From ed4dd14504b72ffa138ade81a9cb1cba038d8278 Mon Sep 17 00:00:00 2001
From: Antonin Portelli <antonin.portelli@me.com>
Date: Tue, 5 Apr 2016 20:56:21 +0100
Subject: [PATCH] function to convert a variance matrix into a correlation
 matrix

---
 lib/Math.cpp | 13 +++++++++++++
 lib/Math.hpp |  3 +++
 2 files changed, 16 insertions(+)

diff --git a/lib/Math.cpp b/lib/Math.cpp
index 6658c3b..4320f7e 100644
--- a/lib/Math.cpp
+++ b/lib/Math.cpp
@@ -24,6 +24,19 @@
 using namespace std;
 using namespace Latan;
 
+/******************************************************************************
+ *                             Custom math functions                          *
+ ******************************************************************************/
+DMat MATH_NAMESPACE::varToCorr(const DMat &var)
+{
+    DMat res = var, invDiag = res.diagonal();
+    
+    invDiag = invDiag.cwiseInverse().cwiseSqrt();
+    res     = (invDiag*invDiag.transpose()).cwiseProduct(res);
+    
+    return res;
+}
+
 /******************************************************************************
  *                             Standard C functions                           *
  ******************************************************************************/
diff --git a/lib/Math.hpp b/lib/Math.hpp
index 7f7f018..a54f82f 100644
--- a/lib/Math.hpp
+++ b/lib/Math.hpp
@@ -68,6 +68,9 @@ namespace MATH_NAMESPACE
         return res;
     }
     
+    // convert variance matrix to correlation matrix
+    DMat varToCorr(const DMat &var);
+    
     // Constants
     const double pi = 3.1415926535897932384626433832795028841970;
     const double e  = 2.7182818284590452353602874713526624977572;