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Diffstat (limited to 'thirdparty/includes/GSL/gsl/gsl_multifit.h')
| -rw-r--r-- | thirdparty/includes/GSL/gsl/gsl_multifit.h | 319 |
1 files changed, 319 insertions, 0 deletions
diff --git a/thirdparty/includes/GSL/gsl/gsl_multifit.h b/thirdparty/includes/GSL/gsl/gsl_multifit.h new file mode 100644 index 0000000..403e995 --- /dev/null +++ b/thirdparty/includes/GSL/gsl/gsl_multifit.h @@ -0,0 +1,319 @@ +/* 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__ */ |