GaussianMixture.h

#ifndef _theplu_yat_statistics_gaussian_mixture_
#define _theplu_yat_statistics_gaussian_mixture_

// $Id: GaussianMixture.h 3644 2017-05-11 06:07:31Z peter $

/*
  Copyright (C) 2017 Peter Johansson

  This file is part of the yat library, http://dev.thep.lu.se/yat

  The yat library 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.

  The yat 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
  General Public License for more details.

  You should have received a copy of the GNU General Public License
  along with yat. If not, see <http://www.gnu.org/licenses/>.
*/

#include <yat/utility/Vector.h>

#include <cstddef>
#include <vector>

namespace theplu {
namespace yat {
namespace utility {
  class Matrix;
}
namespace statistics {

  class GaussianMixture
  {
  public:
    void add(double x, unsigned long int n=1);

    double alpha(size_t i) const;

    double cdf_P(double x) const;

    void clear(void);

    void fit(size_t n);

    double mean(void) const;

    double mean(size_t i) const;

    double pdf(double x) const;

    double std(size_t i) const;

  private:
    struct data_type
    {
      data_type(double x, unsigned long int n);
      double x;
      unsigned long int n;
    };
    std::vector<data_type> data_;

    utility::Vector alpha_;
    utility::Vector mean_;
    utility::Vector sigma_;

    void calculate_posterior(utility::Matrix& h) const;
    void update_model(const utility::Matrix& h);
  };

}}} // of namespace statistics, yat, and theplu

#endif