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@ -30,76 +30,88 @@ |
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#include "lls.h" |
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void av_init_lls(LLSModel *m, int indep_count){ |
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void av_init_lls(LLSModel *m, int indep_count) |
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{ |
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memset(m, 0, sizeof(LLSModel)); |
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m->indep_count= indep_count; |
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m->indep_count = indep_count; |
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} |
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void av_update_lls(LLSModel *m, double *var, double decay){ |
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int i,j; |
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void av_update_lls(LLSModel *m, double *var, double decay) |
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{ |
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int i, j; |
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for(i=0; i<=m->indep_count; i++){ |
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for(j=i; j<=m->indep_count; j++){ |
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for (i = 0; i <= m->indep_count; i++) { |
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for (j = i; j <= m->indep_count; j++) { |
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m->covariance[i][j] *= decay; |
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m->covariance[i][j] += var[i]*var[j]; |
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m->covariance[i][j] += var[i] * var[j]; |
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} |
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} |
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} |
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void av_solve_lls(LLSModel *m, double threshold, int min_order){ |
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int i,j,k; |
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double (*factor)[MAX_VARS+1]= (void*)&m->covariance[1][0]; |
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double (*covar )[MAX_VARS+1]= (void*)&m->covariance[1][1]; |
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double *covar_y = m->covariance[0]; |
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int count= m->indep_count; |
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for(i=0; i<count; i++){ |
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for(j=i; j<count; j++){ |
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double sum= covar[i][j]; |
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for(k=i-1; k>=0; k--) |
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sum -= factor[i][k]*factor[j][k]; |
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if(i==j){ |
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if(sum < threshold) |
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sum= 1.0; |
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factor[i][i]= sqrt(sum); |
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}else |
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factor[j][i]= sum / factor[i][i]; |
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void av_solve_lls(LLSModel *m, double threshold, int min_order) |
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{ |
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int i, j, k; |
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double (*factor)[MAX_VARS + 1] = (void *) &m->covariance[1][0]; |
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double (*covar) [MAX_VARS + 1] = (void *) &m->covariance[1][1]; |
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double *covar_y = m->covariance[0]; |
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int count = m->indep_count; |
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for (i = 0; i < count; i++) { |
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for (j = i; j < count; j++) { |
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double sum = covar[i][j]; |
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for (k = i - 1; k >= 0; k--) |
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sum -= factor[i][k] * factor[j][k]; |
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if (i == j) { |
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if (sum < threshold) |
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sum = 1.0; |
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factor[i][i] = sqrt(sum); |
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} else { |
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factor[j][i] = sum / factor[i][i]; |
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} |
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} |
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} |
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for(i=0; i<count; i++){ |
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double sum= covar_y[i+1]; |
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for(k=i-1; k>=0; k--) |
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sum -= factor[i][k]*m->coeff[0][k]; |
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m->coeff[0][i]= sum / factor[i][i]; |
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for (i = 0; i < count; i++) { |
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double sum = covar_y[i + 1]; |
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for (k = i - 1; k >= 0; k--) |
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sum -= factor[i][k] * m->coeff[0][k]; |
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m->coeff[0][i] = sum / factor[i][i]; |
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} |
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for(j=count-1; j>=min_order; j--){ |
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for(i=j; i>=0; i--){ |
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double sum= m->coeff[0][i]; |
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for(k=i+1; k<=j; k++) |
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sum -= factor[k][i]*m->coeff[j][k]; |
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m->coeff[j][i]= sum / factor[i][i]; |
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for (j = count - 1; j >= min_order; j--) { |
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for (i = j; i >= 0; i--) { |
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double sum = m->coeff[0][i]; |
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for (k = i + 1; k <= j; k++) |
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sum -= factor[k][i] * m->coeff[j][k]; |
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m->coeff[j][i] = sum / factor[i][i]; |
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} |
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m->variance[j]= covar_y[0]; |
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for(i=0; i<=j; i++){ |
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double sum= m->coeff[j][i]*covar[i][i] - 2*covar_y[i+1]; |
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for(k=0; k<i; k++) |
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sum += 2*m->coeff[j][k]*covar[k][i]; |
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m->variance[j] += m->coeff[j][i]*sum; |
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m->variance[j] = covar_y[0]; |
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for (i = 0; i <= j; i++) { |
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double sum = m->coeff[j][i] * covar[i][i] - 2 * covar_y[i + 1]; |
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for (k = 0; k < i; k++) |
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sum += 2 * m->coeff[j][k] * covar[k][i]; |
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m->variance[j] += m->coeff[j][i] * sum; |
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} |
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} |
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} |
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double av_evaluate_lls(LLSModel *m, double *param, int order){ |
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double av_evaluate_lls(LLSModel *m, double *param, int order) |
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{ |
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int i; |
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double out= 0; |
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double out = 0; |
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for(i=0; i<=order; i++) |
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out+= param[i]*m->coeff[order][i]; |
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for (i = 0; i <= order; i++) |
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out += param[i] * m->coeff[order][i]; |
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return out; |
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} |
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@ -109,26 +121,29 @@ double av_evaluate_lls(LLSModel *m, double *param, int order){ |
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#include <stdlib.h> |
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#include <stdio.h> |
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int main(void){ |
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int main(void) |
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{ |
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LLSModel m; |
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int i, order; |
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av_init_lls(&m, 3); |
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for(i=0; i<100; i++){ |
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for (i = 0; i < 100; i++) { |
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double var[4]; |
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double eval; |
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var[0] = (rand() / (double)RAND_MAX - 0.5)*2; |
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var[1] = var[0] + rand() / (double)RAND_MAX - 0.5; |
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var[2] = var[1] + rand() / (double)RAND_MAX - 0.5; |
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var[3] = var[2] + rand() / (double)RAND_MAX - 0.5; |
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var[0] = (rand() / (double) RAND_MAX - 0.5) * 2; |
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var[1] = var[0] + rand() / (double) RAND_MAX - 0.5; |
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var[2] = var[1] + rand() / (double) RAND_MAX - 0.5; |
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var[3] = var[2] + rand() / (double) RAND_MAX - 0.5; |
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av_update_lls(&m, var, 0.99); |
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av_solve_lls(&m, 0.001, 0); |
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for(order=0; order<3; order++){ |
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eval= av_evaluate_lls(&m, var+1, order); |
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for (order = 0; order < 3; order++) { |
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eval = av_evaluate_lls(&m, var + 1, order); |
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printf("real:%9f order:%d pred:%9f var:%f coeffs:%f %9f %9f\n", |
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var[0], order, eval, sqrt(m.variance[order] / (i+1)), |
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m.coeff[order][0], m.coeff[order][1], m.coeff[order][2]); |
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var[0], order, eval, sqrt(m.variance[order] / (i + 1)), |
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m.coeff[order][0], m.coeff[order][1], |
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m.coeff[order][2]); |
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} |
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} |
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return 0; |
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