SparseInverseCovariance.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.
 *
 * Copyright (C) 2012 Sergey Lisitsyn
 */

#ifndef SPINVCOV_H_
#define SPINVCOV_H_
#include <shogun/base/SGObject.h>
#include <shogun/lib/SGMatrix.h>

namespace shogun 
{

class CSparseInverseCovariance : public CSGObject
{
public:

    CSparseInverseCovariance();

    virtual ~CSparseInverseCovariance();

    SGMatrix<float64_t> estimate(SGMatrix<float64_t> S, float64_t lambda_c);

    const char* get_name() const { return "SparseInverseCovariance"; };


    int32_t get_lasso_max_iter() const { return m_lasso_max_iter; }
    int32_t get_max_iter() const { return m_max_iter; }
    float64_t get_f_gap() const { return m_f_gap; }
    float64_t get_x_gap() const { return m_x_gap; }
    float64_t get_xtol() const { return m_xtol; }

    void set_lasso_max_iter(int32_t lasso_max_iter) 
    { 
        m_lasso_max_iter = lasso_max_iter;
    }
    void set_max_iter(int32_t max_iter) 
    { 
        m_max_iter = max_iter;
    }
    void set_f_gap(int32_t f_gap) 
    { 
        m_f_gap = f_gap;
    }
    void set_x_gap(int32_t x_gap) 
    { 
        m_x_gap = x_gap;
    }
    void set_xtol(int32_t xtol) 
    { 
        m_xtol = xtol;
    }

private:

    void register_parameters();

protected:

    int32_t m_lasso_max_iter;

    int32_t m_max_iter;

    float64_t m_f_gap;

    float64_t m_x_gap;

    float64_t m_xtol;
};

}
#endif