example_probability_gaussian3.cpp

 
#include <iostream>
#include <Pds/Ra>
#include <Pds/Ml>
    
int main(void)
{
    Pds::Octave::XLabel="x1";
    Pds::Octave::YLabel="x2";
    Pds::Octave::DAspect=true;
    
    unsigned int L=2000;
    Pds::Matrix X;
    Pds::Matrix Mu;
    Pds::Matrix Sigma;
    Pds::Vector P;
    Pds::Matrix R("2 -0.2\n-0.2 1");
    
    // Generating data X=[x1 x2]
    X=Pds::MergeHor({ Pds::RandN(L,1) , Pds::RandN(L,1) });
    X=X*R;
    
    Pds::Octave::Plot::PointsX2D(X,"testando.m","example_probability_gaussian3_data.png");
    
    // Mu, Sigma estimation
    Sigma=X.CovMatrix(Mu);
    
    std::cout<<"X.Size():\n"<<X.Size()<<"\n";
    std::cout<<"Mu:\n"<<Mu;
    std::cout<<"Sigma:\n"<<Sigma;
    std::cout<<"R.MtM():\n"<<R.MtM();
    
    // Anomaly detection
    P=Pds::Probability::MGaussian(X,Mu,Sigma.Inv());
    
    Pds::Octave::Plot::ScatterX2DY(X,P,"testando.m","example_probability_gaussian3_prob.png");
    
    return 0;
}