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use super::utils::ref_to_slice;
use crate::nonparametric::GaussianProcessRegressor;
use crate::{DistributionError, ExactMultivariateStudentTParams, StudentTParams};
use crate::{MultivariateStudentTParams, RandomVariable};
use opensrdk_kernel_method::PositiveDefiniteKernel;
use opensrdk_linear_algebra::pp::trf::PPTRF;
use opensrdk_linear_algebra::{SymmetricPackedMatrix, Vector};
pub trait CauchyProcessRegressor<K, T>: GaussianProcessRegressor<K, T>
where
K: PositiveDefiniteKernel<T>,
T: RandomVariable,
{
fn cp_predict(&self, xs: &T) -> Result<StudentTParams, DistributionError> {
let fs = self.cp_predict_multivariate(ref_to_slice(xs))?;
Ok(StudentTParams::new(
fs.nu(),
fs.mu()[0],
fs.lsigma().0.elems()[0],
)?)
}
fn cp_predict_multivariate(
&self,
xs: &[T],
) -> Result<ExactMultivariateStudentTParams, DistributionError>;
}
impl<K, T, GPR> CauchyProcessRegressor<K, T> for GPR
where
K: PositiveDefiniteKernel<T>,
T: RandomVariable,
GPR: GaussianProcessRegressor<K, T>,
{
fn cp_predict_multivariate(
&self,
xs: &[T],
) -> Result<ExactMultivariateStudentTParams, DistributionError> {
let n = self.mu().len();
let mahalanobis_squared = self.mahalanobis_squared();
let (mu, lsigma) = self.gp_predict_multivariate(xs)?.eject();
let coefficient = ((1.0 + mahalanobis_squared) / (1 + n) as f64).sqrt();
let new_lsigma = PPTRF(
SymmetricPackedMatrix::from(mu.len(), (coefficient * lsigma.0.eject().col_mat()).vec())
.unwrap(),
);
ExactMultivariateStudentTParams::new((1 + n) as f64, mu, new_lsigma)
}
}