source: branches/MathNetNumerics-Exploration-2789/Main/Program.cs @ 15449

using System;
using System.Collections.Generic;
using System.Globalization;
using System.Linq;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using HeuristicLab.Algorithms.DataAnalysis.Experimental;
using HeuristicLab.Problems.DataAnalysis;

namespace Main {
  class Program {
    static void Main(string[] args) {
      var xs = HeuristicLab.Common.SequenceGenerator.GenerateSteps(-3.5, 3.5, 0.1, includeEnd: true).ToList();
      var ys = xs.Select(xi => 1.0 / Math.Sqrt(2 * Math.PI) * Math.Exp(-0.5 * xi * xi)).ToArray(); // 1.0 / (Math.Sqrt(2 * Math.PI) * Math.Exp(-0.5 * xi * xi))).ToArray();

      int n = xs.Count();
      alglib.hqrndstate state;
      alglib.hqrndseed(1234, 5678, out state);
      var ys_noise = ys.Select(yi => yi + alglib.hqrndnormal(state) * 0.1).ToList();

      CubicSplineGCV.CubGcvReport report;
      var model = CubicSplineGCV.CalculateCubicSpline(
        xs.ToArray(), ys_noise.ToArray(), "y", new string[] { "x" }, out report);

      Console.WriteLine("Smoothing Parameter (= RHO/(RHO + 1) {0}", report.smoothingParameter);
      Console.WriteLine("Estimated DOF of RSS {0}", report.estimatedRSSDegreesOfFreedom);
      Console.WriteLine("GCV {0}", report.generalizedCrossValidation);
      Console.WriteLine("Mean squared residual {0}", report.meanSquareResiudal);
      Console.WriteLine("Estimate of true MSE at data points {0}", report.estimatedTrueMeanSquaredErrorAtDataPoints);
      Console.WriteLine("Estimate of error variance {0}", report.estimatedErrorVariance);
      Console.WriteLine("Mean square value of DF(I) {0}", report.meanSquareOfDf);

      OnlineCalculatorError error;
      var ys_smoothed = xs.Select(xi => model.GetEstimatedValue(xi)).ToArray();
      var mse = OnlineMeanSquaredErrorCalculator.Calculate(ys, ys_smoothed, out error);
      Console.WriteLine("MSE(ys, ys_smooth) = {0}", mse);
      mse = OnlineMeanSquaredErrorCalculator.Calculate(ys, ys_noise, out error);
      Console.WriteLine("MSE(ys, ys_noise) = {0}", mse);

      Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture;

      for (int i = 0; i < n; i++) {
        Console.WriteLine("{0}\t{1}\t{2}\t{3}\t{4}\t{5}",
          xs[i], ys[i], ys_smoothed[i], ys_noise[i], ys_smoothed[i] + 1.96 * report.se[i], ys_smoothed[i] - 1.96 * report.se[i]);
      }
    }
  }
}