AdaptiveKernelDensityEstimation.h

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//
// File: AdaptiveKernelDensityEstimation.h
// Created by: Julien Dutheil
// Created on: Thu Nov 05 13:25:07 2009
//

/*
Copyright or © or Copr. Bio++ Development Team, (November 17, 2004)

This software is a computer program whose purpose is to provide classes
for numerical calculus. This file is part of the Bio++ project.

This software is governed by the CeCILL  license under French law and
abiding by the rules of distribution of free software.  You can  use, 
modify and/ or redistribute the software under the terms of the CeCILL
license as circulated by CEA, CNRS and INRIA at the following URL
"http://www.cecill.info". 

As a counterpart to the access to the source code and  rights to copy,
modify and redistribute granted by the license, users are provided only
with a limited warranty  and the software's author,  the holder of the
economic rights,  and the successive licensors  have only  limited
liability. 

In this respect, the user's attention is drawn to the risks associated
with loading,  using,  modifying and/or developing or reproducing the
software by the user in light of its specific status of free software,
that may mean  that it is complicated to manipulate,  and  that  also
therefore means  that it is reserved for developers  and  experienced
professionals having in-depth computer knowledge. Users are therefore
encouraged to load and test the software's suitability as regards their
requirements in conditions enabling the security of their systems and/or 
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same conditions as regards security. 

The fact that you are presently reading this means that you have had
knowledge of the CeCILL license and that you accept its terms.
*/

#ifndef _ADAPTIVEKERNELDENSITYESTIMATION_H_
#define _ADAPTIVEKERNELDENSITYESTIMATION_H_

#include "Matrix/Matrix.h"

namespace bpp
{

class AdaptiveKernelDensityEstimation
{
  private:
    RowMatrix<double> x_; //The original sample
    size_t n_;
    size_t r_;
    RowMatrix<double> covar_; //The covariance matrix, used for the linear transformation
    RowMatrix<double> invSqrtCovar_; //The inverse of the square root of the covariance matrix, used for the linear transformation
    std::vector<double> xMean_;
    double gamma_; //Tune the effect of the pilot density.
    double c1_;
    std::vector<double> c2_;
    double h_; //The bandwidth.
    std::vector<double> lambda_; //The local tuning coefficient of the bandwidth.
    std::vector<double> pilot_; //The pilot density

  public:
    AdaptiveKernelDensityEstimation(const Matrix<double>& x, double gamma = 0.5):
      x_(x), n_(x.getNumberOfColumns()), r_(x.getNumberOfRows()),
      covar_(), invSqrtCovar_(), xMean_(), gamma_(gamma),
      c1_(0), c2_(x.getNumberOfColumns()), h_(0),
      lambda_(x.getNumberOfColumns()), pilot_(x.getNumberOfColumns())
    {
      init_();
    }
    virtual ~AdaptiveKernelDensityEstimation() {}

  public:

    double kDensity(const std::vector<double>& x);

  private:
    void init_();

    void sampleMean_(const Matrix<double>& x, std::vector<double>& mean);
    
    double kernel_(const Matrix<double>& x);

};

} //End of namespace bpp.

#endif //_ADAPTIVEKERNELDENSITYESTIMATION_H_