Compute and calculate standard deviations.

[wloh] / bayeswf.cpp

diff --git a/bayeswf.cpp b/bayeswf.cpp
index 6214d281fd24ff83571cf0e272203af5c328456b..6441801e23c32c17bab637f4c8ad09b7b609b23c 100644 (file)
--- a/bayeswf.cpp
+++ b/bayeswf.cpp
@@ -16,6 +16,7 @@ using namespace std;
 #define DUMP_RAW 0
 
 float mu[MAX_PLAYERS];
+float mu_stddev[MAX_PLAYERS];
 float global_sigma = 70.0f;
 float prior_sigma = 70.0f;
 
@@ -40,7 +41,7 @@ struct match {
 map<int, vector<match> > matches_for_player;
 vector<match> all_matches;
 
-void dump_scores(const vector<string> &players, const float *mu, int num_players)
+void dump_scores(const vector<string> &players, const float *mu, const float *mu_stddev, int num_players)
 {
 #if 0
        for (int i = 0; i < num_players; ++i) {
@@ -54,7 +55,7 @@ void dump_scores(const vector<string> &players, const float *mu, int num_players
        printf("\n");
 #else
        for (int i = 0; i < num_players; ++i) {
-               printf("%f %s\n", mu[i], players[i].c_str());
+               printf("%f %f %s\n", mu[i], mu_stddev[i], players[i].c_str());
        }
 #endif
 }
@@ -196,7 +197,7 @@ float compute_total_logl(float *mu, int num_players)
  * Note that this does not depend on mu or the margin at all.
  */
 double hessian[MAX_PLAYERS][MAX_PLAYERS];
-void construct_hessian(const float *mu, const float *sigma, int num_players)
+void construct_hessian(const float *mu, int num_players)
 {
        memset(hessian, 0, sizeof(hessian));
 
@@ -215,12 +216,29 @@ void construct_hessian(const float *mu, const float *sigma, int num_players)
                hessian[p1][p1] += w / sigma_sq;
                hessian[p2][p2] += w / sigma_sq;
        }
+}
+
+// Compute uncertainty (stddev) of mu estimates, which is 1/sqrt(H_ii),
+// where H is the Hessian (see construct_hessian()).
+void compute_mu_uncertainty(const float *mu, int num_players)
+{
+       memset(mu_stddev, 0, sizeof(mu_stddev));
+
+       for (unsigned i = 0; i < all_matches.size(); ++i) {
+               const match &m = all_matches[i];
+
+               int p1 = m.player;
+               int p2 = m.other_player;
 
+               double sigma_sq = global_sigma * global_sigma;
+               float w = m.weight;
+
+               // Temporarily use mu_stddev to store the diagonal of the Hessian.
+               mu_stddev[p1] += w / sigma_sq;
+               mu_stddev[p2] += w / sigma_sq;
+       }
        for (int i = 0; i < num_players; ++i) {
-               for (int j = 0; j < num_players; ++j) {
-                       printf("%.12f ", hessian[i][j]);
-               }
-               printf("\n");
+               mu_stddev[i] = 1.0f / sqrt(mu_stddev[i]);
        }
 }
 
@@ -327,7 +345,8 @@ int main(int argc, char **argv)
 #if DUMP_RAW
        dump_raw(mu, num_players);
 #else
-       dump_scores(players, mu, num_players);
+       compute_mu_uncertainty(mu, num_players);
+       dump_scores(players, mu, mu_stddev, num_players);
        //fprintf(stderr, "Optimal sigma: %f (two-player: %f)\n", sigma[0], sigma[0] * sqrt(2.0f));
        printf("%f -2\n", global_sigma / sqrt(2.0f));
        printf("%f -3\n", prior_sigma);