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@@ -49,12 +49,11 @@ void av_update_lls(LLSModel *m, double *var, double decay){ |
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} |
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} |
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double av_solve_lls(LLSModel *m, double threshold){ |
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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]= &m->covariance[1][0]; |
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double (*covar )[MAX_VARS+1]= &m->covariance[1][1]; |
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double *covar_y = m->covariance[0]; |
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double variance; |
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int count= m->indep_count; |
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for(i=0; i<count; i++){ |
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@@ -75,33 +74,34 @@ double av_solve_lls(LLSModel *m, double threshold){ |
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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[k]; |
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m->coeff[i]= sum / factor[i][i]; |
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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(i=count-1; i>=0; i--){ |
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double sum= m->coeff[i]; |
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for(k=i+1; k<count; k++) |
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sum -= factor[k][i]*m->coeff[k]; |
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m->coeff[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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} |
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variance= covar_y[0]; |
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for(i=0; i<count; i++){ |
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double sum= m->coeff[i]*covar[i][i] - 2*covar_y[i+1]; |
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for(j=0; j<i; j++) |
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sum += 2*m->coeff[j]*covar[j][i]; |
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variance += m->coeff[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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return variance; |
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} |
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double av_evaluate_lls(LLSModel *m, double *param){ |
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double av_evaluate_lls(LLSModel *m, double *param, int order){ |
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int i; |
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double out= 0; |
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for(i=0; i<m->indep_count; i++) |
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out+= param[i]*m->coeff[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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@@ -113,27 +113,35 @@ double av_evaluate_lls(LLSModel *m, double *param){ |
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int main(){ |
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LLSModel m; |
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int i; |
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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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double var[4]; |
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double eval, variance; |
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#if 0 |
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var[1] = rand() / (double)RAND_MAX; |
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var[2] = rand() / (double)RAND_MAX; |
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var[3] = rand() / (double)RAND_MAX; |
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var[2]= var[1] + var[3]; |
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var[2]= var[1] + var[3]/2; |
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var[0] = var[1] + var[2] + var[3] + var[1]*var[2]/100; |
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eval= av_evaluate_lls(&m, var+1); |
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#else |
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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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#endif |
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av_update_lls(&m, var, 0.99); |
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variance= av_solve_lls(&m, 0.001); |
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av_log(NULL, AV_LOG_DEBUG, "real:%f pred:%f var:%f coeffs:%f %f %f\n", |
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var[0], eval, sqrt(variance / (i+1)), |
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m.coeff[0], m.coeff[1], m.coeff[2]); |
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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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av_log(NULL, AV_LOG_DEBUG, "real:%f order:%d pred:%f var:%f coeffs:%f %f %f\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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} |
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} |
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return 0; |
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} |
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