fml  0.1-0
Fused Matrix Library
cor.hh
1 // This file is part of fml which is released under the Boost Software
2 // License, Version 1.0. See accompanying file LICENSE or copy at
3 // https://www.boost.org/LICENSE_1_0.txt
4 
5 #ifndef FML_CPU_STATS_COR_H
6 #define FML_CPU_STATS_COR_H
7 #pragma once
8 
9 
10 #include <stdexcept>
11 
12 #include "../../_internals/omp.hh"
13 
14 #include "../cpumat.hh"
15 #include "../cpuvec.hh"
16 
17 #include "../dimops.hh"
18 
19 #include "../linalg/crossprod.hh"
20 #include "../linalg/matmult.hh"
21 
22 
23 namespace fml
24 {
25 namespace stats
26 {
42  template <typename REAL>
44  {
45  dimops::scale(true, true, x);
46 
47  const REAL alpha = 1. / ((REAL) (x.nrows()-1));
48  linalg::crossprod(alpha, x, cov);
49  }
50 
51 
52 
54  template <typename REAL>
56  {
57  if (x.nrows() != y.nrows())
58  throw std::runtime_error("non-conformable arguments");
59 
60  dimops::scale(true, true, x);
61  dimops::scale(true, true, y);
62 
63  const REAL alpha = 1. / ((REAL) (x.nrows()-1));
64  linalg::matmult(true, false, alpha, x, y, cov);
65  }
66 
67 
68 
70  template <typename REAL>
71  REAL cor(const cpuvec<REAL> &x, const cpuvec<REAL> &y)
72  {
73  const len_t n = x.size();
74  if (n != y.size())
75  throw std::runtime_error("non-conformal arguments");
76 
77  const REAL *x_d = x.data_ptr();
78  const REAL *y_d = y.data_ptr();
79 
80  const REAL meanx = x.sum() / n;
81  const REAL meany = y.sum() / n;
82  REAL cp = 0, normx = 0, normy = 0;
83 
84  #pragma omp parallel for reduction(+: cp, normx, normy) if(n>fml::omp::OMP_MIN_SIZE)
85  for (len_t i=0; i<n; i++)
86  {
87  const REAL xi_mm = x_d[i] - meanx;
88  const REAL yi_mm = y_d[i] - meany;
89 
90  cp += xi_mm * yi_mm;
91  normx += xi_mm * xi_mm;
92  normy += yi_mm * yi_mm;
93  }
94 
95  return cp / sqrt(normx * normy);
96  }
97 }
98 }
99 
100 
101 #endif
fml::cpumat
Matrix class for data held on a single CPU.
Definition: cpumat.hh:36
fml::linalg::crossprod
void crossprod(const REAL alpha, const cpumat< REAL > &x, cpumat< REAL > &ret)
Computes lower triangle of alpha*x^T*x.
Definition: crossprod.hh:37
fml::univec::data_ptr
T * data_ptr()
Pointer to the internal array.
Definition: univec.hh:28
fml::unimat::nrows
len_t nrows() const
Number of rows.
Definition: unimat.hh:36
fml::cpuvec
Vector class for data held on a single CPU.
Definition: cpuvec.hh:31
fml::dimops::scale
void scale(const bool rm_mean, const bool rm_sd, cpumat< REAL > &x)
Remove the mean and/or the sd from a matrix.
Definition: dimops.hh:376
fml::stats::cor
void cor(cpumat< REAL > &x, cpumat< REAL > &cov)
Covariance.
Definition: cor.hh:43
fml
Core namespace.
Definition: dimops.hh:10
fml::univec::size
len_t size() const
Number of elements in the vector.
Definition: univec.hh:26
fml::cpuvec::sum
T sum() const
Sum the vector.
Definition: cpuvec.hh:464
fml::stats::cov
void cov(cpumat< REAL > &x, cpumat< REAL > &cov)
Covariance.
Definition: cov.hh:43
fml::linalg::matmult
void matmult(const bool transx, const bool transy, const REAL alpha, const cpumat< REAL > &x, const cpumat< REAL > &y, cpumat< REAL > &ret)
Computes ret = alpha*op(x)*op(y) where op(A) is A or A^T.
Definition: matmult.hh:43