[271] | 1 | /*! |
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| 2 | \file |
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| 3 | \brief Application Estimator |
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| 4 | |
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| 5 | The general task of estimation is defined on the following scheme: |
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| 6 | \dot |
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| 7 | digraph estimation{ |
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| 8 | node [shape=box]; |
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| 9 | {rank="same"; "Data Source"; "Bayesian Model"} |
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| 10 | "Data Source" -> "Bayesian Model" [label="data"]; |
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| 11 | "Bayesian Model" -> "Result Logger" [label="estimated\n statistics"]; |
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| 12 | "Data Source" -> "Result Logger" [label="Simulated\n data"]; |
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| 13 | } |
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| 14 | \enddot |
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| 15 | |
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| 16 | Here, |
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| 17 | \li Data Source is an object (class DS) providing sequential data, \f$ [d_1, d_2, \ldots d_t] \f$. |
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| 18 | \li Bayesian Model is an object (class BM) performing Bayesian filtering, |
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| 19 | \li Result Logger is an object (class logger) dedicated to storing important data from the experiment. |
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| 20 | |
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| 21 | \section cmd Command-line usage |
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| 22 | Execute command: |
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| 23 | \code |
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| 24 | $> estimator config_file.cfg |
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| 25 | \endcode |
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| 26 | |
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| 27 | Full description of the experiment is in the file config_file.cfg which is expected to have the following structure: |
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| 28 | \code |
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| 29 | system = {type = "DS_offspring", ...}; // definition of a data source |
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| 30 | estimator = {type = "BM_offspring", ...}; // definition of an estimator |
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| 31 | logger = {type = "logger_type",...}; // definition of a logger |
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| 32 | experiment = {ndat = 11000; }; // definition of number of data records |
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| 33 | \endcode |
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| 34 | |
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| 35 | The above description must be specialized to specific classes. See, \subpage arx_ui how to do it for estimation of an ARX model. |
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| 36 | |
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| 37 | \section ex Matlab usage |
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| 38 | Execute command: |
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| 39 | \code |
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| 40 | >> estimator('config_file.cfg'); |
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| 41 | \endcode |
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| 42 | when using loggers storing results on hard drives, and |
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| 43 | \code |
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| 44 | >> Res=estimator('config_file.cfg'); |
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| 45 | \endcode |
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[384] | 46 | when using logger of the type \c "mex_logger". The results will be stored in structure \c M. |
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[271] | 47 | |
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| 48 | */ |
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| 49 | |
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[384] | 50 | #include "stat/datasources.h" |
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[357] | 51 | #include "estim/arx.h" |
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| 52 | #include "user_info.h" |
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| 53 | #include "stat/loggers.h" |
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[271] | 54 | |
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| 55 | using namespace bdm; |
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| 56 | int main ( int argc, char* argv[] ) { |
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| 57 | const char *fname; |
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| 58 | if ( argc>1 ) { |
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| 59 | fname = argv[1]; |
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| 60 | } |
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| 61 | else { |
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| 62 | cout << "Missing configuration file.\n Usage: \n $> estimator config_file.cfg"; |
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[357] | 63 | //abort(); |
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[271] | 64 | } |
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[357] | 65 | fname = "arx_test.cfg"; |
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| 66 | UI_File F ( fname ); |
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[271] | 67 | |
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[357] | 68 | logger* L = UI::build<logger>( F, "logger"); |
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| 69 | ArxDS * DS = UI::build<ArxDS>( F, "system" ); |
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| 70 | BM* E = UI::build<BM>( F, "estimator" ); |
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| 71 | int Ndat = F.lookupValue ( "experiment.ndat",Ndat ); |
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[271] | 72 | |
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| 73 | DS->log_add ( *L ); |
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| 74 | int L_est= L->add ( E->posterior()._rv(), "est" ); // estimate |
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| 75 | int L_lb = L->add ( E->posterior()._rv(), "lb" ); // lower bound |
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| 76 | int L_ub = L->add ( E->posterior()._rv(), "ub" ); // upper bound |
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| 77 | L->init(); |
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| 78 | |
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| 79 | vec dt=zeros ( DS->_drv()._dsize() ); //data variable |
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| 80 | datalink dl ( E->_drv(),DS->_drv() ); //datalink between a datasource and estimator |
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| 81 | |
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| 82 | for ( int tK=1;tK<Ndat;tK++ ) { |
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| 83 | DS->step(); // simulator step |
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| 84 | DS->getdata ( dt ); // read data |
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| 85 | E->bayes ( dl.pushdown ( dt ) ); // update estimates |
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| 86 | |
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| 87 | DS->logit ( *L ); |
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| 88 | L->logit ( L_est, E->posterior().mean() ); |
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| 89 | L->logit ( L_lb, E->posterior().mean()-2*sqrt ( E->posterior().variance() ) ); |
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| 90 | L->logit ( L_ub, E->posterior().mean() +2*sqrt ( E->posterior().variance() ) ); |
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| 91 | |
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| 92 | L->step(); |
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| 93 | } |
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| 94 | |
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| 95 | L->finalize(); |
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| 96 | |
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| 97 | delete L; |
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| 98 | delete DS; |
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| 99 | delete E; |
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| 100 | return 0; |
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| 101 | } |
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