[4027] | 1 | #region License Information
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| 2 | /* HeuristicLab
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[11171] | 3 | * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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[4027] | 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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[5507] | 23 | using System.Collections.Generic;
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[4027] | 24 |
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[5491] | 25 | namespace HeuristicLab.Problems.DataAnalysis {
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[5942] | 26 | public class OnlineCovarianceCalculator : IOnlineCalculator {
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[4027] | 27 |
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[6964] | 28 | private double xMean, yMean, Cn;
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[4027] | 29 | private int n;
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| 30 | public double Covariance {
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| 31 | get {
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[5742] | 32 | return n > 0 ? Cn / n : 0.0;
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[4027] | 33 | }
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| 34 | }
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| 35 |
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[5942] | 36 | public OnlineCovarianceCalculator() {
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[4027] | 37 | Reset();
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| 38 | }
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| 39 |
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[5942] | 40 | #region IOnlineCalculator Members
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| 41 | private OnlineCalculatorError errorState;
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| 42 | public OnlineCalculatorError ErrorState {
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[5894] | 43 | get { return errorState; }
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| 44 | }
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[4027] | 45 | public double Value {
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| 46 | get { return Covariance; }
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| 47 | }
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| 48 | public void Reset() {
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| 49 | n = 0;
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| 50 | Cn = 0.0;
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[6964] | 51 | xMean = 0.0;
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| 52 | yMean = 0.0;
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[5942] | 53 | errorState = OnlineCalculatorError.InsufficientElementsAdded;
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[4027] | 54 | }
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| 55 |
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[6964] | 56 | public void Add(double x, double y) {
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| 57 | if (double.IsNaN(y) || double.IsInfinity(y) || double.IsNaN(x) || double.IsInfinity(x) || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
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[5942] | 58 | errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
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[5904] | 59 | } else {
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[4027] | 60 | n++;
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[5942] | 61 | errorState = errorState & (~OnlineCalculatorError.InsufficientElementsAdded); // n >= 1
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[5894] | 62 |
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[4027] | 63 | // online calculation of tMean
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[6964] | 64 | xMean = xMean + (x - xMean) / n;
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| 65 | double delta = y - yMean; // delta = (y - yMean(n-1))
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| 66 | yMean = yMean + delta / n;
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[4027] | 67 |
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| 68 | // online calculation of covariance
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[6964] | 69 | Cn = Cn + delta * (x - xMean); // C(n) = C(n-1) + (y - yMean(n-1)) (t - tMean(n))
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[4027] | 70 | }
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| 71 | }
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| 72 | #endregion
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[5507] | 73 |
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[5942] | 74 | public static double Calculate(IEnumerable<double> first, IEnumerable<double> second, out OnlineCalculatorError errorState) {
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[5507] | 75 | IEnumerator<double> firstEnumerator = first.GetEnumerator();
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| 76 | IEnumerator<double> secondEnumerator = second.GetEnumerator();
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[5942] | 77 | OnlineCovarianceCalculator covarianceCalculator = new OnlineCovarianceCalculator();
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[5507] | 78 |
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[5564] | 79 | // always move forward both enumerators (do not use short-circuit evaluation!)
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| 80 | while (firstEnumerator.MoveNext() & secondEnumerator.MoveNext()) {
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[6964] | 81 | double x = secondEnumerator.Current;
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| 82 | double y = firstEnumerator.Current;
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| 83 | covarianceCalculator.Add(x, y);
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[5945] | 84 | if (covarianceCalculator.ErrorState != OnlineCalculatorError.None) break;
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[5507] | 85 | }
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| 86 |
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[5564] | 87 | // check if both enumerators are at the end to make sure both enumerations have the same length
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[5945] | 88 | if (covarianceCalculator.ErrorState == OnlineCalculatorError.None &&
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| 89 | (secondEnumerator.MoveNext() || firstEnumerator.MoveNext())) {
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[5507] | 90 | throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
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| 91 | } else {
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[5942] | 92 | errorState = covarianceCalculator.ErrorState;
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| 93 | return covarianceCalculator.Covariance;
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[5507] | 94 | }
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| 95 | }
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[4027] | 96 | }
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| 97 | }
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