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