matrixd UnscentedExpectedImprovement::convertMatrixNoise(const matrixd& matrix,
const double scale ,
const int dim )
{
matrixd matrix_output = matrix;
// Scale Matrix
matrix_output *= (dim + scale);
// Square root Matrix
if (!isDiag(matrix_output))
{
matrixd L;
utils::cholesky_decompose(matrix_output, L);
matrix_output = L;
}
else
{
for (size_t idx = 0; idx < matrix_output.size1(); ++idx)
{
matrix_output(idx, idx) = std::sqrt(matrix_output(idx, idx));
}
}
return matrix_output;
}
void rswapcount(double *m, int *nr, int *nc, int *mfill)
{
int row[2], col[2], i, k, ij[4], n, change, cfill,
pm[4] = {1, -1, -1, 1} ;
double sm[4], ev;
/* Get the current fill 'cfill' */
n = (*nr) * (*nc);
for (i = 0, cfill=0; i < n; i++) {
if (m[i] > 0)
cfill++;
}
GetRNGstate();
/* Loop while fills differ */
while (cfill != *mfill) {
/* Select a random 2x2 matrix*/
i2rand(row, *nr - 1);
i2rand(col, *nc - 1);
ij[0] = INDX(row[0], col[0], *nr);
ij[1] = INDX(row[1], col[0], *nr);
ij[2] = INDX(row[0], col[1], *nr);
ij[3] = INDX(row[1], col[1], *nr);
for (k = 0; k < 4; k ++)
sm[k] = m[ij[k]];
/* The largest value that can be swapped */
ev = isDiag(sm);
if (ev != 0) {
/* Check the change in fills */
for (k = 0, change=0; k < 4; k++) {
if(sm[k] > 0)
change--;
if (sm[k] + pm[k]*ev > 0)
change++;
}
/* Fill does not change, but swap to bail out from
* non-swappable configurations */
if (change == 0) {
for (k = 0; k < 4; k++)
m[ij[k]] += pm[k]*ev;
}
else if ((change < 0 && *mfill < cfill) ||
(change > 0 && *mfill > cfill)) {
for (k = 0; k < 4; k++)
m[ij[k]] += pm[k]*ev;
cfill += change;
}
}
}
PutRNGstate();
}
static void rswapcount(int *m, int *nr, int *nc, int *mfill)
{
int i, k, ij[4], n, change, cfill, pm[4] = {1, -1, -1, 1} ;
int sm[4], ev;
size_t intcheck;
/* Get the current fill 'cfill' */
n = (*nr) * (*nc);
for (i = 0, cfill=0; i < n; i++) {
if (m[i] > 0)
cfill++;
}
/* GetRNGstate in calling C code */
/* GetRNGstate(); */
/* Loop while fills differ */
intcheck = 0;
while (cfill != *mfill) {
/* Select a random 2x2 matrix*/
get2x2(n - 1, (*nr), ij);
for (k = 0; k < 4; k ++)
sm[k] = m[ij[k]];
/* The largest value that can be swapped */
ev = isDiag(sm, &change);
if (ev != 0) {
/* Fill does not change, but swap to bail out from
* non-swappable configurations */
if (change == 0) {
for (k = 0; k < 4; k++)
m[ij[k]] += pm[k]*ev;
}
else if ((change < 0 && *mfill < cfill) ||
(change > 0 && *mfill > cfill)) {
for (k = 0; k < 4; k++)
m[ij[k]] += pm[k]*ev;
cfill += change;
}
}
if (intcheck % 10000 == 9999)
R_CheckUserInterrupt();
intcheck++;
}
/* PutRNGstate(); */
}
void swapcount(double *m, int *nr, int *nc, int *thin)
{
int row[2], col[2], k, ij[4], changed, oldn, newn,
pm[4] = {1, -1, -1, 1} ;
double sm[4], ev;
GetRNGstate();
changed = 0;
while (changed < *thin) {
/* Select a random 2x2 matrix*/
i2rand(row, *nr - 1);
i2rand(col, *nc - 1);
ij[0] = INDX(row[0], col[0], *nr);
ij[1] = INDX(row[1], col[0], *nr);
ij[2] = INDX(row[0], col[1], *nr);
ij[3] = INDX(row[1], col[1], *nr);
for (k = 0; k < 4; k ++)
sm[k] = m[ij[k]];
/* The largest value that can be swapped */
ev = isDiag(sm);
if (ev != 0) {
/* Check that the fill doesn't change*/
for (k = 0, oldn = 0, newn = 0; k < 4; k++) {
if(sm[k] > 0)
oldn++;
if (sm[k] + pm[k]*ev > 0)
newn++;
}
/* Swap */
if (oldn == newn) {
for (k = 0; k < 4; k++)
m[ij[k]] += pm[k]*ev;
changed++;
}
}
}
PutRNGstate();
}
