Merge 269d0c338e into 4823426d55

.gitignore

@@ -25,9 +25,10 @@ lib/*Lexer.cpp
 lib/*Parser.cpp
 lib/*Parser.hpp
 
-# Eigen headers
-lib/Eigen/*
+# Eigen headers and archives
+lib/Eigen
 lib/eigen_files.mk
+eigen-*.tar.bz2
 
 # CI builds
 ci-scripts/local/*

bootstrap.sh

@@ -2,5 +2,5 @@
 
 rm -rf .buildutils
 mkdir -p .buildutils/m4
-./update_eigen.sh eigen-3.3.8.tar.bz2
+./update_eigen.sh eigen-3.4.0.tar.bz2
 autoreconf -fvi

build.sh

@@ -1,24 +0,0 @@
-#!/bin/bash
-
-set -e
-
-PREFIX=`cat Makefile | grep '^prefix =' | awk '{print $3}'`
-case $1 in
-    '')
-        echo '-- building...'
-        make -j8
-        echo '-- installing...'
-        make uninstall 1>/dev/null
-        make install 1>/dev/null;;
-#        if [[ `basename \`pwd\`` == "lib" ]]
-#        then
-#            echo '-- creating debug symbols...'
-#            dsymutil .libs/libLatAnalyze.0.dylib -o ${PREFIX}/lib/libLatAnalyze.0.dylib.dSYM
-#        fi;;
-    'clean')
-        echo '-- cleaning...'
-        make -j8 clean;;
-    *)
-        echo 'error: unknown action' 1>&2
-        exit 1;;
-esac

lib/Makefile.am

@@ -58,6 +58,7 @@ libLatAnalyze_la_SOURCES =           \
     Numerical/RootFinder.cpp         \
     Numerical/Solver.cpp             \
     Physics/CorrelatorFitter.cpp     \
+    Physics/DataFilter.cpp           \
     Physics/EffectiveMass.cpp        \
     Statistics/FitInterface.cpp      \
     Statistics/Histogram.cpp         \
@@ -106,6 +107,7 @@ HPPFILES =                           \
     Numerical/RootFinder.hpp         \
     Numerical/Solver.hpp             \
     Physics/CorrelatorFitter.hpp     \
+    Physics/DataFilter.hpp           \
     Physics/EffectiveMass.hpp        \
     Statistics/Dataset.hpp           \
     Statistics/FitInterface.hpp      \

lib/Numerical/DWT.cpp

@@ -32,46 +32,91 @@ DWT::DWT(const DWTFilter &filter)
 {}
 
 // convolution primitive ///////////////////////////////////////////////////////
-void DWT::filterConvolution(DVec &out, const DVec &data, 
-                            const std::vector<double> &filter, const Index offset)
+template <typename MatType>
+void filterConvolution(MatType &out, const MatType &data, 
+                       const std::vector<double> &filter, const Index offset)
 {
-    Index n = data.size(), nf = n*filter.size();
+    Index n = data.rows(), nf = n*filter.size();
 
-    out.resize(n);
+    out.resizeLike(data);
     out.fill(0.);
     for (unsigned int i = 0; i < filter.size(); ++i)
     {
-        FOR_VEC(out, j)
+        FOR_MAT(out, j, k)
         {
-            out(j) += filter[i]*data((j + i + nf - offset) % n);
+            out(j, k) += filter[i]*data((j + i + nf - offset) % n, k);
         }
     }
 }
 
+void DWT::filterConvolution(DVec &out, const DVec &data, 
+                            const std::vector<double> &filter, const Index offset)
+{
+    ::filterConvolution(out, data, filter, offset);
+}
+
+void DWT::filterConvolution(DMat &out, const DMat &data, 
+                            const std::vector<double> &filter, const Index offset)
+{
+    ::filterConvolution(out, data, filter, offset);
+}
+
 // downsampling/upsampling primitives //////////////////////////////////////////
+template <typename MatType>
+void downsample(MatType &out, const MatType &in)
+{
+    if (out.rows() < in.rows()/2)
+    {
+        LATAN_ERROR(Size, "output rows smaller than half the input vector rows");
+    }
+    if (out.cols() != in.cols())
+    {
+        LATAN_ERROR(Size, "output and input number of columns mismatch");
+    }
+    for (Index j = 0; j < in.cols(); j++)
+    for (Index i = 0; i < in.rows(); i += 2)
+    {
+        out(i/2, j) = in(i, j);
+    }
+}
+
 void DWT::downsample(DVec &out, const DVec &in)
 {
-    if (out.size() < in.size()/2)
+    ::downsample(out, in);
+}
+
+void DWT::downsample(DMat &out, const DMat &in)
+{
+    ::downsample(out, in);
+}
+
+template <typename MatType>
+void upsample(MatType &out, const MatType &in)
+{
+    if (out.size() < 2*in.size())
     {
-        LATAN_ERROR(Size, "output vector smaller than half the input vector size");
+        LATAN_ERROR(Size, "output rows smaller than twice the input rows");
     }
-    for (Index i = 0; i < in.size(); i += 2)
+    if (out.cols() != in.cols())
     {
-        out(i/2) = in(i);
+        LATAN_ERROR(Size, "output and input number of columns mismatch");
+    }
+    out.block(0, 0, 2*in.size(), out.cols()).fill(0.);
+    for (Index j = 0; j < in.cols(); j++)
+    for (Index i = 0; i < in.size(); i ++)
+    {
+        out(2*i, j) = in(i, j);
     }
 }
 
 void DWT::upsample(DVec &out, const DVec &in)
 {
-    if (out.size() < 2*in.size())
-    {
-        LATAN_ERROR(Size, "output vector smaller than twice the input vector size");
-    }
-    out.segment(0, 2*in.size()).fill(0.);
-    for (Index i = 0; i < in.size(); i ++)
-    {
-        out(2*i) = in(i);
-    }
+    ::upsample(out, in);
+}
+
+void DWT::upsample(DMat &out, const DMat &in)
+{
+    ::upsample(out, in);
 }
 
 // DWT /////////////////////////////////////////////////////////////////////////

lib/Numerical/DWT.hpp

@@ -22,6 +22,7 @@
 
 #include <LatAnalyze/Global.hpp>
 #include <LatAnalyze/Numerical/DWTFilters.hpp>
+#include <LatAnalyze/Core/Mat.hpp>
 
 BEGIN_LATAN_NAMESPACE
 
@@ -40,9 +41,13 @@ public:
     // convolution primitive
     static void filterConvolution(DVec &out, const DVec &data, 
                                   const std::vector<double> &filter, const Index offset);
+    static void filterConvolution(DMat &out, const DMat &data, 
+                                  const std::vector<double> &filter, const Index offset);
     // downsampling/upsampling primitives
     static void downsample(DVec &out, const DVec &in);
+    static void downsample(DMat &out, const DMat &in);
     static void upsample(DVec &out, const DVec &in);
+    static void upsample(DMat &out, const DMat &in);
     // DWT
     std::vector<DWTLevel> forward(const DVec &data, const unsigned int level) const;
     DVec                  backward(const std::vector<DWTLevel>& dwt) const;

lib/Physics/DataFilter.cpp

@@ -0,0 +1,83 @@
+/*
+ * DataFilter.cpp, part of LatAnalyze 3
+ *
+ * Copyright (C) 2013 - 2020 Antonin Portelli
+ *
+ * LatAnalyze 3 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.
+ *
+ * LatAnalyze 3 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 LatAnalyze 3.  If not, see <http://www.gnu.org/licenses/>.
+ */
+
+#include <LatAnalyze/Physics/DataFilter.hpp>
+#include <LatAnalyze/includes.hpp>
+#include <LatAnalyze/Numerical/DWT.hpp>
+
+using namespace std;
+using namespace Latan;
+
+/******************************************************************************
+ *                        DataFilter implementation                           *
+ ******************************************************************************/
+// constructor ////////////////////////////////////////////////////////////////
+DataFilter::DataFilter(const vector<double> &filter, const bool downsample)
+: filter_(filter), downsample_(downsample)
+{}
+
+// filtering //////////////////////////////////////////////////////////////////
+template <typename MatType>
+void filter(MatType &out, const MatType &in, const vector<double> &filter, 
+            const bool downsample, MatType &buf)
+{
+    if (!downsample)
+    {
+        out.resizeLike(in);
+        DWT::filterConvolution(out, in, filter, filter.size()/2);
+    }
+    else
+    {
+        out.resize(in.rows()/2, in.cols());
+        buf.resizeLike(in);
+        DWT::filterConvolution(buf, in, filter, filter.size()/2);
+        DWT::downsample(out, buf);
+    }
+}
+
+void DataFilter::operator()(DVec &out, const DVec &in)
+{
+    filter(out, in, filter_, downsample_, vBuf_);
+}
+
+void DataFilter::operator()(DMat &out, const DMat &in)
+{
+    filter(out, in, filter_, downsample_, mBuf_);
+}
+
+/******************************************************************************
+ *                     LaplaceDataFilter implementation                       *
+ ******************************************************************************/
+// constructor ////////////////////////////////////////////////////////////////
+LaplaceDataFilter::LaplaceDataFilter(const bool downsample)
+: DataFilter({1., -2. , 1.}, downsample)
+{}
+
+// filtering //////////////////////////////////////////////////////////////////
+void LaplaceDataFilter::operator()(DVec &out, const DVec &in, const double lambda)
+{
+    filter_[1] = -2. - lambda;
+    DataFilter::operator()(out, in);
+}
+
+void LaplaceDataFilter::operator()(DMat &out, const DMat &in, const double lambda)
+{
+    filter_[1] = -2. - lambda;
+    DataFilter::operator()(out, in);
+}

lib/Physics/DataFilter.hpp

@@ -0,0 +1,139 @@
+/*
+ * DataFilter.hpp, part of LatAnalyze 3
+ *
+ * Copyright (C) 2013 - 2020 Antonin Portelli
+ *
+ * LatAnalyze 3 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.
+ *
+ * LatAnalyze 3 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 LatAnalyze 3.  If not, see <http://www.gnu.org/licenses/>.
+ */
+
+#ifndef Latan_DataFilter_hpp_
+#define Latan_DataFilter_hpp_
+
+#include <LatAnalyze/Global.hpp>
+#include <LatAnalyze/Core/Math.hpp>
+#include <LatAnalyze/Statistics/StatArray.hpp>
+#include <LatAnalyze/Statistics/MatSample.hpp>
+#include <LatAnalyze/Numerical/Minimizer.hpp>
+
+BEGIN_LATAN_NAMESPACE
+
+/******************************************************************************
+ *                    Generic convolution filter class                        *
+ ******************************************************************************/
+class DataFilter
+{
+public:
+    // constructor
+    DataFilter(const std::vector<double> &filter, const bool downsample = false);
+    // filtering
+    void operator()(DVec &out, const DVec &in);
+    void operator()(DMat &out, const DMat &in);
+    template <typename MatType, Index o>
+    void operator()(StatArray<MatType, o> &out, const StatArray<MatType, o> &in);
+protected:
+    std::vector<double> filter_;
+private:
+    bool                downsample_;
+    DVec                vBuf_;
+    DMat                mBuf_;
+};
+
+/******************************************************************************
+ *                         Laplacian filter class                             *
+ ******************************************************************************/
+class LaplaceDataFilter: public DataFilter
+{
+public:
+    // constructor
+    LaplaceDataFilter(const bool downsample = false);
+    // filtering
+    void operator()(DVec &out, const DVec &in, const double lambda = 0.);
+    void operator()(DMat &out, const DMat &in, const double lambda = 0.);
+    template <typename MatType, Index o>
+    void operator()(StatArray<MatType, o> &out, const StatArray<MatType, o> &in, 
+                    const double lambda = 0.);
+    // correlation optimisation
+    template <typename MatType, Index o>
+    double optimiseCdr(const StatArray<MatType, o> &data, Minimizer &min,
+                       const unsigned int nPass = 3);
+};
+
+/******************************************************************************
+ *                 DataFilter class template implementation                   *
+ ******************************************************************************/
+// filtering //////////////////////////////////////////////////////////////////
+template <typename MatType, Index o>
+void DataFilter::operator()(StatArray<MatType, o> &out, const StatArray<MatType, o> &in)
+{
+    FOR_STAT_ARRAY(in, s)
+    {
+        (*this)(out[s], in[s]);
+    }
+}
+
+/******************************************************************************
+ *            LaplaceDataFilter class template implementation                 *
+ ******************************************************************************/
+// filtering //////////////////////////////////////////////////////////////////
+template <typename MatType, Index o>
+void LaplaceDataFilter::operator()(StatArray<MatType, o> &out, 
+                                   const StatArray<MatType, o> &in, const double lambda)
+{
+    FOR_STAT_ARRAY(in, s)
+    {
+        (*this)(out[s], in[s], lambda);
+    }
+}
+
+// correlation optimisation ///////////////////////////////////////////////////
+template <typename MatType, Index o>
+double LaplaceDataFilter::optimiseCdr(const StatArray<MatType, o> &data, 
+                                      Minimizer &min, const unsigned int nPass)
+{
+    StatArray<MatType, o> fdata(data.size());
+    DVec init(1);
+    double reg, prec;
+    DoubleFunction cdr([&data, &fdata, this](const double *x)
+    {
+        double res;
+        (*this)(fdata, data, x[0]);
+        res = Math::cdr(fdata.correlationMatrix());
+        
+        return res;
+    }, 1);
+
+    min.setLowLimit(0., -0.1);
+    min.setHighLimit(0., 100000.);
+    init(0) = 0.1;
+    min.setInit(init);
+    prec = 0.1;
+    min.setPrecision(prec);
+    reg = min(cdr)(0);
+    for (unsigned int pass = 0; pass < nPass; pass++)
+    {
+        min.setLowLimit(0., (1.-10.*prec)*reg);
+        min.setHighLimit(0., (1.+10.*prec)*reg);
+        init(0) = reg;
+        min.setInit(init);
+        prec *= 0.1;
+        min.setPrecision(prec);
+        reg = min(cdr)(0);
+    }
+
+    return reg;
+}
+
+END_LATAN_NAMESPACE
+
+#endif // Latan_DataFilter_hpp_

lib/Statistics/MatSample.hpp

@@ -103,10 +103,6 @@ public:
                      const Index nCol);
     // resize all matrices
     void resizeMat(const Index nRow, const Index nCol);
-    // covariance matrix
-    Mat<T> covarianceMatrix(const MatSample<T> &sample) const;
-    Mat<T> varianceMatrix(void) const;
-    Mat<T> correlationMatrix(void) const;
 };
 
 // non-member operators
@@ -383,79 +379,6 @@ void MatSample<T>::resizeMat(const Index nRow, const Index nCol)
     }
 }
 
-// covariance matrix ///////////////////////////////////////////////////////////
-template <typename T>
-Mat<T> MatSample<T>::covarianceMatrix(const MatSample<T> &sample) const
-{
-    if (((*this)[central].cols() != 1) or (sample[central].cols() != 1))
-    {
-        LATAN_ERROR(Size, "samples have more than one column");
-    }
-
-    Index  n1 = (*this)[central].rows(), n2 = sample[central].rows();
-    Index  nSample = this->size();
-    Mat<T> tmp1(n1, nSample), tmp2(n2, nSample), res(n1, n2);
-    Mat<T> s1(n1, 1), s2(n2, 1), one(nSample, 1);
-
-    one.fill(1.);
-    s1.fill(0.);
-    s2.fill(0.);
-    for (unsigned int s = 0; s < nSample; ++s)
-    {
-        s1          += (*this)[s];
-        tmp1.col(s)  = (*this)[s];
-    }
-    tmp1 -= s1*one.transpose()/static_cast<double>(nSample);
-    for (unsigned int s = 0; s < nSample; ++s)
-    {
-        s2          += sample[s];
-        tmp2.col(s)  = sample[s];
-    }
-    tmp2 -= s2*one.transpose()/static_cast<double>(nSample);
-    res   = tmp1*tmp2.transpose()/static_cast<double>(nSample - 1);
-
-    return res;
-}
-
-template <typename T>
-Mat<T> MatSample<T>::varianceMatrix(void) const
-{
-    if ((*this)[central].cols() != 1)
-    {
-        LATAN_ERROR(Size, "samples have more than one column");
-    }
-
-    Index  n1 = (*this)[central].rows();
-    Index  nSample = this->size();
-    Mat<T> tmp1(n1, nSample), res(n1, n1);
-    Mat<T> s1(n1, 1), one(nSample, 1);
-
-    one.fill(1.);
-    s1.fill(0.);
-    for (unsigned int s = 0; s < nSample; ++s)
-    {
-        s1          += (*this)[s];
-        tmp1.col(s)  = (*this)[s];
-    }
-    tmp1 -= s1*one.transpose()/static_cast<double>(nSample);
-    res   = tmp1*tmp1.transpose()/static_cast<double>(nSample - 1);
-
-    return res;
-}
-
-template <typename T>
-Mat<T> MatSample<T>::correlationMatrix(void) const
-{
-    Mat<T> res = varianceMatrix();
-    Mat<T> invDiag(res.rows(), 1);
-
-    invDiag = res.diagonal();
-    invDiag = invDiag.cwiseInverse().cwiseSqrt();
-    res     = (invDiag*invDiag.transpose()).cwiseProduct(res);
-
-    return res;
-}
-
 END_LATAN_NAMESPACE
 
 #endif // Latan_MatSample_hpp_

lib/Statistics/StatArray.hpp

@@ -52,10 +52,13 @@ public:
     // statistics
     void bin(Index binSize);
     T    sum(const Index pos = 0, const Index n = -1) const;
-    T    meanOld(const Index pos = 0, const Index n = -1) const;
     T    mean(const Index pos = 0, const Index n = -1) const;
     T    covariance(const StatArray<T, os> &array) const;
     T    variance(void) const;
+    T    covarianceMatrix(const StatArray<T, os> &data) const;
+    T    varianceMatrix(void) const;
+    T    correlationMatrix(void) const;
+
     // IO type
     virtual IoType getType(void) const;
 public:
@@ -192,6 +195,79 @@ T StatArray<T, os>::variance(void) const
     return covariance(*this);
 }
 
+template <typename MatType, Index os>
+MatType StatArray<MatType, os>::covarianceMatrix(
+    const StatArray<MatType, os> &data) const
+{
+    if (((*this)[central].cols() != 1) or (data[central].cols() != 1))
+    {
+        LATAN_ERROR(Size, "samples have more than one column");
+    }
+
+    Index   n1 = (*this)[central].rows(), n2 = data[central].rows();
+    Index   nSample = this->size();
+    MatType tmp1(n1, nSample), tmp2(n2, nSample), res(n1, n2);
+    MatType s1(n1, 1), s2(n2, 1), one(nSample, 1);
+
+    one.fill(1.);
+    s1.fill(0.);
+    s2.fill(0.);
+    for (unsigned int s = 0; s < nSample; ++s)
+    {
+        s1          += (*this)[s];
+        tmp1.col(s)  = (*this)[s];
+    }
+    tmp1 -= s1*one.transpose()/static_cast<double>(nSample);
+    for (unsigned int s = 0; s < nSample; ++s)
+    {
+        s2          += data[s];
+        tmp2.col(s)  = data[s];
+    }
+    tmp2 -= s2*one.transpose()/static_cast<double>(nSample);
+    res   = tmp1*tmp2.transpose()/static_cast<double>(nSample - 1);
+
+    return res;
+}
+
+template <typename MatType, Index os>
+MatType StatArray<MatType, os>::varianceMatrix(void) const
+{
+    if ((*this)[0].cols() != 1)
+    {
+        LATAN_ERROR(Size, "samples have more than one column");
+    }
+
+    Index   n1 = (*this)[0].rows();
+    Index   nSample = this->size();
+    MatType tmp1(n1, nSample), res(n1, n1);
+    MatType s1(n1, 1), one(nSample, 1);
+
+    one.fill(1.);
+    s1.fill(0.);
+    for (unsigned int s = 0; s < nSample; ++s)
+    {
+        s1          += (*this)[s];
+        tmp1.col(s)  = (*this)[s];
+    }
+    tmp1 -= s1*one.transpose()/static_cast<double>(nSample);
+    res   = tmp1*tmp1.transpose()/static_cast<double>(nSample - 1);
+
+    return res;
+}
+
+template <typename MatType, Index os>
+MatType StatArray<MatType, os>::correlationMatrix(void) const
+{
+    MatType res = varianceMatrix();
+    MatType invDiag(res.rows(), 1);
+
+    invDiag = res.diagonal();
+    invDiag = invDiag.cwiseInverse().cwiseSqrt();
+    res     = (invDiag*invDiag.transpose()).cwiseProduct(res);
+
+    return res;
+}
+
 // reduction operations ////////////////////////////////////////////////////////
 namespace StatOp
 {