-#include <math.h>
-#include <stdlib.h>
-
-void ew_predict_noNA(double* X, double* Y, int* n_, int* K_, double* alpha_, int* grad_, double* weight)
-{
- int K = *K_;
- int n = *n_;
- double alpha = *alpha_;
- int grad = *grad_;
-
- //at least two experts to combine: various inits
- double invMaxError = 1. / 50; //TODO: magic number
- double logK = log(K);
- double initWeight = 1. / K;
- for (int i=0; i<K; i++)
- weight[i] = initWeight;
- double* error = (double*)malloc(K*sizeof(double));
- double* cumError = (double*)calloc(K, sizeof(double));
-
- //start main loop
- for (int t=0; t<n; t++ < n)
- {
- if (grad)
- {
- double hatY = 0.;
- for (int i=0; i<K; i++)
- hatY += X[t*K+i] * weight[i];
- for (int i=0; i<K; i++)
- error[i] = 2. * (hatY - Y[t]) * X[t*K+i];
- }
- else
- {
- for (int i=0; i<K; i++)
- {
- double delta = X[t*K+i] - Y[t];
- error[i] = delta * delta;
-/* if ((X[t*K+i] <= 30 && Y[t] > 30) || (X[t*K+i] > 30 && Y[t] <= 30))
- error[i] = 1.0;
- else
- error[i] = 0.0;
-*/
- }
- }
- for (int i=0; i<K; i++)
- cumError[i] += error[i];
-
- if (t < n-1 && !grad)
- {
- //weight update is useless
- continue;
- }
-
- //double eta = invMaxError * sqrt(8*logK/(t+1)); //TODO: good formula ?
- double eta = invMaxError * 1. / (t+1); //TODO: good formula ?
- for (int i=0; i<K; i++)
- weight[i] = exp(-eta * cumError[i]);
- double sumWeight = 0.0;
- for (int i=0; i<K; i++)
- sumWeight += weight[i];
- for (int i=0; i<K; i++)
- weight[i] /= sumWeight;
- //redistribute weights if alpha > 0 (all weights are 0 or more, sum > 0)
- for (int i=0; i<K; i++)
- weight[i] = (1. - alpha) * weight[i] + alpha/K;
- }
-
- free(error);
- free(cumError);
-}