MultiDimensionalWeighted.h

#ifndef _theplu_yat_regression_multidimensionalweighted_
#define _theplu_yat_regression_multidimensionalweighted_

// $Id: MultiDimensionalWeighted.h 2127 2009-12-22 20:45:22Z peter $

/*
  Copyright (C) 2006, 2007, 2008 Jari Häkkinen, Peter Johansson
  Copyright (C) 2009 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/Matrix.h"
#include "yat/utility/Vector.h"

#include <gsl/gsl_multifit.h>

namespace theplu {
namespace yat {
namespace regression {

  class MultiDimensionalWeighted
  {
  public:

    MultiDimensionalWeighted(void);

    ~MultiDimensionalWeighted(void);

    double chisq(void) const;

    void fit(const utility::Matrix& X, const utility::VectorBase& y, 
             const utility::VectorBase& w);

    double predict(const utility::VectorBase& x) const;

    double prediction_error2(const utility::VectorBase& x, 
                             const double w=1) const;

    double standard_error2(const utility::VectorBase& x) const;

    const utility::Vector& fit_parameters(void) const;

    double s2(const double w=1.0) const;

  private:
    // no copy allowed
    MultiDimensionalWeighted(const MultiDimensionalWeighted&);
    MultiDimensionalWeighted& operator=(const MultiDimensionalWeighted&);

    double chisquare_;
    utility::Matrix covariance_;
    utility::Vector fit_parameters_;
    double s2_;
    gsl_multifit_linear_workspace* work_;

  };

}}} // of namespaces regression, yat, and theplu

#endif