Class: GSLR::OLS

Inherits:
Model show all
Defined in:
lib/gslr/ols.rb

Instance Attribute Summary

Attributes inherited from Model

#coefficients, #intercept

Instance Method Summary collapse

Methods inherited from Model

#initialize, #predict

Constructor Details

This class inherits a constructor from GSLR::Model

Instance Method Details

#fit(x, y, weight: nil) ⇒ Object 



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# File 'lib/gslr/ols.rb', line 3

def fit(x, y, weight: nil)
  # set data
  xc, s1, s2 = set_matrix(x, intercept: @fit_intercept)
  yc = set_vector(y)

  # allocate solution
  c = FFI.gsl_vector_alloc(s2)
  cov = FFI.gsl_matrix_alloc(s2, s2)
  chisq = Fiddle::Pointer.malloc(Fiddle::SIZEOF_DOUBLE)
  work = FFI.gsl_multifit_linear_alloc(s1, s2)

  # fit
  if weight
    wc = set_vector(weight)
    FFI.gsl_multifit_wlinear(xc, wc, yc, c, cov, chisq.ref, work)
  else
    FFI.gsl_multifit_linear(xc, yc, c, cov, chisq.ref, work)
  end

  # read solution
  c_ptr = FFI.gsl_vector_ptr(c, 0)
  @coefficients = c_ptr[0, s2 * Fiddle::SIZEOF_DOUBLE].unpack("d*")
  @intercept = @fit_intercept ? @coefficients.shift : 0.0

  nil
ensure
  FFI.gsl_matrix_free(xc) if xc
  FFI.gsl_vector_free(yc) if yc
  FFI.gsl_vector_free(wc) if wc
  FFI.gsl_vector_free(c) if c
  FFI.gsl_matrix_free(cov) if cov
  FFI.gsl_multifit_linear_free(work) if work
end