LinearTimeMMD.h

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/*
 * 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 __LINEARTIMEMMD_H_
#define __LINEARTIMEMMD_H_

#include <shogun/statistics/KernelTwoSampleTestStatistic.h>
#include <shogun/kernel/Kernel.h>
#include <shogun/lib/external/libqp.h>

namespace shogun
{

class CStreamingFeatures;
class CFeatures;

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

    CLinearTimeMMD(CKernel* kernel, CStreamingFeatures* p,
            CStreamingFeatures* q, index_t m, index_t blocksize=10000);

    virtual ~CLinearTimeMMD();

    virtual float64_t compute_statistic();

    virtual float64_t compute_p_value(float64_t statistic);

    virtual float64_t perform_test();

    virtual float64_t compute_threshold(float64_t alpha);

    virtual float64_t compute_variance_estimate();

    virtual void compute_statistic_and_variance(float64_t& statistic,
            float64_t& variance);

    virtual SGVector<float64_t> bootstrap_null();

#ifdef HAVE_LAPACK

    virtual void optimize_kernel_weights();

    void set_opt_max_iterations(index_t opt_max_iterations)
    {
        m_opt_max_iterations=opt_max_iterations;
    }

    void set_opt_epsilon(float64_t opt_epsilon) {
        m_opt_epsilon=opt_epsilon;
    }

    void set_opt_low_cut(float64_t opt_low_cut)
    {
        m_opt_low_cut=opt_low_cut;
    }

    void set_opt_regularization_eps(float64_t opt_regularization_eps)
    {
        m_opt_regularization_eps=opt_regularization_eps;
    }
#endif //HAVE_LAPACK

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

private:
    void init();

public:
#ifdef HAVE_LAPACK

    static const float64_t* get_Q_col(uint32_t i);

    static void print_state(libqp_state_T state);
#endif //HAVE_LAPACK

protected:
    CStreamingFeatures* m_streaming_p;

    CStreamingFeatures* m_streaming_q;

    index_t m_blocksize;

#ifdef HAVE_LAPACK

    index_t m_opt_max_iterations;

    float64_t m_opt_epsilon;

    float64_t m_opt_low_cut;

    float64_t m_opt_regularization_eps;

    static SGMatrix<float64_t> m_Q;
#endif //HAVE_LAPACK

};

}

#endif /* __LINEARTIMEMMD_H_ */