[SOLVED] Column wise initialization and calculation of standard deviation in eigen library

Column wise initialization and calculation of standard deviation in eigen library

I did a MATLAB code and I am trying to do it in C++ using Eigen library.In my MATLAB code I had to do a particular function like this

M=10;
s1 = zeros(20,M);
for i=1:M
  s1(:,i) = i*i;%some function 
  s1(:,i) = s1(:,i)/std(s1(:,i));
end

I am confused on using .colwise() and is there an in built function to get standard deviation using Eigen library?

Solution

As Yuyao pointed out, there is no standard deviation function built into Eigen (at the moment). You can compute this for a single vector using the following (generally, prefer using Array if you are working more on element-wise operations):

Eigen::ArrayXd vec;
double std_dev = std::sqrt((vec - vec.mean()).square().sum()/(vec.size()-1));

(Since there was an edit request: Note that for an un-biased estimation of the standard deviation you need to divide by vec.size()-1: [1])

If you want to compute the column-wise std-dev of a whole array, the following should work:

Eigen::Index N = 20, M = 10;
Eigen::ArrayXd angles = Eigen::ArrayXd::LinSpaced(N, -M_PI/2, M_PI/2);

Eigen::ArrayXXd s1(N, M);
for(Eigen::Index i=0; i< s1.cols(); ++i)
{
    s1.col(i) = (i+1)*sin(angles+i);
}

Eigen::Array<double, 1, Eigen::Dynamic> std_dev = ((s1.rowwise() - s1.colwise().mean()).square().colwise().sum()/(M-1)).sqrt();
std::cout << std_dev << "\n\n";

s1.rowwise() /= std_dev;

std::cout << s1 << "\n\n";