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author | Nao Pross <np@0hm.ch> | 2024-02-12 14:52:43 +0100 |
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committer | Nao Pross <np@0hm.ch> | 2024-02-12 14:52:43 +0100 |
commit | eda5bc26f44ee9a6f83dcf8c91f17296d7fc509d (patch) | |
tree | bc2efa38ff4e350f9a111ac87065cd7ae9a911c7 /src/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp | |
download | fsisotool-eda5bc26f44ee9a6f83dcf8c91f17296d7fc509d.tar.gz fsisotool-eda5bc26f44ee9a6f83dcf8c91f17296d7fc509d.zip |
Move into version control
Diffstat (limited to 'src/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp')
-rw-r--r-- | src/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp | 281 |
1 files changed, 281 insertions, 0 deletions
diff --git a/src/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp b/src/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp new file mode 100644 index 0000000..44fa77d --- /dev/null +++ b/src/armadillo/include/armadillo_bits/op_wishrnd_meat.hpp @@ -0,0 +1,281 @@ +// SPDX-License-Identifier: Apache-2.0 +// +// Copyright 2008-2016 Conrad Sanderson (http://conradsanderson.id.au) +// Copyright 2008-2016 National ICT Australia (NICTA) +// +// Licensed under the Apache License, Version 2.0 (the "License"); +// you may not use this file except in compliance with the License. +// You may obtain a copy of the License at +// http://www.apache.org/licenses/LICENSE-2.0 +// +// Unless required by applicable law or agreed to in writing, software +// distributed under the License is distributed on an "AS IS" BASIS, +// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. +// See the License for the specific language governing permissions and +// limitations under the License. +// ------------------------------------------------------------------------ + + +//! \addtogroup op_wishrnd +//! @{ + + +// implementation based on: +// Yu-Cheng Ku and Peter Bloomfield. +// Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX. +// Oxmetrics User Conference, 2010. + + +template<typename T1> +inline +void +op_wishrnd::apply(Mat<typename T1::elem_type>& out, const Op<T1,op_wishrnd>& expr) + { + arma_extra_debug_sigprint(); + + typedef typename T1::elem_type eT; + + const eT df = expr.aux; + const uword mode = expr.aux_uword_a; + + const bool status = op_wishrnd::apply_direct(out, expr.m, df, mode); + + if(status == false) + { + out.soft_reset(); + arma_stop_runtime_error("wishrnd(): given matrix is not symmetric positive definite"); + } + } + + + +template<typename T1> +inline +bool +op_wishrnd::apply_direct(Mat<typename T1::elem_type>& out, const Base<typename T1::elem_type,T1>& X, const typename T1::elem_type df, const uword mode) + { + arma_extra_debug_sigprint(); + + typedef typename T1::elem_type eT; + + const quasi_unwrap<T1> U(X.get_ref()); + + bool status = false; + + if(U.is_alias(out)) + { + Mat<eT> tmp; + + if(mode == 1) { status = op_wishrnd::apply_noalias_mode1(tmp, U.M, df); } + if(mode == 2) { status = op_wishrnd::apply_noalias_mode2(tmp, U.M, df); } + + out.steal_mem(tmp); + } + else + { + if(mode == 1) { status = op_wishrnd::apply_noalias_mode1(out, U.M, df); } + if(mode == 2) { status = op_wishrnd::apply_noalias_mode2(out, U.M, df); } + } + + return status; + } + + + +template<typename eT> +inline +bool +op_wishrnd::apply_noalias_mode1(Mat<eT>& out, const Mat<eT>& S, const eT df) + { + arma_extra_debug_sigprint(); + + arma_debug_check( (S.is_square() == false), "wishrnd(): given matrix must be square sized" ); + + if(S.is_empty()) { out.reset(); return true; } + + if(auxlib::rudimentary_sym_check(S) == false) { return false; } + + Mat<eT> D; + + const bool status = op_chol::apply_direct(D, S, 0); + + if(status == false) { return false; } + + return op_wishrnd::apply_noalias_mode2(out, D, df); + } + + + +template<typename eT> +inline +bool +op_wishrnd::apply_noalias_mode2(Mat<eT>& out, const Mat<eT>& D, const eT df) + { + arma_extra_debug_sigprint(); + + arma_debug_check( (df <= eT(0)), "df must be greater than zero" ); + arma_debug_check( (D.is_square() == false), "wishrnd(): given matrix must be square sized" ); + + if(D.is_empty()) { out.reset(); return true; } + + const uword N = D.n_rows; + + if(df < eT(N)) + { + arma_extra_debug_print("simple generator"); + + const uword df_floor = uword(std::floor(df)); + + const Mat<eT> tmp = (randn< Mat<eT> >(df_floor, N)) * D; + + out = tmp.t() * tmp; + } + else + { + arma_extra_debug_print("standard generator"); + + op_chi2rnd_varying_df<eT> chi2rnd_generator; + + Mat<eT> A(N, N, arma_zeros_indicator()); + + for(uword i=0; i<N; ++i) + { + A.at(i,i) = std::sqrt( chi2rnd_generator(df - eT(i)) ); + } + + for(uword i=1; i < N; ++i) + { + arma_rng::randn<eT>::fill( A.colptr(i), i ); + } + + const Mat<eT> tmp = A * D; + + A.reset(); + + out = tmp.t() * tmp; + } + + return true; + } + + + +// + + + +template<typename T1> +inline +void +op_iwishrnd::apply(Mat<typename T1::elem_type>& out, const Op<T1,op_iwishrnd>& expr) + { + arma_extra_debug_sigprint(); + + typedef typename T1::elem_type eT; + + const eT df = expr.aux; + const uword mode = expr.aux_uword_a; + + const bool status = op_iwishrnd::apply_direct(out, expr.m, df, mode); + + if(status == false) + { + out.soft_reset(); + arma_stop_runtime_error("iwishrnd(): given matrix is not symmetric positive definite and/or df is too low"); + } + } + + + +template<typename T1> +inline +bool +op_iwishrnd::apply_direct(Mat<typename T1::elem_type>& out, const Base<typename T1::elem_type,T1>& X, const typename T1::elem_type df, const uword mode) + { + arma_extra_debug_sigprint(); + + typedef typename T1::elem_type eT; + + const quasi_unwrap<T1> U(X.get_ref()); + + bool status = false; + + if(U.is_alias(out)) + { + Mat<eT> tmp; + + if(mode == 1) { status = op_iwishrnd::apply_noalias_mode1(tmp, U.M, df); } + if(mode == 2) { status = op_iwishrnd::apply_noalias_mode2(tmp, U.M, df); } + + out.steal_mem(tmp); + } + else + { + if(mode == 1) { status = op_iwishrnd::apply_noalias_mode1(out, U.M, df); } + if(mode == 2) { status = op_iwishrnd::apply_noalias_mode2(out, U.M, df); } + } + + return status; + } + + + +template<typename eT> +inline +bool +op_iwishrnd::apply_noalias_mode1(Mat<eT>& out, const Mat<eT>& T, const eT df) + { + arma_extra_debug_sigprint(); + + arma_debug_check( (T.is_square() == false), "iwishrnd(): given matrix must be square sized" ); + + if(T.is_empty()) { out.reset(); return true; } + + if(auxlib::rudimentary_sym_check(T) == false) { return false; } + + Mat<eT> Tinv; + Mat<eT> Dinv; + + const bool inv_status = auxlib::inv_sympd(Tinv, T); + + if(inv_status == false) { return false; } + + const bool chol_status = op_chol::apply_direct(Dinv, Tinv, 0); + + if(chol_status == false) { return false; } + + return op_iwishrnd::apply_noalias_mode2(out, Dinv, df); + } + + + +template<typename eT> +inline +bool +op_iwishrnd::apply_noalias_mode2(Mat<eT>& out, const Mat<eT>& Dinv, const eT df) + { + arma_extra_debug_sigprint(); + + arma_debug_check( (df <= eT(0)), "df must be greater than zero" ); + arma_debug_check( (Dinv.is_square() == false), "iwishrnd(): given matrix must be square sized" ); + + if(Dinv.is_empty()) { out.reset(); return true; } + + Mat<eT> tmp; + + const bool wishrnd_status = op_wishrnd::apply_noalias_mode2(tmp, Dinv, df); + + if(wishrnd_status == false) { return false; } + + const bool inv_status1 = auxlib::inv_sympd(out, tmp); + + const bool inv_status2 = (inv_status1) ? bool(true) : bool(auxlib::inv(out, tmp)); + + if(inv_status2 == false) { return false; } + + return true; + } + + + +//! @} |