Added boost header
This commit is contained in:
Christophe Riccio
186
test/external/boost/accumulators/statistics/weighted_variance.hpp
vendored
Normal file
186
test/external/boost/accumulators/statistics/weighted_variance.hpp
vendored
Normal file
@@ -0,0 +1,186 @@
|
||||
///////////////////////////////////////////////////////////////////////////////
|
||||
// weighted_variance.hpp
|
||||
//
|
||||
// Copyright 2005 Daniel Egloff, Eric Niebler. Distributed under the Boost
|
||||
// Software License, Version 1.0. (See accompanying file
|
||||
// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
|
||||
|
||||
#ifndef BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_VARIANCE_HPP_EAN_28_10_2005
|
||||
#define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_VARIANCE_HPP_EAN_28_10_2005
|
||||
|
||||
#include <boost/mpl/placeholders.hpp>
|
||||
#include <boost/accumulators/framework/accumulator_base.hpp>
|
||||
#include <boost/accumulators/framework/extractor.hpp>
|
||||
#include <boost/accumulators/numeric/functional.hpp>
|
||||
#include <boost/accumulators/framework/parameters/sample.hpp>
|
||||
#include <boost/accumulators/framework/depends_on.hpp>
|
||||
#include <boost/accumulators/statistics_fwd.hpp>
|
||||
#include <boost/accumulators/statistics/count.hpp>
|
||||
#include <boost/accumulators/statistics/variance.hpp>
|
||||
#include <boost/accumulators/statistics/weighted_sum.hpp>
|
||||
#include <boost/accumulators/statistics/weighted_mean.hpp>
|
||||
#include <boost/accumulators/statistics/weighted_moment.hpp>
|
||||
|
||||
namespace boost { namespace accumulators
|
||||
{
|
||||
|
||||
namespace impl
|
||||
{
|
||||
//! Lazy calculation of variance of weighted samples.
|
||||
/*!
|
||||
The default implementation of the variance of weighted samples is based on the second moment
|
||||
\f$\widehat{m}_n^{(2)}\f$ (weighted_moment<2>) and the mean\f$ \hat{\mu}_n\f$ (weighted_mean):
|
||||
\f[
|
||||
\hat{\sigma}_n^2 = \widehat{m}_n^{(2)}-\hat{\mu}_n^2,
|
||||
\f]
|
||||
where \f$n\f$ is the number of samples.
|
||||
*/
|
||||
template<typename Sample, typename Weight, typename MeanFeature>
|
||||
struct lazy_weighted_variance_impl
|
||||
: accumulator_base
|
||||
{
|
||||
typedef typename numeric::functional::multiplies<Sample, Weight>::result_type weighted_sample;
|
||||
// for boost::result_of
|
||||
typedef typename numeric::functional::average<weighted_sample, Weight>::result_type result_type;
|
||||
|
||||
lazy_weighted_variance_impl(dont_care) {}
|
||||
|
||||
template<typename Args>
|
||||
result_type result(Args const &args) const
|
||||
{
|
||||
extractor<MeanFeature> const some_mean = {};
|
||||
result_type tmp = some_mean(args);
|
||||
return accumulators::weighted_moment<2>(args) - tmp * tmp;
|
||||
}
|
||||
};
|
||||
|
||||
//! Iterative calculation of variance of weighted samples.
|
||||
/*!
|
||||
Iterative calculation of variance of weighted samples:
|
||||
\f[
|
||||
\hat{\sigma}_n^2 =
|
||||
\frac{\bar{w}_n - w_n}{\bar{w}_n}\hat{\sigma}_{n - 1}^2
|
||||
+ \frac{w_n}{\bar{w}_n - w_n}\left(X_n - \hat{\mu}_n\right)^2
|
||||
,\quad n\ge2,\quad\hat{\sigma}_0^2 = 0.
|
||||
\f]
|
||||
where \f$\bar{w}_n\f$ is the sum of the \f$n\f$ weights \f$w_i\f$ and \f$\hat{\mu}_n\f$
|
||||
the estimate of the mean of the weighted smaples. Note that the sample variance is not defined for
|
||||
\f$n <= 1\f$.
|
||||
*/
|
||||
template<typename Sample, typename Weight, typename MeanFeature, typename Tag>
|
||||
struct weighted_variance_impl
|
||||
: accumulator_base
|
||||
{
|
||||
typedef typename numeric::functional::multiplies<Sample, Weight>::result_type weighted_sample;
|
||||
// for boost::result_of
|
||||
typedef typename numeric::functional::average<weighted_sample, Weight>::result_type result_type;
|
||||
|
||||
template<typename Args>
|
||||
weighted_variance_impl(Args const &args)
|
||||
: weighted_variance(numeric::average(args[sample | Sample()], numeric::one<Weight>::value))
|
||||
{
|
||||
}
|
||||
|
||||
template<typename Args>
|
||||
void operator ()(Args const &args)
|
||||
{
|
||||
std::size_t cnt = count(args);
|
||||
|
||||
if(cnt > 1)
|
||||
{
|
||||
extractor<MeanFeature> const some_mean = {};
|
||||
|
||||
result_type tmp = args[parameter::keyword<Tag>::get()] - some_mean(args);
|
||||
|
||||
this->weighted_variance =
|
||||
numeric::average(this->weighted_variance * (sum_of_weights(args) - args[weight]), sum_of_weights(args))
|
||||
+ numeric::average(tmp * tmp * args[weight], sum_of_weights(args) - args[weight] );
|
||||
}
|
||||
}
|
||||
|
||||
result_type result(dont_care) const
|
||||
{
|
||||
return this->weighted_variance;
|
||||
}
|
||||
|
||||
private:
|
||||
result_type weighted_variance;
|
||||
};
|
||||
|
||||
} // namespace impl
|
||||
|
||||
///////////////////////////////////////////////////////////////////////////////
|
||||
// tag::weighted_variance
|
||||
// tag::immediate_weighted_variance
|
||||
//
|
||||
namespace tag
|
||||
{
|
||||
struct lazy_weighted_variance
|
||||
: depends_on<weighted_moment<2>, weighted_mean>
|
||||
{
|
||||
/// INTERNAL ONLY
|
||||
///
|
||||
typedef accumulators::impl::lazy_weighted_variance_impl<mpl::_1, mpl::_2, weighted_mean> impl;
|
||||
};
|
||||
|
||||
struct weighted_variance
|
||||
: depends_on<count, immediate_weighted_mean>
|
||||
{
|
||||
/// INTERNAL ONLY
|
||||
///
|
||||
typedef accumulators::impl::weighted_variance_impl<mpl::_1, mpl::_2, immediate_weighted_mean, sample> impl;
|
||||
};
|
||||
}
|
||||
|
||||
///////////////////////////////////////////////////////////////////////////////
|
||||
// extract::weighted_variance
|
||||
// extract::immediate_weighted_variance
|
||||
//
|
||||
namespace extract
|
||||
{
|
||||
extractor<tag::lazy_weighted_variance> const lazy_weighted_variance = {};
|
||||
extractor<tag::weighted_variance> const weighted_variance = {};
|
||||
|
||||
BOOST_ACCUMULATORS_IGNORE_GLOBAL(lazy_weighted_variance)
|
||||
BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_variance)
|
||||
}
|
||||
|
||||
using extract::lazy_weighted_variance;
|
||||
using extract::weighted_variance;
|
||||
|
||||
// weighted_variance(lazy) -> lazy_weighted_variance
|
||||
template<>
|
||||
struct as_feature<tag::weighted_variance(lazy)>
|
||||
{
|
||||
typedef tag::lazy_weighted_variance type;
|
||||
};
|
||||
|
||||
// weighted_variance(immediate) -> weighted_variance
|
||||
template<>
|
||||
struct as_feature<tag::weighted_variance(immediate)>
|
||||
{
|
||||
typedef tag::weighted_variance type;
|
||||
};
|
||||
|
||||
////////////////////////////////////////////////////////////////////////////
|
||||
//// droppable_accumulator<weighted_variance_impl>
|
||||
//// need to specialize droppable lazy weighted_variance to cache the result at the
|
||||
//// point the accumulator is dropped.
|
||||
///// INTERNAL ONLY
|
||||
/////
|
||||
//template<typename Sample, typename Weight, typename MeanFeature>
|
||||
//struct droppable_accumulator<impl::weighted_variance_impl<Sample, Weight, MeanFeature> >
|
||||
// : droppable_accumulator_base<
|
||||
// with_cached_result<impl::weighted_variance_impl<Sample, Weight, MeanFeature> >
|
||||
// >
|
||||
//{
|
||||
// template<typename Args>
|
||||
// droppable_accumulator(Args const &args)
|
||||
// : droppable_accumulator::base(args)
|
||||
// {
|
||||
// }
|
||||
//};
|
||||
|
||||
}} // namespace boost::accumulators
|
||||
|
||||
#endif
|
||||
Reference in New Issue
Block a user