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/*
* Java Information Dynamics Toolkit (JIDT)
* Copyright (C) 2012, Joseph T. Lizier
*
* This program 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.
*
* This program 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 this program. If not, see <http://www.gnu.org/licenses/>.
*/
package infodynamics.measures.continuous.gaussian;
import infodynamics.measures.continuous.ConditionalMutualInfoCalculatorMultiVariate;
import infodynamics.measures.continuous.ConditionalMutualInfoMultiVariateCommon;
import infodynamics.utils.AnalyticNullDistributionComputer;
import infodynamics.utils.ChiSquareMeasurementDistribution;
import infodynamics.utils.EmpiricalMeasurementDistribution;
import infodynamics.utils.MatrixUtils;
import infodynamics.utils.NonPositiveDefiniteMatrixException;
/**
* <p>Computes the differential conditional mutual information of two given multivariate sets of
* observations,
* assuming that the probability distribution function for these observations is
* a multivariate Gaussian distribution.</p>
*
* <p>
* Usage:
* <ol>
* <li>Construct {@link #ConditionalMutualInfoCalculatorMultiVariateLinearGaussian()}</li>
* <li>{@link #initialise(int, int)}</li>
* <li>Set properties using {@link #setProperty(String, String)}</li>
* <li>Provide the observations to the calculator using:
* {@link #setObservations(double[][], double[][])}, or
* {@link #setCovariance(double[][])}, or
* a sequence of:
* {@link #startAddObservations()},
* multiple calls to either {@link #addObservations(double[][], double[][])}
* or {@link #addObservations(double[][], double[][], int, int)}, and then
* {@link #finaliseAddObservations()}.</li>
* <li>Compute the required information-theoretic results, primarily:
* {@link #computeAverageLocalOfObservations()} to return the average differential
* entropy based on either the set variance or the variance of
* the supplied observations; or other calls to compute
* local values or statistical significance.</li>
* </ol>
* </p>
*
* <p>
* Alters behaviour slightly from parent class {@link ConditionalMutualInfoMultiVariateCommon}
* in that property {@link ConditionalMutualInfoMultiVariateCommon#PROP_NORMALISE}
* is set to false by default here (since this makes more sense for
* linear-Gaussian analysis).
* </p>
*
* @see <a href="http://mathworld.wolfram.com/DifferentialEntropy.html">Differential entropy for Gaussian random variables at Mathworld</a>
* @see <a href="http://en.wikipedia.org/wiki/Differential_entropy">Differential entropy for Gaussian random variables at Wikipedia</a>
* @see <a href="http://en.wikipedia.org/wiki/Multivariate_normal_distribution">Multivariate normal distribution on Wikipedia</a>
* @author Joseph Lizier joseph.lizier_at_gmail.com
*
*/
public class ConditionalMutualInfoCalculatorMultiVariateGaussian
extends ConditionalMutualInfoMultiVariateCommon
implements ConditionalMutualInfoCalculatorMultiVariate,
AnalyticNullDistributionComputer, Cloneable {
/**
* Cached Cholesky decomposition of the covariance matrix
* of the most recently supplied observations.
* Is a matrix [C_11, C_12, C_1c; C_21, C_22, C_2c; C_c1, C_c2, C_cc],
* where C_xy represents the covariance matrix of variable x to variable y
* where x,y are either variable 1, 2 or the conditional.
* The covariance matrix is symmetric, and should be positive definite
* (otherwise we have linealy dependent variables).
*/
protected double[][] L;
/**
* Cached Cholesky decomposition of the (var1, conditional) covariance matrix
*/
protected double[][] L_1c;
/**
* Cached Cholesky decomposition of the (var2, conditional) covariance matrix
*/
protected double[][] L_2c;
/**
* Cached Cholesky decomposition of the conditional covariance matrix
*/
protected double[][] L_cc;
/**
* Means of the most recently supplied observations (source variables
* listed first, destination variables second).
*/
protected double[] means;
/**
* Cached determinants of the covariance matrices
*/
protected double detCovariance;
protected double det1cCovariance;
protected double det2cCovariance;
protected double detccCovariance;
/**
* Cache which sub-variables for each variable are a linearly-independent set
* and are used in the covariances
*/
protected int[] condIndicesInCovariance;
protected int[] var1IndicesInCovariance;
protected int[] var2IndicesInCovariance;
public ConditionalMutualInfoCalculatorMultiVariateGaussian() {
// Normalising data makes less sense for linear-Gaussian estimation,
// so we turn this off by default.
normalise = false;
}
public void initialise(int var1Dimensions, int var2Dimensions, int condDimensions) {
super.initialise(var1Dimensions, var2Dimensions, condDimensions);
L = null;
L_1c = null;
L_2c = null;
L_cc = null;
means = null;
detCovariance = 0;
det1cCovariance = 0;
det2cCovariance = 0;
detccCovariance = 0;
condIndicesInCovariance = null;
var1IndicesInCovariance = null;
var2IndicesInCovariance = null;
}
/**
* Finalise the addition of multiple observation sets.
*
* @throws Exception if the observation variables are not linearly independent
* (leading to a non-positive definite covariance matrix).
*/
public void finaliseAddObservations() throws Exception {
// Get the observations properly stored in the sourceObservations[][] and
// destObservations[][] arrays.
super.finaliseAddObservations();
// Store the means of each variable (useful for local values later)
means = new double[dimensionsVar1 + dimensionsVar2 + dimensionsCond];
double[] var1Means = MatrixUtils.means(var1Observations);
double[] var2Means = MatrixUtils.means(var2Observations);
double[] condMeans = MatrixUtils.means(condObservations);
System.arraycopy(var1Means, 0, means, 0, dimensionsVar1);
System.arraycopy(var2Means, 0, means, dimensionsVar1, dimensionsVar2);
System.arraycopy(condMeans, 0, means, dimensionsVar1 + dimensionsVar2,
dimensionsCond);
// Store the covariances of the variables
// Generally, this should not throw an exception, since we checked
// the observations had the correct number of variables
// on receiving them, and in constructing the covariance matrix
// ourselves we know it should be symmetric.
// It could occur however if the covariance matrix was not
// positive definite, which would occur if one variable
// is linearly redundant.
setCovariance(
MatrixUtils.covarianceMatrix(var1Observations, var2Observations, condObservations),
true);
}
/**
* <p>Set the covariance of the distribution for which we will compute the
* conditional mutual information.</p>
*
* <p>Note that without setting any observations, you cannot later
* call {@link #computeLocalOfPreviousObservations()}, and without
* providing the means of the variables, you cannot later call
* {@link #computeLocalUsingPreviousObservations(double[][], double[][])}.</p>
*
* @param covariance covariance matrix of var1, var2, conditional
* variables, considered together.
* @param numObservations the number of observations that the covariance
* was determined from. This is used for later significance calculations
* @throws Exception for covariance matrix not matching the expected dimensions,
* being non-square, asymmetric or non-positive definite
*/
public void setCovariance(double[][] covariance, int numObservations) throws Exception {
setCovariance(covariance, false);
totalObservations = numObservations;
}
/**
* <p>Set the covariance of the distribution for which we will compute the
* conditional mutual information.</p>
*
* <p>Note that without setting any observations, you cannot later
* call {@link #computeLocalOfPreviousObservations()}, and without
* providing the means of the variables, you cannot later call
* {@link #computeLocalUsingPreviousObservations(double[][], double[][])}.</p>
*
* @param covariance covariance matrix of var1, var2 and the conditional
* variables, considered together.
* @param determinedFromObservations whether the covariance matrix
* was determined internally from observations or not
* @throws Exception for covariance matrix not matching the expected dimensions,
* being non-square, asymmetric or non-positive definite
*/
protected void setCovariance(double[][] covariance, boolean determinedFromObservations)
throws Exception {
if (!determinedFromObservations) {
// Make sure we're not keeping any observations
var1Observations = null;
var2Observations = null;
condObservations = null;
}
// Make sure the supplied covariance matrix matches the required dimenions:
int rows = covariance.length;
if (rows != dimensionsVar1 + dimensionsVar2 + dimensionsCond) {
throw new Exception("Supplied covariance matrix does not match initialised number of dimensions");
}
// Now store the Cholesky decompositions for computing the cond MI later.
// Start with the conditional variable:
// In case there are linear redundancies amongst the conditional variable,
// remove some of its components until the linear redundancy is gone.
// This allows a conditional MI computation to still take place.
boolean redundanciesRemoved = false;
condIndicesInCovariance = null;
for (int v = dimensionsCond; v >= 1; v--) {
// Select the first v variables in the conditional joint variable:
condIndicesInCovariance = MatrixUtils.range(dimensionsVar1 + dimensionsVar2,
dimensionsVar1 + dimensionsVar2 + v - 1);
double[][] condCovariance =
MatrixUtils.selectRowsAndColumns(covariance,
condIndicesInCovariance, condIndicesInCovariance);
try {
L_cc = MatrixUtils.CholeskyDecomposition(condCovariance);
} catch (NonPositiveDefiniteMatrixException e) {
// There is a linear redundancy between the variables - so allow
// one to be removed in the next loop iteration
continue;
}
// Allow exceptions indicating asymmetric and non-square to be propagated
// Otherwise, we've found a linearly independent subset of the conditioned variable
redundanciesRemoved = true;
break;
}
if (!redundanciesRemoved) {
// This will only happen if the last remaining variable had covariance of 0
L_cc = null;
// So we won't condition on anything here:
condIndicesInCovariance = new int[] {};
}
// And next store the Cholesky decompositions for var1 with
// the conditional variable:
// In case there are linear redundancies amongst the conditional variable
// with variable 1, remove some of the components of variable 1
// until the linear redundancy is gone.
// This allows a conditional MI computation to still take place.
var1IndicesInCovariance = null;
redundanciesRemoved = false;
for (int v = dimensionsVar1; v >= 1; v--) {
var1IndicesInCovariance = MatrixUtils.range(0, v - 1);
int[] var1AndCondIndicesInCovariance = MatrixUtils.append(var1IndicesInCovariance, condIndicesInCovariance);
double[][] var1AndCondCovariance =
MatrixUtils.selectRowsAndColumns(covariance,
var1AndCondIndicesInCovariance, var1AndCondIndicesInCovariance);
try {
L_1c = MatrixUtils.CholeskyDecomposition(var1AndCondCovariance);
} catch (NonPositiveDefiniteMatrixException e) {
// There is a linear redundancy between the variables - so allow
// one to be removed in the next loop iteration
continue;
}
// Allow exceptions indicating asymmetric and non-square to be propagated
// Otherwise, we've found a linearly independent subset of the conditioned variable
redundanciesRemoved = true;
break;
}
if (!redundanciesRemoved) {
// This means that variable 1 is *fully* linearly dependent on the conditioned
// variable (i.e. not even cutting it down to just one variable helped).
// Flag this by setting:
L_1c = null;
}
// And next store the Cholesky decompositions for var2 with
// the conditional variable:
// In case there are linear redundancies amongst the conditional variable
// with variable 2, remove some of the components of variable 2
// until the linear redundancy is gone.
// This allows a conditional MI computation to still take place.
var2IndicesInCovariance = null;
int[] var2AndCondIndicesInCovariance = null;
redundanciesRemoved = false;
for (int v = dimensionsVar2; v >= 1; v--) {
var2IndicesInCovariance = MatrixUtils.range(dimensionsVar1, dimensionsVar1 + v - 1);
var2AndCondIndicesInCovariance = MatrixUtils.append(var2IndicesInCovariance, condIndicesInCovariance);
double[][] var2AndCondCovariance =
MatrixUtils.selectRowsAndColumns(covariance,
var2AndCondIndicesInCovariance, var2AndCondIndicesInCovariance);
try {
L_2c = MatrixUtils.CholeskyDecomposition(var2AndCondCovariance);
} catch (NonPositiveDefiniteMatrixException e) {
// There is a linear redundancy between the variables - so allow
// one to be removed in the next loop iteration
continue;
}
// Allow exceptions indicating asymmetric and non-square to be propagated
// Otherwise, we've found a linearly independent subset of the conditioned variable
redundanciesRemoved = true;
break;
}
if (!redundanciesRemoved) {
// This means that variable 2 is *fully* linearly dependent on the conditioned
// variable (i.e. not even cutting it down to just one variable helped).
// Flag this by setting:
L_2c = null;
}
// Finally, store the Cholesky decomposition for the whole covariance matrix:
// first prune the covariance in line with the variable removed
// from variable 1, 2 and the conditional:
int[] prunedIndicesInCovariance = MatrixUtils.append(var1IndicesInCovariance, var2AndCondIndicesInCovariance);
double[][] prunedCovariance =
MatrixUtils.selectRowsAndColumns(covariance,
prunedIndicesInCovariance, prunedIndicesInCovariance);
try {
L = MatrixUtils.CholeskyDecomposition(prunedCovariance);
} catch (NonPositiveDefiniteMatrixException e) {
// There is a linear redundancy between the variables -
// Flag this by setting:
L = null;
}
// Allow exceptions indicating asymmetric and non-square to be propagated
// Postcondition: L's contain Cholesky decompositions of covariance
// matrices with linearly dependent variables removed (except for
// the whole covariance matrix), using null to flag where this was not possible
}
/**
* <p>Set the covariance of the distribution for which we will compute the
* mutual information.</p>
*
* <p>Note that without setting any observations, you cannot later
* call {@link #computeLocalOfPreviousObservations()}.</p>
*
* @param covariance covariance matrix of var1, var2 and conditional
* variables, considered together.
* @param means mean of var1, var2 and conditional variables (as per
* covariance)
* @param numObservations the number of observations that the mean and covariance
* were determined from. This is used for later significance calculations
*/
public void setCovarianceAndMeans(double[][] covariance, double[] means,
int numObservations) throws Exception {
this.means = means;
setCovariance(covariance, numObservations);
}
/**
* <p>The joint differential entropy for a multivariate Gaussian-distribution of dimension n
* with covariance matrix C is -0.5*\log_e{(2*pi*e)^n*|det(C)|},
* where det() is the matrix determinant of C.</p>
*
* <p>Here we compute the conditional mutual information from the joint entropies
* of all variables (H_12c), variable 1 and conditional (H_1c),
* variable 2 and conditional (H_2c) and conditional (H_c),
* giving MI = H_1c + H_2c - H_c - H_12c.
* We assume that the recorded estimation of the
* covariance is correct (i.e. we will not make a bias correction for limited
* observations here).</p>
*
* @return the mutual information of the previously provided observations or from the
* supplied covariance matrix, in nats (not bits!).
* Returns NaN if any of the determinants are zero
* (because this will make the denominator of the log zero)
*/
public double computeAverageLocalOfObservations() throws Exception {
// Simple way:
// detCovariance = MatrixUtils.determinantSymmPosDefMatrix(covariance);
// Using cached Cholesky decomposition:
// And also with extended checks for linear redundancies:
// Should always have a valid L_cc (since we can reduce it down to one variable:
if (L_1c == null) {
// Variable 1 is fully linearly redundant with conditional, so
// we will have zero conditional MI:
lastAverage = 0;
} else {
det1cCovariance = MatrixUtils.determinantViaCholeskyResult(L_1c);
if (L_2c == null) {
// Variable 2 is fully linearly redundant with conditional, so
// we will have zero conditional MI:
lastAverage = 0;
} else {
det2cCovariance = MatrixUtils.determinantViaCholeskyResult(L_2c);
if (L == null) {
// There is a linear dependence amongst variables 1 and 2 given the
// conditional which did not exist for either with the conditional alone,
// so conditional MI diverges:
lastAverage = Double.POSITIVE_INFINITY;
} else {
detCovariance = MatrixUtils.determinantViaCholeskyResult(L);
// Else all the covariance matrices were ok, except perhaps the
// conditional covariance
if (L_cc == null) {
// The conditional variables had no covariance, so
// just return an MI:
lastAverage = 0.5 * Math.log(Math.abs(
det1cCovariance * det2cCovariance /
detCovariance));
} else {
detccCovariance = MatrixUtils.determinantViaCholeskyResult(L_cc);
// So compute as normal:
lastAverage = 0.5 * Math.log(Math.abs(
det1cCovariance * det2cCovariance /
(detCovariance * detccCovariance)));
}
}
}
}
condMiComputed = true;
return lastAverage;
}
/**
* <p>Compute the local or pointwise mutual information for each of the previously
* supplied observations</p>
*
* @return array of the local values in nats (not bits!)
*/
public double[] computeLocalOfPreviousObservations() throws Exception {
// Cannot do if destObservations haven't been set
if (var2Observations == null) {
throw new Exception("Cannot compute local values of previous observations " +
"if they have not been set!");
}
return computeLocalUsingPreviousObservations(var1Observations,
var2Observations, condObservations, true);
}
/**
* <p>Compute the statistical significance of the conditional mutual information
* result analytically, without creating a distribution
* under the null hypothesis by bootstrapping.</p>
*
* <p>Brillinger (see reference below) shows that under the null hypothesis
* of no source-destination relationship, the MI for two
* Gaussian distributions follows a chi-square distribution with
* degrees of freedom equal to the product of the number of variables
* in each joint variable.</p>
*
* @return ChiSquareMeasurementDistribution object
* This object contains the proportion of MI scores from the distribution
* which have higher or equal MIs to ours.
*
* @see Brillinger, "Some data analyses using mutual information",
* {@link http://www.stat.berkeley.edu/~brill/Papers/MIBJPS.pdf}
* @see Cheng et al., "Data Information in Contingency Tables: A
* Fallacy of Hierarchical Loglinear Models",
* {@link http://www.jds-online.com/file_download/112/JDS-369.pdf}
* @see Barnett and Bossomaier, "Transfer Entropy as a Log-likelihood Ratio"
* {@link http://arxiv.org/abs/1205.6339}
*/
public ChiSquareMeasurementDistribution computeSignificance() throws Exception {
if (!condMiComputed) {
computeAverageLocalOfObservations();
}
// Number of extra parameters in the model incorporating the
// extra variable is independent of the number of variables
// in the conditional:
// (Assuming that all variables went into the calculation:)
// return new ChiSquareMeasurementDistribution(2.0*((double)totalObservations)*lastAverage,
// dimensionsVar1 * dimensionsVar2);
// Taking the subsets into account:
return new ChiSquareMeasurementDistribution(2.0*((double)totalObservations)*lastAverage,
var1IndicesInCovariance.length * var2IndicesInCovariance.length);
}
/* (non-Javadoc)
* @see infodynamics.measures.continuous.ConditionalMutualInfoMultiVariateCommon#computeSignificance(int, int)
*/
@Override
public EmpiricalMeasurementDistribution computeSignificance(
int variableToReorder, int numPermutationsToCheck) throws Exception {
if (var2Observations == null) {
throw new Exception("Cannot compute empirical statistical significance " +
"if user passed in covariance matrix rather than observations.");
}
return super.computeSignificance(variableToReorder, numPermutationsToCheck);
}
/* (non-Javadoc)
* @see infodynamics.measures.continuous.ConditionalMutualInfoMultiVariateCommon#computeSignificance(int, int[][])
*/
@Override
public EmpiricalMeasurementDistribution computeSignificance(
int variableToReorder, int[][] newOrderings) throws Exception {
if (var2Observations == null) {
throw new Exception("Cannot compute empirical statistical significance " +
"if user passed in covariance matrix rather than observations.");
}
return super.computeSignificance(variableToReorder, newOrderings);
}
/**
* @return the number of previously supplied observations for which
* the conditional mutual information will be / was computed.
*/
public int getNumObservations() throws Exception {
if (var2Observations == null) {
throw new Exception("Cannot return number of observations because either " +
"this calculator has not had observations supplied or " +
"the user supplied the covariance matrix instead of observations");
}
return super.getNumObservations();
}
/**
* Compute the conditional mutual information if the given variable was
* ordered as per the ordering specified in newOrdering
*
* @param newOrdering array of time indices with which to reorder the data
* @return a surrogate conditional MI evaluated for the given ordering of the source variable
* @throws Exception if the user previously supplied covariance directly rather
* than by setting observations (this means we have no observations
* to reorder).
*/
public double computeAverageLocalOfObservations(int variableToReorder,
int[] newOrdering) throws Exception {
// Cannot do if observations haven't been set (i.e. the variances
// were directly supplied)
if (var1Observations == null) {
throw new Exception("Cannot compute local values of previous observations " +
"without supplying observations");
}
return super.computeAverageLocalOfObservations(variableToReorder, newOrdering);
}
/**
* Compute the local conditional mutual information for a new series of
* observations, based on variances computed with the previously
* supplied observations.
*
* @param newVar1Obs provided variable 1 observations
* @param newVar2Obs provided variable 2 observations
* @param newCondObs provided conditional observations
* @return the local values in nats (not bits).
* @throws Exception
*/
public double[] computeLocalUsingPreviousObservations(double[][] newVar1Obs,
double[][] newVar2Obs, double[][] newCondObs) throws Exception {
return computeLocalUsingPreviousObservations(
newVar1Obs, newVar2Obs, newCondObs, false);
}
/**
* Compute the local conditional mutual information for a new series of
* observations, based on variances computed with the previously
* supplied observations.
*
* @param newVar1Obs provided variable 1 observations
* @param newVar2Obs provided variable 2 observations
* @param newCondObs provided conditional observations
* @param isPreviousObservations whether these are our previous
* observations - this determines whether to
* set the internal lastAverage field,
* which is returned by later calls to {@link #getLastAverage()}
* @return the local values in nats (not bits).
* @see <a href="http://en.wikipedia.org/wiki/Multivariate_normal_distribution">Multivariate normal distribution on Wikipedia</a>
* @see <a href="http://en.wikipedia.org/wiki/Positive-definite_matrix>"Positive definite matrix in Wikipedia"</a>
* @throws Exception if means were not defined by {@link #setObservations(double[][], double[][])} etc
* or {@link #setCovarianceAndMeans(double[][], double[])}
*/
protected double[] computeLocalUsingPreviousObservations(double[][] newVar1Obs,
double[][] newVar2Obs, double[][] newCondObs, boolean isPreviousObservations) throws Exception {
if (means == null) {
throw new Exception("Cannot compute local values without having means either supplied or computed via setObservations()");
}
// Check that the covariance matrix was positive definite:
// (this was done earlier in computing the Cholesky decomposition,
// we may still need to compute the determinant)
if (detCovariance == 0) {
// The determinant has not been computed yet
// Simple way:
// detCovariance = MatrixUtils.determinantSymmPosDefMatrix(covariance);
// Using cached Cholesky decomposition:
if (L_cc == null) {
// We will compute local MIs
detccCovariance = 0;
} else {
detccCovariance = MatrixUtils.determinantViaCholeskyResult(L_cc);
}
if (L_1c == null) {
// Variable 1 is fully linearly redundant with conditional, so
// we will have zero conditional MI:
return MatrixUtils.constantArray(newVar2Obs.length, 0);
} else {
det1cCovariance = MatrixUtils.determinantViaCholeskyResult(L_1c);
if (L_2c == null) {
// Variable 2 is fully linearly redundant with conditional, so
// we will have zero conditional MI:
return MatrixUtils.constantArray(newVar2Obs.length, 0);
} else {
det2cCovariance = MatrixUtils.determinantViaCholeskyResult(L_2c);
if (L == null) {
// There is a linear dependence amongst variables 1 and 2 given the
// conditional which did not exist for either with the conditional alone,
// so conditional MI diverges:
return MatrixUtils.constantArray(newVar2Obs.length, Double.POSITIVE_INFINITY);
} else {
detCovariance = MatrixUtils.determinantViaCholeskyResult(L);
}
}
}
}
// Now we are clear to take the matrix inverse (via Cholesky decomposition,
// since we have a symmetric positive definite matrix):
double[][] invCovariance = MatrixUtils.solveViaCholeskyResult(L,
MatrixUtils.identityMatrix(L.length));
double[][] invVar1CondCovariance = MatrixUtils.solveViaCholeskyResult(L_1c,
MatrixUtils.identityMatrix(L_1c.length));
double[][] invVar2CondCovariance = MatrixUtils.solveViaCholeskyResult(L_2c,
MatrixUtils.identityMatrix(L_2c.length));
double[][] invCondCovariance = null;
if (L_cc != null) {
invCondCovariance = MatrixUtils.solveViaCholeskyResult(L_cc,
MatrixUtils.identityMatrix(L_cc.length));
}
// Now, only use the means from the subsets of linearly independent variables:
// double[] var1Means = MatrixUtils.select(means, 0, dimensionsVar1);
double[] var1Means = MatrixUtils.select(means, var1IndicesInCovariance);
// double[] var2Means = MatrixUtils.select(means, dimensionsVar1, dimensionsVar2);
double[] var2Means = MatrixUtils.select(means, var2IndicesInCovariance);
// double[] condMeans = MatrixUtils.select(means, dimensionsVar1 + dimensionsVar2, dimensionsCond);
double[] condMeans = MatrixUtils.select(means, condIndicesInCovariance);
int lengthOfReturnArray;
lengthOfReturnArray = newVar2Obs.length;
double[] localValues = new double[lengthOfReturnArray];
int[] var2IndicesSelected = MatrixUtils.subtract(var2IndicesInCovariance, dimensionsVar1);
int[] condIndicesSelected = MatrixUtils.subtract(condIndicesInCovariance, dimensionsVar1 + dimensionsVar2);
for (int t = 0; t < newVar2Obs.length; t++) {
double[] var1DeviationsFromMean =
MatrixUtils.subtract(
MatrixUtils.select(newVar1Obs[t], var1IndicesInCovariance),
var1Means);
double[] var2DeviationsFromMean =
MatrixUtils.subtract(
MatrixUtils.select(newVar2Obs[t], var2IndicesSelected),
var2Means);
double[] condDeviationsFromMean =
MatrixUtils.subtract(
MatrixUtils.select(newCondObs[t], condIndicesSelected),
condMeans);
double[] var1CondDeviationsFromMean =
MatrixUtils.append(var1DeviationsFromMean,
condDeviationsFromMean);
double[] var2CondDeviationsFromMean =
MatrixUtils.append(var2DeviationsFromMean,
condDeviationsFromMean);
double[] tempDeviationsFromMean =
MatrixUtils.append(var1DeviationsFromMean,
var2DeviationsFromMean);
double[] deviationsFromMean =
MatrixUtils.append(tempDeviationsFromMean,
condDeviationsFromMean);
// Computing PDFs WITHOUT (2*pi)^dim factor, since these will cancel:
// (see the PDFs defined at the wikipedia page referenced in the method header)
double var1CondExpArg = MatrixUtils.dotProduct(
MatrixUtils.matrixProduct(var1CondDeviationsFromMean,
invVar1CondCovariance),
var1CondDeviationsFromMean);
double adjustedPVar1Cond = Math.exp(-0.5 * var1CondExpArg) /
Math.sqrt(det1cCovariance);
double var2CondExpArg = MatrixUtils.dotProduct(
MatrixUtils.matrixProduct(var2CondDeviationsFromMean,
invVar2CondCovariance),
var2CondDeviationsFromMean);
double adjustedPVar2Cond = Math.exp(-0.5 * var2CondExpArg) /
Math.sqrt(det2cCovariance);
double condExpArg = 0;
double adjustedPCond = 0;
if (L_cc != null) {
condExpArg = MatrixUtils.dotProduct(
MatrixUtils.matrixProduct(condDeviationsFromMean,
invCondCovariance),
condDeviationsFromMean);
adjustedPCond = Math.exp(-0.5 * condExpArg) /
Math.sqrt(detccCovariance);
}
double jointExpArg = MatrixUtils.dotProduct(
MatrixUtils.matrixProduct(deviationsFromMean,
invCovariance),
deviationsFromMean);
double adjustedPJoint = Math.exp(-0.5 * jointExpArg) /
Math.sqrt(detCovariance);
if (L_cc != null) {
// Returning results in nats:
localValues[t] = Math.log(adjustedPJoint * adjustedPCond /
(adjustedPVar1Cond * adjustedPVar2Cond));
} else {
// Return an MI (no linearly independent, non-zero conditional vars):
localValues[t] = Math.log(adjustedPJoint /
(adjustedPVar1Cond * adjustedPVar2Cond));
}
}
// if (isPreviousObservations) {
// Don't store the average value here, since it won't be exactly
// the same as what would have been computed under the analytic expression
// }
return localValues;
}
}
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