Function MakeUnimodal

library/cpp/linear_regression/unimodal.cpp:47–81

}

double MakeUnimodal(TVector<double>& values, const TOptimizationParams& optimizationParams) {
    TOptimizationState state(values);
    TOptimizationState bestState = state;

    for (size_t modeStep = 0; modeStep <= optimizationParams.ModeParams.StepsCount; ++modeStep) {
        state.Mode = optimizationParams.ModeParams.Point(modeStep);
        for (size_t normalizerStep = 0; normalizerStep <= optimizationParams.NormalizerParams.StepsCount; ++normalizerStep) {
            state.Normalizer = optimizationParams.NormalizerParams.Point(normalizerStep);

            TSLRSolver solver;
            for (size_t i = 0; i < values.size(); ++i) {
                solver.Add(state.NoRegressionTransform(i), values[i]);
            }

            state.SSE = solver.SumSquaredErrors(optimizationParams.RegressionShrinkage);
            if (state.SSE >= bestState.SSE) {
                continue;
            }

            bestState = state;
            solver.Solve(bestState.RegressionFactor, bestState.RegressionIntercept, optimizationParams.RegressionShrinkage);
        }
    }

    for (size_t i = 0; i < values.size(); ++i) {
        values[i] = bestState.RegressionTransform(i);
    }

    const double residualSSE = bestState.SSE;
    const double totalSSE = InnerProduct(values, values);

    const double determination = 1. - residualSSE / totalSSE;

    return determination;
}

double MakeUnimodal(TVector<double>& values) {
    return MakeUnimodal(values, TOptimizationParams::Default(values));