// // C++ Implementation: itpp_ext // // Description: // // // Author: smidl , (C) 2008 // // Copyright: See COPYING file that comes with this distribution // // #include "itpp_ext.h" #ifndef M_PI #define M_PI 3.14159265358979323846 #endif // from algebra/lapack.h extern "C" { /* QR factorization of a general matrix A */ void dgeqrf_ ( int *m, int *n, double *a, int *lda, double *tau, double *work, int *lwork, int *info ); }; namespace itpp { Array to_Arr ( const ivec &indices ) { Array a ( indices.size() ); for ( int i = 0; i < a.size(); i++ ) { a ( i ) = indices ( i ); } return a; } ivec linspace ( int from, int to ) { int n = to - from + 1; int i; it_assert_debug ( n > 0, "wrong linspace" ); ivec iv ( n ); for ( i = 0; i < n; i++ ) iv ( i ) = from + i; return iv; }; void set_subvector ( vec &ov, const ivec &iv, const vec &v ) { it_assert_debug ( ( iv.length() <= v.length() ), "Vec<>::set_subvector(ivec, vec): Indexing out " "of range of v" ); for ( int i = 0; i < iv.length(); i++ ) { it_assert_debug ( iv ( i ) < ov.length(), "Vec<>::set_subvector(ivec, vec): Indexing out " "of range of v" ); ov ( iv ( i ) ) = v ( i ); } } vec get_vec ( const vec &v, const ivec &indexlist ) { int size = indexlist.size(); vec temp ( size ); for ( int i = 0; i < size; ++i ) { temp ( i ) = v._data() [indexlist ( i ) ]; } return temp; } // Gamma #define log std::log #define exp std::exp #define sqrt std::sqrt #define R_FINITE std::isfinite bvec operator> ( const vec &t1, const vec &t2 ) { it_assert_debug ( t1.length() == t2.length(), "Vec<>::operator>(): different size of vectors" ); bvec temp ( t1.length() ); for ( int i = 0; i < t1.length(); i++ ) temp ( i ) = ( t1[i] > t2[i] ); return temp; } bvec operator< ( const vec &t1, const vec &t2 ) { it_assert_debug ( t1.length() == t2.length(), "Vec<>::operator>(): different size of vectors" ); bvec temp ( t1.length() ); for ( int i = 0; i < t1.length(); i++ ) temp ( i ) = ( t1[i] < t2[i] ); return temp; } bvec operator& ( const bvec &a, const bvec &b ) { it_assert_debug ( b.size() == a.size(), "operator&(): Vectors of different lengths" ); bvec temp ( a.size() ); for ( int i = 0; i < a.size(); i++ ) { temp ( i ) = a ( i ) & b ( i ); } return temp; } bvec operator| ( const bvec &a, const bvec &b ) { it_assert_debug ( b.size() != a.size(), "operator&(): Vectors of different lengths" ); bvec temp ( a.size() ); for ( int i = 0; i < a.size(); i++ ) { temp ( i ) = a ( i ) | b ( i ); } return temp; } //#if 0 Gamma_RNG::Gamma_RNG ( double a, double b ) { setup ( a, b ); } double Gamma_RNG::sample() { //A copy of rgamma code from the R package!! // /* Constants : */ const static double sqrt32 = 5.656854; const static double exp_m1 = 0.36787944117144232159;/* exp(-1) = 1/e */ /* Coefficients q[k] - for q0 = sum(q[k]*a^(-k)) * Coefficients a[k] - for q = q0+(t*t/2)*sum(a[k]*v^k) * Coefficients e[k] - for exp(q)-1 = sum(e[k]*q^k) */ const static double q1 = 0.04166669; const static double q2 = 0.02083148; const static double q3 = 0.00801191; const static double q4 = 0.00144121; const static double q5 = -7.388e-5; const static double q6 = 2.4511e-4; const static double q7 = 2.424e-4; const static double a1 = 0.3333333; const static double a2 = -0.250003; const static double a3 = 0.2000062; const static double a4 = -0.1662921; const static double a5 = 0.1423657; const static double a6 = -0.1367177; const static double a7 = 0.1233795; /* State variables [FIXME for threading!] :*/ static double aa = 0.; static double aaa = 0.; static double s, s2, d; /* no. 1 (step 1) */ static double q0, b, si, c;/* no. 2 (step 4) */ double e, p, q, r, t, u, v, w, x, ret_val; double a = alpha; double scale = 1.0 / beta; if ( !R_FINITE ( a ) || !R_FINITE ( scale ) || a < 0.0 || scale <= 0.0 ) { it_error ( "Gamma_RNG wrong parameters" ); } if ( a < 1. ) { /* GS algorithm for parameters a < 1 */ if ( a == 0 ) return 0.; e = 1.0 + exp_m1 * a; for ( ;; ) { //VS repeat p = e * unif_rand(); if ( p >= 1.0 ) { x = -log ( ( e - p ) / a ); if ( exp_rand() >= ( 1.0 - a ) * log ( x ) ) break; } else { x = exp ( log ( p ) / a ); if ( exp_rand() >= x ) break; } } return scale * x; } /* --- a >= 1 : GD algorithm --- */ /* Step 1: Recalculations of s2, s, d if a has changed */ if ( a != aa ) { aa = a; s2 = a - 0.5; s = sqrt ( s2 ); d = sqrt32 - s * 12.0; } /* Step 2: t = standard normal deviate, x = (s,1/2) -normal deviate. */ /* immediate acceptance (i) */ t = norm_rand(); x = s + 0.5 * t; ret_val = x * x; if ( t >= 0.0 ) return scale * ret_val; /* Step 3: u = 0,1 - uniform sample. squeeze acceptance (s) */ u = unif_rand(); if ( ( d * u ) <= ( t * t * t ) ) return scale * ret_val; /* Step 4: recalculations of q0, b, si, c if necessary */ if ( a != aaa ) { aaa = a; r = 1.0 / a; q0 = ( ( ( ( ( ( q7 * r + q6 ) * r + q5 ) * r + q4 ) * r + q3 ) * r + q2 ) * r + q1 ) * r; /* Approximation depending on size of parameter a */ /* The constants in the expressions for b, si and c */ /* were established by numerical experiments */ if ( a <= 3.686 ) { b = 0.463 + s + 0.178 * s2; si = 1.235; c = 0.195 / s - 0.079 + 0.16 * s; } else if ( a <= 13.022 ) { b = 1.654 + 0.0076 * s2; si = 1.68 / s + 0.275; c = 0.062 / s + 0.024; } else { b = 1.77; si = 0.75; c = 0.1515 / s; } } /* Step 5: no quotient test if x not positive */ if ( x > 0.0 ) { /* Step 6: calculation of v and quotient q */ v = t / ( s + s ); if ( fabs ( v ) <= 0.25 ) q = q0 + 0.5 * t * t * ( ( ( ( ( ( a7 * v + a6 ) * v + a5 ) * v + a4 ) * v + a3 ) * v + a2 ) * v + a1 ) * v; else q = q0 - s * t + 0.25 * t * t + ( s2 + s2 ) * log ( 1.0 + v ); /* Step 7: quotient acceptance (q) */ if ( log ( 1.0 - u ) <= q ) return scale * ret_val; } for ( ;; ) { //VS repeat /* Step 8: e = standard exponential deviate * u = 0,1 -uniform deviate * t = (b,si)-double exponential (laplace) sample */ e = exp_rand(); u = unif_rand(); u = u + u - 1.0; if ( u < 0.0 ) t = b - si * e; else t = b + si * e; /* Step 9: rejection if t < tau(1) = -0.71874483771719 */ if ( t >= -0.71874483771719 ) { /* Step 10: calculation of v and quotient q */ v = t / ( s + s ); if ( fabs ( v ) <= 0.25 ) q = q0 + 0.5 * t * t * ( ( ( ( ( ( a7 * v + a6 ) * v + a5 ) * v + a4 ) * v + a3 ) * v + a2 ) * v + a1 ) * v; else q = q0 - s * t + 0.25 * t * t + ( s2 + s2 ) * log ( 1.0 + v ); /* Step 11: hat acceptance (h) */ /* (if q not positive go to step 8) */ if ( q > 0.0 ) { // TODO: w = expm1(q); w = exp ( q ) - 1; /* ^^^^^ original code had approximation with rel.err < 2e-7 */ /* if t is rejected sample again at step 8 */ if ( ( c * fabs ( u ) ) <= ( w * exp ( e - 0.5 * t * t ) ) ) break; } } } /* repeat .. until `t' is accepted */ x = s + 0.5 * t; return scale * x * x; } bool qr ( const mat &A, mat &R ) { int info; int m = A.rows(); int n = A.cols(); int lwork = n; int k = std::min ( m, n ); vec tau ( k ); vec work ( lwork ); R = A; // perform workspace query for optimum lwork value int lwork_tmp = -1; dgeqrf_ ( &m, &n, R._data(), &m, tau._data(), work._data(), &lwork_tmp, &info ); if ( info == 0 ) { lwork = static_cast ( work ( 0 ) ); work.set_size ( lwork, false ); } dgeqrf_ ( &m, &n, R._data(), &m, tau._data(), work._data(), &lwork, &info ); // construct R for ( int i = 0; i < m; i++ ) for ( int j = 0; j < std::min ( i, n ); j++ ) R ( i, j ) = 0; return ( info == 0 ); } //#endif std::string num2str ( double d ) { char tmp[20];//that should do sprintf ( tmp, "%f", d ); return std::string ( tmp ); }; std::string num2str ( int i ) { char tmp[10];//that should do sprintf ( tmp, "%d", i ); return std::string ( tmp ); }; // digamma // copied from C. Bonds' source #include #define el 0.5772156649015329 double psi ( double x ) { double s, ps, xa, x2; int n, k; static double a[] = { -0.8333333333333e-01, 0.83333333333333333e-02, -0.39682539682539683e-02, 0.41666666666666667e-02, -0.75757575757575758e-02, 0.21092796092796093e-01, -0.83333333333333333e-01, 0.4432598039215686 }; xa = fabs ( x ); s = 0.0; if ( ( x == ( int ) x ) && ( x <= 0.0 ) ) { ps = 1e308; return ps; } if ( xa == ( int ) xa ) { n = xa; for ( k = 1; k < n; k++ ) { s += 1.0 / k; } ps = s - el; } else if ( ( xa + 0.5 ) == ( ( int ) ( xa + 0.5 ) ) ) { n = xa - 0.5; for ( k = 1; k <= n; k++ ) { s += 1.0 / ( 2.0 * k - 1.0 ); } ps = 2.0 * s - el - 1.386294361119891; } else { if ( xa < 10.0 ) { n = 10 - ( int ) xa; for ( k = 0; k < n; k++ ) { s += 1.0 / ( xa + k ); } xa += n; } x2 = 1.0 / ( xa * xa ); ps = log ( xa ) - 0.5 / xa + x2 * ( ( ( ( ( ( ( a[7] * x2 + a[6] ) * x2 + a[5] ) * x2 + a[4] ) * x2 + a[3] ) * x2 + a[2] ) * x2 + a[1] ) * x2 + a[0] ); ps -= s; } if ( x < 0.0 ) ps = ps - M_PI * std::cos ( M_PI * x ) / std::sin ( M_PI * x ) - 1.0 / x; return ps; } void triu(mat &A){ for(int i=1;i