Changeset 5275 for branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis/3.3/Evaluators/OnlineCovarianceEvaluator.cs

Timestamp:

01/11/11 15:03:46 (14 years ago)

Author:

gkronber

Message:

Merged changes from trunk to data analysis exploration branch and added fractional distance metric evaluator. #1142

File:

• branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis/3.3/Evaluators/OnlineCovarianceEvaluator.cs (modified) (2 diffs)

branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis/3.3/Evaluators/OnlineCovarianceEvaluator.cs

@@ -25 +25 @@
   public class OnlineCovarianceEvaluator : IOnlineEvaluator {
 
-    private double xMean, yMean, Cn;
+    private double originalMean, estimatedMean, Cn;
     private int n;
     public double Covariance {
@@ -47 +47 @@
       n = 0;
       Cn = 0.0;
-      xMean = 0.0;
-      yMean = 0.0;
+      originalMean = 0.0;
+      estimatedMean = 0.0;
     }
 
-    public void Add(double x, double y) {
-      if (double.IsNaN(x) || double.IsInfinity(x) ||
-          double.IsNaN(y) || double.IsInfinity(y)) {
+    public void Add(double original, double estimated) {
+      if (double.IsNaN(estimated) || double.IsInfinity(estimated) ||
+          double.IsNaN(original) || double.IsInfinity(original)) {
         throw new ArgumentException("Covariance is not defined for series containing NaN or infinity elements");
       } else {
         n++;
         // online calculation of tMean
-
-        xMean = xMean + (x - xMean) / n;
-        double deltaY = y - yMean; // delta = (y - yMean(n-1))
-        yMean = yMean + deltaY / n;
+        originalMean = originalMean + (original - originalMean) / n;
+        double delta = estimated - estimatedMean; // delta = (y - yMean(n-1))
+        estimatedMean = estimatedMean + delta / n;
 
         // online calculation of covariance
-        Cn = Cn + deltaY * (x - xMean); // C(n) = C(n-1) + (y - yMean(n-1)) (x - xMean(n))
+        Cn = Cn + delta * (original - originalMean); // C(n) = C(n-1) + (y - yMean(n-1)) (t - tMean(n))       
       }
     }