samer@0: /*
samer@0:  *	Copyright (c) 2000, Samer Abdallah, King's College London.
samer@0:  *	All rights reserved.
samer@0:  *
samer@0:  *	This software is provided AS iS and WITHOUT ANY WARRANTY; 
samer@0:  *	without even the implied warranty of MERCHANTABILITY or 
samer@0:  *	FITNESS FOR A PARTICULAR PURPOSE.
samer@0:  */
samer@0: 
samer@0: package samer.models;
samer@0: import  samer.core.*;
samer@0: import  samer.core.types.*;
samer@0: import  samer.maths.*;
samer@0: import  samer.tools.*;
samer@0: import  java.util.*;
samer@0: 
samer@0: /**
samer@0: 	Collect covariance statistics assuming input is zero mean.
samer@0: */
samer@0: public class Covariance extends NamedTask
samer@0: {
samer@0: 	VVector		vector;
samer@0: 	Matrix		C;
samer@0: 	int			n, count;
samer@0: 	double	[] 	x;
samer@0: 	double	[][] _C;
samer@0: 	VDouble	rate;
samer@0: 	double	[] sig;
samer@0: 
samer@0: 	public Covariance(VVector vec) throws Exception
samer@0: 	{
samer@0: 		super("covariance");
samer@0: 		Shell.push(node);
samer@0: 		
samer@0: 		n=vec.size();
samer@0: 		C = new Matrix("C",n,n);	// second moment: sum products
samer@0: 		rate=new VDouble("rate",0.001);
samer@0: 		Shell.pop();
samer@0: 
samer@0: 		sig= new double[n];
samer@0: 		_C=C.getArray();
samer@0: 		x=vec.array();
samer@0: 		vector=vec;
samer@0: 	}
samer@0: 
samer@0: 	public void dispose() { rate.dispose(); C.dispose(); }
samer@0: 
samer@0: 	public void reset() { C.zero(); }
samer@0: 	public void getCorrelation(Matrix R) {
samer@0: 		double [][] _R=R.getArray();
samer@0: 		
samer@0: 		// first get std devs and put 1s down diagonal
samer@0: 		for (int i=0; i<n; i++) {
samer@0: 			sig[i] = Math.sqrt(_C[i][i]);
samer@0: 		}
samer@0: 
samer@0: 		for (int i=0; i<n; i++) {
samer@0: 			for (int j=0; j<i; j++) { // off diagonal
samer@0: 				_R[i][j] = _C[i][j]/(sig[i]*sig[j]);
samer@0: //				_R[j][i] = _R[i][j];
samer@0: 			}
samer@0: 			_R[i][i]=1;
samer@0: 		}
samer@0: 		R.changed();
samer@0: 	}
samer@0: 
samer@0: 	
samer@0: 	public void starting() {}
samer@0: 	public void stopping() {}
samer@0: 	public void run()
samer@0: 	{
samer@0: 		double eta=rate.value;
samer@0: 		
samer@0: 		for (int i=0; i<n; i++) {
samer@0: 			double  [] a=_C[i];
samer@0: 			double  k=x[i];
samer@0: 			for (int j=0; j<=i; j++) {
samer@0: 				a[j] += eta*(k*x[j]-a[j]);
samer@0: 			}
samer@0: 		}
samer@0: 		C.changed();
samer@0: 	}
samer@0: }
samer@0: