example implementation of pure go covariancematrix

covariancematrix.go

@@ -5,18 +5,113 @@
 package stat
 
 import (
+	"sync"
+//	"runtime"
+	
 	"github.com/gonum/matrix/mat64"
 )
 
+type covMatElem struct {
+	i, j int
+	v    float64
+}
+
+type covMatSlice struct {
+	i, j int
+	x, y []float64
+}
+
 // CovarianceMatrix calculates a covariance matrix (also known as a
 // variance-covariance matrix) from a matrix of data.
 func CovarianceMatrix(x mat64.Matrix) *mat64.Dense {
 
 	// matrix version of the two pass algorithm.  This doesn't use
 	// the correction found in the Covariance and Variance functions.
+	r, c := x.Dims()
+	
+	if x, ok := x.(mat64.Vectorer); ok {
+		cols := make([][]float64, c)
+		// perform the covariance or variance as required
+		blockSize := 1024
+		if blockSize > c {
+			blockSize = c
+		}
+		var wg sync.WaitGroup
+		wg.Add(c)
+		for j := 0; j < c; j++ {
+			go func(j int) {
+				// pull the columns out and subtract the means
+				cols[j] = make([]float64, r)
+				x.Col(cols[j], j)
+				mean := Mean(cols[j], nil)
+				for i := range cols[j] {
+					cols[j][i] -= mean
+				}
+				wg.Done()
+			}(j)
+		}
+		wg.Wait()
+		
+		colCh := make(chan covMatSlice, blockSize)
+		resCh := make(chan covMatElem, blockSize)
 
-	r, _ := x.Dims()
+		wg.Add(blockSize)
+		go func() {
+			wg.Wait()
+			close(resCh)
+		}()
 
+		for i := 0; i < blockSize; i++ {
+			go func(in <-chan covMatSlice, out chan<- covMatElem) {
+				for {
+					xy, more := <-in
+					if !more {
+						wg.Done()
+						return
+					}
+
+					if xy.i == xy.j {
+						out <- covMatElem{
+							i: xy.i,
+							j: xy.j,
+							v: centeredVariance(xy.x),
+						}
+						continue
+					}
+					out <- covMatElem{
+						i: xy.i,
+						j: xy.j,
+						v: centeredCovariance(xy.x, xy.y),
+					}
+				}
+			}(colCh, resCh)
+		}
+		go func(out chan<- covMatSlice) {
+			for i := 0; i < c; i++ {
+				for j := 0; j <= i; j++ {
+					out <- covMatSlice{
+						i: i,
+						j: j,
+						x: cols[i],
+						y: cols[j],
+					}
+				}
+			}
+			close(out)
+		}(colCh)
+		// create the output matrix
+		m := mat64.NewDense(c, c, nil)
+		for {
+			c, more := <-resCh
+			if !more {
+				return m
+			}
+			m.Set(c.i, c.j, c.v)
+			if c.i != c.j {
+				m.Set(c.j, c.i, c.v)
+			}
+		}
+	}
 	// determine the mean of each of the columns
 	b := ones(1, r)
 	b.Mul(b, x)
@@ -52,3 +147,19 @@ func ones(r, c int) *mat64.Dense {
 	}
 	return mat64.NewDense(r, c, x)
 }
+
+func centeredVariance(x []float64) float64 {
+	var ss float64
+	for _, xv := range x {
+		ss += xv * xv
+	}
+	return ss / float64(len(x)-1)
+}
+
+func centeredCovariance(x, y []float64) float64 {
+	var ss float64
+	for i, xv := range x {
+		ss += xv * y[i]
+	}
+	return ss / float64(len(x)-1)
+}