alglib 0.1.1
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- data/History.txt +7 -0
- data/Manifest.txt +253 -0
- data/README.txt +33 -0
- data/Rakefile +27 -0
- data/ext/Rakefile +24 -0
- data/ext/alglib.i +24 -0
- data/ext/alglib/Makefile +157 -0
- data/ext/alglib/airyf.cpp +372 -0
- data/ext/alglib/airyf.h +81 -0
- data/ext/alglib/alglib.cpp +8558 -0
- data/ext/alglib/alglib_util.cpp +19 -0
- data/ext/alglib/alglib_util.h +14 -0
- data/ext/alglib/ap.cpp +877 -0
- data/ext/alglib/ap.english.html +364 -0
- data/ext/alglib/ap.h +666 -0
- data/ext/alglib/ap.russian.html +442 -0
- data/ext/alglib/apvt.h +754 -0
- data/ext/alglib/bdss.cpp +1500 -0
- data/ext/alglib/bdss.h +251 -0
- data/ext/alglib/bdsvd.cpp +1339 -0
- data/ext/alglib/bdsvd.h +164 -0
- data/ext/alglib/bessel.cpp +1226 -0
- data/ext/alglib/bessel.h +331 -0
- data/ext/alglib/betaf.cpp +105 -0
- data/ext/alglib/betaf.h +74 -0
- data/ext/alglib/bidiagonal.cpp +1328 -0
- data/ext/alglib/bidiagonal.h +350 -0
- data/ext/alglib/binomialdistr.cpp +247 -0
- data/ext/alglib/binomialdistr.h +153 -0
- data/ext/alglib/blas.cpp +576 -0
- data/ext/alglib/blas.h +132 -0
- data/ext/alglib/cblas.cpp +226 -0
- data/ext/alglib/cblas.h +57 -0
- data/ext/alglib/cdet.cpp +138 -0
- data/ext/alglib/cdet.h +92 -0
- data/ext/alglib/chebyshev.cpp +216 -0
- data/ext/alglib/chebyshev.h +76 -0
- data/ext/alglib/chisquaredistr.cpp +157 -0
- data/ext/alglib/chisquaredistr.h +144 -0
- data/ext/alglib/cholesky.cpp +285 -0
- data/ext/alglib/cholesky.h +86 -0
- data/ext/alglib/cinverse.cpp +298 -0
- data/ext/alglib/cinverse.h +111 -0
- data/ext/alglib/clu.cpp +337 -0
- data/ext/alglib/clu.h +120 -0
- data/ext/alglib/correlation.cpp +280 -0
- data/ext/alglib/correlation.h +77 -0
- data/ext/alglib/correlationtests.cpp +726 -0
- data/ext/alglib/correlationtests.h +134 -0
- data/ext/alglib/crcond.cpp +826 -0
- data/ext/alglib/crcond.h +148 -0
- data/ext/alglib/creflections.cpp +310 -0
- data/ext/alglib/creflections.h +165 -0
- data/ext/alglib/csolve.cpp +312 -0
- data/ext/alglib/csolve.h +99 -0
- data/ext/alglib/ctrinverse.cpp +387 -0
- data/ext/alglib/ctrinverse.h +98 -0
- data/ext/alglib/ctrlinsolve.cpp +297 -0
- data/ext/alglib/ctrlinsolve.h +81 -0
- data/ext/alglib/dawson.cpp +234 -0
- data/ext/alglib/dawson.h +74 -0
- data/ext/alglib/descriptivestatistics.cpp +436 -0
- data/ext/alglib/descriptivestatistics.h +112 -0
- data/ext/alglib/det.cpp +140 -0
- data/ext/alglib/det.h +94 -0
- data/ext/alglib/dforest.cpp +1819 -0
- data/ext/alglib/dforest.h +316 -0
- data/ext/alglib/elliptic.cpp +497 -0
- data/ext/alglib/elliptic.h +217 -0
- data/ext/alglib/estnorm.cpp +429 -0
- data/ext/alglib/estnorm.h +107 -0
- data/ext/alglib/expintegrals.cpp +422 -0
- data/ext/alglib/expintegrals.h +108 -0
- data/ext/alglib/faq.english.html +258 -0
- data/ext/alglib/faq.russian.html +272 -0
- data/ext/alglib/fdistr.cpp +202 -0
- data/ext/alglib/fdistr.h +163 -0
- data/ext/alglib/fresnel.cpp +211 -0
- data/ext/alglib/fresnel.h +91 -0
- data/ext/alglib/gammaf.cpp +338 -0
- data/ext/alglib/gammaf.h +104 -0
- data/ext/alglib/gqgengauss.cpp +235 -0
- data/ext/alglib/gqgengauss.h +92 -0
- data/ext/alglib/gqgenhermite.cpp +268 -0
- data/ext/alglib/gqgenhermite.h +63 -0
- data/ext/alglib/gqgenjacobi.cpp +297 -0
- data/ext/alglib/gqgenjacobi.h +72 -0
- data/ext/alglib/gqgenlaguerre.cpp +265 -0
- data/ext/alglib/gqgenlaguerre.h +69 -0
- data/ext/alglib/gqgenlegendre.cpp +300 -0
- data/ext/alglib/gqgenlegendre.h +62 -0
- data/ext/alglib/gqgenlobatto.cpp +305 -0
- data/ext/alglib/gqgenlobatto.h +97 -0
- data/ext/alglib/gqgenradau.cpp +232 -0
- data/ext/alglib/gqgenradau.h +95 -0
- data/ext/alglib/hbisinv.cpp +480 -0
- data/ext/alglib/hbisinv.h +183 -0
- data/ext/alglib/hblas.cpp +228 -0
- data/ext/alglib/hblas.h +64 -0
- data/ext/alglib/hcholesky.cpp +339 -0
- data/ext/alglib/hcholesky.h +91 -0
- data/ext/alglib/hermite.cpp +114 -0
- data/ext/alglib/hermite.h +49 -0
- data/ext/alglib/hessenberg.cpp +370 -0
- data/ext/alglib/hessenberg.h +152 -0
- data/ext/alglib/hevd.cpp +247 -0
- data/ext/alglib/hevd.h +107 -0
- data/ext/alglib/hsschur.cpp +1316 -0
- data/ext/alglib/hsschur.h +108 -0
- data/ext/alglib/htridiagonal.cpp +734 -0
- data/ext/alglib/htridiagonal.h +180 -0
- data/ext/alglib/ialglib.cpp +6 -0
- data/ext/alglib/ialglib.h +9 -0
- data/ext/alglib/ibetaf.cpp +960 -0
- data/ext/alglib/ibetaf.h +125 -0
- data/ext/alglib/igammaf.cpp +430 -0
- data/ext/alglib/igammaf.h +157 -0
- data/ext/alglib/inv.cpp +274 -0
- data/ext/alglib/inv.h +115 -0
- data/ext/alglib/inverseupdate.cpp +480 -0
- data/ext/alglib/inverseupdate.h +185 -0
- data/ext/alglib/jacobianelliptic.cpp +164 -0
- data/ext/alglib/jacobianelliptic.h +94 -0
- data/ext/alglib/jarquebera.cpp +2271 -0
- data/ext/alglib/jarquebera.h +80 -0
- data/ext/alglib/kmeans.cpp +356 -0
- data/ext/alglib/kmeans.h +76 -0
- data/ext/alglib/laguerre.cpp +94 -0
- data/ext/alglib/laguerre.h +48 -0
- data/ext/alglib/lbfgs.cpp +1167 -0
- data/ext/alglib/lbfgs.h +218 -0
- data/ext/alglib/lda.cpp +434 -0
- data/ext/alglib/lda.h +133 -0
- data/ext/alglib/ldlt.cpp +1130 -0
- data/ext/alglib/ldlt.h +124 -0
- data/ext/alglib/leastsquares.cpp +1252 -0
- data/ext/alglib/leastsquares.h +290 -0
- data/ext/alglib/legendre.cpp +107 -0
- data/ext/alglib/legendre.h +49 -0
- data/ext/alglib/linreg.cpp +1185 -0
- data/ext/alglib/linreg.h +380 -0
- data/ext/alglib/logit.cpp +1523 -0
- data/ext/alglib/logit.h +333 -0
- data/ext/alglib/lq.cpp +399 -0
- data/ext/alglib/lq.h +160 -0
- data/ext/alglib/lu.cpp +462 -0
- data/ext/alglib/lu.h +119 -0
- data/ext/alglib/mannwhitneyu.cpp +4490 -0
- data/ext/alglib/mannwhitneyu.h +115 -0
- data/ext/alglib/minlm.cpp +918 -0
- data/ext/alglib/minlm.h +312 -0
- data/ext/alglib/mlpbase.cpp +3375 -0
- data/ext/alglib/mlpbase.h +589 -0
- data/ext/alglib/mlpe.cpp +1369 -0
- data/ext/alglib/mlpe.h +552 -0
- data/ext/alglib/mlptrain.cpp +1056 -0
- data/ext/alglib/mlptrain.h +283 -0
- data/ext/alglib/nearunityunit.cpp +91 -0
- data/ext/alglib/nearunityunit.h +17 -0
- data/ext/alglib/normaldistr.cpp +377 -0
- data/ext/alglib/normaldistr.h +175 -0
- data/ext/alglib/nsevd.cpp +1869 -0
- data/ext/alglib/nsevd.h +140 -0
- data/ext/alglib/pca.cpp +168 -0
- data/ext/alglib/pca.h +87 -0
- data/ext/alglib/poissondistr.cpp +143 -0
- data/ext/alglib/poissondistr.h +130 -0
- data/ext/alglib/polinterpolation.cpp +685 -0
- data/ext/alglib/polinterpolation.h +206 -0
- data/ext/alglib/psif.cpp +173 -0
- data/ext/alglib/psif.h +88 -0
- data/ext/alglib/qr.cpp +414 -0
- data/ext/alglib/qr.h +168 -0
- data/ext/alglib/ratinterpolation.cpp +134 -0
- data/ext/alglib/ratinterpolation.h +72 -0
- data/ext/alglib/rcond.cpp +705 -0
- data/ext/alglib/rcond.h +140 -0
- data/ext/alglib/reflections.cpp +504 -0
- data/ext/alglib/reflections.h +165 -0
- data/ext/alglib/rotations.cpp +473 -0
- data/ext/alglib/rotations.h +128 -0
- data/ext/alglib/rsolve.cpp +221 -0
- data/ext/alglib/rsolve.h +99 -0
- data/ext/alglib/sbisinv.cpp +217 -0
- data/ext/alglib/sbisinv.h +171 -0
- data/ext/alglib/sblas.cpp +185 -0
- data/ext/alglib/sblas.h +64 -0
- data/ext/alglib/schur.cpp +156 -0
- data/ext/alglib/schur.h +102 -0
- data/ext/alglib/sdet.cpp +193 -0
- data/ext/alglib/sdet.h +101 -0
- data/ext/alglib/sevd.cpp +116 -0
- data/ext/alglib/sevd.h +99 -0
- data/ext/alglib/sinverse.cpp +672 -0
- data/ext/alglib/sinverse.h +138 -0
- data/ext/alglib/spddet.cpp +138 -0
- data/ext/alglib/spddet.h +96 -0
- data/ext/alglib/spdgevd.cpp +842 -0
- data/ext/alglib/spdgevd.h +200 -0
- data/ext/alglib/spdinverse.cpp +509 -0
- data/ext/alglib/spdinverse.h +122 -0
- data/ext/alglib/spdrcond.cpp +421 -0
- data/ext/alglib/spdrcond.h +118 -0
- data/ext/alglib/spdsolve.cpp +275 -0
- data/ext/alglib/spdsolve.h +105 -0
- data/ext/alglib/spline2d.cpp +1192 -0
- data/ext/alglib/spline2d.h +301 -0
- data/ext/alglib/spline3.cpp +1264 -0
- data/ext/alglib/spline3.h +290 -0
- data/ext/alglib/srcond.cpp +595 -0
- data/ext/alglib/srcond.h +127 -0
- data/ext/alglib/ssolve.cpp +895 -0
- data/ext/alglib/ssolve.h +139 -0
- data/ext/alglib/stdafx.h +0 -0
- data/ext/alglib/stest.cpp +131 -0
- data/ext/alglib/stest.h +94 -0
- data/ext/alglib/studenttdistr.cpp +222 -0
- data/ext/alglib/studenttdistr.h +115 -0
- data/ext/alglib/studentttests.cpp +377 -0
- data/ext/alglib/studentttests.h +178 -0
- data/ext/alglib/svd.cpp +620 -0
- data/ext/alglib/svd.h +126 -0
- data/ext/alglib/tdbisinv.cpp +2608 -0
- data/ext/alglib/tdbisinv.h +228 -0
- data/ext/alglib/tdevd.cpp +1229 -0
- data/ext/alglib/tdevd.h +115 -0
- data/ext/alglib/tridiagonal.cpp +594 -0
- data/ext/alglib/tridiagonal.h +171 -0
- data/ext/alglib/trigintegrals.cpp +490 -0
- data/ext/alglib/trigintegrals.h +131 -0
- data/ext/alglib/trinverse.cpp +345 -0
- data/ext/alglib/trinverse.h +98 -0
- data/ext/alglib/trlinsolve.cpp +926 -0
- data/ext/alglib/trlinsolve.h +73 -0
- data/ext/alglib/tsort.cpp +405 -0
- data/ext/alglib/tsort.h +54 -0
- data/ext/alglib/variancetests.cpp +245 -0
- data/ext/alglib/variancetests.h +134 -0
- data/ext/alglib/wsr.cpp +6285 -0
- data/ext/alglib/wsr.h +96 -0
- data/ext/ap.i +97 -0
- data/ext/correlation.i +24 -0
- data/ext/extconf.rb +6 -0
- data/ext/logit.i +89 -0
- data/lib/alglib.rb +71 -0
- data/lib/alglib/correlation.rb +26 -0
- data/lib/alglib/linearregression.rb +63 -0
- data/lib/alglib/logit.rb +42 -0
- data/test/test_alglib.rb +52 -0
- data/test/test_correlation.rb +44 -0
- data/test/test_correlationtest.rb +45 -0
- data/test/test_linreg.rb +35 -0
- data/test/test_logit.rb +43 -0
- data/test/test_pca.rb +27 -0
- metadata +326 -0
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/*************************************************************************
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Copyright (c) 2007-2008, Sergey Bochkanov (ALGLIB project).
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Redistribution and use in source and binary forms, with or without
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modification, are permitted provided that the following conditions are
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met:
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- Redistributions of source code must retain the above copyright
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notice, this list of conditions and the following disclaimer.
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- Redistributions in binary form must reproduce the above copyright
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notice, this list of conditions and the following disclaimer listed
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in this license in the documentation and/or other materials
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provided with the distribution.
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- Neither the name of the copyright holders nor the names of its
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contributors may be used to endorse or promote products derived from
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this software without specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
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"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
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LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
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OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
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SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
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LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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*************************************************************************/
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#ifndef _mlptrain_h
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#define _mlptrain_h
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#include "ap.h"
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#include "ialglib.h"
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#include "mlpbase.h"
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#include "trinverse.h"
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#include "lbfgs.h"
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#include "cholesky.h"
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#include "spdsolve.h"
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struct mlpreport
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{
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int ngrad;
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int nhess;
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int ncholesky;
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};
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struct mlpcvreport
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{
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double relclserror;
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double avgce;
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double rmserror;
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double avgerror;
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double avgrelerror;
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};
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/*************************************************************************
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Neural network training using modified Levenberg-Marquardt with exact
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Hessian calculation and regularization. Subroutine trains neural network
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with restarts from random positions. Algorithm is well suited for small
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and medium scale problems (hundreds of weights).
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INPUT PARAMETERS:
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Network - neural network with initialized geometry
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XY - training set
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NPoints - training set size
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Decay - weight decay constant, >=0.001
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Decay term 'Decay*||Weights||^2' is added to error
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function.
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If you don't know what Decay to choose, use 0.001.
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Restarts - number of restarts from random position, >0.
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If you don't know what Restarts to choose, use 2.
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OUTPUT PARAMETERS:
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Network - trained neural network.
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Info - return code:
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* -9, if internal matrix inverse subroutine failed
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* -2, if there is a point with class number
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outside of [0..NOut-1].
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* -1, if wrong parameters specified
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(NPoints<0, Restarts<1).
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* 2, if task has been solved.
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Rep - training report
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-- ALGLIB --
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Copyright 10.03.2009 by Bochkanov Sergey
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*************************************************************************/
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void mlptrainlm(multilayerperceptron& network,
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const ap::real_2d_array& xy,
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int npoints,
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double decay,
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int restarts,
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int& info,
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mlpreport& rep);
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/*************************************************************************
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Neural network training using L-BFGS algorithm with regularization.
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Subroutine trains neural network with restarts from random positions.
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Algorithm is well suited for problems of any dimensionality (memory
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requirements and step complexity are linear by weights number).
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INPUT PARAMETERS:
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Network - neural network with initialized geometry
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XY - training set
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NPoints - training set size
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Decay - weight decay constant, >=0.001
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Decay term 'Decay*||Weights||^2' is added to error
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function.
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If you don't know what Decay to choose, use 0.001.
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Restarts - number of restarts from random position, >0.
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If you don't know what Restarts to choose, use 2.
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WStep - stopping criterion. Algorithm stops if step size is
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less than WStep. Recommended value - 0.01. Zero step
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size means stopping after MaxIts iterations.
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MaxIts - stopping criterion. Algorithm stops after MaxIts
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iterations (NOT gradient calculations). Zero MaxIts
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means stopping when step is sufficiently small.
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OUTPUT PARAMETERS:
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Network - trained neural network.
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Info - return code:
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* -8, if both WStep=0 and MaxIts=0
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* -2, if there is a point with class number
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outside of [0..NOut-1].
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* -1, if wrong parameters specified
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(NPoints<0, Restarts<1).
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* 2, if task has been solved.
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Rep - training report
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-- ALGLIB --
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Copyright 09.12.2007 by Bochkanov Sergey
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*************************************************************************/
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void mlptrainlbfgs(multilayerperceptron& network,
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const ap::real_2d_array& xy,
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int npoints,
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double decay,
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int restarts,
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double wstep,
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int maxits,
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int& info,
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mlpreport& rep);
|
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+
|
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+
|
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|
+
/*************************************************************************
|
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+
Neural network training using early stopping (base algorithm - L-BFGS with
|
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+
regularization).
|
153
|
+
|
154
|
+
INPUT PARAMETERS:
|
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|
+
Network - neural network with initialized geometry
|
156
|
+
TrnXY - training set
|
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|
+
TrnSize - training set size
|
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|
+
ValXY - validation set
|
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|
+
ValSize - validation set size
|
160
|
+
Decay - weight decay constant, >=0.001
|
161
|
+
Decay term 'Decay*||Weights||^2' is added to error
|
162
|
+
function.
|
163
|
+
If you don't know what Decay to choose, use 0.001.
|
164
|
+
Restarts - number of restarts from random position, >0.
|
165
|
+
If you don't know what Restarts to choose, use 2.
|
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|
+
|
167
|
+
OUTPUT PARAMETERS:
|
168
|
+
Network - trained neural network.
|
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|
+
Info - return code:
|
170
|
+
* -2, if there is a point with class number
|
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|
+
outside of [0..NOut-1].
|
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|
+
* -1, if wrong parameters specified
|
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|
+
(NPoints<0, Restarts<1, ...).
|
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|
+
* 2, task has been solved, stopping criterion met -
|
175
|
+
sufficiently small step size. Not expected (we
|
176
|
+
use EARLY stopping) but possible and not an
|
177
|
+
error.
|
178
|
+
* 6, task has been solved, stopping criterion met -
|
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|
+
increasing of validation set error.
|
180
|
+
Rep - training report
|
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|
+
|
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|
+
NOTE:
|
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|
+
|
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|
+
Algorithm stops if validation set error increases for a long enough or
|
185
|
+
step size is small enought (there are task where validation set may
|
186
|
+
decrease for eternity). In any case solution returned corresponds to the
|
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|
+
minimum of validation set error.
|
188
|
+
|
189
|
+
-- ALGLIB --
|
190
|
+
Copyright 10.03.2009 by Bochkanov Sergey
|
191
|
+
*************************************************************************/
|
192
|
+
void mlptraines(multilayerperceptron& network,
|
193
|
+
const ap::real_2d_array& trnxy,
|
194
|
+
int trnsize,
|
195
|
+
const ap::real_2d_array& valxy,
|
196
|
+
int valsize,
|
197
|
+
double decay,
|
198
|
+
int restarts,
|
199
|
+
int& info,
|
200
|
+
mlpreport& rep);
|
201
|
+
|
202
|
+
|
203
|
+
/*************************************************************************
|
204
|
+
Cross-validation estimate of generalization error.
|
205
|
+
|
206
|
+
Base algorithm - L-BFGS.
|
207
|
+
|
208
|
+
INPUT PARAMETERS:
|
209
|
+
Network - neural network with initialized geometry. Network is
|
210
|
+
not changed during cross-validation - it is used only
|
211
|
+
as a representative of its architecture.
|
212
|
+
XY - training set.
|
213
|
+
SSize - training set size
|
214
|
+
Decay - weight decay, same as in MLPTrainLBFGS
|
215
|
+
Restarts - number of restarts, >0.
|
216
|
+
restarts are counted for each partition separately, so
|
217
|
+
total number of restarts will be Restarts*FoldsCount.
|
218
|
+
WStep - stopping criterion, same as in MLPTrainLBFGS
|
219
|
+
MaxIts - stopping criterion, same as in MLPTrainLBFGS
|
220
|
+
FoldsCount - number of folds in k-fold cross-validation,
|
221
|
+
2<=FoldsCount<=SSize.
|
222
|
+
recommended value: 10.
|
223
|
+
|
224
|
+
OUTPUT PARAMETERS:
|
225
|
+
Info - return code, same as in MLPTrainLBFGS
|
226
|
+
Rep - report, same as in MLPTrainLM/MLPTrainLBFGS
|
227
|
+
CVRep - generalization error estimates
|
228
|
+
|
229
|
+
-- ALGLIB --
|
230
|
+
Copyright 09.12.2007 by Bochkanov Sergey
|
231
|
+
*************************************************************************/
|
232
|
+
void mlpkfoldcvlbfgs(const multilayerperceptron& network,
|
233
|
+
const ap::real_2d_array& xy,
|
234
|
+
int npoints,
|
235
|
+
double decay,
|
236
|
+
int restarts,
|
237
|
+
double wstep,
|
238
|
+
int maxits,
|
239
|
+
int foldscount,
|
240
|
+
int& info,
|
241
|
+
mlpreport& rep,
|
242
|
+
mlpcvreport& cvrep);
|
243
|
+
|
244
|
+
|
245
|
+
/*************************************************************************
|
246
|
+
Cross-validation estimate of generalization error.
|
247
|
+
|
248
|
+
Base algorithm - Levenberg-Marquardt.
|
249
|
+
|
250
|
+
INPUT PARAMETERS:
|
251
|
+
Network - neural network with initialized geometry. Network is
|
252
|
+
not changed during cross-validation - it is used only
|
253
|
+
as a representative of its architecture.
|
254
|
+
XY - training set.
|
255
|
+
SSize - training set size
|
256
|
+
Decay - weight decay, same as in MLPTrainLBFGS
|
257
|
+
Restarts - number of restarts, >0.
|
258
|
+
restarts are counted for each partition separately, so
|
259
|
+
total number of restarts will be Restarts*FoldsCount.
|
260
|
+
FoldsCount - number of folds in k-fold cross-validation,
|
261
|
+
2<=FoldsCount<=SSize.
|
262
|
+
recommended value: 10.
|
263
|
+
|
264
|
+
OUTPUT PARAMETERS:
|
265
|
+
Info - return code, same as in MLPTrainLBFGS
|
266
|
+
Rep - report, same as in MLPTrainLM/MLPTrainLBFGS
|
267
|
+
CVRep - generalization error estimates
|
268
|
+
|
269
|
+
-- ALGLIB --
|
270
|
+
Copyright 09.12.2007 by Bochkanov Sergey
|
271
|
+
*************************************************************************/
|
272
|
+
void mlpkfoldcvlm(const multilayerperceptron& network,
|
273
|
+
const ap::real_2d_array& xy,
|
274
|
+
int npoints,
|
275
|
+
double decay,
|
276
|
+
int restarts,
|
277
|
+
int foldscount,
|
278
|
+
int& info,
|
279
|
+
mlpreport& rep,
|
280
|
+
mlpcvreport& cvrep);
|
281
|
+
|
282
|
+
|
283
|
+
#endif
|
@@ -0,0 +1,91 @@
|
|
1
|
+
|
2
|
+
#include <stdafx.h>
|
3
|
+
#include "nearunityunit.h"
|
4
|
+
|
5
|
+
double log1p(double x)
|
6
|
+
{
|
7
|
+
double result;
|
8
|
+
double z;
|
9
|
+
double lp;
|
10
|
+
double lq;
|
11
|
+
|
12
|
+
z = 1.0+x;
|
13
|
+
if( z<0.70710678118654752440||z>1.41421356237309504880 )
|
14
|
+
{
|
15
|
+
result = log(z);
|
16
|
+
return result;
|
17
|
+
}
|
18
|
+
z = x*x;
|
19
|
+
lp = 4.5270000862445199635215E-5;
|
20
|
+
lp = lp*x+4.9854102823193375972212E-1;
|
21
|
+
lp = lp*x+6.5787325942061044846969E0;
|
22
|
+
lp = lp*x+2.9911919328553073277375E1;
|
23
|
+
lp = lp*x+6.0949667980987787057556E1;
|
24
|
+
lp = lp*x+5.7112963590585538103336E1;
|
25
|
+
lp = lp*x+2.0039553499201281259648E1;
|
26
|
+
lq = 1.0000000000000000000000E0;
|
27
|
+
lq = lq*x+1.5062909083469192043167E1;
|
28
|
+
lq = lq*x+8.3047565967967209469434E1;
|
29
|
+
lq = lq*x+2.2176239823732856465394E2;
|
30
|
+
lq = lq*x+3.0909872225312059774938E2;
|
31
|
+
lq = lq*x+2.1642788614495947685003E2;
|
32
|
+
lq = lq*x+6.0118660497603843919306E1;
|
33
|
+
z = -0.5*z+x*(z*lp/lq);
|
34
|
+
result = x+z;
|
35
|
+
return result;
|
36
|
+
}
|
37
|
+
|
38
|
+
|
39
|
+
double expm1(double x)
|
40
|
+
{
|
41
|
+
double result;
|
42
|
+
double r;
|
43
|
+
double xx;
|
44
|
+
double ep;
|
45
|
+
double eq;
|
46
|
+
|
47
|
+
if( x<-0.5||x>0.5 )
|
48
|
+
{
|
49
|
+
result = exp(x)-1.0;
|
50
|
+
return result;
|
51
|
+
}
|
52
|
+
xx = x*x;
|
53
|
+
ep = 1.2617719307481059087798E-4;
|
54
|
+
ep = ep*xx+3.0299440770744196129956E-2;
|
55
|
+
ep = ep*xx+9.9999999999999999991025E-1;
|
56
|
+
eq = 3.0019850513866445504159E-6;
|
57
|
+
eq = eq*xx+2.5244834034968410419224E-3;
|
58
|
+
eq = eq*xx+2.2726554820815502876593E-1;
|
59
|
+
eq = eq*xx+2.0000000000000000000897E0;
|
60
|
+
r = x*ep;
|
61
|
+
r = r/(eq-r);
|
62
|
+
result = r+r;
|
63
|
+
return result;
|
64
|
+
}
|
65
|
+
|
66
|
+
|
67
|
+
double cosm1(double x)
|
68
|
+
{
|
69
|
+
double result;
|
70
|
+
double xx;
|
71
|
+
double c;
|
72
|
+
|
73
|
+
if( x<-0.25*ap::pi()||x>0.25*ap::pi() )
|
74
|
+
{
|
75
|
+
result = cos(x)-1;
|
76
|
+
return result;
|
77
|
+
}
|
78
|
+
xx = x*x;
|
79
|
+
c = 4.7377507964246204691685E-14;
|
80
|
+
c = c*xx-1.1470284843425359765671E-11;
|
81
|
+
c = c*xx+2.0876754287081521758361E-9;
|
82
|
+
c = c*xx-2.7557319214999787979814E-7;
|
83
|
+
c = c*xx+2.4801587301570552304991E-5;
|
84
|
+
c = c*xx-1.3888888888888872993737E-3;
|
85
|
+
c = c*xx+4.1666666666666666609054E-2;
|
86
|
+
result = -0.5*xx+xx*xx*c;
|
87
|
+
return result;
|
88
|
+
}
|
89
|
+
|
90
|
+
|
91
|
+
|
@@ -0,0 +1,377 @@
|
|
1
|
+
/*************************************************************************
|
2
|
+
Cephes Math Library Release 2.8: June, 2000
|
3
|
+
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
|
4
|
+
|
5
|
+
Contributors:
|
6
|
+
* Sergey Bochkanov (ALGLIB project). Translation from C to
|
7
|
+
pseudocode.
|
8
|
+
|
9
|
+
See subroutines comments for additional copyrights.
|
10
|
+
|
11
|
+
Redistribution and use in source and binary forms, with or without
|
12
|
+
modification, are permitted provided that the following conditions are
|
13
|
+
met:
|
14
|
+
|
15
|
+
- Redistributions of source code must retain the above copyright
|
16
|
+
notice, this list of conditions and the following disclaimer.
|
17
|
+
|
18
|
+
- Redistributions in binary form must reproduce the above copyright
|
19
|
+
notice, this list of conditions and the following disclaimer listed
|
20
|
+
in this license in the documentation and/or other materials
|
21
|
+
provided with the distribution.
|
22
|
+
|
23
|
+
- Neither the name of the copyright holders nor the names of its
|
24
|
+
contributors may be used to endorse or promote products derived from
|
25
|
+
this software without specific prior written permission.
|
26
|
+
|
27
|
+
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
|
28
|
+
"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
|
29
|
+
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
|
30
|
+
A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
|
31
|
+
OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
|
32
|
+
SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
|
33
|
+
LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
|
34
|
+
DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
|
35
|
+
THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
|
36
|
+
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
|
37
|
+
OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
|
38
|
+
*************************************************************************/
|
39
|
+
|
40
|
+
#include <stdafx.h>
|
41
|
+
#include "normaldistr.h"
|
42
|
+
|
43
|
+
/*************************************************************************
|
44
|
+
Error function
|
45
|
+
|
46
|
+
The integral is
|
47
|
+
|
48
|
+
x
|
49
|
+
-
|
50
|
+
2 | | 2
|
51
|
+
erf(x) = -------- | exp( - t ) dt.
|
52
|
+
sqrt(pi) | |
|
53
|
+
-
|
54
|
+
0
|
55
|
+
|
56
|
+
For 0 <= |x| < 1, erf(x) = x * P4(x**2)/Q5(x**2); otherwise
|
57
|
+
erf(x) = 1 - erfc(x).
|
58
|
+
|
59
|
+
|
60
|
+
ACCURACY:
|
61
|
+
|
62
|
+
Relative error:
|
63
|
+
arithmetic domain # trials peak rms
|
64
|
+
IEEE 0,1 30000 3.7e-16 1.0e-16
|
65
|
+
|
66
|
+
Cephes Math Library Release 2.8: June, 2000
|
67
|
+
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
|
68
|
+
*************************************************************************/
|
69
|
+
double erf(double x)
|
70
|
+
{
|
71
|
+
double result;
|
72
|
+
double xsq;
|
73
|
+
double s;
|
74
|
+
double p;
|
75
|
+
double q;
|
76
|
+
|
77
|
+
s = ap::sign(x);
|
78
|
+
x = fabs(x);
|
79
|
+
if( x<0.5 )
|
80
|
+
{
|
81
|
+
xsq = x*x;
|
82
|
+
p = 0.007547728033418631287834;
|
83
|
+
p = 0.288805137207594084924010+xsq*p;
|
84
|
+
p = 14.3383842191748205576712+xsq*p;
|
85
|
+
p = 38.0140318123903008244444+xsq*p;
|
86
|
+
p = 3017.82788536507577809226+xsq*p;
|
87
|
+
p = 7404.07142710151470082064+xsq*p;
|
88
|
+
p = 80437.3630960840172832162+xsq*p;
|
89
|
+
q = 0.0;
|
90
|
+
q = 1.00000000000000000000000+xsq*q;
|
91
|
+
q = 38.0190713951939403753468+xsq*q;
|
92
|
+
q = 658.070155459240506326937+xsq*q;
|
93
|
+
q = 6379.60017324428279487120+xsq*q;
|
94
|
+
q = 34216.5257924628539769006+xsq*q;
|
95
|
+
q = 80437.3630960840172826266+xsq*q;
|
96
|
+
result = s*1.1283791670955125738961589031*x*p/q;
|
97
|
+
return result;
|
98
|
+
}
|
99
|
+
if( x>=10 )
|
100
|
+
{
|
101
|
+
result = s;
|
102
|
+
return result;
|
103
|
+
}
|
104
|
+
result = s*(1-erfc(x));
|
105
|
+
return result;
|
106
|
+
}
|
107
|
+
|
108
|
+
|
109
|
+
/*************************************************************************
|
110
|
+
Complementary error function
|
111
|
+
|
112
|
+
1 - erf(x) =
|
113
|
+
|
114
|
+
inf.
|
115
|
+
-
|
116
|
+
2 | | 2
|
117
|
+
erfc(x) = -------- | exp( - t ) dt
|
118
|
+
sqrt(pi) | |
|
119
|
+
-
|
120
|
+
x
|
121
|
+
|
122
|
+
|
123
|
+
For small x, erfc(x) = 1 - erf(x); otherwise rational
|
124
|
+
approximations are computed.
|
125
|
+
|
126
|
+
|
127
|
+
ACCURACY:
|
128
|
+
|
129
|
+
Relative error:
|
130
|
+
arithmetic domain # trials peak rms
|
131
|
+
IEEE 0,26.6417 30000 5.7e-14 1.5e-14
|
132
|
+
|
133
|
+
Cephes Math Library Release 2.8: June, 2000
|
134
|
+
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
|
135
|
+
*************************************************************************/
|
136
|
+
double erfc(double x)
|
137
|
+
{
|
138
|
+
double result;
|
139
|
+
double p;
|
140
|
+
double q;
|
141
|
+
|
142
|
+
if( x<0 )
|
143
|
+
{
|
144
|
+
result = 2-erfc(-x);
|
145
|
+
return result;
|
146
|
+
}
|
147
|
+
if( x<0.5 )
|
148
|
+
{
|
149
|
+
result = 1.0-erf(x);
|
150
|
+
return result;
|
151
|
+
}
|
152
|
+
if( x>=10 )
|
153
|
+
{
|
154
|
+
result = 0;
|
155
|
+
return result;
|
156
|
+
}
|
157
|
+
p = 0.0;
|
158
|
+
p = 0.5641877825507397413087057563+x*p;
|
159
|
+
p = 9.675807882987265400604202961+x*p;
|
160
|
+
p = 77.08161730368428609781633646+x*p;
|
161
|
+
p = 368.5196154710010637133875746+x*p;
|
162
|
+
p = 1143.262070703886173606073338+x*p;
|
163
|
+
p = 2320.439590251635247384768711+x*p;
|
164
|
+
p = 2898.0293292167655611275846+x*p;
|
165
|
+
p = 1826.3348842295112592168999+x*p;
|
166
|
+
q = 1.0;
|
167
|
+
q = 17.14980943627607849376131193+x*q;
|
168
|
+
q = 137.1255960500622202878443578+x*q;
|
169
|
+
q = 661.7361207107653469211984771+x*q;
|
170
|
+
q = 2094.384367789539593790281779+x*q;
|
171
|
+
q = 4429.612803883682726711528526+x*q;
|
172
|
+
q = 6089.5424232724435504633068+x*q;
|
173
|
+
q = 4958.82756472114071495438422+x*q;
|
174
|
+
q = 1826.3348842295112595576438+x*q;
|
175
|
+
result = exp(-ap::sqr(x))*p/q;
|
176
|
+
return result;
|
177
|
+
}
|
178
|
+
|
179
|
+
|
180
|
+
/*************************************************************************
|
181
|
+
Normal distribution function
|
182
|
+
|
183
|
+
Returns the area under the Gaussian probability density
|
184
|
+
function, integrated from minus infinity to x:
|
185
|
+
|
186
|
+
x
|
187
|
+
-
|
188
|
+
1 | | 2
|
189
|
+
ndtr(x) = --------- | exp( - t /2 ) dt
|
190
|
+
sqrt(2pi) | |
|
191
|
+
-
|
192
|
+
-inf.
|
193
|
+
|
194
|
+
= ( 1 + erf(z) ) / 2
|
195
|
+
= erfc(z) / 2
|
196
|
+
|
197
|
+
where z = x/sqrt(2). Computation is via the functions
|
198
|
+
erf and erfc.
|
199
|
+
|
200
|
+
|
201
|
+
ACCURACY:
|
202
|
+
|
203
|
+
Relative error:
|
204
|
+
arithmetic domain # trials peak rms
|
205
|
+
IEEE -13,0 30000 3.4e-14 6.7e-15
|
206
|
+
|
207
|
+
Cephes Math Library Release 2.8: June, 2000
|
208
|
+
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
|
209
|
+
*************************************************************************/
|
210
|
+
double normaldistribution(double x)
|
211
|
+
{
|
212
|
+
double result;
|
213
|
+
|
214
|
+
result = 0.5*(erf(x/1.41421356237309504880)+1);
|
215
|
+
return result;
|
216
|
+
}
|
217
|
+
|
218
|
+
|
219
|
+
/*************************************************************************
|
220
|
+
Inverse of the error function
|
221
|
+
|
222
|
+
Cephes Math Library Release 2.8: June, 2000
|
223
|
+
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
|
224
|
+
*************************************************************************/
|
225
|
+
double inverf(double e)
|
226
|
+
{
|
227
|
+
double result;
|
228
|
+
|
229
|
+
result = invnormaldistribution(0.5*(e+1))/sqrt(double(2));
|
230
|
+
return result;
|
231
|
+
}
|
232
|
+
|
233
|
+
|
234
|
+
/*************************************************************************
|
235
|
+
Inverse of Normal distribution function
|
236
|
+
|
237
|
+
Returns the argument, x, for which the area under the
|
238
|
+
Gaussian probability density function (integrated from
|
239
|
+
minus infinity to x) is equal to y.
|
240
|
+
|
241
|
+
|
242
|
+
For small arguments 0 < y < exp(-2), the program computes
|
243
|
+
z = sqrt( -2.0 * log(y) ); then the approximation is
|
244
|
+
x = z - log(z)/z - (1/z) P(1/z) / Q(1/z).
|
245
|
+
There are two rational functions P/Q, one for 0 < y < exp(-32)
|
246
|
+
and the other for y up to exp(-2). For larger arguments,
|
247
|
+
w = y - 0.5, and x/sqrt(2pi) = w + w**3 R(w**2)/S(w**2)).
|
248
|
+
|
249
|
+
ACCURACY:
|
250
|
+
|
251
|
+
Relative error:
|
252
|
+
arithmetic domain # trials peak rms
|
253
|
+
IEEE 0.125, 1 20000 7.2e-16 1.3e-16
|
254
|
+
IEEE 3e-308, 0.135 50000 4.6e-16 9.8e-17
|
255
|
+
|
256
|
+
Cephes Math Library Release 2.8: June, 2000
|
257
|
+
Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier
|
258
|
+
*************************************************************************/
|
259
|
+
double invnormaldistribution(double y0)
|
260
|
+
{
|
261
|
+
double result;
|
262
|
+
double expm2;
|
263
|
+
double s2pi;
|
264
|
+
double x;
|
265
|
+
double y;
|
266
|
+
double z;
|
267
|
+
double y2;
|
268
|
+
double x0;
|
269
|
+
double x1;
|
270
|
+
int code;
|
271
|
+
double p0;
|
272
|
+
double q0;
|
273
|
+
double p1;
|
274
|
+
double q1;
|
275
|
+
double p2;
|
276
|
+
double q2;
|
277
|
+
|
278
|
+
expm2 = 0.13533528323661269189;
|
279
|
+
s2pi = 2.50662827463100050242;
|
280
|
+
if( y0<=0 )
|
281
|
+
{
|
282
|
+
result = -ap::maxrealnumber;
|
283
|
+
return result;
|
284
|
+
}
|
285
|
+
if( y0>=1 )
|
286
|
+
{
|
287
|
+
result = ap::maxrealnumber;
|
288
|
+
return result;
|
289
|
+
}
|
290
|
+
code = 1;
|
291
|
+
y = y0;
|
292
|
+
if( y>1.0-expm2 )
|
293
|
+
{
|
294
|
+
y = 1.0-y;
|
295
|
+
code = 0;
|
296
|
+
}
|
297
|
+
if( y>expm2 )
|
298
|
+
{
|
299
|
+
y = y-0.5;
|
300
|
+
y2 = y*y;
|
301
|
+
p0 = -59.9633501014107895267;
|
302
|
+
p0 = 98.0010754185999661536+y2*p0;
|
303
|
+
p0 = -56.6762857469070293439+y2*p0;
|
304
|
+
p0 = 13.9312609387279679503+y2*p0;
|
305
|
+
p0 = -1.23916583867381258016+y2*p0;
|
306
|
+
q0 = 1;
|
307
|
+
q0 = 1.95448858338141759834+y2*q0;
|
308
|
+
q0 = 4.67627912898881538453+y2*q0;
|
309
|
+
q0 = 86.3602421390890590575+y2*q0;
|
310
|
+
q0 = -225.462687854119370527+y2*q0;
|
311
|
+
q0 = 200.260212380060660359+y2*q0;
|
312
|
+
q0 = -82.0372256168333339912+y2*q0;
|
313
|
+
q0 = 15.9056225126211695515+y2*q0;
|
314
|
+
q0 = -1.18331621121330003142+y2*q0;
|
315
|
+
x = y+y*y2*p0/q0;
|
316
|
+
x = x*s2pi;
|
317
|
+
result = x;
|
318
|
+
return result;
|
319
|
+
}
|
320
|
+
x = sqrt(-2.0*log(y));
|
321
|
+
x0 = x-log(x)/x;
|
322
|
+
z = 1.0/x;
|
323
|
+
if( x<8.0 )
|
324
|
+
{
|
325
|
+
p1 = 4.05544892305962419923;
|
326
|
+
p1 = 31.5251094599893866154+z*p1;
|
327
|
+
p1 = 57.1628192246421288162+z*p1;
|
328
|
+
p1 = 44.0805073893200834700+z*p1;
|
329
|
+
p1 = 14.6849561928858024014+z*p1;
|
330
|
+
p1 = 2.18663306850790267539+z*p1;
|
331
|
+
p1 = -1.40256079171354495875*0.1+z*p1;
|
332
|
+
p1 = -3.50424626827848203418*0.01+z*p1;
|
333
|
+
p1 = -8.57456785154685413611*0.0001+z*p1;
|
334
|
+
q1 = 1;
|
335
|
+
q1 = 15.7799883256466749731+z*q1;
|
336
|
+
q1 = 45.3907635128879210584+z*q1;
|
337
|
+
q1 = 41.3172038254672030440+z*q1;
|
338
|
+
q1 = 15.0425385692907503408+z*q1;
|
339
|
+
q1 = 2.50464946208309415979+z*q1;
|
340
|
+
q1 = -1.42182922854787788574*0.1+z*q1;
|
341
|
+
q1 = -3.80806407691578277194*0.01+z*q1;
|
342
|
+
q1 = -9.33259480895457427372*0.0001+z*q1;
|
343
|
+
x1 = z*p1/q1;
|
344
|
+
}
|
345
|
+
else
|
346
|
+
{
|
347
|
+
p2 = 3.23774891776946035970;
|
348
|
+
p2 = 6.91522889068984211695+z*p2;
|
349
|
+
p2 = 3.93881025292474443415+z*p2;
|
350
|
+
p2 = 1.33303460815807542389+z*p2;
|
351
|
+
p2 = 2.01485389549179081538*0.1+z*p2;
|
352
|
+
p2 = 1.23716634817820021358*0.01+z*p2;
|
353
|
+
p2 = 3.01581553508235416007*0.0001+z*p2;
|
354
|
+
p2 = 2.65806974686737550832*0.000001+z*p2;
|
355
|
+
p2 = 6.23974539184983293730*0.000000001+z*p2;
|
356
|
+
q2 = 1;
|
357
|
+
q2 = 6.02427039364742014255+z*q2;
|
358
|
+
q2 = 3.67983563856160859403+z*q2;
|
359
|
+
q2 = 1.37702099489081330271+z*q2;
|
360
|
+
q2 = 2.16236993594496635890*0.1+z*q2;
|
361
|
+
q2 = 1.34204006088543189037*0.01+z*q2;
|
362
|
+
q2 = 3.28014464682127739104*0.0001+z*q2;
|
363
|
+
q2 = 2.89247864745380683936*0.000001+z*q2;
|
364
|
+
q2 = 6.79019408009981274425*0.000000001+z*q2;
|
365
|
+
x1 = z*p2/q2;
|
366
|
+
}
|
367
|
+
x = x0-x1;
|
368
|
+
if( code!=0 )
|
369
|
+
{
|
370
|
+
x = -x;
|
371
|
+
}
|
372
|
+
result = x;
|
373
|
+
return result;
|
374
|
+
}
|
375
|
+
|
376
|
+
|
377
|
+
|