public void When_Decompose_SVD_Naive_Matrix()
{
Matrix matrix = new double[][]
{
new double[] { 3, 2, 2 },
new double[] { 2, 3, -2 }
};
Matrix secondMatrix = new double[][]
{
new double[] { 4, 0 },
new double[] { 3, -5 }
};
Matrix thirdMatrix = new double[][]
{
new double[] { 1, 80 },
new double[] { 1, 60 },
new double[] { 1, 10 },
new double[] { 1, 20 },
new double[] { 1, 30 }
};
Matrix fourthMatrix = new double[][]
{
new double[] { 1, 2.75, 5.3 },
new double[] { 1, 2.5, 5.3 },
new double[] { 1, 2.5, 5.3 }
};
var decomposition = new SingularValueDecomposition();
var result = decomposition.DecomposeNaive(matrix).Result;
var secondResult = decomposition.DecomposeNaive(secondMatrix).Result;
var thirdResult = decomposition.DecomposeNaive(thirdMatrix).Result;
var fourthResult = decomposition.DecomposeNaive(fourthMatrix).Result;
var exceptedMatrix = result.U.Multiply(result.S).Multiply(result.V.Transpose()).Evaluate();
var secondExceptedMatrix = secondResult.U.Multiply(secondResult.S).Multiply(secondResult.V.Transpose()).Evaluate();
var thirdExceptedMatrix = thirdResult.U.Multiply(thirdResult.S).Multiply(thirdResult.V.Transpose()).Evaluate();
var fourthExceptedMatrix = fourthResult.U.Multiply(fourthResult.S).Multiply(fourthResult.V.Transpose()).Evaluate();
Assert.Equal(3, System.Math.Round(exceptedMatrix.GetValue(0, 0).GetNumber()));
Assert.Equal(2, System.Math.Round(exceptedMatrix.GetValue(0, 1).GetNumber()));
Assert.Equal(2, System.Math.Round(exceptedMatrix.GetValue(0, 2).GetNumber()));
Assert.Equal(4, System.Math.Round(secondExceptedMatrix.GetValue(0, 0).GetNumber()));
Assert.Equal(0, System.Math.Round(secondExceptedMatrix.GetValue(0, 1).GetNumber()));
Assert.Equal(1, System.Math.Round(thirdExceptedMatrix.GetValue(0, 0).GetNumber()));
Assert.Equal(80, System.Math.Round(thirdExceptedMatrix.GetValue(0, 1).GetNumber()));
Assert.Equal(1, System.Math.Round(fourthExceptedMatrix.GetValue(0, 0).GetNumber()));
Assert.Equal(2.75, System.Math.Round(fourthExceptedMatrix.GetValue(0, 1).GetNumber(), 2));
Assert.Equal(5.3, System.Math.Round(fourthExceptedMatrix.GetValue(0, 2).GetNumber(), 1));
}
public MultipleLinearRegression Regress(Matrix matrix, Vector output, bool addOne = true)
{
if (addOne)
{
matrix = matrix.AddColumn(1);
}
output.SetVertical();
if (_alg == MatrixDecompositionAlgs.NAIVE)
{
_singularValueDecomposition.DecomposeNaive(matrix);
}
else
{
_singularValueDecomposition.DecomposeGolubReinsch(matrix);
}
var coefficients = _singularValueDecomposition.Inverse()
.Multiply((Matrix)output)
.Evaluate()
.GetColumnVector(0);
var result = new LinearRegressionResult();
for (int i = 0; i < coefficients.Length; i++)
{
var coefficient = coefficients[i].GetNumber();
var coefficientResult = new CoefficientResult
{
Value = coefficient
};
if (i == 0)
{
result.Intercept = coefficientResult;
}
else
{
result.SlopeLst.Add(coefficientResult);
}
}
_linearRegressionResult = result;
UpdateInformation(matrix, output, addOne);
return(this);
}