alglib 0.1.1

data/ext/alglib/clu.h

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+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _clu_h
+#define _clu_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+LU decomposition of a complex general matrix of size MxN
+
+The subroutine calculates the LU decomposition of a rectangular general
+matrix with partial pivoting (with row permutations).
+
+Input parameters:
+    A   -   matrix A whose indexes range within [0..M-1, 0..N-1].
+    M   -   number of rows in matrix A.
+    N   -   number of columns in matrix A.
+
+Output parameters:
+    A   -   matrices L and U in compact form (see below).
+            Array whose indexes range within [0..M-1, 0..N-1].
+    Pivots - permutation matrix in compact form (see below).
+            Array whose index ranges within [0..Min(M-1,N-1)].
+
+Matrix A is represented as A = P * L * U, where P is a permutation matrix,
+matrix L - lower triangular (or lower trapezoid, if M>N) matrix,
+U - upper triangular (or upper trapezoid, if M<N) matrix.
+
+Let M be equal to 4 and N be equal to 3:
+
+                   (  1          )    ( U11 U12 U13  )
+A = P1 * P2 * P3 * ( L21  1      )  * (     U22 U23  )
+                   ( L31 L32  1  )    (         U33  )
+                   ( L41 L42 L43 )
+
+Matrix L has size MxMin(M,N), matrix U has size Min(M,N)xN, matrix P(i) is
+a permutation of the identity matrix of size MxM with numbers I and Pivots[I].
+
+The algorithm returns array Pivots and the following matrix which replaces
+matrix A and contains matrices L and U in compact form (the example applies
+to M=4, N=3).
+
+ ( U11 U12 U13 )
+ ( L21 U22 U23 )
+ ( L31 L32 U33 )
+ ( L41 L42 L43 )
+
+As we can see, the unit diagonal isn't stored.
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     June 30, 1992
+*************************************************************************/
+void cmatrixlu(ap::complex_2d_array& a,
+     int m,
+     int n,
+     ap::integer_1d_array& pivots);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine, left for backward compatibility.
+See CMatrixLU for 0-based replacement.
+*************************************************************************/
+void complexludecomposition(ap::complex_2d_array& a,
+     int m,
+     int n,
+     ap::integer_1d_array& pivots);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine, left for backward compatibility.
+See CMatrixLU for 0-based replacement.
+*************************************************************************/
+void complexludecompositionunpacked(ap::complex_2d_array a,
+     int m,
+     int n,
+     ap::complex_2d_array& l,
+     ap::complex_2d_array& u,
+     ap::integer_1d_array& pivots);
+
+
+#endif

data/ext/alglib/correlation.cpp

@@ -0,0 +1,280 @@
+/*************************************************************************
+Copyright (c) 2007, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "correlation.h"
+
+static void rankx(ap::real_1d_array& x, int n);
+
+/*************************************************************************
+Pearson product-moment correlation coefficient
+
+Input parameters:
+    X       -   sample 1 (array indexes: [0..N-1])
+    Y       -   sample 2 (array indexes: [0..N-1])
+    N       -   sample size.
+
+Result:
+    Pearson product-moment correlation coefficient
+
+  -- ALGLIB --
+     Copyright 09.04.2007 by Bochkanov Sergey
+*************************************************************************/
+double pearsoncorrelation(const ap::real_1d_array& x,
+     const ap::real_1d_array& y,
+     int n)
+{
+    double result;
+    int i;
+    double xmean;
+    double ymean;
+    double s;
+    double xv;
+    double yv;
+    double t1;
+    double t2;
+
+    xv = 0;
+    yv = 0;
+    if( n<=1 )
+    {
+        result = 0;
+        return result;
+    }
+    
+    //
+    // Mean
+    //
+    xmean = 0;
+    ymean = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        xmean = xmean+x(i);
+        ymean = ymean+y(i);
+    }
+    xmean = xmean/n;
+    ymean = ymean/n;
+    
+    //
+    // numerator and denominator
+    //
+    s = 0;
+    xv = 0;
+    yv = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        t1 = x(i)-xmean;
+        t2 = y(i)-ymean;
+        xv = xv+ap::sqr(t1);
+        yv = yv+ap::sqr(t2);
+        s = s+t1*t2;
+    }
+    if( xv==0||yv==0 )
+    {
+        result = 0;
+    }
+    else
+    {
+        result = s/(sqrt(xv)*sqrt(yv));
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Spearman's rank correlation coefficient
+
+Input parameters:
+    X       -   sample 1 (array indexes: [0..N-1])
+    Y       -   sample 2 (array indexes: [0..N-1])
+    N       -   sample size.
+
+Result:
+    Spearman's rank correlation coefficient
+
+  -- ALGLIB --
+     Copyright 09.04.2007 by Bochkanov Sergey
+*************************************************************************/
+double spearmanrankcorrelation(ap::real_1d_array x,
+     ap::real_1d_array y,
+     int n)
+{
+    double result;
+
+    rankx(x, n);
+    rankx(y, n);
+    result = pearsoncorrelation(x, y, n);
+    return result;
+}
+
+
+/*************************************************************************
+Internal ranking subroutine
+*************************************************************************/
+static void rankx(ap::real_1d_array& x, int n)
+{
+    int i;
+    int j;
+    int k;
+    int t;
+    double tmp;
+    int tmpi;
+    ap::real_1d_array r;
+    ap::integer_1d_array c;
+
+    
+    //
+    // Prepare
+    //
+    if( n<=1 )
+    {
+        x(0) = 1;
+        return;
+    }
+    r.setbounds(0, n-1);
+    c.setbounds(0, n-1);
+    for(i = 0; i <= n-1; i++)
+    {
+        r(i) = x(i);
+        c(i) = i;
+    }
+    
+    //
+    // sort {R, C}
+    //
+    if( n!=1 )
+    {
+        i = 2;
+        do
+        {
+            t = i;
+            while(t!=1)
+            {
+                k = t/2;
+                if( r(k-1)>=r(t-1) )
+                {
+                    t = 1;
+                }
+                else
+                {
+                    tmp = r(k-1);
+                    r(k-1) = r(t-1);
+                    r(t-1) = tmp;
+                    tmpi = c(k-1);
+                    c(k-1) = c(t-1);
+                    c(t-1) = tmpi;
+                    t = k;
+                }
+            }
+            i = i+1;
+        }
+        while(i<=n);
+        i = n-1;
+        do
+        {
+            tmp = r(i);
+            r(i) = r(0);
+            r(0) = tmp;
+            tmpi = c(i);
+            c(i) = c(0);
+            c(0) = tmpi;
+            t = 1;
+            while(t!=0)
+            {
+                k = 2*t;
+                if( k>i )
+                {
+                    t = 0;
+                }
+                else
+                {
+                    if( k<i )
+                    {
+                        if( r(k)>r(k-1) )
+                        {
+                            k = k+1;
+                        }
+                    }
+                    if( r(t-1)>=r(k-1) )
+                    {
+                        t = 0;
+                    }
+                    else
+                    {
+                        tmp = r(k-1);
+                        r(k-1) = r(t-1);
+                        r(t-1) = tmp;
+                        tmpi = c(k-1);
+                        c(k-1) = c(t-1);
+                        c(t-1) = tmpi;
+                        t = k;
+                    }
+                }
+            }
+            i = i-1;
+        }
+        while(i>=1);
+    }
+    
+    //
+    // compute tied ranks
+    //
+    i = 0;
+    while(i<=n-1)
+    {
+        j = i+1;
+        while(j<=n-1)
+        {
+            if( r(j)!=r(i) )
+            {
+                break;
+            }
+            j = j+1;
+        }
+        for(k = i; k <= j-1; k++)
+        {
+            r(k) = 1+double(i+j-1)/double(2);
+        }
+        i = j;
+    }
+    
+    //
+    // back to x
+    //
+    for(i = 0; i <= n-1; i++)
+    {
+        x(c(i)) = r(i);
+    }
+}
+
+
+

data/ext/alglib/correlation.h

@@ -0,0 +1,77 @@
+/*************************************************************************
+Copyright (c) 2007, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _correlation_h
+#define _correlation_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Pearson product-moment correlation coefficient
+
+Input parameters:
+    X       -   sample 1 (array indexes: [0..N-1])
+    Y       -   sample 2 (array indexes: [0..N-1])
+    N       -   sample size.
+
+Result:
+    Pearson product-moment correlation coefficient
+
+  -- ALGLIB --
+     Copyright 09.04.2007 by Bochkanov Sergey
+*************************************************************************/
+double pearsoncorrelation(const ap::real_1d_array& x,
+     const ap::real_1d_array& y,
+     int n);
+
+
+/*************************************************************************
+Spearman's rank correlation coefficient
+
+Input parameters:
+    X       -   sample 1 (array indexes: [0..N-1])
+    Y       -   sample 2 (array indexes: [0..N-1])
+    N       -   sample size.
+
+Result:
+    Spearman's rank correlation coefficient
+
+  -- ALGLIB --
+     Copyright 09.04.2007 by Bochkanov Sergey
+*************************************************************************/
+double spearmanrankcorrelation(ap::real_1d_array x,
+     ap::real_1d_array y,
+     int n);
+
+
+#endif