/usr/include/shogun/distributions/classical/GaussianDistribution.h is in libshogun-dev 3.2.0-7.3build4.
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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) 2013 Heiko Strathmann
*/
#ifdef HAVE_EIGEN3
#ifndef GAUSSIANDISTRIBUTION_H
#define GAUSSIANDISTRIBUTION_H
#include <shogun/distributions/classical/ProbabilityDistribution.h>
#include <shogun/lib/SGVector.h>
namespace shogun
{
/** @brief Dense version of the well-known Gaussian probability distribution,
* defined as
* \f[
* \mathcal{N}_x(\mu,\Sigma)=
* \frac{1}{\sqrt{|2\pi\Sigma|}}
* \exp\left(-\frac{1}{2}(x-\mu)^T\Sigma^{-1}(x-\mu)\right)
* \f]
*
* The implementation represents the covariance matrix \f$\Sigma \f$, as
* Cholesky factorisation, such that the covariance can be computed as
* \f$\Sigma=LL^T\f$.
*/
class CGaussianDistribution: public CProbabilityDistribution
{
public:
/** Default constructor */
CGaussianDistribution();
/** Constructor for which takes Gaussian mean and its covariance matrix.
* It is also possible to pass a precomputed matrix factor of the specified
* form. In this case, the factorization is not explicitly computed.
*
* @param mean mean of the Gaussian
* @param cov covariance of the Gaussian, or covariance factor
* @param cov_is_factor whether cov is a factor of the covariance or not
* (default is false). If false, the factorization is explicitly computed
*/
CGaussianDistribution(SGVector<float64_t> mean, SGMatrix<float64_t> cov,
bool cov_is_factor=false);
/** Destructor */
virtual ~CGaussianDistribution();
/** Samples from the distribution multiple times
*
* @param num_samples number of samples to generate
* @param pre_samples a matrix of standard normal samples that might be used
* for sampling the Gaussian. Ignored by default. If passed, the pre-samples
* will be modified.
* @return matrix with samples (column vectors)
*/
virtual SGMatrix<float64_t> sample(int32_t num_samples,
SGMatrix<float64_t> pre_samples=SGMatrix<float64_t>()) const;
/** Computes the log-pdf for all provided samples. That is
*
* \f[
* \log(\mathcal{N}_x(\mu,\Sigma))=
* - \frac{d}{2} \log(2\pi)
* -\frac{1}{2}\log(\det(\Sigma))
* -\frac{1}{2}(x-\mu)^T\Sigma^{-1}(x-\mu),
* \f]
*
* where \f$d\f$ is the dimension of the Gaussian.
* The method to compute the log-determinant is based on the factorization
* of the covariance matrix.
*
* @param samples samples to compute log-pdf of (column vectors)
* @return vector with log-pdfs of given samples
*/
virtual SGVector<float64_t> log_pdf_multiple(SGMatrix<float64_t> samples) const;
/** @return name of the SGSerializable */
virtual const char* get_name() const
{
return "GaussianDistribution";
}
private:
/** Initialses and registers parameters */
void init();
protected:
/** Mean */
SGVector<float64_t> m_mean;
/** Lower factor of covariance matrix (depends on factorization type).
* Covariance (approximation) is given by \f$\Sigma=LL^T\f$ */
SGMatrix<float64_t> m_L;
};
}
#endif // GAUSSIANDISTRIBUTION_H
#endif // HAVE_EIGEN3
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