public void Initialize(int n, string outputFolder)
{
provider = new NumberFormatInfo();
provider.NumberDecimalSeparator = ".";
StaticVectorModel[] models = new StaticVectorModel[n];
Vector <double>[] X = new Vector <double> [n];
Vector <double>[] Y = new Vector <double> [n];
Vector <double>[] Xinv = new Vector <double> [n];
Vector <double>[] YXinv = new Vector <double> [n];
for (int i = 0; i < n; i++)
{
models[i] = new StaticVectorModel(Phi, InvPhi, W, Nu);
X[i] = models[i].X;
Y[i] = models[i].Y;
Xinv[i] = models[i].Xinv;
YXinv[i] = models[i].YXinv;
}
Kxx = Exts.Cov(X, X);
Kxy = Exts.Cov(X, YXinv);
Kyy = Exts.Cov(YXinv, YXinv);
My = YXinv.Average();
P = Kxy * (Kyy.PseudoInverse());
Kxy_inv = Exts.Cov(X, Xinv);
Kyy_inv = Exts.Cov(Xinv, Xinv);
My_inv = Xinv.Average();
P_inv = Kxy_inv * (Kyy_inv.PseudoInverse());
Kxy_lin = Exts.Cov(X, Y);
Kyy_lin = Exts.Cov(Y, Y);
My_lin = Y.Average();
P_lin = Kxy_lin * (Kyy_lin.PseudoInverse());
utStaticEstimate = new UTStaticEstimate(UTDefinitionType.ImplicitAlphaBetaKappa, OptimizationMethod.NelderMeed);
utStaticEstimate.EstimateParameters(Phi, x => x.Trace(), X, Y, MX, KX, KNu, outputFolder);
//utStaticEstimate.utParams = new UTParams(2, 0.5, 2.0, 1.0);
using (System.IO.StreamWriter outputfile = new System.IO.StreamWriter(Path.Combine(outputFolder, "UTStaticEstimateParams.txt")))
{
outputfile.WriteLine(utStaticEstimate.utParams.ToString());
outputfile.Close();
}
}
public void GenerateBundle(int n,
out Vector <double> mErr, out Matrix <double> KErr, out Matrix <double> KErrTh,
out Vector <double> mErr_inv, out Matrix <double> KErr_inv, out Matrix <double> KErrTh_inv,
out Vector <double> mErr_lin, out Matrix <double> KErr_lin, out Matrix <double> KErrTh_lin,
out Vector <double> mErr_UT, out Matrix <double> KErr_UT, out Matrix <double> KErrTh_UT,
string fileName = null
)
{
StaticVectorModel[] models = new StaticVectorModel[n];
Vector <double>[] X = new Vector <double> [n];
Vector <double>[] Y = new Vector <double> [n];
Vector <double>[] Xinv = new Vector <double> [n];
Vector <double>[] YXinv = new Vector <double> [n];
for (int i = 0; i < n; i++)
{
models[i] = new StaticVectorModel(Phi, InvPhi, W, Nu);
X[i] = models[i].X;
Y[i] = models[i].Y;
Xinv[i] = models[i].Xinv;
YXinv[i] = models[i].YXinv;
}
Vector <double>[] Xhat = YXinv.Select(y => MX + P * (y - My)).ToArray();
Vector <double>[] Err = Xhat.Subtract(X);
mErr = Err.Average();
KErr = Exts.Cov(Err, Err);
//KErrTh = KX - P * Kyy * P.Transpose();
KErrTh = Kxx - P * Kyy * P.Transpose();
Vector <double>[] Xhat_inv = Xinv.Select(y => MX + P_inv * (y - My_inv)).ToArray();
Vector <double>[] Err_inv = Xhat_inv.Subtract(X);
mErr_inv = Err_inv.Average();
KErr_inv = Exts.Cov(Err_inv, Err_inv);
//KErrTh_inv = KX - P_inv * Kyy_inv * P_inv.Transpose();
KErrTh_inv = Kxx - P_inv * Kyy_inv * P_inv.Transpose();
Vector <double>[] Xhat_lin = Y.Select(y => MX + P_lin * (y - My_lin)).ToArray();
Vector <double>[] Err_lin = Xhat_lin.Subtract(X);
mErr_lin = Err_lin.Average();
KErr_lin = Exts.Cov(Err_lin, Err_lin);
//KErrTh_lin = KX - P_lin * Kyy_lin * P_lin.Transpose();
KErrTh_lin = Kxx - P_lin * Kyy_lin * P_lin.Transpose();
Vector <double>[] Xhat_UT = utStaticEstimate.Estimate(Phi, X, Y, MX, KX, KNu, out mErr_UT, out KErr_UT, out KErrTh_UT);
if (!string.IsNullOrWhiteSpace(fileName))
{
string X_head = string.Join("; ", Enumerable.Range(0, X[0].Count).Select(i => $"X_{i}"));
string Y_head = string.Join("; ", Enumerable.Range(0, Y[0].Count).Select(i => $"Y_{i}"));
string Xinv_head = string.Join("; ", Enumerable.Range(0, Xinv[0].Count).Select(i => $"Xinv_{i}"));
string Xhat_head = string.Join("; ", Enumerable.Range(0, Xhat[0].Count).Select(i => $"Xhat_{i}"));
string Xhat_inv_head = string.Join("; ", Enumerable.Range(0, Xhat_inv[0].Count).Select(i => $"Xhat_inv_{i}"));
string Xhat_lin_head = string.Join("; ", Enumerable.Range(0, Xhat_lin[0].Count).Select(i => $"Xhat_lin_{i}"));
string Xhat_UT_head = string.Join("; ", Enumerable.Range(0, Xhat_lin[0].Count).Select(i => $"Xhat_UT_{i}"));
using (System.IO.StreamWriter outputfile = new System.IO.StreamWriter(fileName))
{
outputfile.WriteLine($"{X_head}; {Y_head}; {Xinv_head}; {Xhat_head}; {Xhat_inv_head}; {Xhat_lin_head}; {Xhat_UT_head}");
for (int i = 0; i < n; i++)
{
outputfile.WriteLine($"{X[i].ToLine()}; {Y[i].ToLine()}; {Xinv[i].ToLine()}; {Xhat[i].ToLine()}; {Xhat_inv[i].ToLine()}; {Xhat_lin[i].ToLine()}; {Xhat_UT[i].ToLine()}");
}
outputfile.Close();
}
}
}