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doccstat · Mar 30, 2024 · 96ad16c · 96ad16c
1 parent a877690
commit 96ad16c
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Showing 2 changed files with 76 additions and 42 deletions.
diff --git a/src/fastcpd_class.cc b/src/fastcpd_class.cc
@@ -354,7 +354,6 @@ double Fastcpd::get_cval_for_r_t_set(
   const int t,
   double lambda
 ) {
-  double cval = 0;
   DEBUG_RCOUT(i);
   int tau = r_t_set(i - 1);
   if (family == "lasso") {
@@ -364,53 +363,72 @@ double Fastcpd::get_cval_for_r_t_set(
   mat data_segment = data.rows(tau, t - 1);
   DEBUG_RCOUT(data_segment);
   if (t > vanilla_percentage * n) {
-    // fastcpd
-    update_cost_parameters(t, tau, i, k.get(), lambda, line_search);
-    colvec theta = theta_sum.col(i - 1) / (t - tau);
-    DEBUG_RCOUT(theta);
-    if (!contain(FASTCPD_FAMILIES, family)) {
-      Function cost_non_null = cost.get();
-      SEXP cost_result = cost_non_null(data_segment, theta);
-      cval = as<double>(cost_result);
-    } else if (
-      (family != "lasso" && t - tau >= p) ||
-      (family == "lasso" && t - tau >= 3)
-    ) {
-      cval = cost_function_wrapper(
-        data_segment, wrap(theta), lambda, false, R_NilValue
-      ).value;
-    } else {
-      // t - tau < p or for lasso t - tau < 3
-    }
+    return get_cval_sen(data_segment, i, t, tau, lambda);
   } else {
-    // vanilla PELT
-    CostResult cost_result;
-    if (!contain(FASTCPD_FAMILIES, family)) {
-      cost_result = get_optimized_cost(data_segment);
+    return get_cval_pelt(data_segment, i, t, tau, lambda);
+  }
+}
+
+double Fastcpd::get_cval_pelt(
+  const mat data_segment,
+  const unsigned int i,
+  const int t,
+  const int tau,
+  const double lambda
+) {
+  double cval = 0;
+  CostResult cost_result;
+  if (!contain(FASTCPD_FAMILIES, family)) {
+    cost_result = get_optimized_cost(data_segment);
+  } else {
+    if (warm_start && t - tau >= 10 * p) {
+      cost_result = cost_function_wrapper(
+        data_segment, R_NilValue, lambda, false,
+        wrap(segment_theta_hat[segment_indices(t - 1) - 1])
+        // Or use `wrap(start.col(tau))` for warm start.
+      );
+      update_start(tau, colvec(cost_result.par));
     } else {
-      if (warm_start && t - tau >= 10 * p) {
-        cost_result = cost_function_wrapper(
-          data_segment, R_NilValue, lambda, false,
-          wrap(segment_theta_hat[segment_indices(t - 1) - 1])
-          // Or use `wrap(start.col(tau))` for warm start.
-        );
-        update_start(tau, colvec(cost_result.par));
-      } else {
-        cost_result = cost_function_wrapper(
-          data_segment, R_NilValue, lambda, false, R_NilValue
-        );
-      }
+      cost_result = cost_function_wrapper(
+        data_segment, R_NilValue, lambda, false, R_NilValue
+      );
     }
-    cval = cost_result.value;
+  }
+  cval = cost_result.value;
 
-    // If `vanilla_percentage` is not 1, then we need to keep track of
-    // thetas for later `fastcpd` steps.
-    if (vanilla_percentage < 1 && t <= vanilla_percentage * n) {
-      update_theta_hat(i - 1, cost_result.par);
-      update_theta_sum(i - 1, cost_result.par);
-    }
+  // If `vanilla_percentage` is not 1, then we need to keep track of
+  // thetas for later `fastcpd` steps.
+  if (vanilla_percentage < 1 && t <= vanilla_percentage * n) {
+    update_theta_hat(i - 1, cost_result.par);
+    update_theta_sum(i - 1, cost_result.par);
   }
+  return cval;
+}
 
+double Fastcpd::get_cval_sen(
+  const mat data_segment,
+  const unsigned int i,
+  const int t,
+  const int tau,
+  const double lambda
+) {
+  double cval = 0;
+  update_cost_parameters(t, tau, i, k.get(), lambda, line_search);
+  colvec theta = theta_sum.col(i - 1) / (t - tau);
+  DEBUG_RCOUT(theta);
+  if (!contain(FASTCPD_FAMILIES, family)) {
+    Function cost_non_null = cost.get();
+    SEXP cost_result = cost_non_null(data_segment, theta);
+    cval = as<double>(cost_result);
+  } else if (
+    (family != "lasso" && t - tau >= p) ||
+    (family == "lasso" && t - tau >= 3)
+  ) {
+    cval = cost_function_wrapper(
+      data_segment, wrap(theta), lambda, false, R_NilValue
+    ).value;
+  }
+  // else t - tau < p or for lasso t - tau < 3
   return cval;
 }
 

diff --git a/src/fastcpd_classes.h b/src/fastcpd_classes.h
@@ -127,6 +127,22 @@ class Fastcpd {
     double lambda
   );
 
+  double get_cval_pelt(
+    const mat data_segment,
+    const unsigned int i,
+    const int t,
+    const int tau,
+    const double lambda
+  );
+
+  double get_cval_sen(
+    const mat data_segment,
+    const unsigned int i,
+    const int t,
+    const int tau,
+    const double lambda
+  );
+
   // Update \code{theta_hat}, \code{theta_sum}, and \code{hessian}.
   //
   // @param data_segment A data frame containing a segment of the data.