From: John Darrington <john@darrington.wattle.id.au>
Date: Sat, 4 Mar 2006 02:11:53 +0000 (+0000)
Subject: Added lib/linreg/sweep.h
X-Git-Tag: sav-api~2070
X-Git-Url: https://pintos-os.org/cgi-bin/gitweb.cgi?a=commitdiff_plain;h=e19ac19bf6c22b02b5ee8251184453dc8f65bcda;p=pspp

Added lib/linreg/sweep.h
---

diff --git a/lib/linreg/sweep.h b/lib/linreg/sweep.h
new file mode 100644
index 0000000000..c931d1b10a
--- /dev/null
+++ b/lib/linreg/sweep.h
@@ -0,0 +1,74 @@
+/* lib/linreg/sweep.h
+
+ Copyright (C) 2005 Free Software Foundation, Inc.
+ Written by Jason H Stover.
+
+ 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 2 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, write to the Free Software
+ Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
+ 02111-1307, USA.
+ */
+#ifndef SWEEP_H
+#define SWEEP_H
+
+/*
+  Find the least-squares estimate of b for the linear model:
+
+  Y = Xb + Z
+
+  where Y is an n-by-1 column vector, X is an n-by-p matrix of 
+  independent variables, b is a p-by-1 vector of regression coefficients,
+  and Z is an n-by-1 normally-distributed random vector with independent
+  identically distributed components with mean 0.
+
+  This estimate is found via the sweep operator, which is a modification
+  of Gauss-Jordan pivoting.
+
+
+  References:
+
+  Matrix Computations, third edition. GH Golub and CF Van Loan.
+  The Johns Hopkins University Press. 1996. ISBN 0-8018-5414-8.
+
+  Numerical Analysis for Statisticians. K Lange. Springer. 1999.
+  ISBN 0-387-94979-8.
+
+  Numerical Linear Algebra for Applications in Statistics. JE Gentle.
+  Springer. 1998. ISBN 0-387-98542-5.
+ */
+
+
+/*
+  The matrix A will be overwritten. In ordinary uses of the sweep
+  operator, A will be the matrix
+
+   __       __
+  |X'X    X'Y|
+  |          |
+  |Y'X    Y'Y|
+   --        --
+
+   X refers to the design matrix and Y to the vector of dependent
+   observations. reg_sweep sweeps on the diagonal elements of 
+   X'X.
+
+   The matrix A is assumed to be symmetric, so the sweep operation is
+   performed only for the upper triangle of A.
+ */
+
+#include <gsl/gsl_matrix.h>
+#include <gsl/gsl_math.h>
+
+int reg_sweep (gsl_matrix * A);
+
+#endif