AdaptiveKernelDensityEstimation.h

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//
// File: AdaptiveKernelDensityEstimation.h
// Authors:
//   Julien Dutheil
// Created: 2009-11-05 13:25:07
//
 
/*
  Copyright or © or Copr. Bio++ Development Team, (November 17, 2004)
  
  This software is a computer program whose purpose is to provide classes
  for numerical calculus. This file is part of the Bio++ project.
  
  This software is governed by the CeCILL license under French law and
  abiding by the rules of distribution of free software. You can use,
  modify and/ or redistribute the software under the terms of the CeCILL
  license as circulated by CEA, CNRS and INRIA at the following URL
  "http://www.cecill.info".
  
  As a counterpart to the access to the source code and rights to copy,
  modify and redistribute granted by the license, users are provided only
  with a limited warranty and the software's author, the holder of the
  economic rights, and the successive licensors have only limited
  liability.
  
  In this respect, the user's attention is drawn to the risks associated
  with loading, using, modifying and/or developing or reproducing the
  software by the user in light of its specific status of free software,
  that may mean that it is complicated to manipulate, and that also
  therefore means that it is reserved for developers and experienced
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*/
 
#ifndef BPP_NUMERIC_ADAPTIVEKERNELDENSITYESTIMATION_H
#define BPP_NUMERIC_ADAPTIVEKERNELDENSITYESTIMATION_H
 
 
#include "Matrix/Matrix.h"
 
namespace bpp
{
class AdaptiveKernelDensityEstimation
{
private:
  RowMatrix<double> x_; // The original sample
  size_t n_;
  size_t r_;
  RowMatrix<double> covar_; // The covariance matrix, used for the linear transformation
  RowMatrix<double> invSqrtCovar_; // The inverse of the square root of the covariance matrix, used for the linear transformation
  std::vector<double> xMean_;
  double gamma_; // Tune the effect of the pilot density.
  double c1_;
  std::vector<double> c2_;
  double h_; // The bandwidth.
  std::vector<double> lambda_; // The local tuning coefficient of the bandwidth.
  std::vector<double> pilot_; // The pilot density
 
public:
  AdaptiveKernelDensityEstimation(const Matrix<double>& x, double gamma = 0.5) :
    x_(x), n_(x.getNumberOfColumns()), r_(x.getNumberOfRows()),
    covar_(), invSqrtCovar_(), xMean_(), gamma_(gamma),
    c1_(0), c2_(x.getNumberOfColumns()), h_(0),
    lambda_(x.getNumberOfColumns()), pilot_(x.getNumberOfColumns())
  {
    init_();
  }
  virtual ~AdaptiveKernelDensityEstimation() {}
 
public:
  double kDensity(const std::vector<double>& x);
 
private:
  void init_();
 
  void sampleMean_(const Matrix<double>& x, std::vector<double>& mean);
 
  double kernel_(const Matrix<double>& x);
};
} // End of namespace bpp.
#endif // BPP_NUMERIC_ADAPTIVEKERNELDENSITYESTIMATION_H