QuadraticTimeMMD.h

Go to the documentation of this file.

/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Written (W) 2012 Heiko Strathmann
 */

#ifndef __QUADRACTIMEMMD_H_
#define __QUADRACTIMEMMD_H_

#include <shogun/statistics/KernelTwoSampleTestStatistic.h>

namespace shogun
{

class CFeatures;
class CKernel;

enum EQuadraticMMDType
{
    BIASED, UNBIASED
};

class CQuadraticTimeMMD : public CKernelTwoSampleTestStatistic
{
    public:
        CQuadraticTimeMMD();

        CQuadraticTimeMMD(CKernel* kernel, CFeatures* p_and_q, index_t q_start);

        CQuadraticTimeMMD(CKernel* kernel, CFeatures* p, CFeatures* q);

        virtual ~CQuadraticTimeMMD();

        virtual float64_t compute_statistic();

        virtual float64_t compute_p_value(float64_t statistic);

        virtual float64_t compute_threshold(float64_t alpha);

        inline virtual const char* get_name() const
        {
            return "QuadraticTimeMMD";
        };

#ifdef HAVE_LAPACK
        /* returns a set of samples of an estimate of the null distribution
         * using the Eigen-spectrum of the centered kernel matrix of the merged
         * samples of p and q. May be used to compute p_value (easy)
         *
         * kernel matrix needs to be stored in memory
         *
         * Note that the provided statistic HAS to be the biased version
         * (see paper for details). Note that m*Null-distribution is returned,
         * which is fine since the statistic is also m*MMD:
         *
         * Works well if the kernel matrix is NOT diagonal dominant.
         * See Gretton, A., Fukumizu, K., & Harchaoui, Z. (2011).
         * A fast, consistent kernel two-sample test.
         *
         * @param num_samples number of samples to draw
         * @param num_eigenvalues number of eigenvalues to use to draw samples
         * Maximum number of 2m-1 where m is the size of both sets of samples.
         * It is usually safe to use a smaller number since they decay very
         * fast, however, a conservative approach would be to use all (-1 does
         * this). See paper for details.
         * @return samples from the estimated null distribution
         */
        SGVector<float64_t> sample_null_spectrum(index_t num_samples,
                index_t num_eigenvalues);
#endif // HAVE_LAPACK

        void set_num_samples_sepctrum(index_t num_samples_spectrum);

        void set_num_eigenvalues_spectrum(index_t num_eigenvalues_spectrum);

        void set_statistic_type(EQuadraticMMDType statistic_type);

        SGVector<float64_t> fit_null_gamma();

    protected:
        virtual float64_t compute_unbiased_statistic();

        virtual float64_t compute_biased_statistic();

    private:
        void init();

    protected:
        index_t m_num_samples_spectrum;

        index_t m_num_eigenvalues_spectrum;

        EQuadraticMMDType m_statistic_type;
};

}

#endif /* __QUADRACTIMEMMD_H_ */