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authorAnkit Raj2017-06-21 11:42:02 +0530
committerAnkit Raj2017-06-21 11:42:02 +0530
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treec486321ca7a986cb0ffe9c1c8c5f9c385a697776 /thirdparty/includes/GSL/gsl/gsl_multifit.h
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parente92d6c6791aae06053637ad3bf6b0f9d8986986c (diff)
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+/* multifit/gsl_multifit.h
+ *
+ * Copyright (C) 2000, 2007, 2010 Brian Gough
+ * Copyright (C) 2013, Patrick Alken
+ *
+ * This program is free software; you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation; either version 3 of the License, or (at
+ * your option) any later version.
+ *
+ * This program 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
+ * General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with this program; if not, write to the Free Software
+ * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
+ */
+
+#ifndef __GSL_MULTIFIT_H__
+#define __GSL_MULTIFIT_H__
+
+#include <stdlib.h>
+#include <gsl/gsl_math.h>
+#include <gsl/gsl_vector.h>
+#include <gsl/gsl_matrix.h>
+#include <gsl/gsl_types.h>
+
+#undef __BEGIN_DECLS
+#undef __END_DECLS
+#ifdef __cplusplus
+# define __BEGIN_DECLS extern "C" {
+# define __END_DECLS }
+#else
+# define __BEGIN_DECLS /* empty */
+# define __END_DECLS /* empty */
+#endif
+
+__BEGIN_DECLS
+
+typedef struct
+{
+ size_t nmax; /* maximum number of observations */
+ size_t pmax; /* maximum number of parameters */
+ size_t n; /* number of observations in current SVD decomposition */
+ size_t p; /* number of parameters in current SVD decomposition */
+ gsl_matrix * A; /* least squares matrix for SVD, n-by-p */
+ gsl_matrix * Q;
+ gsl_matrix * QSI;
+ gsl_vector * S;
+ gsl_vector * t;
+ gsl_vector * xt;
+ gsl_vector * D;
+ double rcond; /* reciprocal condition number */
+}
+gsl_multifit_linear_workspace;
+
+gsl_multifit_linear_workspace *
+gsl_multifit_linear_alloc (const size_t n, const size_t p);
+
+void
+gsl_multifit_linear_free (gsl_multifit_linear_workspace * w);
+
+int
+gsl_multifit_linear (const gsl_matrix * X,
+ const gsl_vector * y,
+ gsl_vector * c,
+ gsl_matrix * cov,
+ double * chisq,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_svd (const gsl_matrix * X,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_bsvd (const gsl_matrix * X,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_solve (const double lambda,
+ const gsl_matrix * X,
+ const gsl_vector * y,
+ gsl_vector * c,
+ double *rnorm,
+ double *snorm,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_applyW(const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ gsl_matrix * WX,
+ gsl_vector * Wy);
+
+int
+gsl_multifit_linear_stdform1 (const gsl_vector * L,
+ const gsl_matrix * X,
+ const gsl_vector * y,
+ gsl_matrix * Xs,
+ gsl_vector * ys,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_wstdform1 (const gsl_vector * L,
+ const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ gsl_matrix * Xs,
+ gsl_vector * ys,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_L_decomp (gsl_matrix * L, gsl_vector * tau);
+
+int
+gsl_multifit_linear_stdform2 (const gsl_matrix * LQR,
+ const gsl_vector * Ltau,
+ const gsl_matrix * X,
+ const gsl_vector * y,
+ gsl_matrix * Xs,
+ gsl_vector * ys,
+ gsl_matrix * M,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_wstdform2 (const gsl_matrix * LQR,
+ const gsl_vector * Ltau,
+ const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ gsl_matrix * Xs,
+ gsl_vector * ys,
+ gsl_matrix * M,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_genform1 (const gsl_vector * L,
+ const gsl_vector * cs,
+ gsl_vector * c,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_genform2 (const gsl_matrix * LQR,
+ const gsl_vector * Ltau,
+ const gsl_matrix * X,
+ const gsl_vector * y,
+ const gsl_vector * cs,
+ const gsl_matrix * M,
+ gsl_vector * c,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_wgenform2 (const gsl_matrix * LQR,
+ const gsl_vector * Ltau,
+ const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ const gsl_vector * cs,
+ const gsl_matrix * M,
+ gsl_vector * c,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_lreg (const double smin, const double smax,
+ gsl_vector * reg_param);
+
+int
+gsl_multifit_linear_lcurve (const gsl_vector * y,
+ gsl_vector * reg_param,
+ gsl_vector * rho, gsl_vector * eta,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_lcorner(const gsl_vector *rho,
+ const gsl_vector *eta,
+ size_t *idx);
+
+int
+gsl_multifit_linear_lcorner2(const gsl_vector *reg_param,
+ const gsl_vector *eta,
+ size_t *idx);
+
+int
+gsl_multifit_linear_Lk(const size_t p, const size_t k, gsl_matrix *L);
+
+int
+gsl_multifit_linear_Lsobolev(const size_t p, const size_t kmax,
+ const gsl_vector *alpha, gsl_matrix *L,
+ gsl_multifit_linear_workspace *work);
+
+int
+gsl_multifit_wlinear (const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ gsl_vector * c,
+ gsl_matrix * cov,
+ double * chisq,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_wlinear_svd (const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ double tol,
+ size_t * rank,
+ gsl_vector * c,
+ gsl_matrix * cov,
+ double *chisq,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_wlinear_usvd (const gsl_matrix * X,
+ const gsl_vector * w,
+ const gsl_vector * y,
+ double tol,
+ size_t * rank,
+ gsl_vector * c,
+ gsl_matrix * cov,
+ double *chisq,
+ gsl_multifit_linear_workspace * work);
+
+int
+gsl_multifit_linear_est (const gsl_vector * x,
+ const gsl_vector * c,
+ const gsl_matrix * cov, double *y, double *y_err);
+
+double
+gsl_multifit_linear_rcond (const gsl_multifit_linear_workspace * w);
+
+int
+gsl_multifit_linear_residuals (const gsl_matrix *X, const gsl_vector *y,
+ const gsl_vector *c, gsl_vector *r);
+
+typedef struct
+{
+ const char * name; /* method name */
+ int (*wfun)(const gsl_vector *r, gsl_vector *w);
+ int (*psi_deriv)(const gsl_vector *r, gsl_vector *dpsi);
+ double tuning_default; /* default tuning constant */
+} gsl_multifit_robust_type;
+
+typedef struct
+{
+ double sigma_ols; /* OLS estimate of sigma */
+ double sigma_mad; /* MAD estimate of sigma */
+ double sigma_rob; /* robust estimate of sigma */
+ double sigma; /* final estimate of sigma */
+ double Rsq; /* R^2 coefficient of determination */
+ double adj_Rsq; /* degree of freedom adjusted R^2 */
+ double rmse; /* root mean squared error */
+ double sse; /* residual sum of squares */
+ size_t dof; /* degrees of freedom */
+ size_t numit; /* number of iterations */
+ gsl_vector *weights; /* final weights */
+ gsl_vector *r; /* final residuals y - X c */
+} gsl_multifit_robust_stats;
+
+typedef struct
+{
+ size_t n; /* number of observations */
+ size_t p; /* number of parameters */
+ size_t numit; /* number of iterations */
+ size_t maxiter; /* maximum iterations */
+ const gsl_multifit_robust_type *type;
+ double tune; /* tuning parameter */
+
+ gsl_vector *r; /* residuals at current iteration */
+ gsl_vector *weights; /* weights at current iteration */
+ gsl_vector *c_prev; /* coefficients from previous iteration */
+ gsl_vector *resfac; /* multiplicative factors for residuals */
+
+ gsl_vector *psi; /* psi(r) */
+ gsl_vector *dpsi; /* psi'(r) */
+
+ gsl_matrix *QSI; /* Q S^{-1} of original matrix X */
+ gsl_vector *D; /* balancing parameters of original matrix X */
+
+ gsl_vector *workn; /* workspace of length n */
+
+ gsl_multifit_robust_stats stats; /* various statistics */
+
+ gsl_multifit_linear_workspace *multifit_p;
+} gsl_multifit_robust_workspace;
+
+/* available types */
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_default;
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_bisquare;
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_cauchy;
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_fair;
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_huber;
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_ols;
+GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_welsch;
+
+gsl_multifit_robust_workspace *gsl_multifit_robust_alloc(const gsl_multifit_robust_type *T,
+ const size_t n, const size_t p);
+void gsl_multifit_robust_free(gsl_multifit_robust_workspace *w);
+int gsl_multifit_robust_tune(const double tune,
+ gsl_multifit_robust_workspace *w);
+int gsl_multifit_robust_maxiter(const size_t maxiter,
+ gsl_multifit_robust_workspace *w);
+const char *gsl_multifit_robust_name(const gsl_multifit_robust_workspace *w);
+gsl_multifit_robust_stats gsl_multifit_robust_statistics(const gsl_multifit_robust_workspace *w);
+int gsl_multifit_robust_weights(const gsl_vector *r, gsl_vector *wts,
+ gsl_multifit_robust_workspace *w);
+int gsl_multifit_robust(const gsl_matrix * X, const gsl_vector * y,
+ gsl_vector * c, gsl_matrix *cov,
+ gsl_multifit_robust_workspace *w);
+int gsl_multifit_robust_est(const gsl_vector * x, const gsl_vector * c,
+ const gsl_matrix * cov, double *y, double *y_err);
+int gsl_multifit_robust_residuals(const gsl_matrix * X,
+ const gsl_vector * y,
+ const gsl_vector * c, gsl_vector * r,
+ gsl_multifit_robust_workspace * w);
+
+__END_DECLS
+
+#endif /* __GSL_MULTIFIT_H__ */