Distance: SAD, MAE, SSD, MSE

13 years ago · 8936c36cfa
2 changed files with 188 additions and 0 deletions
--- a/src/Numerics/Distance.cs
+++ b/src/Numerics/Distance.cs
@ -0,0 +1,187 @@
+// <copyright file="Distance.cs" company="Math.NET">
+// Math.NET Numerics, part of the Math.NET Project
+// http://numerics.mathdotnet.com
+// http://github.com/mathnet/mathnet-numerics
+// http://mathnetnumerics.codeplex.com
+// 
+// Copyright (c) 2009-2013 Math.NET
+// 
+// Permission is hereby granted, free of charge, to any person
+// obtaining a copy of this software and associated documentation
+// files (the "Software"), to deal in the Software without
+// restriction, including without limitation the rights to use,
+// copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the
+// Software is furnished to do so, subject to the following
+// conditions:
+// 
+// The above copyright notice and this permission notice shall be
+// included in all copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
+// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
+// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
+// OTHER DEALINGS IN THE SOFTWARE.
+// </copyright>
+
+using System;
+using MathNet.Numerics.LinearAlgebra;
+using MathNet.Numerics.Properties;
+
+namespace MathNet.Numerics
+{
+    public static class Distance
+    {
+        /// <summary>
+        /// Sum of Absolute Difference (SAD), i.e. the L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static double SAD(Vector<double> a, Vector<double> b)
+        {
+            return (a - b).SumMagnitudes();
+        }
+
+        /// <summary>
+        /// Sum of Absolute Difference (SAD), i.e. the L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static float SAD(Vector<float> a, Vector<float> b)
+        {
+            return (a - b).SumMagnitudes();
+        }
+
+        /// <summary>
+        /// Sum of Absolute Difference (SAD), i.e. the L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static double SAD(double[] a, double[] b)
+        {
+            if (a.Length != b.Length) throw new ArgumentException(Resources.ArgumentVectorsSameLength);
+
+            var sum = 0d;
+            for (var i = 0; i < a.Length; i++)
+            {
+                sum += Math.Abs(a[i] - b[i]);
+            }
+            return sum;
+        }
+
+        /// <summary>
+        /// Sum of Absolute Difference (SAD), i.e. the L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static float SAD(float[] a, float[] b)
+        {
+            if (a.Length != b.Length) throw new ArgumentException(Resources.ArgumentVectorsSameLength);
+
+            var sum = 0f;
+            for (var i = 0; i < a.Length; i++)
+            {
+                sum += Math.Abs(a[i] - b[i]);
+            }
+            return sum;
+        }
+
+        /// <summary>
+        /// Mean-Absolute Error (MAE), i.e. the normalized L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static double MAE(Vector<double> a, Vector<double> b)
+        {
+            return SAD(a, b)/a.Count;
+        }
+
+        /// <summary>
+        /// Mean-Absolute Error (MAE), i.e. the normalized L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static float MAE(Vector<float> a, Vector<float> b)
+        {
+            return SAD(a, b)/a.Count;
+        }
+
+        /// <summary>
+        /// Mean-Absolute Error (MAE), i.e. the normalized L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static double MAE(double[] a, double[] b)
+        {
+            return SAD(a, b)/a.Length;
+        }
+
+        /// <summary>
+        /// Mean-Absolute Error (MAE), i.e. the normalized L1-norm (Manhattan) of the difference.
+        /// </summary>
+        public static float MAE(float[] a, float[] b)
+        {
+            return SAD(a, b)/a.Length;
+        }
+
+        /// <summary>
+        /// Sum of Squared Difference (SSD), i.e. the squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static double SSD(Vector<double> a, Vector<double> b)
+        {
+            var norm = (a - b).Norm(2d);
+            return norm*norm;
+        }
+
+        /// <summary>
+        /// Sum of Squared Difference (SSD), i.e. the squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static float SSD(Vector<float> a, Vector<float> b)
+        {
+            var norm = (a - b).Norm(2d);
+            return norm*norm;
+        }
+
+        /// <summary>
+        /// Sum of Squared Difference (SSD), i.e. the squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static double SSD(double[] a, double[] b)
+        {
+            var diff = new double[a.Length];
+            Control.LinearAlgebraProvider.SubtractArrays(a, b, diff);
+            return Control.LinearAlgebraProvider.DotProduct(diff, diff);
+        }
+
+        /// <summary>
+        /// Sum of Squared Difference (SSD), i.e. the squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static float SSD(float[] a, float[] b)
+        {
+            var diff = new float[a.Length];
+            Control.LinearAlgebraProvider.SubtractArrays(a, b, diff);
+            return Control.LinearAlgebraProvider.DotProduct(diff, diff);
+        }
+
+        /// <summary>
+        /// Mean-Squared Error (MSE), i.e. the normalized squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static double MSE(Vector<double> a, Vector<double> b)
+        {
+            return SSD(a, b)/a.Count;
+        }
+
+        /// <summary>
+        /// Mean-Squared Error (MSE), i.e. the normalized squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static float MSE(Vector<float> a, Vector<float> b)
+        {
+            return SSD(a, b)/a.Count;
+        }
+
+        /// <summary>
+        /// Mean-Squared Error (MSE), i.e. the normalized squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static double MSE(double[] a, double[] b)
+        {
+            return SSD(a, b)/a.Length;
+        }
+
+        /// <summary>
+        /// Mean-Squared Error (MSE), i.e. the normalized squared L2-norm (Euclidean) of the difference.
+        /// </summary>
+        public static float MSE(float[] a, float[] b)
+        {
+            return SSD(a, b)/a.Length;
+        }
+    }
+}
--- a/src/Numerics/Numerics.csproj
+++ b/src/Numerics/Numerics.csproj
@ -105,6 +105,7 @@
    <Compile Include="Constants.cs" />
    <Compile Include="Control.cs" />
    <Compile Include="Complex32.cs" />
+    <Compile Include="Distance.cs" />
    <Compile Include="Fit.cs" />
    <Compile Include="Financial\AbsoluteReturnMeasures.cs" />
    <Compile Include="Financial\AbsoluteRiskMeasures.cs" />