1 | |
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2 | #include "merger.h" |
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3 | #include "arx.h" |
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4 | |
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5 | namespace bdm{ |
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6 | vec merger::lognorm_merge ( mat &lW ) { |
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7 | int nu=lW.rows(); |
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8 | vec mu = sum ( lW ) /nu; //mean of logs |
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9 | // vec lam = sum ( pow ( lW,2 ) )-nu*pow ( mu,2 ); ======= numerically unsafe! |
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10 | vec lam = sum ( pow ( lW-outer_product ( ones ( lW.rows() ),mu ),2 ) ); |
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11 | double coef=0.0; |
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12 | vec sq2bl=sqrt ( 2*beta*lam ); //this term is everywhere |
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13 | switch ( nu ) { |
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14 | case 2: |
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15 | coef= ( 1-0.5*sqrt ( ( 4.0*beta-3.0 ) /beta ) ); |
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16 | return coef*sq2bl + mu ; |
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17 | break; |
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18 | case 3://Ratio of Bessel |
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19 | coef = sqrt ( ( 3*beta-2 ) /3*beta ); |
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20 | return log ( besselk ( 0,sq2bl*coef ) ) - log ( besselk ( 0,sq2bl ) ) + mu; |
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21 | break; |
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22 | case 4: |
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23 | break; |
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24 | default: // Approximate conditional density |
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25 | break; |
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26 | } |
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27 | return vec ( 0 ); |
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28 | } |
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29 | |
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30 | void merger::merge ( const epdf* g0 ) { |
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31 | // it_file dbg ( "merger_debug.it" ); |
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32 | |
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33 | it_assert_debug ( rv.equal ( g0->_rv() ),"Incompatible g0" ); |
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34 | //Empirical density - samples |
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35 | eSmp.set_parameters ( ones ( Ns ), g0 ); |
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36 | Array<vec> &Smp = eSmp._samples(); //aux |
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37 | vec &w = eSmp._w(); //aux |
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38 | |
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39 | mat Smp_ex =ones ( dim +1,Ns ); // Extended samples for the ARX model - the last row is ones |
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40 | for ( int i=0;i<Ns;i++ ) { set_col_part ( Smp_ex,i,Smp ( i ) );} |
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41 | |
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42 | // dbg << Name ( "Smp_0" ) << Smp_ex; |
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43 | |
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44 | // Stuff for merging |
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45 | vec lw_src ( Ns ); |
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46 | vec lw_mix ( Ns ); |
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47 | vec lw ( Ns ); |
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48 | mat lW=zeros ( n,Ns ); |
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49 | vec vec0 ( 0 ); |
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50 | |
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51 | // Initial component in the mixture model |
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52 | mat V0=1e-8*eye ( dim +1 ); |
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53 | ARX A0; |
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54 | A0.set_statistics(dim, V0, dim*dim +5.0 ); //initial guess of Mix: zero mean, large variance |
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55 | |
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56 | Mix.init ( &A0, Smp_ex, Nc ); |
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57 | //Preserve initial mixture for repetitive estimation via flattening |
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58 | MixEF Mix_init ( Mix ); |
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59 | |
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60 | // ============= MAIN LOOP ================== |
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61 | bool converged=false; |
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62 | int niter = 0; |
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63 | char str[100]; |
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64 | |
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65 | epdf* Mpred=Mix.epredictor ( ); |
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66 | vec Mix_pdf ( Ns ); |
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67 | while ( !converged ) { |
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68 | //Re-estimate Mix |
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69 | //Re-Initialize Mixture model |
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70 | Mix.flatten ( &Mix_init ); |
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71 | Mix.bayesB ( Smp_ex, w*Ns ); |
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72 | delete Mpred; |
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73 | Mpred = Mix.epredictor ( ); // Allocation => must be deleted at the end!! |
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74 | |
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75 | // This will be active only later in iterations!!! |
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76 | if ( 1./sum_sqr ( w ) <0.5*Ns ) { |
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77 | // Generate new samples |
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78 | eSmp.set_samples ( Mpred ); |
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79 | for ( int i=0;i<Ns;i++ ) { |
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80 | //////////// !!!!!!!!!!!!! |
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81 | if ( Smp ( i ) ( 2 ) <0 ) {Smp ( i ) ( 2 ) = 0.01; } |
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82 | set_col_part ( Smp_ex,i,Smp ( i ) ); |
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83 | } |
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84 | if(0){cout<<"Resampling =" << 1./sum_sqr ( w ) << endl; |
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85 | cout << sum ( Smp_ex,2 ) /Ns <<endl; |
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86 | cout << Smp_ex*Smp_ex.T() /Ns << endl;} |
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87 | } |
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88 | // sprintf ( str,"Mpred_mean%d",niter ); |
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89 | // dbg << Name ( str ) << Mpred->mean(); |
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90 | |
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91 | |
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92 | // sprintf ( str,"Mpdf%d",niter ); |
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93 | // for ( int i=0;i<Ns;i++ ) {Mix_pdf ( i ) = Mix.logpred ( Smp_ex.get_col ( i ) );} |
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94 | // dbg << Name ( str ) << Mix_pdf; |
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95 | |
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96 | // sprintf ( str,"Smp%d",niter ); |
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97 | // dbg << Name ( str ) << Smp_ex; |
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98 | |
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99 | //Importace weighting |
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100 | for ( int i=0;i<n;i++ ) { |
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101 | lw_src=0.0; |
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102 | //======== Same RVs =========== |
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103 | //Split according to dependency in rvs |
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104 | if ( mpdfs ( i )->dimension() ==dim ) { |
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105 | // no need for conditioning or marginalization |
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106 | for ( int j=0;j<Ns; j++ ) { // Smp is Array<> => for cycle |
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107 | lw_src ( j ) =mpdfs ( i )->_epdf().evallog ( Smp ( j ) ); |
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108 | } |
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109 | } |
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110 | else { |
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111 | // compute likelihood of marginal on the conditional variable |
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112 | if ( mpdfs ( i )->dimensionc() >0 ) { |
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113 | // Make marginal on rvc_i |
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114 | epdf* tmp_marg = Mpred->marginal ( mpdfs ( i )->_rvc() ); |
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115 | //compute vector of lw_src |
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116 | for ( int k=0;k<Ns;k++ ) { |
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117 | // Here val of tmp_marg = cond of mpdfs(i) ==> calling dls->get_cond |
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118 | lw_src ( k ) += tmp_marg->evallog ( dls ( i )->get_cond ( Smp ( k ) ) ); |
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119 | } |
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120 | delete tmp_marg; |
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121 | |
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122 | // sprintf ( str,"marg%d",niter ); |
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123 | // dbg << Name ( str ) << lw_src; |
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124 | |
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125 | } |
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126 | // Compute likelihood of the missing variable |
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127 | if ( dim > ( mpdfs ( i )->dimension() + mpdfs ( i )->dimensionc() ) ) { |
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128 | /////////////// |
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129 | // There are variales unknown to mpdfs(i) : rvzs |
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130 | mpdf* tmp_cond = Mpred->condition ( rvzs ( i ) ); |
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131 | // Compute likelihood |
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132 | vec lw_dbg=lw_src; |
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133 | for ( int k= 0; k<Ns; k++ ) { |
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134 | lw_src ( k ) += log ( |
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135 | tmp_cond->evallogcond ( |
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136 | zdls ( i )->pushdown ( Smp ( k ) ), |
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137 | zdls ( i )->get_cond ( Smp ( k ) ) ) ); |
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138 | if ( !std::isfinite ( lw_src ( k ) ) ) { |
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139 | lw_src ( k ) = -1e16; cout << "!"; |
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140 | } |
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141 | } |
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142 | delete tmp_cond; |
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143 | } |
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144 | // Compute likelihood of the partial source |
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145 | for ( int k= 0; k<Ns; k++ ) { |
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146 | mpdfs ( i )->condition ( dls ( i )->get_cond ( Smp ( k ) ) ); |
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147 | lw_src ( k ) += mpdfs ( i )->_epdf().evallog ( dls ( i )->pushdown ( Smp ( k ) ) ); |
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148 | } |
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149 | |
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150 | } |
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151 | // it_assert_debug(std::isfinite(sum(lw_src)),"bad"); |
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152 | lW.set_row ( i, lw_src ); // do not divide by mix |
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153 | } |
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154 | //Importance of the mixture |
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155 | for ( int j=0;j<Ns;j++ ) { |
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156 | lw_mix ( j ) =Mix.logpred ( Smp_ex.get_col ( j ) ); |
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157 | } |
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158 | // sprintf ( str,"lW%d",niter ); |
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159 | // dbg << Name ( str ) << lW; |
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160 | |
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161 | lw = lognorm_merge ( lW ); //merge |
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162 | |
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163 | // sprintf ( str,"w%d",niter ); |
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164 | // dbg << Name ( str ) << w; |
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165 | // sprintf ( str,"lw_m%d",niter ); |
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166 | // dbg << Name ( str ) << lw_mix; |
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167 | |
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168 | //Importance weighting |
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169 | lw -= lw_mix; // hoping that it is not numerically sensitive... |
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170 | w = exp ( lw-max ( lw ) ); |
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171 | //renormalize |
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172 | double sumw =sum ( w ); |
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173 | if ( std::isfinite ( sumw ) ) { |
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174 | w = w/sumw; |
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175 | } |
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176 | else { |
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177 | it_file itf ( "merg_err.it" ); |
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178 | itf << Name ( "w" ) << w; |
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179 | } |
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180 | |
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181 | // sprintf ( str,"w_is_%d",niter ); |
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182 | // dbg << Name ( str ) << w; |
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183 | |
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184 | // eSmp.resample(); // So that it can be used in bayes |
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185 | // for ( int i=0;i<Ns;i++ ) { set_col_part ( Smp_ex,i,Smp ( i ) );} |
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186 | |
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187 | // sprintf ( str,"Smp_res%d",niter ); |
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188 | // dbg << Name ( str ) << Smp; |
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189 | |
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190 | // ==== stopping rule === |
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191 | niter++; |
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192 | converged = ( niter>20 ); |
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193 | } |
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194 | delete Mpred; |
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195 | cout << endl; |
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196 | |
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197 | } |
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198 | |
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199 | } |
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