求解协方差矩阵算法 转载地址：http://www.16kan.com/post/231601.html

covHead.h

#include <iostream>    class COV { public :      COV( void );      void clear( void ); public :      void rdOrMatrix( int _sapNum, int _dim);       //_sapNum为样本个数, _dimt为维数; 创建样本集矩阵并存入数组 orAry(_sapNum行, _dimt列)      void meanVal( void ); //计算各维度的均值, 并存入数组 meanValAry(一维数组, 维数为_dimt)      void meanMatrix( void ); //计算各维减去各维均值后的新矩阵并存入数组 orAry(_sapNum行, _dimt列)      void meanMatrixTrs( void ); //计算新矩阵的转置矩阵并存入数组 meanAryTrs(_dimt行,_sapNum列)      void covMatrix( void ); //计算协方差矩阵并存入数组 covAry(_dimt * _dimt方阵)         void showOrMatrix( void ); //输出初始样本集矩阵      void showMeanVal( void ); //输出各维度的均值      void showMeanMatrix( void ); //输出减去均值后的样本矩阵      void showMeanMatrixTrs( void ); //输出减去均值后的样本矩阵的转置矩阵      void showCovMatrix( void ); //输出协方差矩阵 private :      int sapNum_, dim_; //样本个数;维数;降维后维数      double **orAry; //初始样本集矩阵(减去均值后的新样本矩阵)      double *meanValAry, **meanAryTrs; //各维度的均值;减去均值后的矩阵的转置矩阵      double **covAry; //协方差方阵 };

 

 covFile.h

#include <iostream> #include "covHead.h" #include <malloc.h> #include <math.h>    // COV::COV() {      sapNum_ = 0;    dim_ = 0;      orAry = NULL;      meanValAry = NULL;  meanAryTrs = NULL;      covAry = NULL; }    // void COV::clear() {        }    / void COV::rdOrMatrix( int _sapNum, int _dim) { //读取初始样本集矩阵      sapNum_ = _sapNum;  dim_ = _dim;      std::cout << "维数为: " << dim_ << "样本个数为: " << sapNum_ << '\n' ;      orAry = ( double **) malloc (sapNum_* sizeof ( double ));      for ( int i=0; i<sapNum_; i++)          *(orAry+i) = ( double *) malloc (dim_* sizeof ( double )); //每一行存放一个样本向量,列数为维数,行数位总样本向量个数         std::cout << "read the original vectors" << '\n' ;      FILE *fp;      char ch;      if ((fp= fopen ( "covariance.txt" , "rt" ))==NULL) { //covariance文件中每一行代表一个样本向量,列数为维数                                      printf ( "Cannot open file strike any key exit!" );          exit (0);      }         ch= fgetc (fp);      std::string str= "" ; //这里str是类string的一个对象      int k=0;      while (k<sapNum_) {          for ( int i=0; i<dim_; i++) {              while (ch== ' ' || ch== 'v' || ch== '\n' )                  ch= fgetc (fp);              while (ch!= ' ' && ch!= '\n' && ch!= 'v' ) {                  str+=ch;                  ch= fgetc (fp);              }              double aa= atof (str.c_str()); //将字符串转换成double型              *(*(orAry+k)+i) = aa; //文本中的一行为矩阵valAry中的一行              str= "" ;          }          ch= fgetc (fp);          k++;      } }    void COV::showOrMatrix() {      std::cout << "============================================================" << '\n' ;      std::cout << "初始样本矩阵 :" << '\n' ;      for ( int i=0; i<sapNum_; i++) {          for ( int j=0; j<dim_; j++)              std::cout << *(*(orAry+i)+j) << "    " ;          std::cout << '\n' ;      }            }       / void COV::meanVal() { //各维的均值      meanValAry = ( double *) malloc (dim_* sizeof ( double ));         double sum=0.0;      for ( int i=0; i<dim_; i++) {          sum = 0.0;          for ( int j=0; j<sapNum_; j++)              sum += *(*(orAry+j)+i);          *(meanValAry+i) = sum/sapNum_;      } }    void COV::showMeanVal() {      std::cout << "====================================" << '\n' ;      std::cout << "各维的均值 :" << '\n' ;      for ( int i=0; i<dim_; i++)          std::cout << *(meanValAry+i) << "   " ;      std::cout << '\n' ; }       / void COV::meanMatrix() { //减去均值后的样本集矩阵      for ( int j=0; j<dim_; j++)          for ( int i=0; i<sapNum_; i++)              *(*(orAry+i)+j) = *(*(orAry+i)+j)- *(meanValAry+j); }    void COV::showMeanMatrix() {      std::cout << "============================================================" << '\n' ;      std::cout << "减去均值后的样本矩阵 :" << '\n' ;      for ( int i=0; i<sapNum_; i++) {          for ( int j=0; j<dim_; j++)              std::cout << *(*(orAry+i)+j) << "    " ;          std::cout << '\n' ;      }            }       /// void COV::meanMatrixTrs() { //减去均值后的样本集矩阵的转置矩阵      meanAryTrs = ( double **) malloc (dim_* sizeof ( double ));      for ( int i=0; i<dim_; i++)          *(meanAryTrs+i) = ( double *) malloc (sapNum_* sizeof ( double ));             for (i=0; i<dim_; i++)          for ( int j=0; j<sapNum_; j++)              *(*(meanAryTrs+i)+j) = *(*(orAry+j)+i); }    void COV::showMeanMatrixTrs() {      std::cout << "============================================================" << '\n' ;      std::cout << "减去均值后的样本矩阵的转置矩阵 :" << '\n' ;      for ( int i=0; i<dim_; i++) {          for ( int j=0; j<sapNum_; j++)              std::cout << *(*(meanAryTrs+i)+j) << "    " ;          std::cout << '\n' ;      }            }       /// void COV::covMatrix() { //协方差矩阵      covAry = ( double **) malloc (dim_* sizeof ( double ));          for ( int i=0; i<dim_; i++)              *(covAry+i) = ( double *) malloc (dim_* sizeof ( double ));         //计算协方差矩阵代码:减去均值的样本矩阵的转置矩阵 * 减去均值的样本矩阵本身      for (i=0; i<dim_; i++) {          for ( int j=0; j<dim_; j++) {              double data = 0.0;              for ( int k=0; k<sapNum_; k++)                  data +=  (*(*(meanAryTrs+i)+k))* (*(*(orAry+k)+j));              data /= sapNum_-1;              *(*(covAry+i)+j) = data;          }      } }    void COV::showCovMatrix() {      std::cout << "============================================================" << '\n' ;      std::cout << "初始样本集矩阵的协方差矩阵 :" << '\n' ;      for ( int i=0; i<dim_; i++) {          for ( int j=0; j<dim_; j++)              std::cout << *(*(covAry+i)+j) << "    " ;          std::cout << '\n' ;      }            }

 

covariance.cpp

#include <iostream> #include "covFile.h"    int main() {      COV cov;      //pca.PCA();      cov.rdOrMatrix(10,3); //初始样本集矩阵      cov.showOrMatrix();      cov.meanVal(); //均值数组      cov.showMeanVal();      cov.meanMatrix(); //减去均值后的样本集矩阵      cov.showMeanMatrix();      cov.meanMatrixTrs(); //减去均值后的样本矩阵的转置矩阵      cov.showMeanMatrixTrs();      cov.covMatrix(); //协方差矩阵      cov.showCovMatrix();             return 0; }