DecorrelationMatrix.h

/**************************************************************************
 * basf2 (Belle II Analysis Software Framework)                           *
 * Author: The Belle II Collaboration                                     *
 *                                                                        *
 * See git log for contributors and copyright holders.                    *
 * This file is licensed under LGPL-3.0, see LICENSE.md.                  *
 **************************************************************************/
 
#pragma once
 
#include <tracking/trackFindingVXD/filterTools/DecorrelationMatrixHelper.h>
 
#include <Eigen/Core>
#include <Eigen/Eigenvalues>
 
#include <array>
#include <vector>
#include <string>
#include <sstream>
#include <limits> // needed for getting full precision of doubles for printing
#include <iomanip>
 
namespace Belle2 {
  template<size_t Ndims>
  class DecorrelationMatrix {
  public:
    using MatrixT = Eigen::Matrix<double, Ndims, Ndims, Eigen::RowMajor>;
 
    explicit DecorrelationMatrix(const MatrixT& matrix = MatrixT::Identity()) : m_matrix(matrix) { }
 
    DecorrelationMatrix(const DecorrelationMatrix& matrix) = default;
 
    DecorrelationMatrix& operator=(const DecorrelationMatrix& rhs) = default;
 
    const MatrixT& getMatrix() const { return m_matrix; } 
    void calculateDecorrMatrix(std::array<std::vector<double>, Ndims> inputData, bool normalise = true);
 
 
    void calculateDecorrMatrix(const MatrixT& covMatrix, bool normalise = true);
 
    std::vector<double> decorrelate(const std::vector<double>& inputVec) const;
 
    std::vector<double> decorrelate(const std::array<double, Ndims>& inputs) const;
 
    std::array<std::vector<double>, Ndims> decorrelate(const std::array<std::vector<double>, Ndims>& inputMat) const;
 
    std::string print() const;
 
    bool readFromStream(std::istream& is);
 
  private:
    MatrixT m_matrix; 
  };
 
 
  // ======================================== IMPLEMENTATION ========================================
 
  template<size_t Ndims>
  void DecorrelationMatrix<Ndims>::calculateDecorrMatrix(std::array<std::vector<double>, Ndims> inputData, bool normalise)
  {
    calculateDecorrMatrix(calculateCovMatrix(inputData), normalise);
  }
 
  template<size_t Ndims>
  void DecorrelationMatrix<Ndims>::calculateDecorrMatrix(const DecorrelationMatrix<Ndims>::MatrixT& covMatrix, bool normalise)
  {
    // make an eigen decomposition of the covariance matrix to define the transformation matrix
    Eigen::SelfAdjointEigenSolver<MatrixT> eigenSolver(covMatrix);
    const MatrixT U = eigenSolver.eigenvectors();
 
    if (normalise) {
      // numerically better (faster hopefully) to not invert a full matrix but to calculate the diagonal elements of the
      // (diagonal) matrix containing the eigenvalues used for normalization
      const MatrixT D = eigenSolver.eigenvalues().cwiseSqrt().cwiseInverse().asDiagonal();
      m_matrix = U * D;
    } else {
      m_matrix = U;
    }
  }
 
  template<size_t Ndims>
  std::vector<double> DecorrelationMatrix<Ndims>::decorrelate(const std::vector<double>& inputVec) const
  {
    using RVector = Eigen::Matrix<double, 1, Ndims, Eigen::RowMajor>;
    Eigen::Map<const RVector> input(inputVec.data(), Ndims);
 
    const RVector transform = input * m_matrix;
 
    return std::vector<double>(transform.data(), transform.data() + transform.size());
  }
 
  template<size_t Ndims>
  std::vector<double> DecorrelationMatrix<Ndims>::decorrelate(const std::array<double, Ndims>& input) const
  {
    return decorrelate(std::vector<double>(input.begin(), input.end()));
  }
 
  template<size_t Ndims>
  std::array<std::vector<double>, Ndims>
  DecorrelationMatrix<Ndims>::decorrelate(const std::array<std::vector<double>, Ndims>& inputMat) const
  {
    using DVector = Eigen::Matrix<double, Eigen::Dynamic, 1, Eigen::ColMajor>;
    using DMatrix = Eigen::Matrix<double, Eigen::Dynamic, Ndims, Eigen::ColMajor>;
 
    size_t nSamples = inputMat[0].size();
    DMatrix dataMatrix(nSamples, Ndims);
    for (size_t i = 0; i < Ndims; ++i) {
      dataMatrix.col(i) = Eigen::Map<const DVector>(inputMat[i].data(), inputMat[i].size());
    }
 
    DMatrix transform = dataMatrix * m_matrix;
 
    std::array<std::vector<double>, Ndims> output;
    for (size_t i = 0; i < Ndims; ++i) {
      output[i] = std::vector<double>(transform.col(i).data(), transform.col(i).data() + transform.col(i).size());
    }
 
    return output;
  }
 
  template<size_t Ndims>
  std::string DecorrelationMatrix<Ndims>::print() const
  {
    std::stringstream sstr{};
    sstr << std::setprecision(std::numeric_limits<double>::digits10 + 1) <<  m_matrix; // ensure precision at write-out
    return sstr.str();
  }
 
  template<size_t Ndims>
  bool DecorrelationMatrix<Ndims>::readFromStream(std::istream& is)
  {
    MatrixT inMat{};
    using RVector = Eigen::Matrix<double, 1, Ndims, Eigen::RowMajor>; // typedef for row vector
 
    size_t iRow = 0;
    while (iRow < Ndims) { // read only as many lines as needed
      std::string line{};
      if (is.eof()) return false;
      std::getline(is, line);
      if (line.empty()) continue; // skip empty lines
      std::stringstream lstr(line);
      std::array<double, Ndims> linevalues;
      for (double& value : linevalues) { // read only as many values in the line as needed
        if (lstr.eof()) return false;
        lstr >> value;
      }
      inMat.row(iRow) = Eigen::Map<const RVector>(linevalues.data(), linevalues.size());
      ++iRow;
    }
 
    m_matrix = inMat;
    return true;
  }
 
} // end namespace Belle 2