Function svm_svr_probability

ml/src/svm.cpp:2288–2325

Return parameter of a Laplace distribution

// Return parameter of a Laplace distribution
static double
svm_svr_probability(const svm_problem* prob, const svm_parameter* param)
{
  int nr_fold = 5;
  double* ymv = Malloc(double, prob->l);
  double mae = 0;

  svm_parameter newparam = *param;
  newparam.probability = 0;
  svm_cross_validation(prob, &newparam, nr_fold, ymv);

  for (int i = 0; i < prob->l; i++) {
    ymv[i] = prob->y[i] - ymv[i];
    mae += std::abs(ymv[i]);
  }

  mae /= prob->l;

  double std = sqrt(2 * mae * mae);
  int count = 0;
  mae = 0;

  for (int i = 0; i < prob->l; i++)
    if (std::abs(ymv[i]) > 5 * std)
      count += 1;
    else
      mae += std::abs(ymv[i]);

  mae /= (prob->l - count);

  info("Prob. model for test data: target value = predicted value + z,\nz: Laplace "
       "distribution e^(-|z|/sigma)/(2sigma),sigma= %g\n",
       mae);

  free(ymv);

  return mae;
}

// label: label name, start: begin of each class, count: #data of classes, perm: indices
// to the original data perm, length l, must be allocated before calling this subroutine