[1260] | 1 | |
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| 2 | /*! |
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| 3 | \file |
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| 4 | \brief Robust |
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| 5 | \author Vasek Smidl |
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| 6 | |
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| 7 | */ |
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| 8 | |
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[1338] | 9 | //<<<<<<< .mine |
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[1347] | 10 | #include "robustlib.h" |
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[1266] | 11 | #include "trading_models_lib.h" |
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[1338] | 12 | #include <iostream> |
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[1266] | 13 | #include "estim/arx.h" |
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[1347] | 14 | |
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[1338] | 15 | //======= |
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| 16 | #include "trading_models_lib.h" |
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| 17 | #include "estim/arx.h" |
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| 18 | #include <vector> |
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| 19 | #include <string> |
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| 20 | #include <sstream> |
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| 21 | #include <fstream> |
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[1260] | 22 | |
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[1266] | 23 | |
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[1338] | 24 | //>>>>>>> .r1284 |
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| 25 | using namespace bdm; |
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[1266] | 26 | |
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[1347] | 27 | double sumastlpec(int k,vector<vec> pole,vector<vec> pravd) { |
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[1338] | 28 | double r=0; |
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[1347] | 29 | for (int i=0;i < pole.size();i++) |
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[1338] | 30 | { |
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[1360] | 31 | r+=pole[i][k+5]*pravd[i][k]; |
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[1338] | 32 | } |
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[1360] | 33 | return r; |
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| 34 | } |
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[1266] | 35 | |
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[1338] | 36 | int main () { |
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[1360] | 37 | //toto by bralo rozne subory, ale teraz to je zakomentovane, pouyivam len jeden |
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| 38 | char* outfile_strings[19] = {"prsti_CL_.txt", "prsti_HO_.txt", "prsti_HU_.txt", "prsti_NG_.txt", "prsti_AD_.txt", "prsti_BP_.txt", "prsti_CD_.txt", "prsti_CU_.txt", "prsti_SF_.txt", "prsti_BO_.txt", "prsti_C__.txt", "prsti_CT_.txt", "prsti_MW_.txt", "prsti_W__.txt", "prsti_GC_.txt", "prsti_HG_.txt", "prsti_PA_.txt", "prsti_PL_.txt", "prsti_SI_.txt"}; |
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| 39 | char* file_strings[19] = {"c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CL_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\HO_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\HU_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\NG_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\AD_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\BP_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CD_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CU_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\SF_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\BO_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\C__.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CT_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\MW_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\W__.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\GC_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\HG_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\PA_.txt","c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\PL_.txt","c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\SI_.txt"}; |
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| 40 | //for (int a=0;a<20;a++) |
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[1347] | 41 | //{ |
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[1360] | 42 | int a=8; //volbou a menime pouzity subor |
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| 43 | vector<vector<string>> ADdata; //nacitavanie dat do pola ADdata |
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[1347] | 44 | ifstream myfile(file_strings[a]); //"C:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-Mathematika\\CL_.txt"); |
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[1338] | 45 | if (myfile.is_open()) |
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| 46 | { |
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| 47 | while ( myfile.good() ) |
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| 48 | { |
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| 49 | string line; |
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| 50 | getline(myfile,line); |
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| 51 | vector<string> parsed_line; |
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| 52 | while(line.find(' ') != string::npos) //jeden kanal je jeden riadok, na zaciatku a na konci {,}, data oddelene ciarkou a medzerou. |
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| 53 | { |
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| 54 | line.erase(0,1); //toto nie je yrovna peknz sposob,ale pri poslednom nacitani cisla v riadku sme uz nemali ziadnu medyeru a cyklus by sa posledny krat nevykonal, tak tu medzeru odstranujeme vzdy tu |
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| 55 | int loc = line.find(','); //ale pri poslednom cisla to nenajde ziadnu ciaarku, tak potom co prida do parsed_line? |
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| 56 | parsed_line.push_back(line.substr(0,loc)); |
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| 57 | line.erase(0,loc+1); //odstranujeme ciarku za kazdym cislom |
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| 58 | } |
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| 59 | ADdata.push_back(parsed_line); //3927 dat v riadku, 6 riadkov |
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| 60 | } |
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| 61 | } |
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| 62 | myfile.close(); //konec nacitavania dat |
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[1360] | 63 | |
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| 64 | vector<vec> norm; //do tychto poli zapisujeme normalizacne faktory |
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| 65 | vector<vec> nfaktor; |
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| 66 | for (int h=1;h<=2;h++) //cyklus ktory ovplyvnuje konstantu h=1- model s konstantou, h=2, bez konstanty |
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[1338] | 67 | { |
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| 68 | bool b; //b pouzivame pri set_constant |
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| 69 | if(h==2) |
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| 70 | b=false; |
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| 71 | else |
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| 72 | b=true; |
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| 73 | int g=2; |
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| 74 | while (g<=4) //cyklus co meni rozmery matice V |
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| 75 | { |
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[1360] | 76 | mat V0 = 0.0001*eye ( g ); |
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[1338] | 77 | int p=0; |
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| 78 | while (p<=1) //tento cyklus prechadza vacsinou len raz, vtedy p=0 a nic to neovplvni, ale pri AR(2) modely to bude vykonavat 2 krat aj pre p=1, ked bude brat do condition aj rozne kanale z toho isteho casu |
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| 79 | { |
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| 80 | int i=0; |
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| 81 | while(i < ADdata.size()-p) //niekedy sa ten cyklus ma vykonat len raz, preto nepouzivam for cyklus |
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| 82 | { |
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| 83 | int j=p*(i+1); //j=0 alebo j=i+1 |
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| 84 | while(j < ADdata.size()) |
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| 85 | { |
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| 86 | ARX Ar; |
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[1360] | 87 | RARX Rar(g-1,0,b); |
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[1338] | 88 | Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments) |
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| 89 | Ar.set_constant ( b ); |
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| 90 | Ar.validate(); // forgetting is default: 1.0 |
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[1360] | 91 | vec pomocka1; //pri kazdej jednej hypoteze zapisujeme normalizacne faktory do pomocky, tu potom ako riadok pridame do norm |
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| 92 | vec pomocka2; |
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| 93 | for(int k = 0;k<6;k++) //prechadzame "po riadkoch", teda v case |
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[1338] | 94 | { |
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| 95 | vec condition; |
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| 96 | vec predikce; |
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| 97 | predikce.ins(0,ADdata[3][k+2]); //predpovede nacitavame a zadavame do Bayes zvlast |
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[1347] | 98 | condition.ins(0,ADdata[i][k+1]); |
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[1360] | 99 | condition.ins(1,ADdata[j][k+p]); //teraz su starsie data viac vpravo |
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[1338] | 100 | Ar.bayes(predikce,condition.right(g+h-3)); //z condition berem len urcity pocet prvkov, bud 0, 1,alebo 2, lebo nepotrebujem vzdy vsetky (AR(1) model) |
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[1360] | 101 | condition.ins(0,predikce); |
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| 102 | if (g+h!=3) Rar.bayes(condition.left(g+h-2)); // podmienka brani aby sme nepouzivali robust pre AR(o) model len s konstantou |
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| 103 | //cout<< "Normalne rozdel" <<Ar.posterior().lognc(); |
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| 104 | //cout << "Lapla normalizacny faktor" <<Rar.posterior->log_nc; |
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| 105 | pomocka1.ins(pomocka1.size(),Ar.posterior().lognc()); //nie je tu exponenciala! -aby to bolo mensie |
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| 106 | if (g+h!=3) pomocka2.ins(pomocka2.size(),exp(Rar.posterior->log_nc)); |
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[1347] | 107 | } |
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[1360] | 108 | //pridame na zaciatok cisla, ktore urcuje y akeho modelu budu pravdepodobnosti |
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| 109 | pomocka1.ins(0,j+1); |
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| 110 | pomocka1.ins(0,i+1); |
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| 111 | pomocka1.ins(0,g); |
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| 112 | pomocka1.ins(0,h); |
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| 113 | pomocka1.ins(0,1); // jednotka na zaciatku znamena normalne rozdelenie |
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| 114 | pomocka2.ins(0,j+1); |
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| 115 | pomocka2.ins(0,i+1); |
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| 116 | pomocka2.ins(0,g); |
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| 117 | pomocka2.ins(0,h); |
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| 118 | pomocka2.ins(0,2); //2 bude ako Laplacovo |
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| 119 | norm.push_back(pomocka1); |
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| 120 | if (g+h!=3) nfaktor.push_back(pomocka2); //sem idu tie s Laplacovzm rozdelenim |
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[1338] | 121 | if ((g==3 && h==2) || (g==4)) //tento cyklus sa bude opakovat, len ak mame maticu V0 roymeru 4x4, to je AR(2) model s konst, alebo podobne len g=3, h=2, teda AR(2)bez kons |
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| 122 | { |
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| 123 | j++; |
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| 124 | } else |
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| 125 | { |
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| 126 | j=ADdata.size(); //priradenim tejto hodnoty do j sa cyklus uz viac krat nevykona |
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| 127 | } |
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| 128 | } |
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| 129 | if (b==true && g==2) //pre model AR(0) s konstantou robi tento cyklus len raz, v ostatnych pripadoch viac-krat |
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| 130 | { |
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| 131 | i=ADdata.size(); |
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| 132 | } else |
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| 133 | { |
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| 134 | i++; |
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| 135 | } |
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| 136 | } |
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| 137 | if ((g==3 && h==2) || (g==4) ) |
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| 138 | {p++;} else {p=2;} |
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| 139 | } |
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| 140 | if (h==2 && g==3) //pripad g=4, a konstanta zaroven nas uz nezaujima, vtedy to ukoncime |
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| 141 | { |
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| 142 | g=5; //ak priradime takuto hodnotu, cyklus while sa uz nevykona |
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| 143 | } else |
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| 144 | { |
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| 145 | g++; |
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| 146 | } |
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| 147 | } |
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| 148 | } |
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[1360] | 149 | //pocitanie maxima z kazdeho stlpcu norm |
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[1347] | 150 | vector<double> max; |
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[1360] | 151 | for (int i=5;i<norm[1].size();i++) |
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[1338] | 152 | { |
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[1347] | 153 | double pom=norm[0][i]; |
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| 154 | for (int j=1;j<norm.size();j++) |
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[1338] | 155 | { |
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[1347] | 156 | if (pom<norm[j][i]) |
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[1338] | 157 | { |
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[1347] | 158 | pom=norm[j][i]; |
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| 159 | } |
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[1338] | 160 | } |
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[1347] | 161 | max.push_back(pom); |
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[1338] | 162 | } |
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[1360] | 163 | //v poli nfaktor uz mame zapisane normalizacne faktory pre Laplacovo rozdelenie, nie su take velke, preto nerobime odcitanie maxima |
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| 164 | // teraz odcitujeme od tych y normalnym rozdelenim maximum a pridame dalej do pola nfaktor |
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| 165 | for (int i=0;i<norm.size();i++) |
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[1338] | 166 | { |
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[1360] | 167 | vec riadok; |
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| 168 | for (int j=0;j<5;j++) |
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| 169 | { |
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| 170 | riadok.ins(riadok.size(),norm[i][j]); //toto pridava tie cisla na zaciatku, ktore urcuju o aky model sa jedna |
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| 171 | } |
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| 172 | for (int j=0;j<norm[i].size()-5;j++) |
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| 173 | { |
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| 174 | riadok.ins(riadok.size(),exp(norm[i][j+5]-max[j])); |
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| 175 | } |
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| 176 | nfaktor.push_back(riadok); |
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[1338] | 177 | } |
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[1360] | 178 | // nfaktor ma 229 riadkov, to je 229 hypotez |
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[1347] | 179 | vector<vec> prsti; |
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[1338] | 180 | int m,n,p; |
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[1360] | 181 | for(p=0;p<229;p++) |
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[1338] | 182 | { |
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| 183 | vec k; |
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[1360] | 184 | k.ins(0,1/229.); |
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[1338] | 185 | prsti.push_back(k); |
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| 186 | } |
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[1360] | 187 | // v ramci riadku v poli nfaktor su hodnoty pre jednu hypotezu v roznych casoch, pocitanie pravdepodobnosti z norm. faktorov |
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| 188 | for (m=0;m<nfaktor[2].size()-5;m++) |
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| 189 | { double k=sumastlpec(m,nfaktor,prsti); |
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| 190 | for(n=0;n < nfaktor.size();n++) |
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[1338] | 191 | { |
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[1360] | 192 | prsti[n].ins(prsti[n].size(),nfaktor[n][m+5]*prsti[n][m]/k); |
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[1338] | 193 | } |
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| 194 | } |
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[1347] | 195 | ofstream file; |
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| 196 | file.open(outfile_strings[a]); //"prsti_hypot.txt",ios::app); |
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[1338] | 197 | for(int i=0;i < prsti.size();i++) |
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| 198 | { |
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[1360] | 199 | file << nfaktor[i][0] <<" "<<nfaktor[i][1]<<" "<<nfaktor[i][2]<<" "<<nfaktor[i][3]<<" "<<nfaktor[i][4]<<" "; |
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[1338] | 200 | for(int j=0;j < prsti[i].size();j++) |
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| 201 | { |
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| 202 | if(j!=prsti[i].size()-1) |
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| 203 | { |
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[1360] | 204 | file << prsti[i][j]<<" "; |
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[1338] | 205 | }else |
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| 206 | { |
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[1360] | 207 | file<<prsti[i][j]<<endl; |
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[1338] | 208 | } |
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| 209 | } |
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| 210 | } |
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| 211 | file<<endl; |
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| 212 | file.close(); |
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[1360] | 213 | //} |
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[1338] | 214 | } |
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| 215 | |
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| 216 | |
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| 217 | |
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