/* multifit/gsl_multifit.h * * Copyright (C) 2000, 2007, 2010 Brian Gough * Copyright (C) 2013, Patrick Alken * * 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. * * This program is distributed in the hope that it will be useful, but * WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU * General Public License for more details. * * You should have received a copy of the GNU General Public License * along with this program; if not, write to the Free Software * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA. */ #ifndef __GSL_MULTIFIT_H__ #define __GSL_MULTIFIT_H__ #include #include #include #include #include #undef __BEGIN_DECLS #undef __END_DECLS #ifdef __cplusplus # define __BEGIN_DECLS extern "C" { # define __END_DECLS } #else # define __BEGIN_DECLS /* empty */ # define __END_DECLS /* empty */ #endif __BEGIN_DECLS typedef struct { size_t n; /* number of observations */ size_t p; /* number of parameters */ gsl_matrix * A; gsl_matrix * Q; gsl_matrix * QSI; gsl_vector * S; gsl_vector * t; gsl_vector * xt; gsl_vector * D; } gsl_multifit_linear_workspace; gsl_multifit_linear_workspace * gsl_multifit_linear_alloc (size_t n, size_t p); void gsl_multifit_linear_free (gsl_multifit_linear_workspace * work); int gsl_multifit_linear (const gsl_matrix * X, const gsl_vector * y, gsl_vector * c, gsl_matrix * cov, double * chisq, gsl_multifit_linear_workspace * work); int gsl_multifit_linear_svd (const gsl_matrix * X, const gsl_vector * y, double tol, size_t * rank, gsl_vector * c, gsl_matrix * cov, double *chisq, gsl_multifit_linear_workspace * work); int gsl_multifit_linear_usvd (const gsl_matrix * X, const gsl_vector * y, double tol, size_t * rank, gsl_vector * c, gsl_matrix * cov, double *chisq, gsl_multifit_linear_workspace * work); int gsl_multifit_wlinear (const gsl_matrix * X, const gsl_vector * w, const gsl_vector * y, gsl_vector * c, gsl_matrix * cov, double * chisq, gsl_multifit_linear_workspace * work); int gsl_multifit_wlinear_svd (const gsl_matrix * X, const gsl_vector * w, const gsl_vector * y, double tol, size_t * rank, gsl_vector * c, gsl_matrix * cov, double *chisq, gsl_multifit_linear_workspace * work); int gsl_multifit_wlinear_usvd (const gsl_matrix * X, const gsl_vector * w, const gsl_vector * y, double tol, size_t * rank, gsl_vector * c, gsl_matrix * cov, double *chisq, gsl_multifit_linear_workspace * work); int gsl_multifit_linear_est (const gsl_vector * x, const gsl_vector * c, const gsl_matrix * cov, double *y, double *y_err); int gsl_multifit_linear_residuals (const gsl_matrix *X, const gsl_vector *y, const gsl_vector *c, gsl_vector *r); typedef struct { const char * name; /* method name */ int (*wfun)(const gsl_vector *r, gsl_vector *w); int (*psi_deriv)(const gsl_vector *r, gsl_vector *dpsi); double tuning_default; /* default tuning constant */ } gsl_multifit_robust_type; typedef struct { double sigma_ols; /* OLS estimate of sigma */ double sigma_mad; /* MAD estimate of sigma */ double sigma_rob; /* robust estimate of sigma */ double sigma; /* final estimate of sigma */ double Rsq; /* R^2 coefficient of determination */ double adj_Rsq; /* degree of freedom adjusted R^2 */ double rmse; /* root mean squared error */ double sse; /* residual sum of squares */ size_t dof; /* degrees of freedom */ size_t numit; /* number of iterations */ gsl_vector *weights; /* final weights */ gsl_vector *r; /* final residuals y - X c */ } gsl_multifit_robust_stats; typedef struct { size_t n; /* number of observations */ size_t p; /* number of parameters */ size_t numit; /* number of iterations */ size_t maxiter; /* maximum iterations */ const gsl_multifit_robust_type *type; double tune; /* tuning parameter */ gsl_vector *r; /* residuals at current iteration */ gsl_vector *weights; /* weights at current iteration */ gsl_vector *c_prev; /* coefficients from previous iteration */ gsl_vector *resfac; /* multiplicative factors for residuals */ gsl_vector *psi; /* psi(r) */ gsl_vector *dpsi; /* psi'(r) */ gsl_matrix *QSI; /* Q S^{-1} of original matrix X */ gsl_vector *D; /* balancing parameters of original matrix X */ gsl_vector *workn; /* workspace of length n */ gsl_multifit_robust_stats stats; /* various statistics */ gsl_multifit_linear_workspace *multifit_p; } gsl_multifit_robust_workspace; /* available types */ GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_default; GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_bisquare; GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_cauchy; GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_fair; GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_huber; GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_ols; GSL_VAR const gsl_multifit_robust_type * gsl_multifit_robust_welsch; gsl_multifit_robust_workspace *gsl_multifit_robust_alloc(const gsl_multifit_robust_type *T, const size_t n, const size_t p); void gsl_multifit_robust_free(gsl_multifit_robust_workspace *w); int gsl_multifit_robust_tune(const double tune, gsl_multifit_robust_workspace *w); const char *gsl_multifit_robust_name(const gsl_multifit_robust_workspace *w); gsl_multifit_robust_stats gsl_multifit_robust_statistics(const gsl_multifit_robust_workspace *w); int gsl_multifit_robust(const gsl_matrix * X, const gsl_vector * y, gsl_vector * c, gsl_matrix *cov, gsl_multifit_robust_workspace *w); int gsl_multifit_robust_est(const gsl_vector * x, const gsl_vector * c, const gsl_matrix * cov, double *y, double *y_err); __END_DECLS #endif /* __GSL_MULTIFIT_H__ */