From 857a8e59c9aac045c1814b6055cb4d64081dce17 Mon Sep 17 00:00:00 2001
From: Antonin Portelli <antonin.portelli@me.com>
Date: Wed, 16 Feb 2022 18:54:16 +0000
Subject: [PATCH] corr to var and SVD dynamic range

---
 lib/Core/Math.cpp | 25 ++++++++++++++++++++++++-
 lib/Core/Math.hpp |  5 +++++
 2 files changed, 29 insertions(+), 1 deletion(-)

diff --git a/lib/Core/Math.cpp b/lib/Core/Math.cpp
index df9e8ba..5278412 100644
--- a/lib/Core/Math.cpp
+++ b/lib/Core/Math.cpp
@@ -29,7 +29,8 @@ using namespace Latan;
  ******************************************************************************/
 DMat MATH_NAMESPACE::varToCorr(const DMat &var)
 {
-    DMat res = var, invDiag = res.diagonal();
+    DMat res = var;
+    DVec invDiag = res.diagonal();
     
     invDiag = invDiag.cwiseInverse().cwiseSqrt();
     res     = (invDiag*invDiag.transpose()).cwiseProduct(res);
@@ -37,6 +38,28 @@ DMat MATH_NAMESPACE::varToCorr(const DMat &var)
     return res;
 }
 
+DMat MATH_NAMESPACE::corrToVar(const DMat &corr, const DVec &varDiag)
+{
+    DMat res = corr;
+    DVec varSqrtDiag = varDiag.cwiseSqrt();
+    
+    res = (varSqrtDiag*varSqrtDiag.transpose()).cwiseProduct(res);
+
+    return res;
+}
+
+double MATH_NAMESPACE::svdDynamicRange(const DMat &mat)
+{
+    DVec s = mat.singularValues();
+
+    return s.maxCoeff()/s.minCoeff();
+}
+
+double MATH_NAMESPACE::svdDynamicRangeDb(const DMat &mat)
+{
+    return 10.*log10(svdDynamicRange(mat));
+}
+
 /******************************************************************************
  *                             Standard C functions                           *
  ******************************************************************************/
diff --git a/lib/Core/Math.hpp b/lib/Core/Math.hpp
index 3802ceb..0ece91a 100644
--- a/lib/Core/Math.hpp
+++ b/lib/Core/Math.hpp
@@ -70,6 +70,11 @@ namespace MATH_NAMESPACE
     
     // convert variance matrix to correlation matrix
     DMat varToCorr(const DMat &var);
+    DMat corrToVar(const DMat &corr, const DVec &varDiag);
+
+    // matrix SVD dynamic range
+    double svdDynamicRange(const DMat &mat);
+    double svdDynamicRangeDb(const DMat &mat);
     
     // Constants
     constexpr double pi  = 3.1415926535897932384626433832795028841970;