1 /*
2 * Licensed to the Apache Software Foundation (ASF) under one or more
3 * contributor license agreements. See the NOTICE file distributed with
4 * this work for additional information regarding copyright ownership.
5 * The ASF licenses this file to You under the Apache License, Version 2.0
6 * (the "License"); you may not use this file except in compliance with
7 * the License. You may obtain a copy of the License at
8 *
9 * https://www.apache.org/licenses/LICENSE-2.0
10 *
11 * Unless required by applicable law or agreed to in writing, software
12 * distributed under the License is distributed on an "AS IS" BASIS,
13 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14 * See the License for the specific language governing permissions and
15 * limitations under the License.
16 */
17
18 /*
19 * This is not the original file distributed by the Apache Software Foundation
20 * It has been modified by the Hipparchus project
21 */
22 package org.hipparchus.stat.descriptive.vector;
23
24 import java.io.Serializable;
25 import java.util.Arrays;
26
27 import org.hipparchus.exception.MathIllegalArgumentException;
28 import org.hipparchus.linear.MatrixUtils;
29 import org.hipparchus.linear.RealMatrix;
30 import org.hipparchus.util.MathArrays;
31
32 /**
33 * Returns the covariance matrix of the available vectors.
34 */
35 public class VectorialCovariance implements Serializable {
36
37 /** Serializable version identifier */
38 private static final long serialVersionUID = 4118372414238930270L;
39
40 /** Sums for each component. */
41 private final double[] sums;
42
43 /** Sums of products for each component. */
44 private final double[] productsSums;
45
46 /** Indicator for bias correction. */
47 private final boolean isBiasCorrected;
48
49 /** Number of vectors in the sample. */
50 private long n;
51
52 /** Constructs a VectorialCovariance.
53 * @param dimension vectors dimension
54 * @param isBiasCorrected if true, computed the unbiased sample covariance,
55 * otherwise computes the biased population covariance
56 */
57 public VectorialCovariance(int dimension, boolean isBiasCorrected) {
58 sums = new double[dimension];
59 productsSums = new double[dimension * (dimension + 1) / 2];
60 n = 0;
61 this.isBiasCorrected = isBiasCorrected;
62 }
63
64 /**
65 * Add a new vector to the sample.
66 * @param v vector to add
67 * @throws MathIllegalArgumentException if the vector does not have the right dimension
68 */
69 public void increment(double[] v) throws MathIllegalArgumentException {
70 MathArrays.checkEqualLength(v, sums);
71 int k = 0;
72 for (int i = 0; i < v.length; ++i) {
73 sums[i] += v[i];
74 for (int j = 0; j <= i; ++j) {
75 productsSums[k++] += v[i] * v[j];
76 }
77 }
78 n++;
79 }
80
81 /**
82 * Get the covariance matrix.
83 * @return covariance matrix
84 */
85 public RealMatrix getResult() {
86
87 int dimension = sums.length;
88 RealMatrix result = MatrixUtils.createRealMatrix(dimension, dimension);
89
90 if (n > 1) {
91 double c = 1.0 / (n * (isBiasCorrected ? (n - 1) : n));
92 int k = 0;
93 for (int i = 0; i < dimension; ++i) {
94 for (int j = 0; j <= i; ++j) {
95 double e = c * (n * productsSums[k++] - sums[i] * sums[j]);
96 result.setEntry(i, j, e);
97 result.setEntry(j, i, e);
98 }
99 }
100 }
101
102 return result;
103
104 }
105
106 /**
107 * Get the number of vectors in the sample.
108 * @return number of vectors in the sample
109 */
110 public long getN() {
111 return n;
112 }
113
114 /**
115 * Clears the internal state of the Statistic
116 */
117 public void clear() {
118 n = 0;
119 Arrays.fill(sums, 0.0);
120 Arrays.fill(productsSums, 0.0);
121 }
122
123 /** {@inheritDoc} */
124 @Override
125 public int hashCode() {
126 final int prime = 31;
127 int result = 1;
128 result = prime * result + (isBiasCorrected ? 1231 : 1237);
129 result = prime * result + (int) (n ^ (n >>> 32));
130 result = prime * result + Arrays.hashCode(productsSums);
131 result = prime * result + Arrays.hashCode(sums);
132 return result;
133 }
134
135 /** {@inheritDoc} */
136 @Override
137 public boolean equals(Object obj) {
138 if (this == obj) {
139 return true;
140 }
141 if (!(obj instanceof VectorialCovariance)) {
142 return false;
143 }
144 VectorialCovariance other = (VectorialCovariance) obj;
145 if (isBiasCorrected != other.isBiasCorrected) {
146 return false;
147 }
148 if (n != other.n) {
149 return false;
150 }
151 if (!Arrays.equals(productsSums, other.productsSums)) {
152 return false;
153 }
154 if (!Arrays.equals(sums, other.sums)) {
155 return false;
156 }
157 return true;
158 }
159
160 }