// // 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 { vec empty_vec = vec(0); 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 < A.rows();i++) { // row cycle for (int j = 0; j < i; j++) {A (i, j) = 0;} } } //! Storage of randun() internals class RandunStorage { const int A; const int M; static double seed; static int counter; public: RandunStorage() : A (16807), M (2147483647) {}; //!set seed of the randun() generator void set_seed (double seed0) {seed = seed0;} //! generate randun() sample double get() { long long tmp = A * seed; tmp = tmp % M; seed = tmp; counter++; return seed / M; } }; static RandunStorage randun_global_storage; double RandunStorage::seed = 1111111; int RandunStorage::counter = 0; double randun() {return randun_global_storage.get();}; vec randun (int n) {vec res (n); for (int i = 0;i < n;i++) {res (i) = randun();}; return res;}; mat randun (int n, int m) {mat res (n, m); for (int i = 0;i < n*m;i++) {res (i) = randun();}; return res;}; ivec unique (const ivec &in) { ivec uniq (0); int j = 0; bool found = false; for (int i = 0;i < in.length(); i++) { found = false; j = 0; while ( (!found) && (j < uniq.length())) { if (in (i) == uniq (j)) found = true; j++; } if (!found) uniq = concat (uniq, in (i)); } return uniq; } ivec unique_complement (const ivec &in, const ivec &base) { // almost a copy of unique ivec uniq (0); int j = 0; bool found = false; for (int i = 0;i < in.length(); i++) { found = false; j = 0; while ( (!found) && (j < uniq.length())) { if (in (i) == uniq (j)) found = true; j++; } j=0; while ( (!found) && (j < base.length())) { if (in (i) == base (j)) found = true; j++; } if (!found) uniq = concat (uniq, in (i)); } return uniq; } }