BCIgui/Masterarbeit/openvibe/extras-master/modules/geometry/src/Mean.cpp

#include "geometry/Metrics.hpp"
#include "geometry/Basics.hpp"
#include "geometry/Geodesic.hpp"
#include "geometry/Distance.hpp"
#include "geometry/Mean.hpp"
#include <unsupported/Eigen/MatrixFunctions>
#include <iostream>

namespace Geometry {

//static const double EPSILON = 0.000000001;	// 10^{-9}
static const double EPSILON  = 0.0001;			// 10^{-4}
static const size_t ITER_MAX = 50;

//---------------------------------------------------------------------------------------------------
bool Mean(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean, const EMetric metric)
{
	if (covs.empty()) { return false; }			// If no matrix in vector
	if (covs.size() == 1)						// If just one matrix in vector
	{
		mean = covs[0];
		return true;
	}
	if (!HaveSameSize(covs))
	{
		std::cout << "Matrices haven't same size." << std::endl;
		return false;
	}

	// Force Square Matrix for non Euclidian and non Identity metric
	if (!IsSquare(covs[0]) && (metric != EMetric::Euclidian && metric != EMetric::Identity))
	{
		std::cout << "Non Square Matrix is invalid with " << toString(metric) << " metric." << std::endl;
		return false;
	}

	switch (metric)								// Switch method
	{
		case EMetric::Riemann: return MeanRiemann(covs, mean);
		case EMetric::Euclidian: return MeanEuclidian(covs, mean);
		case EMetric::LogEuclidian: return MeanLogEuclidian(covs, mean);
		case EMetric::LogDet: return MeanLogDet(covs, mean);
		case EMetric::Kullback: return MeanKullback(covs, mean);
		case EMetric::ALE: return MeanALE(covs, mean);
		case EMetric::Harmonic: return MeanHarmonic(covs, mean);
		case EMetric::Wasserstein: return MeanWasserstein(covs, mean);
		case EMetric::Identity:
		default: return MeanIdentity(covs, mean);
	}
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool AJDPham(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& ajd, double /*epsilon*/, const int /*maxIter*/)
{
	MeanIdentity(covs, ajd);
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanRiemann(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();			// Number of Matrix & Features		=> K & N
	size_t i       = 0;											// Index of Covariance Matrix		=> i
	double nu      = 1.0,										// Coefficient change				=> nu
		   tau     = std::numeric_limits<double>::max(),		// Coefficient change criterion		=> tau
		   crit    = std::numeric_limits<double>::max();		// Current change					=> crit
	if (!MeanEuclidian(covs, mean)) { return false; }			// Initial Mean

	while (i < ITER_MAX && EPSILON < crit && EPSILON < nu)		// Stopping criterion
	{
		i++;													// Iteration Criterion
		const Eigen::MatrixXd sC = mean.sqrt(), isC = sC.inverse();	// Square root & Inverse Square root of Mean	=> sC & isC
		Eigen::MatrixXd mJ       = Eigen::MatrixXd::Zero(n, n);	// Change							=> J
		for (const auto& cov : covs) { mJ += (isC * cov * isC).log(); }	// Sum of log(isC*Ci*isC)
		mJ /= double(k);										// Normalization
		crit = mJ.norm();										// Current change criterion
		mean = sC * (nu * mJ).exp() * sC;						// Update Mean		=> M = sC * exp(nu*J) * sC

		const double h = nu * crit;								// Update Coefficient change
		if (h < tau)
		{
			nu *= 0.95;
			tau = h;
		}
		else { nu *= 0.5; }
	}
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanEuclidian(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();		// Number of Matrix & Features	=> K & N
	mean           = Eigen::MatrixXd::Zero(n, n);			// Initial Mean
	for (const auto& cov : covs) { mean += cov; }			// Sum of Ci
	mean /= double(k);										// Normalization
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanLogEuclidian(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();		// Number of Matrix & Features	=> K & N
	mean           = Eigen::MatrixXd::Zero(n, n);			// Initial Mean
	for (const auto& cov : covs) { mean += cov.log(); }		// Sum of log(Ci)
	mean = (mean / double(k)).exp();						// Normalization
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanLogDet(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();		// Number of Matrix & Features	=> K & N
	size_t i       = 0;										// Index of Covariance Matrix	=> i
	double crit    = std::numeric_limits<double>::max();	// Current change				=> crit
	if (!MeanEuclidian(covs, mean)) { return false; }		// Initial Mean

	while (i < ITER_MAX && EPSILON < crit)					// Stopping criterion
	{
		i++;												// Iteration Criterion
		Eigen::MatrixXd mJ = Eigen::MatrixXd::Zero(n, n);	// Change						=> J

		for (const auto& cov : covs) { mJ += (0.5 * (cov + mean)).inverse(); }	// Sum of ((Ci+M)/2)^{-1}
		mJ   = (mJ / double(k)).inverse();					// Normalization
		crit = (mJ - mean).norm();							// Current change criterion
		mean = mJ;											// Update mean
	}
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanKullback(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	Eigen::MatrixXd m1, m2;
	if (!MeanEuclidian(covs, m1)) { return false; }
	if (!MeanHarmonic(covs, m2)) { return false; }
	if (!GeodesicRiemann(m1, m2, mean, 0.5)) { return false; }
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanWasserstein(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();		// Number of Matrix & Features	=> K & N
	size_t i       = 0;										// Index of Covariance Matrix	=> i
	double crit    = std::numeric_limits<double>::max();	// Current change				=> crit

	if (!MeanEuclidian(covs, mean)) { return false; }		// Initial Mean
	Eigen::MatrixXd sC = mean.sqrt();						// Square root of Mean			=> sC

	while (i < ITER_MAX && EPSILON < crit)					// Stopping criterion
	{
		i++;												// Iteration Criterion
		Eigen::MatrixXd mJ = Eigen::MatrixXd::Zero(n, n);	// Change						=> J

		for (const auto& cov : covs) { mJ += (sC * cov * sC).sqrt(); }	// Sum of sqrt(sC*Ci*sC)
		mJ /= double(k);									// Normalization

		const Eigen::MatrixXd sJ = mJ.sqrt();				// Square root of change		=> sJ
		crit                     = (sJ - sC).norm();		// Current change criterion
		sC                       = sJ;						// Update sC
	}
	mean = sC * sC;											// Un-square root 
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanALE(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();		// Number of Matrix & Features	=> K & N
	size_t i       = 0;										// Index of Covariance Matrix	=> i
	double crit    = std::numeric_limits<double>::max();	// Change criterion				=> crit
	if (!AJDPham(covs, mean)) { return false; }				// Initial Mean
	Eigen::MatrixXd mJ;										// Change

	while (i < ITER_MAX && EPSILON < crit)					// Stopping criterion
	{
		i++;												// Iteration Criterion
		mJ = Eigen::MatrixXd::Zero(n, n);					// Change						=> J

		for (const auto& cov : covs) { mJ += (mean.transpose() * cov * mean).log(); }	// Sum of log(C^T*Ci*C)
		mJ /= double(k);									// Normalization

		Eigen::MatrixXd update = mJ.exp().diagonal().asDiagonal();	// Update Form			=> U
		mean                   = mean * update.sqrt().inverse();	// Update Mean M = M * U^{-1/2}

		crit = DistanceRiemann(Eigen::MatrixXd::Identity(n, n), update);
	}

	mJ = Eigen::MatrixXd::Zero(n, n);						// Last Change					=> J
	for (const auto& cov : covs) { mJ += (mean.transpose() * cov * mean).log(); }	// Sum of log(C^T*Ci*C)
	mJ /= double(k);										// Normalization

	Eigen::MatrixXd mA = mean.inverse();
	mean               = mA.transpose() * mJ.exp() * mA;
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanHarmonic(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	const size_t k = covs.size(), n = covs[0].rows();		// Number of Matrix & Features	=> K & N
	mean           = Eigen::MatrixXd::Zero(n, n);			// Initial Mean
	for (const auto& cov : covs) { mean += cov.inverse(); }	// Sum of Inverse
	mean = (mean / double(k)).inverse();					// Normalization and inverse
	return true;
}
//---------------------------------------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------
bool MeanIdentity(const std::vector<Eigen::MatrixXd>& covs, Eigen::MatrixXd& mean)
{
	mean = Eigen::MatrixXd::Identity(covs[0].rows(), covs[0].cols());
	return true;
}
//---------------------------------------------------------------------------------------------------

}  // namespace Geometry