src/probability/gaussian.lisp

   1 ;;; -*- mode: lisp -*-
   2
   3 ;;; Time-stamp: <2010-11-07 11:38:53 tony>
   4 ;;; Creation:   <2009-03-12 17:14:56 tony>
   5 ;;; File:       gaussian.lisp
   6 ;;; Author:     AJ Rossini <blindglobe@gmail.com>
   7 ;;; Copyright:  (c)2009--, AJ Rossini.  Currently licensed under MIT
   8 ;;;             license.  See file LICENSE.mit in top-level directory
   9 ;;;             for information.
  10 ;;; Purpose:    Gaussian probability law structure and functions
  11
  12 ;;; What is this talk of 'release'? Klingons do not make software
  13 ;;; 'releases'.  Our software 'escapes', leaving a bloody trail of
  14 ;;; designers and quality assurance people in its wake.
  15
  16 ;;; This organization and structure is new to the 21st Century
  17 ;;; version..   Think, "21st Century Schizoid Man".
  18
  19
  20 (in-package :cls-probability)
  21
  22 (defun gaussian-probability-density-univariate (x params))
  23
  24 (defclass gaussian-probability-parameters (probability-parameters)
  25   ((mean :documentation "vector (or value) which denotes the mean structure.")
  26    (variance :documentation "matrix (or value) which denotes covariance structure."))
  27   :documentation "standard mean-variance parameterization for gaussian probability law.")
  28
  29 (defclass gaussian-probability-univariate-parameters (gaussian-probability-parameters)
  30   ((mean :documentation "vector (or value) which denotes the mean structure."
  31          :type univariate-value)
  32    (variance :documentation "matrix (or value) which denotes covariance structure."
  33              :type univariate-value))
  34   :documentation "standard mean-variance parameterization for gaussian probability law.")
  35
  36 (defclass gaussian-probability-multivariate-parameters (gaussian-probability-parameters)
  37   ((mean :documentation "vector (or value) which denotes the mean structure."
  38          :type array-like)
  39    (variance :documentation "matrix (or value) which denotes covariance structure."
  40              :type matrix-like))
  41   :documentation "standard mean-variance parameterization for gaussian probability law.")
  42
  43 (defgeneric gaussian-probability-density (x params)
  44   (:documentation "general gaussian density method.")
  45   (:method ((x xarray-vector)
  46             (params gaussian-probability-multivariate-parameters))
  47     ;; compute multivariate likelihood, and if X is something else, convert it an proceed to this method.
  48     )
  49   (:method ((x number)
  50             (params gaussian-probability-univariate-parameters))
  51     (\ (exp (* -1.0 (/ (- x (mean params))
  52                        (standard-deviation params ))))
  53        (sqrt (* 2.0 pi (variance params))))))
  54
  55
  56
  57 (defclass gaussian-probability-law (probability-law)
  58   (()))
  59
  60
  61