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 maxIterations = 50,
                           const double tolerance = 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; }

  bool CenterData() const { return centerData; }
  bool& CenterData() { return centerData; }

  bool ScaleData() const { return scaleData; }
  bool& ScaleData() { return scaleData; }

  size_t MaxIterations() const { return maxIterations; }
  size_t& MaxIterations() { return maxIterations; }

  double Tolerance() const { return tolerance; }
  double& Tolerance() { return tolerance; }

  template<typename Archive>
  void serialize(Archive& ar, const uint32_t version);

 private:
  bool centerData;

  bool scaleData;

  size_t maxIterations;

  double tolerance;

  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