Description of slpoolcov

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slpoolcov

PURPOSE

SLPOOLCOV Compute the pooled covariance

SYNOPSIS

function C = slpoolcov(Cs, w)

DESCRIPTION

SLPOOLCOV Compute the pooled covariance 

 $ Syntax $
   - C = slpoolcov(Cs)
   - C = slpoolcov(Cs, w)

 $ Arguments $
   - Cs        the stack of covariance matrices for all components
   - w:        the weights for components
   - C:        the pooled covariance matrix

 $ Description $
   - C = slpoolcov(Cs) computes the average covariance matrix.

   - C = slpoolcov(Cs, w) computes the weighted pooled covariance matrix
     with the component weights specified in w.

 $ History $
   - Created by Dahua Lin on Dec 19th, 2004
   - Modified by Dahua Lin on Apr 22nd, 2004
       - Give an much more efficient implementation using matrix product
         and reshaping.

CROSS-REFERENCE INFORMATION

This function calls:

This function is called by:

• slregcov SLREGCOV Regularizes covariance matrices

SOURCE CODE

0001 function C = slpoolcov(Cs, w)
0002 %SLPOOLCOV Compute the pooled covariance
0003 %
0004 % $ Syntax $
0005 %   - C = slpoolcov(Cs)
0006 %   - C = slpoolcov(Cs, w)
0007 %
0008 % $ Arguments $
0009 %   - Cs        the stack of covariance matrices for all components
0010 %   - w:        the weights for components
0011 %   - C:        the pooled covariance matrix
0012 %
0013 % $ Description $
0014 %   - C = slpoolcov(Cs) computes the average covariance matrix.
0015 %
0016 %   - C = slpoolcov(Cs, w) computes the weighted pooled covariance matrix
0017 %     with the component weights specified in w.
0018 %
0019 % $ History $
0020 %   - Created by Dahua Lin on Dec 19th, 2004
0021 %   - Modified by Dahua Lin on Apr 22nd, 2004
0022 %       - Give an much more efficient implementation using matrix product
0023 %         and reshaping.
0024 %
0025 
0026 %% parse and verify input arguments
0027 [d1, d2, n] = size(Cs);
0028 if d1 ~= d2
0029     error('sltoolbox:notsquaremat', ...
0030         'the covariance matrices should be square');
0031 end
0032 d = d1;
0033 if nargin < 2 || isempty(w)
0034     isweighted = false;
0035 else
0036     isweighted = true;
0037     if numel(w) ~= n
0038         error('sltoolbox:argmismatch', ...
0039             'the size of w does not match that of Cs');
0040     end
0041 end
0042 
0043 %% compute
0044 if n == 1
0045     C = Cs;
0046 else
0047     if ~isweighted
0048         Cs = reshape(Cs, [d*d, n]);
0049         C = reshape(sum(Cs, 2), [d, d]);
0050     else        
0051         w = w(:) / sum(w(:));
0052         Cs = reshape(Cs, [d*d, n]);
0053         C = reshape(Cs * w, [d, d]);
0054     end
0055 end
0056 
0057 
0058 
0059 
0060 
0061     
0062 
0063 
0064

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