#region License Information
/* HeuristicLab
* Copyright (C) 2002-2015 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
*
* This file is part of HeuristicLab.
*
* HeuristicLab is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* HeuristicLab is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with HeuristicLab. If not, see .
*/
#endregion
using System;
using System.Collections.Generic;
namespace HeuristicLab.Problems.DataAnalysis {
public class OnlineCovarianceCalculator : IOnlineCalculator {
private double xMean, yMean, Cn;
private int n;
public double Covariance {
get {
return n > 0 ? Cn / n : 0.0;
}
}
public OnlineCovarianceCalculator() {
Reset();
}
#region IOnlineCalculator Members
private OnlineCalculatorError errorState;
public OnlineCalculatorError ErrorState {
get { return errorState; }
}
public double Value {
get { return Covariance; }
}
public void Reset() {
n = 0;
Cn = 0.0;
xMean = 0.0;
yMean = 0.0;
errorState = OnlineCalculatorError.InsufficientElementsAdded;
}
public void Add(double x, double y) {
if (double.IsNaN(y) || double.IsInfinity(y) || double.IsNaN(x) || double.IsInfinity(x) || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
} else {
n++;
errorState = errorState & (~OnlineCalculatorError.InsufficientElementsAdded); // n >= 1
// online calculation of tMean
xMean = xMean + (x - xMean) / n;
double delta = y - yMean; // delta = (y - yMean(n-1))
yMean = yMean + delta / n;
// online calculation of covariance
Cn = Cn + delta * (x - xMean); // C(n) = C(n-1) + (y - yMean(n-1)) (t - tMean(n))
}
}
#endregion
public static double Calculate(IEnumerable first, IEnumerable second, out OnlineCalculatorError errorState) {
IEnumerator firstEnumerator = first.GetEnumerator();
IEnumerator secondEnumerator = second.GetEnumerator();
OnlineCovarianceCalculator covarianceCalculator = new OnlineCovarianceCalculator();
// always move forward both enumerators (do not use short-circuit evaluation!)
while (firstEnumerator.MoveNext() & secondEnumerator.MoveNext()) {
double x = secondEnumerator.Current;
double y = firstEnumerator.Current;
covarianceCalculator.Add(x, y);
if (covarianceCalculator.ErrorState != OnlineCalculatorError.None) break;
}
// check if both enumerators are at the end to make sure both enumerations have the same length
if (covarianceCalculator.ErrorState == OnlineCalculatorError.None &&
(secondEnumerator.MoveNext() || firstEnumerator.MoveNext())) {
throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
} else {
errorState = covarianceCalculator.ErrorState;
return covarianceCalculator.Covariance;
}
}
}
}