math.cpp

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/* +------------------------------------------------------------------------+
   |                     Mobile Robot Programming Toolkit (MRPT)            |
   |                          https://www.mrpt.org/                         |
   |                                                                        |
   | Copyright (c) 2005-2020, Individual contributors, see AUTHORS file     |
   | See: https://www.mrpt.org/Authors - All rights reserved.               |
   | Released under BSD License. See: https://www.mrpt.org/License          |
   +------------------------------------------------------------------------+ */

#include "math-precomp.h"  // Precompiled headers

#include <mrpt/math/CMatrixD.h>
#include <mrpt/math/data_utils.h>
#include <mrpt/math/distributions.h>
#include <mrpt/math/ops_matrices.h>
#include <mrpt/math/utils.h>
#include <mrpt/math/wrap2pi.h>
#include <mrpt/system/string_utils.h>
#include <Eigen/Dense>
#include <algorithm>
#include <cmath>  // erf(), ...
#include <iostream>
#include <mrpt/math/interp_fit.hpp>

using namespace mrpt;
using namespace mrpt::math;
using namespace std;
using mrpt::serialization::CArchive;

/*---------------------------------------------------------------
                        normalPDF
 ---------------------------------------------------------------*/
double math::normalPDF(double x, double mu, double std)
{
    return ::exp(-0.5 * square((x - mu) / std)) /
           (std * 2.506628274631000502415765284811);
}

/*---------------------------------------------------------------
                        chi2inv
 ---------------------------------------------------------------*/
double math::chi2inv(double P, unsigned int dim)
{
    ASSERT_(P >= 0 && P < 1);
    if (P == 0)
        return 0;
    else
        return dim * pow(1.0 - 2.0 / (9 * dim) +
                             sqrt(2.0 / (9 * dim)) * normalQuantile(P),
                         3);
}

/*---------------------------------------------------------------
                        factorial64
 ---------------------------------------------------------------*/
uint64_t math::factorial64(unsigned int n)
{
    uint64_t ret = 1;

    for (unsigned int i = 2; i <= n; i++) ret *= i;

    return ret;
}

/*---------------------------------------------------------------
                        factorial
 ---------------------------------------------------------------*/
double math::factorial(unsigned int n)
{
    double retLog = 0;

    for (unsigned int i = 2; i <= n; i++) retLog += ::log((double)n);

    return ::exp(retLog);
}

/*---------------------------------------------------------------
                        normalQuantile
 ---------------------------------------------------------------*/
double math::normalQuantile(double p)
{
    double q, t, u;

    static const double a[6] = {-3.969683028665376e+01, 2.209460984245205e+02,
                                -2.759285104469687e+02, 1.383577518672690e+02,
                                -3.066479806614716e+01, 2.506628277459239e+00};
    static const double b[5] = {-5.447609879822406e+01, 1.615858368580409e+02,
                                -1.556989798598866e+02, 6.680131188771972e+01,
                                -1.328068155288572e+01};
    static const double c[6] = {-7.784894002430293e-03, -3.223964580411365e-01,
                                -2.400758277161838e+00, -2.549732539343734e+00,
                                4.374664141464968e+00,  2.938163982698783e+00};
    static const double d[4] = {7.784695709041462e-03, 3.224671290700398e-01,
                                2.445134137142996e+00, 3.754408661907416e+00};

    ASSERT_(!std::isnan(p));
    ASSERT_(p < 1.0 && p > 0.0);

    q = min(p, 1 - p);

    if (q > 0.02425)
    {
        /* Rational approximation for central region. */
        u = q - 0.5;
        t = u * u;
        u = u *
            (((((a[0] * t + a[1]) * t + a[2]) * t + a[3]) * t + a[4]) * t +
             a[5]) /
            (((((b[0] * t + b[1]) * t + b[2]) * t + b[3]) * t + b[4]) * t + 1);
    }
    else
    {
        /* Rational approximation for tail region. */
        t = sqrt(-2 * ::log(q));
        u = (((((c[0] * t + c[1]) * t + c[2]) * t + c[3]) * t + c[4]) * t +
             c[5]) /
            ((((d[0] * t + d[1]) * t + d[2]) * t + d[3]) * t + 1);
    }

    /* The relative error of the approximation has absolute value less
    than 1.15e-9.  One iteration of Halley's rational method (third
    order) gives full machine precision... */
    t = normalCDF(u) - q; /* error */
    t = t * 2.506628274631000502415765284811 *
        ::exp(u * u / 2); /* f(u)/df(u) */
    u = u - t / (1 + u * t / 2); /* Halley's method */

    return (p > 0.5 ? -u : u);
}

/*---------------------------------------------------------------
                        normalCDF
 ---------------------------------------------------------------*/
double math::normalCDF(double u)
{
    static const double a[5] = {1.161110663653770e-002, 3.951404679838207e-001,
                                2.846603853776254e+001, 1.887426188426510e+002,
                                3.209377589138469e+003};
    static const double b[5] = {1.767766952966369e-001, 8.344316438579620e+000,
                                1.725514762600375e+002, 1.813893686502485e+003,
                                8.044716608901563e+003};
    static const double c[9] = {
        2.15311535474403846e-8, 5.64188496988670089e-1, 8.88314979438837594e00,
        6.61191906371416295e01, 2.98635138197400131e02, 8.81952221241769090e02,
        1.71204761263407058e03, 2.05107837782607147e03, 1.23033935479799725E03};
    static const double d[9] = {
        1.00000000000000000e00, 1.57449261107098347e01, 1.17693950891312499e02,
        5.37181101862009858e02, 1.62138957456669019e03, 3.29079923573345963e03,
        4.36261909014324716e03, 3.43936767414372164e03, 1.23033935480374942e03};
    static const double p[6] = {1.63153871373020978e-2, 3.05326634961232344e-1,
                                3.60344899949804439e-1, 1.25781726111229246e-1,
                                1.60837851487422766e-2, 6.58749161529837803e-4};
    static const double q[6] = {1.00000000000000000e00, 2.56852019228982242e00,
                                1.87295284992346047e00, 5.27905102951428412e-1,
                                6.05183413124413191e-2, 2.33520497626869185e-3};
    double y, z;

    ASSERT_(!std::isnan(u));
    ASSERT_(std::isfinite(u));

    y = fabs(u);
    if (y <= 0.46875 * 1.4142135623730950488016887242097)
    {
        /* evaluate erf() for |u| <= sqrt(2)*0.46875 */
        z = y * y;
        y = u * ((((a[0] * z + a[1]) * z + a[2]) * z + a[3]) * z + a[4]) /
            ((((b[0] * z + b[1]) * z + b[2]) * z + b[3]) * z + b[4]);
        return 0.5 + y;
    }

    z = ::exp(-y * y / 2) / 2;
    if (y <= 4.0)
    {
        /* evaluate erfc() for sqrt(2)*0.46875 <= |u| <= sqrt(2)*4.0 */
        y = y / 1.4142135623730950488016887242097;
        y = ((((((((c[0] * y + c[1]) * y + c[2]) * y + c[3]) * y + c[4]) * y +
                c[5]) *
                   y +
               c[6]) *
                  y +
              c[7]) *
                 y +
             c[8])

            / ((((((((d[0] * y + d[1]) * y + d[2]) * y + d[3]) * y + d[4]) * y +
                  d[5]) *
                     y +
                 d[6]) *
                    y +
                d[7]) *
                   y +
               d[8]);

        y = z * y;
    }
    else
    {
        /* evaluate erfc() for |u| > sqrt(2)*4.0 */
        z = z * 1.4142135623730950488016887242097 / y;
        y = 2 / (y * y);
        y = y *
            (((((p[0] * y + p[1]) * y + p[2]) * y + p[3]) * y + p[4]) * y +
             p[5]) /
            (((((q[0] * y + q[1]) * y + q[2]) * y + q[3]) * y + q[4]) * y +
             q[5]);
        y = z * (0.564189583547756286948 - y);
    }
    return (u < 0.0 ? y : 1 - y);
}

// Loads a vector from a text file:
bool math::loadVector(std::istream& f, ::std::vector<int>& d)
{
    MRPT_START

    std::string str;
    if (!std::getline(f, str)) return false;

    const char* s = str.c_str();

    char *nextTok, *context;
    const char* delim = " \t";

    d.clear();
    nextTok = mrpt::system::strtok((char*)s, delim, &context);
    while (nextTok != nullptr)
    {
        d.push_back(atoi(nextTok));
        nextTok = mrpt::system::strtok(nullptr, delim, &context);
    };

    return true;
    MRPT_END
}

bool math::loadVector(std::istream& f, ::std::vector<double>& d)
{
    MRPT_START

    std::string str;
    if (!std::getline(f, str)) return false;

    const char* s = str.c_str();

    char *nextTok, *context;
    const char* delim = " \t";

    d.clear();
    nextTok = mrpt::system::strtok((char*)s, delim, &context);
    while (nextTok != nullptr)
    {
        d.push_back(atof(nextTok));
        nextTok = mrpt::system::strtok(nullptr, delim, &context);
    };

    return true;
    MRPT_END
}

// See declaration for the documentation
double math::averageLogLikelihood(
    const CVectorDouble& logWeights, const CVectorDouble& logLikelihoods)
{
    MRPT_START

    // Explained in:
    // https://www.mrpt.org/Averaging_Log-Likelihood_Values:Numerical_Stability
    ASSERT_(logWeights.size() == logLikelihoods.size());

    if (!logWeights.size())
        THROW_EXCEPTION("ERROR: logWeights vector is empty!");

    CVectorDouble::const_iterator itLW, itLL;
    double lw_max = math::maximum(logWeights);
    double ll_max = math::maximum(logLikelihoods);
    double SUM1 = 0, SUM2 = 0, tmpVal;

    for (itLW = logWeights.begin(), itLL = logLikelihoods.begin();
         itLW != logWeights.end(); itLW++, itLL++)
    {
        tmpVal = *itLW - lw_max;
        SUM1 += std::exp(tmpVal);
        SUM2 += std::exp(tmpVal + *itLL - ll_max);
    }

    double res = -std::log(SUM1) + std::log(SUM2) + ll_max;
    MRPT_CHECK_NORMAL_NUMBER(res);
    return res;
    MRPT_END
}

// Unweighted version:
double math::averageLogLikelihood(const CVectorDouble& logLikelihoods)
{
    MRPT_START

    // Explained in:
    // https://www.mrpt.org/Averaging_Log-Likelihood_Values:Numerical_Stability
    size_t N = logLikelihoods.size();
    if (!N) THROW_EXCEPTION("ERROR: logLikelihoods vector is empty!");

    double ll_max = math::maximum(logLikelihoods);
    double SUM1 = 0;

    for (size_t i = 0; i < N; i++) SUM1 += exp(logLikelihoods[i] - ll_max);

    double res = log(SUM1) - log(static_cast<double>(N)) + ll_max;

    MRPT_CHECK_NORMAL_NUMBER(res);
    return res;
    MRPT_END
}

// Wrapped angles average:
double math::averageWrap2Pi(const CVectorDouble& angles)
{
    if (angles.empty()) return 0;

    int W_phi_R = 0, W_phi_L = 0;
    double phi_R = 0, phi_L = 0;

    // First: XY
    // -----------------------------------
    for (CVectorDouble::Index i = 0; i < angles.size(); i++)
    {
        double phi = angles[i];
        if (std::abs(phi) > 1.5707963267948966192313216916398)
        {
            // LEFT HALF: 0,2pi
            if (phi < 0) phi = (M_2PI + phi);

            phi_L += phi;
            W_phi_L++;
        }
        else
        {
            // RIGHT HALF: -pi,pi
            phi_R += phi;
            W_phi_R++;
        }
    }

    // Next: PHI
    // -----------------------------------
    // The mean value from each side:
    if (W_phi_L) phi_L /= static_cast<double>(W_phi_L);  // [0,2pi]
    if (W_phi_R) phi_R /= static_cast<double>(W_phi_R);  // [-pi,pi]

    // Left side to [-pi,pi] again:
    if (phi_L > M_PI) phi_L -= M_2PI;

    // The total mean:
    return ((phi_L * W_phi_L + phi_R * W_phi_R) / (W_phi_L + W_phi_R));
}

string math::MATLAB_plotCovariance2D(
    const CMatrixFloat& cov, const CVectorFloat& mean, float stdCount,
    const string& style, size_t nEllipsePoints)
{
    MRPT_START
    const auto cov2 = CMatrixDouble(cov);
    auto mean2 = CVectorDouble(2);
    mean2[0] = mean[0];
    mean2[1] = mean[1];

    return MATLAB_plotCovariance2D(
        cov2, mean2, stdCount, style, nEllipsePoints);

    MRPT_END
}

string math::MATLAB_plotCovariance2D(
    const CMatrixDouble& cov, const CVectorDouble& mean, float stdCount,
    const string& style, size_t nEllipsePoints)
{
    MRPT_START

    ASSERT_(cov.cols() == cov.rows() && cov.cols() == 2);
    ASSERT_(cov(0, 1) == cov(1, 0));
    ASSERT_(!((cov(0, 0) == 0) ^ (cov(1, 1) == 0)));  // Both or none 0
    ASSERT_(mean.size() == 2);

    const auto cov2x2 = mrpt::math::CMatrixFixed<double, 2, 2>(cov.asEigen());
    const auto N = nEllipsePoints;
    double ang = 0;
    const double dAng = (M_2PI / (nEllipsePoints - 1));
    std::vector<double> X(N), Y(N), Cos(N), Sin(N);

    // Fill the angles:
    for (std::size_t idx = 0; idx < N; idx++, ang += dAng)
    {
        Cos[idx] = std::cos(ang);
        Sin[idx] = std::sin(ang);
    }

    std::vector<double> eVals;
    mrpt::math::CMatrixFixed<double, 2, 2> eigVec, eigVals;
    cov2x2.eig(eigVec, eVals);
    eigVals.setDiagonal(eVals);

    eigVals.asEigen() = eigVals.array().sqrt().matrix();

    mrpt::math::CMatrixFixed<double, 2, 2> M;
    M.asEigen() = eigVals.asEigen() * eigVec.transpose();

    // Compute the points of the ellipsoid:
    // ----------------------------------------------
    for (std::size_t idx = 0; idx < N; idx++)
    {
        X[idx] = mean[0] + stdCount * (Cos[idx] * M(0, 0) + Sin[idx] * M(1, 0));
        X[idx] = mean[1] + stdCount * (Cos[idx] * M(0, 1) + Sin[idx] * M(1, 1));
    }

    // Save the code to plot the ellipsoid:
    // ----------------------------------------------
    std::string str;
    str += string("plot([ ");
    for (size_t i = 0; i < X.size(); i++)
    {
        str += format("%.4f", X[i]);
        if (i != (X.size() - 1)) str += ",";
    }
    str += string("],[ ");
    for (size_t i = 0; i < X.size(); i++)
    {
        str += format("%.4f", Y[i]);
        if (i != (Y.size() - 1)) str += ",";
    }

    str += format("],'%s');\n", style.c_str());

    return str;
    MRPT_END_WITH_CLEAN_UP(std::cerr << "The matrix that led to error was: "
                                     << std::endl
                                     << cov.asEigen() << std::endl;)
}

double mrpt::math::interpolate2points(
    const double x, const double x0, const double y0, const double x1,
    const double y1, bool wrap2pi)
{
    MRPT_START
    if (x0 == x1)
        THROW_EXCEPTION_FMT("ERROR: Both x0 and x1 are equal (=%f)", x0);

    const double Ax = x1 - x0;
    const double Ay = y1 - y0;

    double r = y0 + Ay * (x - x0) / Ax;
    if (!wrap2pi)
        return r;
    else
        return mrpt::math::wrapToPi(r);

    MRPT_END
}

/*---------------------------------------------------------------
                    median filter of a vector
 ---------------------------------------------------------------*/
// template<typename VECTOR>
void mrpt::math::medianFilter(
    const std::vector<double>& inV, std::vector<double>& outV, int _winSize,
    int numberOfSigmas)
{
    MRPT_UNUSED_PARAM(numberOfSigmas);
    ASSERT_((int)inV.size() >= _winSize);
    ASSERT_(_winSize >= 2);  // The minimum window size is 3 elements
    size_t winSize = _winSize;

    if (!(winSize % 2))  // We use an odd number of elements for the window size
        winSize++;

    size_t sz = inV.size();
    outV.resize(sz);

    std::vector<double> aux(winSize);
    size_t mpoint = winSize / 2;
    for (size_t k = 0; k < sz; ++k)
    {
        aux.clear();

        size_t idx_to_start =
            std::max(size_t(0), k - mpoint);  // Dealing with the boundaries
        size_t n_elements =
            std::min(std::min(winSize, sz + mpoint - k), k + mpoint + 1);

        aux.resize(n_elements);
        for (size_t m = idx_to_start, n = 0; m < idx_to_start + n_elements;
             ++m, ++n)
            aux[n] = inV[m];

        std::sort(aux.begin(), aux.end());

        size_t auxSz = aux.size();
        size_t auxMPoint = auxSz / 2;
        outV[k] = (auxSz % 2) ? (aux[auxMPoint])
                              : (0.5 * (aux[auxMPoint - 1] +
                                        aux[auxMPoint]));  // If the window is
        // even, take the
        // mean value of the
        // middle points
    }  // end-for
}  // end medianFilter

double mrpt::math::chi2CDF(unsigned int degreesOfFreedom, double arg)
{
    return noncentralChi2CDF(degreesOfFreedom, 0.0, arg);
}

template <class T>
void noncentralChi2OneIteration(
    T arg, T& lans, T& dans, T& pans, unsigned int& j)
{
    double tol = -50.0;
    if (lans < tol)
    {
        lans = lans + std::log(arg / j);
        dans = std::exp(lans);
    }
    else
    {
        dans = dans * arg / j;
    }
    pans = pans - dans;
    j += 2;
}

std::pair<double, double> mrpt::math::noncentralChi2PDF_CDF(
    unsigned int degreesOfFreedom, double noncentrality, double arg, double eps)
{
    ASSERTMSG_(
        noncentrality >= 0.0 && arg >= 0.0 && eps > 0.0,
        "noncentralChi2PDF_CDF(): parameters must be positive.");

    if (arg == 0.0 && degreesOfFreedom > 0) return std::make_pair(0.0, 0.0);

    // Determine initial values
    double b1 = 0.5 * noncentrality, ao = std::exp(-b1), eps2 = eps / ao,
           lnrtpi2 = 0.22579135264473, probability, density, lans, dans, pans,
           sum, am, hold;
    unsigned int maxit = 500, i, m;
    if (degreesOfFreedom % 2)
    {
        i = 1;
        lans = -0.5 * (arg + std::log(arg)) - lnrtpi2;
        dans = std::exp(lans);
        pans = std::erf(std::sqrt(arg / 2.0));
    }
    else
    {
        i = 2;
        lans = -0.5 * arg;
        dans = std::exp(lans);
        pans = 1.0 - dans;
    }

    // Evaluate first term
    if (degreesOfFreedom == 0)
    {
        m = 1;
        degreesOfFreedom = 2;
        am = b1;
        sum = 1.0 / ao - 1.0 - am;
        density = am * dans;
        probability = 1.0 + am * pans;
    }
    else
    {
        m = 0;
        degreesOfFreedom = degreesOfFreedom - 1;
        am = 1.0;
        sum = 1.0 / ao - 1.0;
        while (i < degreesOfFreedom)
            noncentralChi2OneIteration(arg, lans, dans, pans, i);
        degreesOfFreedom = degreesOfFreedom + 1;
        density = dans;
        probability = pans;
    }
    // Evaluate successive terms of the expansion
    for (++m; m < maxit; ++m)
    {
        am = b1 * am / m;
        noncentralChi2OneIteration(arg, lans, dans, pans, degreesOfFreedom);
        sum = sum - am;
        density = density + am * dans;
        hold = am * pans;
        probability = probability + hold;
        if ((pans * sum < eps2) && (hold < eps2)) break;  // converged
    }
    if (m == maxit) THROW_EXCEPTION("noncentralChi2PDF_CDF(): no convergence.");
    return std::make_pair(
        0.5 * ao * density, std::min(1.0, std::max(0.0, ao * probability)));
}

double mrpt::math::chi2PDF(
    unsigned int degreesOfFreedom, double arg, double accuracy)
{
    return mrpt::math::noncentralChi2PDF_CDF(
               degreesOfFreedom, 0.0, arg, accuracy)
        .first;
}

double mrpt::math::noncentralChi2CDF(
    unsigned int degreesOfFreedom, double noncentrality, double arg)
{
    const double a = degreesOfFreedom + noncentrality;
    const double b = (a + noncentrality) / square(a);
    const double t =
        (std::pow((double)arg / a, 1.0 / 3.0) - (1.0 - 2.0 / 9.0 * b)) /
        std::sqrt(2.0 / 9.0 * b);
    return 0.5 * (1.0 + std::erf(t / std::sqrt(2.0)));
}

CArchive& mrpt::math::operator>>(CArchive& s, CVectorFloat& v)
{
    v.resize(s.ReadAs<uint32_t>());
    if (v.size() > 0) s.ReadBufferFixEndianness(&v[0], v.size());
    return s;
}
CArchive& mrpt::math::operator>>(CArchive& s, CVectorDouble& v)
{
    v.resize(s.ReadAs<uint32_t>());
    if (v.size() > 0) s.ReadBufferFixEndianness(&v[0], v.size());
    return s;
}
CArchive& mrpt::math::operator<<(CArchive& s, const CVectorFloat& v)
{
    s.WriteAs<uint32_t>(v.size());
    if (v.size() > 0) s.WriteBufferFixEndianness(&v[0], v.size());
    return s;
}
CArchive& mrpt::math::operator<<(CArchive& s, const CVectorDouble& v)
{
    s.WriteAs<uint32_t>(v.size());
    if (v.size() > 0) s.WriteBufferFixEndianness(&v[0], v.size());
    return s;
}