public double[,] GetOptimalA(double[,] X, double[,] y)
{
MatrixHelper matrixHelper = new MatrixHelper();
double[,] Xt = matrixHelper.Transpose(X);
double[,] result = matrixHelper.DotProduct(Xt, X);
result = matrixHelper.MatrixInverse(result);
result = matrixHelper.DotProduct(result, Xt);
result = matrixHelper.DotProduct(result, y);
return(result);
}
public static double GetDiferentialSquareErrorL2ForAi(double[,] X, double[,] y, double[,] a, double lambda, int ai)
{
int m = X.GetLength(0);
int n = X.GetLength(1);
double result = 0;
object lockResult = new object();
MatrixHelper matrixHelper = new MatrixHelper();
double[,] at = matrixHelper.Transpose(a);
Parallel.For(
// From inclusive
0,
// To exclusive
m,
// local initial partial result
() => 0.0d,
// Loop body
(i, loopState, partialResult) =>
{
double[,] xi = new double[n, 1];
for (int j = 0; j < n; j++)
{
xi[j, 0] = X[i, j];
}
double[,] atDotXi = matrixHelper.DotProduct(at, xi);
double localPartialResult = atDotXi[0, 0];
localPartialResult -= y[i, 0];
localPartialResult *= xi[ai, 0];
localPartialResult += (2 * lambda * a[ai, 0]);
return(localPartialResult + partialResult);
},
// Final step for each local context
(localPartialSum) =>
{
lock (lockResult)
{
result += localPartialSum;
}
});
return(result);
}