Changeset 9124 for branches/HeuristicLab.Problems.GaussianProcessTuning/HeuristicLab.Problems.Instances.DataAnalysis.GaussianProcessRegression/Util.cs

Timestamp:

01/08/13 11:01:56 (12 years ago)

Author:

gkronber

Message:

#1967 implemented utility app to draw random samples using a GP prior

File:

• branches/HeuristicLab.Problems.GaussianProcessTuning/HeuristicLab.Problems.Instances.DataAnalysis.GaussianProcessRegression/Util.cs (modified) (3 diffs)

branches/HeuristicLab.Problems.GaussianProcessTuning/HeuristicLab.Problems.Instances.DataAnalysis.GaussianProcessRegression/Util.cs

@@ -31 +31 @@
 
 
+    public static List<double> SampleGaussianProcess(IRandom random, ParameterizedCovarianceFunction covFunction, List<List<double>> data) {
+      int n = data[0].Count;
 
-    public static List<double> SampleGaussianProcess(IRandom random, ParameterizedCovarianceFunction covFunction, List<List<double>> data) {
+      var normalRand = new NormalDistributedRandom(random, 0, 1);
+      var alpha = (from i in Enumerable.Range(0, n)
+                   select normalRand.NextDouble()).ToArray();
+      return SampleGaussianProcess(random, covFunction, data, alpha);
+    }
+
+    public static List<double> SampleGaussianProcess(IRandom random, ParameterizedCovarianceFunction covFunction, List<List<double>> data, double[] alpha) {
+      if (alpha.Length != data[0].Count) throw new ArgumentException();
 
       double[,] x = new double[data[0].Count, data.Count];
@@ -43 +52 @@
           K[i, j] = covFunction.Covariance(x, i, j);
 
-      var normalRand = new NormalDistributedRandom(random, 0, 1);
-
       if (!alglib.spdmatrixcholesky(ref K, K.GetLength(0), true)) throw new ArgumentException();
-      var r = (from i in Enumerable.Range(0, K.GetLength(0))
-               select normalRand.NextDouble()).ToArray();
 
       List<double> target = new List<double>(K.GetLength(0));
@@ -54 +59 @@
         for (int j = K.GetLength(0) - 1; j >= 0; j--) {
 
-          s += K[j, i] * r[j];
+          s += K[j, i] * alpha[j];
         }