[8826] | 1 | #region License Information
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| 2 | /* HeuristicLab
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| 3 | * Copyright (C) 2002-2012 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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| 4 | *
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| 5 | * This file is part of HeuristicLab.
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| 6 | *
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| 7 | * HeuristicLab is free software: you can redistribute it and/or modify
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| 8 | * it under the terms of the GNU General Public License as published by
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| 9 | * the Free Software Foundation, either version 3 of the License, or
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| 10 | * (at your option) any later version.
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| 11 | *
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| 12 | * HeuristicLab is distributed in the hope that it will be useful,
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| 13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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| 14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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| 15 | * GNU General Public License for more details.
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| 16 | *
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| 17 | * You should have received a copy of the GNU General Public License
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| 18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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| 19 | */
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| 20 | #endregion
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| 21 |
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| 22 | using System;
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| 23 | using System.Collections.Generic;
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| 24 | using System.Linq;
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| 25 | using HeuristicLab.Algorithms.DataAnalysis;
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| 26 | using HeuristicLab.Core;
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| 27 | using HeuristicLab.Random;
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| 28 |
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| 29 | namespace HeuristicLab.Problems.Instances.DataAnalysis {
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| 30 | public class Util {
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| 31 |
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| 32 |
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| 33 |
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| 34 | public static List<double> SampleGaussianProcess(IRandom random, ICovarianceFunction covFunction, List<List<double>> data) {
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| 35 |
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| 36 | double[,] x = new double[data[0].Count, 1];
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| 37 | for (int i = 0; i < x.GetLength(0); i++)
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| 38 | for (int j = 0; j < x.GetLength(1); j++)
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| 39 | x[i, j] = data[j][i];
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| 40 | double[,] K = new double[x.GetLength(0), x.GetLength(0)];
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| 41 | for (int i = 0; i < K.GetLength(0); i++)
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| 42 | for (int j = i; j < K.GetLength(1); j++)
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| 43 | K[i, j] = covFunction.GetCovariance(x, i, j, null);
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| 44 |
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| 45 | var normalRand = new NormalDistributedRandom(random, 0, 1);
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| 46 |
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| 47 | if (!alglib.spdmatrixcholesky(ref K, K.GetLength(0), true)) throw new ArgumentException();
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| 48 | var r = (from i in Enumerable.Range(0, K.GetLength(0))
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| 49 | select normalRand.NextDouble()).ToArray();
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| 50 |
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| 51 | List<double> target = new List<double>(K.GetLength(0));
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| 52 | for (int i = 0; i < K.GetLength(0); i++) {
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| 53 | double s = 0.0;
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| 54 | for (int j = K.GetLength(0) - 1; j >= 0; j--) {
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| 55 |
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| 56 | s += K[j, i] * r[j];
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| 57 | }
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| 58 |
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| 59 | target.Add(s);
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| 60 | }
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| 61 |
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| 62 | return target;
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| 63 | }
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| 64 | }
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| 65 | }
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