that 'data' is mean-centered, so the global mean is 0. RealMatrix Sb_builder = new Array2DRowRealMatrix(Ndim, Ndim); for (int i = 0; i < Nclasses; ++i) { final RealVector mu_i = new ArrayRealVector(class_mean[i]); final RealMatrix xxt = mu_i.outerProduct(mu_i); Sb_builder = Sb_builder.add(xxt.scalarMultiply(classes.get(i).size() / ((double) Ndata - 1))); } this.Sb = Sb_builder; Sb_builder = null; // Within-class scatter with shrinkage estimate: // Sw = (1.0 - shrinkage) * \sum Sigma_i + shrinkage * I RealMatrix Sw_builder = new Array2DRowRealMatrix(Ndim, Ndim); for (int i = 0; i < Nclasses; ++i) { final RealMatrix Sigma_i = class_cov[i]; final RealMatrix scaled = Sigma_i.scalarMultiply((1.0 - shrinkage) * (classes.get(i).size() - 1)); Sw_builder = Sw_builder.add(scaled); } for (int i = 0; i < Ndim; ++i) { Sw_builder.setEntry(i, i, Sw_builder.getEntry(i, i) + shrinkage); } this.Sw = Sw_builder; Sw_builder = null; // Invert Sw System.out.println("[LDA] Sw inverse"); final RealMatrix Sw_inv = new LUDecomposition(Sw).getSolver().getInverse(); final RealMatrix F = Sw_inv.multiply(Sb); System.out.println("[LDA] Eigendecomposition"); eigenvalues = new double[Nclasses - 1]; eigenvectors = new ArrayList<RealVector>(Nclasses - 1); final EigenDecomposition evd = new EigenDecomposition(F); for (int j = 0; j < Nclasses - 1; ++j) { final double eigenvalue = evd.getRealEigenvalue(j); eigenvalues[j] = eigenvalue; // final double scale = 1.0 / Math.sqrt( eigenvalue ); // eigenvectors.add( evd.getEigenvector( j ).mapMultiply( scale ) ); eigenvectors.add(evd.getEigenvector(j)); } }
From source file:com.analog.lyric.dimple.test.solvers.sumproduct.TestSampledFactors.java
/** * Adapted from MATLAB test4 in tests/algoGaussian/testSampledFactors.m *//*from w ww . ja v a 2 s. c o m*/ @Test public void sampledComplexProduct() { // NOTE: test may fail if seed is changed! We keep the number of samples down so that the test doesn't // take too long. Increasing the samples produces better results. testRand.setSeed(42); try (CurrentModel cur = using(new FactorGraph())) { final Complex a = complex("a"); final Complex b = complex("b"); final Complex c = product(a, b); double[] aMean = new double[] { 10, 10 }; RealMatrix aCovariance = randCovariance(2); a.setPrior(new MultivariateNormal(aMean, aCovariance.getData())); double[] bMean = new double[] { -20, 20 }; RealMatrix bCovariance = randCovariance(2); b.setPrior(new MultivariateNormalParameters(bMean, bCovariance.getData())); GaussianRandomGenerator normalGenerator = new GaussianRandomGenerator(testRand); CorrelatedRandomVectorGenerator aGenerator = new CorrelatedRandomVectorGenerator(aMean, aCovariance, 1e-12, normalGenerator); CorrelatedRandomVectorGenerator bGenerator = new CorrelatedRandomVectorGenerator(bMean, bCovariance, 1e-12, normalGenerator); StorelessCovariance expectedCov = new StorelessCovariance(2); final int nSamples = 10000; RealVector expectedMean = MatrixUtils.createRealVector(new double[2]); double[] cSample = new double[2]; for (int i = 0; i < nSamples; ++i) { double[] aSample = aGenerator.nextVector(); double[] bSample = bGenerator.nextVector(); // Compute complex product cSample[0] = aSample[0] * bSample[0] - aSample[1] * bSample[1]; cSample[1] = aSample[0] * bSample[1] + aSample[1] * bSample[0]; expectedMean.addToEntry(0, cSample[0]); expectedMean.addToEntry(1, cSample[1]); expectedCov.increment(cSample); } expectedMean.mapDivideToSelf(nSamples); // normalize SumProductSolverGraph sfg = requireNonNull(cur.graph.setSolverFactory(new SumProductSolver())); sfg.setOption(GibbsOptions.numSamples, nSamples); sfg.solve(); MultivariateNormalParameters cBelief = requireNonNull(c.getBelief()); RealVector observedMean = MatrixUtils.createRealVector(cBelief.getMean()); double scaledMeanDistance = expectedMean.getDistance(observedMean) / expectedMean.getNorm(); // System.out.format("expectedMean = %s\n", expectedMean); // System.out.format("observedMean = %s\n", observedMean); // System.out.println(scaledMeanDistance); assertEquals(0.0, scaledMeanDistance, .02); RealMatrix expectedCovariance = expectedCov.getCovarianceMatrix(); RealMatrix observedCovariance = MatrixUtils.createRealMatrix(cBelief.getCovariance()); RealMatrix diffCovariance = expectedCovariance.subtract(observedCovariance); double scaledCovarianceDistance = diffCovariance.getNorm() / expectedCovariance.getNorm(); // System.out.println(expectedCovariance); // System.out.println(expectedCovariance.getNorm()); // System.out.println(diffCovariance); // System.out.println(diffCovariance.getNorm()); // System.out.println(diffCovariance.getNorm() / expectedCovariance.getNorm()); assertEquals(0.0, scaledCovarianceDistance, .2); } }