initial upload

src/RobustPrewhitening.h

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+//--------------------------------------------------------------------------
+// Copyright(c) 2024, Yoshiya Usui
+//
+// Redistribution and use in source and binary forms, with or without
+// modification, are permitted provided that the following conditions are met :
+//
+// 1. Redistributions of source code must retain the above copyright notice, this
+// list of conditions and the following disclaimer.
+//
+// 2. Redistributions in binary form must reproduce the above copyright notice,
+// this list of conditions and the following disclaimer in the documentation
+// and /or other materials provided with the distribution.
+//
+// 3. Neither the name of the copyright holder nor the names of its
+// contributors may be used to endorse or promote products derived from
+// this software without specific prior written permission.
+//
+// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+// AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+// DISCLAIMED.IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+// FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+// DAMAGES(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+// SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+// CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+// OR TORT(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+// OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+//--------------------------------------------------------------------------
+#ifndef DBLDEF_ROBUST_PREWHITENING
+#define DBLDEF_ROBUST_PREWHITENING
+
+#include "CommonParameters.h"
+#include "DoubleDenseSquareSymmetricPositiveDefiniteMatrix.h"
+
+#include <vector>
+
+// Class of robust prewhitening 
+class RobustPrewhitening{
+
+public:
+
+	// Default constructer
+	RobustPrewhitening();
+
+	// Destructer
+	~RobustPrewhitening();
+
+	// Return the the instance of the class
+    static RobustPrewhitening* getInstance();
+
+	// Perform robust prewhitening
+	void robustPrewhitening( std::vector<CommonParameters::DataFileSet>& dataFileSets, std::vector<double>* coeffsAROutput ) const;
+
+	// Perform prewhitening using user-defined AR coefficients
+	void prewhiteningUsingUserDefinedARCoeffs( std::vector<CommonParameters::DataFileSet>& dataFileSets, std::vector<double>* coeffsAROutput ) const;
+
+private:
+
+	// Copy constructer
+	RobustPrewhitening(const RobustPrewhitening& rhs);
+
+	// Assignment operator
+	RobustPrewhitening& operator=(const RobustPrewhitening& rhs);
+
+	// Calculate robust-filtered value
+	void calculateRobustFilteredValue( const int iChan, const int numOfData, const int degreesOfAR, 	const double* const coeffsOfAR,
+		const double sigma, const double* const yOrg, const double* const autoCovariance, double* yMod ) const;
+
+	// Calculate robust auto-covariance matrix
+	void calculateRobustAutoCovarianceMatrix( const int degreesOfAR, const int numOfDataSets, const int* const numOfData,
+		double** data, DoubleDenseSquareSymmetricMatrix& covarianceMatrix ) const;
+
+	// Calculate Mahalanobis distances
+	// @note covariance matrix is factorized in this function
+	//void calculateMD( const int degreesOfAR, const int numOfDataAll, const double* const dataAll,
+	//	DoubleDenseSquareSymmetricMatrix& covarianceMatrix, double* residualVector, double* MD ) const;
+	void calculateMD( const int degreesOfAR, const int numOfDataSets, const int* const numOfData, double** data,
+		DoubleDenseSquareSymmetricMatrix& covarianceMatrix, double* MD ) const;
+
+	// Calculate weight for state vector in robust filter
+	double calculateWeightForStateVectorOfRobustFilter( const double val, const double paramA, const double paramB, const bool residualAssumedToBeZero ) const;
+
+	// Calculate weight for covariance matrix in robust filter
+	double calculateWeightForCovarianceMatrixOfRobustFilter( const double val, const double paramA, const double paramB, const bool residualAssumedToBeZero  ) const;
+};
+
+
+#endif