Added implementation of online multi-variate linear Regression

java/com.sap.sailing.polars/src/com/sap/sailing/polars/regression/impl/OnlineMultiVariateRegressionImpl.java

@@ -0,0 +1,60 @@
+package com.sap.sailing.polars.regression.impl;
+
+import com.sap.sailing.polars.regression.OnlineMultiVariateRegression;
+
+/**
+ * Allows online regression for multivariate linear functions as explained in:
+ * 
+ * http://people.cs.pitt.edu/~milos/courses/cs2750-Spring03/lectures/class6.pdf (especially: Page 8+9)
+ * 
+ * @author Frederik Petersen (D054528)
+ *
+ */
+public class OnlineMultiVariateRegressionImpl implements OnlineMultiVariateRegression {
+    
+    private double[] weights;
+    
+    private int addedPoints = 0;
+
+    public OnlineMultiVariateRegressionImpl(int numberOfDimensions) {
+        weights = initializeWeightsArray(numberOfDimensions + 1);
+    }
+
+    private double[] initializeWeightsArray(int arrayLength) {
+        double[] weights = new double[arrayLength];
+        for (int i = 0; i < weights.length; i++) {
+            weights[i] = 0;
+        }
+        return weights;
+    }
+
+    @Override
+    public void addData(double y, double[] x) {
+        checkNumberOfDimensions(x);
+        addedPoints++;
+        double[] newWeights = initializeWeightsArray(weights.length);
+        double alpha = 1.0/addedPoints;
+        newWeights[0] = weights[0] + alpha * (y - estimateY(x));
+        for (int i = 1; i < weights.length; i++) {
+            newWeights[i] = weights[i] + alpha*(y - estimateY(x))*x[i-1];
+        }
+        weights = newWeights;
+    }
+
+    @Override
+    public double estimateY(double[] x) {
+        checkNumberOfDimensions(x);
+        double resultSum = weights[0];
+        for (int i = 1; i < weights.length; i++) {
+            resultSum = resultSum + (weights[i] * x[i-1]);
+        }
+        return resultSum;
+    }
+    
+    private void checkNumberOfDimensions(double[] x) {
+        if (x.length + 1 != weights.length) {
+            throw new IllegalArgumentException("Dimension of x needs to be the same as specified in constructor.");
+        }
+    }
+
+}