/usr/include/openturns/PenalizedLeastSquaresAlgorithm.hxx is in libopenturns-dev 0.15-2.
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/**
* @file PenalizedLeastSquaresAlgorithm.hxx
* @brief This Penalized Least Squares Algorithm as a functor class
*
* (C) Copyright 2005-2011 EDF-EADS-Phimeca
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License.
*
* This library 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
* Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
*
* @author: $LastChangedBy: schueller $
* @date: $LastChangedDate: 2008-05-21 17:44:02 +0200 (Wed, 21 May 2008) $
* Id: $Id: Object.hxx 818 2008-05-21 15:44:02Z dutka $
*/
#ifndef OPENTURNS_PENALIZEDLEASTSQUARESALGORITHM_HXX
#define OPENTURNS_PENALIZEDLEASTSQUARESALGORITHM_HXX
#include "ApproximationAlgorithmImplementation.hxx"
#include "NumericalSample.hxx"
#include "CovarianceMatrix.hxx"
namespace OpenTURNS {
namespace Base {
namespace Algo {
/**
* @class PenalizedLeastSquaresAlgorithm
*
* This PenalizedLeast Square Algorithm as a functor class
*/
class PenalizedLeastSquaresAlgorithm
: public ApproximationAlgorithmImplementation
{
CLASSNAME;
public:
typedef Common::StorageManager StorageManager;
typedef Func::NumericalMathFunction NumericalMathFunction;
typedef Type::Collection<NumericalMathFunction> NumericalMathFunctionCollection;
typedef Type::NumericalPoint NumericalPoint;
typedef Stat::NumericalSample NumericalSample;
typedef Stat::CovarianceMatrix CovarianceMatrix;
// friend class Base::Common::Factory<PenalizedLeastSquaresAlgorithm>;
/** Default constructor */
PenalizedLeastSquaresAlgorithm();
/** Parameters constructor, simple least squares problem with default parameters, spherically penalized for general parameters */
PenalizedLeastSquaresAlgorithm(const NumericalSample & x,
const NumericalSample & y,
const NumericalMathFunctionCollection & psi,
const NumericalScalar penalizationFactor = 0.0);
/** Parameters constructor, simple weighted least squares problem with default parameters, spherically penalized for general parameters */
PenalizedLeastSquaresAlgorithm(const NumericalSample & x,
const NumericalSample & y,
const NumericalPoint & weight,
const NumericalMathFunctionCollection & psi,
const NumericalScalar penalizationFactor = 0.0);
/** Parameters constructor, general penalized weighted least squares problem */
PenalizedLeastSquaresAlgorithm(const NumericalSample & x,
const NumericalSample & y,
const NumericalPoint & weight,
const NumericalMathFunctionCollection & psi,
const NumericalScalar penalizationFactor,
const CovarianceMatrix & penalizationMatrix);
/** Virtual constructor */
virtual PenalizedLeastSquaresAlgorithm * clone() const;
/** String converter */
virtual String __repr__() const;
/** Method save() stores the object through the StorageManager */
virtual void save(StorageManager::Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
virtual void load(StorageManager::Advocate & adv);
/** Perform the optimization */
void run();
protected:
private:
NumericalScalar penalizationFactor_;
CovarianceMatrix penalizationMatrix_;
} ; /* class PenalizedLeastSquaresAlgorithm */
} /* namespace Algo */
} /* namespace Base */
} /* namespace OpenTURNS */
#endif /* OPENTURNS_PENALIZEDLEASTSQUARESALGORITHM_HXX */
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