//Just a wrapper for the mat64.Dense.TCopy method
func (F *Matrix) TCopy(A mat64.Matrix) {
//NOTE: This function has been removed from gonum, hence I should remove it from here too. *******************
//Somehow the mat64.TCopy method seems to misbehave if I give it a mat64.Matrix.
//Although I can't see a bug in the mat64.Dense.TCopy function, it seems that if I
//call it with an A which is not a mat64.Dense, it doesn't work. That is why this wrapper
//has not been deleted. This seems to be a bug in gochem somehow, not in gonum.
if A, ok := A.(*Matrix); ok {
F.Dense.Copy(A.Dense.T())
} else {
F.Dense.Copy(A.T())
}
}
// CovarianceMatrix calculates a covariance matrix (also known as a
// variance-covariance matrix) from a matrix of data, using a two-pass
// algorithm.
//
// The weights must have length equal to the number of rows in
// input data matrix x. If cov is nil, then a new matrix with appropriate size will
// be constructed. If cov is not nil, it should have the same number of columns as the
// input data matrix x, and it will be used as the destination for the covariance
// data. Weights must not be negative.
func CovarianceMatrix(cov *mat64.SymDense, x mat64.Matrix, weights []float64) *mat64.SymDense {
// This is the matrix version of the two-pass algorithm. It doesn't use the
// additional floating point error correction that the Covariance function uses
// to reduce the impact of rounding during centering.
r, c := x.Dims()
if cov == nil {
cov = mat64.NewSymDense(c, nil)
} else if n := cov.Symmetric(); n != c {
panic(matrix.ErrShape)
}
var xt mat64.Dense
xt.Clone(x.T())
// Subtract the mean of each of the columns.
for i := 0; i < c; i++ {
v := xt.RawRowView(i)
// This will panic with ErrShape if len(weights) != len(v), so
// we don't have to check the size later.
mean := Mean(v, weights)
floats.AddConst(-mean, v)
}
if weights == nil {
// Calculate the normalization factor
// scaled by the sample size.
cov.SymOuterK(1/(float64(r)-1), &xt)
return cov
}
// Multiply by the sqrt of the weights, so that multiplication is symmetric.
sqrtwts := make([]float64, r)
for i, w := range weights {
if w < 0 {
panic("stat: negative covariance matrix weights")
}
sqrtwts[i] = math.Sqrt(w)
}
// Weight the rows.
for i := 0; i < c; i++ {
v := xt.RawRowView(i)
floats.Mul(v, sqrtwts)
}
// Calculate the normalization factor
// scaled by the weighted sample size.
cov.SymOuterK(1/(floats.Sum(weights)-1), &xt)
return cov
}
func testSimplex(t *testing.T, initialBasic []int, c []float64, a mat64.Matrix, b []float64, convergenceTol float64) error {
primalOpt, primalX, _, errPrimal := simplex(initialBasic, c, a, b, convergenceTol)
if errPrimal == nil {
// No error solving the simplex, check that the solution is feasible.
var bCheck mat64.Vector
bCheck.MulVec(a, mat64.NewVector(len(primalX), primalX))
if !mat64.EqualApprox(&bCheck, mat64.NewVector(len(b), b), 1e-10) {
t.Errorf("No error in primal but solution infeasible")
}
}
primalInfeasible := errPrimal == ErrInfeasible
primalUnbounded := errPrimal == ErrUnbounded
primalBounded := errPrimal == nil
primalASingular := errPrimal == ErrSingular
primalZeroRow := errPrimal == ErrZeroRow
primalZeroCol := errPrimal == ErrZeroColumn
primalBad := !primalInfeasible && !primalUnbounded && !primalBounded && !primalASingular && !primalZeroRow && !primalZeroCol
// It's an error if it's not one of the known returned errors. If it's
// singular the problem is undefined and so the result cannot be compared
// to the dual.
if errPrimal == ErrSingular || primalBad {
if primalBad {
t.Errorf("non-known error returned: %s", errPrimal)
}
return errPrimal
}
// Compare the result to the answer found from solving the dual LP.
// Construct and solve the dual LP.
// Standard Form:
// minimize c^T * x
// subject to A * x = b, x >= 0
// The dual of this problem is
// maximize -b^T * nu
// subject to A^T * nu + c >= 0
// Which is
// minimize b^T * nu
// subject to -A^T * nu <= c
negAT := &mat64.Dense{}
negAT.Clone(a.T())
negAT.Scale(-1, negAT)
cNew, aNew, bNew := Convert(b, negAT, c, nil, nil)
dualOpt, dualX, _, errDual := simplex(nil, cNew, aNew, bNew, convergenceTol)
if errDual == nil {
// Check that the dual is feasible
var bCheck mat64.Vector
bCheck.MulVec(aNew, mat64.NewVector(len(dualX), dualX))
if !mat64.EqualApprox(&bCheck, mat64.NewVector(len(bNew), bNew), 1e-10) {
t.Errorf("No error in dual but solution infeasible")
}
}
// Check about the zero status.
if errPrimal == ErrZeroRow || errPrimal == ErrZeroColumn {
return errPrimal
}
// If the primal problem is feasible, then the primal and the dual should
// be the same answer. We have flopped the sign in the dual (minimizing
// b^T *nu instead of maximizing -b^T*nu), so flip it back.
if errPrimal == nil {
if errDual != nil {
fmt.Println("errDual", errDual)
panic("here")
t.Errorf("Primal feasible but dual errored: %s", errDual)
}
dualOpt *= -1
if !floats.EqualWithinAbsOrRel(dualOpt, primalOpt, convergenceTol, convergenceTol) {
t.Errorf("Primal and dual value mismatch. Primal %v, dual %v.", primalOpt, dualOpt)
}
}
// If the primal problem is unbounded, then the dual should be infeasible.
if errPrimal == ErrUnbounded && errDual != ErrInfeasible {
t.Errorf("Primal unbounded but dual not infeasible. ErrDual = %s", errDual)
}
// If the dual is unbounded, then the primal should be infeasible.
if errDual == ErrUnbounded && errPrimal != ErrInfeasible {
t.Errorf("Dual unbounded but primal not infeasible. ErrDual = %s", errPrimal)
}
// If the primal is infeasible, then the dual should be either infeasible
// or unbounded.
if errPrimal == ErrInfeasible {
if errDual != ErrUnbounded && errDual != ErrInfeasible && errDual != ErrZeroColumn {
t.Errorf("Primal infeasible but dual not infeasible or unbounded: %s", errDual)
}
}
return errPrimal
}
// CovarianceMatrix calculates a covariance matrix (also known as a
// variance-covariance matrix) from a matrix of data, using a two-pass
// algorithm. The matrix returned will be symmetric and square.
//
// The weights wts should have the length equal to the number of rows in
// input data matrix x. If c is nil, then a new matrix with appropriate size will
// be constructed. If c is not nil, it should be a square matrix with the same
// number of columns as the input data matrix x, and it will be used as the receiver
// for the covariance data. Weights cannot be negative.
func CovarianceMatrix(cov *mat64.Dense, x mat64.Matrix, wts []float64) *mat64.Dense {
// This is the matrix version of the two-pass algorithm. It doesn't use the
// additional floating point error correction that the Covariance function uses
// to reduce the impact of rounding during centering.
// TODO(jonlawlor): indicate that the resulting matrix is symmetric, and change
// the returned type from a *mat.Dense to a *mat.Symmetric.
r, c := x.Dims()
if cov == nil {
cov = mat64.NewDense(c, c, nil)
} else if covr, covc := cov.Dims(); covr != covc || covc != c {
panic(mat64.ErrShape)
}
var xt mat64.Dense
xt.Clone(x.T())
// Subtract the mean of each of the columns.
for i := 0; i < c; i++ {
v := xt.RawRowView(i)
// This will panic with ErrShape if len(wts) != len(v), so
// we don't have to check the size later.
mean := Mean(v, wts)
floats.AddConst(-mean, v)
}
var n float64
if wts == nil {
n = float64(r)
cov.Mul(&xt, (&xt).T())
// Scale by the sample size.
cov.Scale(1/(n-1), cov)
return cov
}
// Multiply by the sqrt of the weights, so that multiplication is symmetric.
sqrtwts := make([]float64, r)
for i, w := range wts {
if w < 0 {
panic("stat: negative covariance matrix weights")
}
sqrtwts[i] = math.Sqrt(w)
}
// Weight the rows.
for i := 0; i < c; i++ {
v := xt.RawRowView(i)
floats.Mul(v, sqrtwts)
}
// Calculate the normalization factor.
n = floats.Sum(wts)
cov.Mul(&xt, (&xt).T())
// Scale by the sample size.
cov.Scale(1/(n-1), cov)
return cov
}
