SHOGUN  4.1.0
SparseInverseCovariance.cpp
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1 /*
2  * This program is free software; you can redistribute it and/or modify
4  * the Free Software Foundation; either version 3 of the License, or
5  * (at your option) any later version.
6  *
7  * Copyright (C) 2009-2011 Jun Liu, Jieping Ye
8  * Copyright (C) 2012 Sergey Lisitsyn
9  */
10
12 #include <shogun/base/Parameter.h>
14
15 using namespace shogun;
16
18  CSGObject(), m_lasso_max_iter(1000),
19  m_max_iter(1000), m_f_gap(1e-6), m_x_gap(1e-4),
20  m_xtol(1e-4)
21 {
22  register_parameters();
23 }
24
26 {
27 }
28
29 void CSparseInverseCovariance::register_parameters()
30 {
32  "maximum iteration of LASSO step",MS_NOT_AVAILABLE);
38 }
39
41 {
43
44  int32_t n = S.num_cols;
45  float64_t sum_S = 0.0;
46  for (int32_t i=0; i<n; i++)
47  sum_S += S(i,i);
48
49  float64_t* Theta = SG_CALLOC(float64_t, n*n);
50  float64_t* W = SG_CALLOC(float64_t, n*n);
51
52  invCov(Theta, W, S.matrix, lambda_c, sum_S, n, m_lasso_max_iter,
54
55  SG_FREE(W);
56  return SGMatrix<float64_t>(Theta,n,n);
57 }
index_t num_cols
Definition: SGMatrix.h:378
index_t num_rows
Definition: SGMatrix.h:376
#define ASSERT(x)
Definition: SGIO.h:201
Class SGObject is the base class of all shogun objects.
Definition: SGObject.h:112
double float64_t
Definition: common.h:50
void invCov(double *Theta, double *W, double *S, double lambda, double sum_S, int n, int LassoMaxIter, double fGap, double xGap, int maxIter, double xtol)
Definition: invCov.cpp:171
all of classes and functions are contained in the shogun namespace
Definition: class_list.h:18
SGMatrix< float64_t > estimate(SGMatrix< float64_t > S, float64_t lambda_c)