Visible to Intel only — GUID: GUID-3338AEF5-BA4C-478C-B5E0-F6285BEBFD79
Visible to Intel only — GUID: GUID-3338AEF5-BA4C-478C-B5E0-F6285BEBFD79
Covariance
Covariance algorithm computes the following set of quantitative dataset characteristics:
means
covariance
correlation
Operation |
Computational methods |
Programming Interface |
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Mathematical formulation
Computing
Given a set X of np-dimensional feature vectors , the problem is to compute the sample means or the covariance matrix or the correlation matrix:
Statistic |
Definition |
---|---|
Means |
, where |
Covariance matrix |
, where , , |
Correlation matrix |
, where , , |
Computation method: dense
The method computes the means or the variance-covariance matrix or the correlation matrix
Programming Interface
Refer to API Reference: Covariance.
Distributed mode
The algorithm supports distributed execution in SMPD mode (only on GPU).