bayesian_linear_regression.hpp

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#ifndef MLPACK_METHODS_BAYESIAN_LINEAR_REGRESSION_HPP
#define MLPACK_METHODS_BAYESIAN_LINEAR_REGRESSION_HPP
 
#include <mlpack/prereqs.hpp>
 
namespace mlpack {
namespace regression {
 
class BayesianLinearRegression
{
 public:
  BayesianLinearRegression(const bool centerData = true,
                           const bool scaleData = false,
                           const size_t nIterMax = 50,
                           const double tol = 1e-4);
 
  double Train(const arma::mat& data,
               const arma::rowvec& responses);
 
  void Predict(const arma::mat& points,
               arma::rowvec& predictions) const;
 
  void Predict(const arma::mat& points,
               arma::rowvec& predictions,
               arma::rowvec& std) const;
 
  double RMSE(const arma::mat& data,
              const arma::rowvec& responses) const;
 
  const arma::colvec& Omega() const { return omega; }
 
  double Alpha() const { return alpha; }
 
  double Beta() const { return beta; }
 
  double Variance() const { return 1.0 / Beta(); }
 
  const arma::colvec& DataOffset() const { return dataOffset; }
 
  const arma::colvec& DataScale() const { return dataScale; }
 
  double ResponsesOffset() const { return responsesOffset; }
 
  template<typename Archive>
  void serialize(Archive& ar, const unsigned int /* version */);
 
 private:
  bool centerData;
 
  bool scaleData;
 
  size_t nIterMax;
 
  double tol;
 
  arma::colvec dataOffset;
 
  arma::colvec dataScale;
 
  double responsesOffset;
 
  double alpha;
 
  double beta;
 
  double gamma;
 
  arma::colvec omega;
 
  arma::mat matCovariance;
 
  double CenterScaleData(const arma::mat& data,
                         const arma::rowvec& responses,
                         arma::mat& dataProc,
                         arma::rowvec& responsesProc);
 
  void CenterScaleDataPred(const arma::mat& data,
                           arma::mat& dataProc) const;
};
} // namespace regression
} // namespace mlpack
 
// Include implementation of serialize.
#include "bayesian_linear_regression_impl.hpp"
 
#endif