1 | /*! |
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2 | \file |
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3 | \brief Bayesian Models (bm) that use Bayes rule to learn from observations |
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4 | \author Vaclav Smidl. |
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5 | |
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6 | ----------------------------------- |
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7 | BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
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8 | |
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9 | Using IT++ for numerical operations |
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10 | ----------------------------------- |
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11 | */ |
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12 | |
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13 | /*! |
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14 | \defgroup core Core BDM classes |
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15 | @{ |
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16 | \defgroup const Constructors |
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17 | \defgroup math Mathematical operations |
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18 | */ |
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19 | #ifndef BM_H |
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20 | #define BM_H |
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21 | |
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22 | |
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23 | #include "../itpp_ext.h" |
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24 | #include <map> |
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25 | |
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26 | namespace bdm { |
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27 | using namespace itpp; |
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28 | using namespace std; |
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29 | |
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30 | //! Root class of BDM objects |
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31 | class bdmroot { |
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32 | public: |
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33 | //! make sure this is a virtual object |
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34 | virtual ~bdmroot() {} |
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35 | }; |
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36 | |
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37 | typedef std::map<string, int> RVmap; |
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38 | extern ivec RV_SIZES; |
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39 | extern Array<string> RV_NAMES; |
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40 | |
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41 | //! Structure of RV (used internally), i.e. expanded RVs |
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42 | class str { |
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43 | public: |
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44 | //! vector id ids (non-unique!) |
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45 | ivec ids; |
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46 | //! vector of times |
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47 | ivec times; |
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48 | //!Default constructor |
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49 | str ( ivec ids0, ivec times0 ) :ids ( ids0 ),times ( times0 ) { |
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50 | it_assert_debug ( times0.length() ==ids0.length(),"Incompatible input" ); |
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51 | }; |
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52 | }; |
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53 | |
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54 | /*! |
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55 | * \brief Class representing variables, most often random variables |
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56 | |
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57 | The purpose of this class is to decribe a vector of data. Such description is used for connecting various vectors between each other, see class datalink. |
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58 | |
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59 | The class is implemented using global variables to assure uniqueness of description: |
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60 | |
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61 | In is a vector |
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62 | \dot |
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63 | digraph datalink { |
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64 | rankdir=LR; |
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65 | subgraph cluster0 { |
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66 | node [shape=record]; |
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67 | label = "RV_MAP \n std::map<string,int>"; |
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68 | map [label="{{\"a\"| \"b\" | \"c\"} | {<3> 3 |<1> 1|<2> 2}}"]; |
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69 | color = "white" |
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70 | } |
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71 | subgraph cluster1{ |
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72 | node [shape=record]; |
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73 | label = "RV_NAMES"; |
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74 | names [label="{<1> \"b\" | <2> \"c\" | <3>\"a\" }"]; |
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75 | color = "white" |
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76 | } |
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77 | subgraph cluster2{ |
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78 | node [shape=record]; |
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79 | label = "RV_SIZES"; |
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80 | labelloc = b; |
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81 | sizes [label="{<1>1 |<2> 4 |<3> 1}"]; |
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82 | color = "white" |
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83 | } |
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84 | map:1 -> names:1; |
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85 | map:1 -> sizes:1; |
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86 | map:3 -> names:3; |
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87 | map:3 -> sizes:3; |
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88 | } |
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89 | \enddot |
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90 | */ |
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91 | |
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92 | class RV :public bdmroot { |
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93 | protected: |
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94 | //! size of the data vector |
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95 | int dsize; |
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96 | //! number of individual rvs |
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97 | int len; |
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98 | //! Vector of unique IDs |
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99 | ivec ids; |
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100 | //! Vector of shifts from current time |
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101 | ivec times; |
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102 | |
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103 | private: |
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104 | //! auxiliary function used in constructor |
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105 | void init ( Array<std::string> in_names, ivec in_sizes, ivec in_times ); |
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106 | int init ( const string &name, int size ); |
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107 | public: |
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108 | //! \name Constructors |
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109 | //!@{ |
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110 | |
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111 | //! Full constructor |
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112 | RV ( Array<std::string> in_names, ivec in_sizes, ivec in_times ) {init ( in_names,in_sizes,in_times );}; |
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113 | //! Constructor with times=0 |
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114 | RV ( Array<std::string> in_names, ivec in_sizes ) {init ( in_names,in_sizes,zeros_i ( in_names.length() ) );}; |
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115 | //! Constructor with sizes=1, times=0 |
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116 | RV ( Array<std::string> in_names ) {init ( in_names,ones_i ( in_names.length() ),zeros_i ( in_names.length() ) );} |
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117 | //! Constructor of empty RV |
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118 | RV () :dsize ( 0 ),len ( 0 ),ids ( 0 ),times ( 0 ) {}; |
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119 | //! Constructor of a single RV with given id |
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120 | RV ( string name, int sz, int tm=0 ); |
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121 | //!@} |
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122 | |
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123 | //! \name Access functions |
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124 | //!@{ |
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125 | |
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126 | //! Printing output e.g. for debugging. |
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127 | friend std::ostream &operator<< ( std::ostream &os, const RV &rv ); |
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128 | int _dsize() const {return dsize;} ; |
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129 | //! Recount size of the corresponding data vector |
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130 | int countsize() const; |
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131 | int length() const {return len;} ; |
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132 | int id ( int at ) const{return ids ( at );}; |
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133 | int size ( int at ) const {return RV_SIZES ( at );}; |
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134 | int time ( int at ) const{return times ( at );}; |
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135 | std::string name ( int at ) const {return RV_NAMES ( at );}; |
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136 | void set_time ( int at, int time0 ) {times ( at ) =time0;}; |
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137 | //!@} |
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138 | |
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139 | //TODO why not inline and later?? |
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140 | |
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141 | //! \name Algebra on Random Variables |
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142 | //!@{ |
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143 | |
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144 | //! Find indices of self in another rv, \return ivec of the same size as self. |
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145 | ivec findself ( const RV &rv2 ) const; |
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146 | //! Compare if \c rv2 is identical to this \c RV |
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147 | bool equal ( const RV &rv2 ) const; |
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148 | //! Add (concat) another variable to the current one, \return true if all rv2 were added, false if rv2 is in conflict |
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149 | bool add ( const RV &rv2 ); |
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150 | //! Subtract another variable from the current one |
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151 | RV subt ( const RV &rv2 ) const; |
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152 | //! Select only variables at indeces ind |
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153 | RV subselect ( const ivec &ind ) const; |
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154 | //! Select only variables at indeces ind |
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155 | RV operator() ( const ivec &ind ) const {return subselect ( ind );}; |
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156 | //! Shift \c time shifted by delta. |
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157 | void t ( int delta ); |
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158 | //!@} |
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159 | |
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160 | //!\name Relation to vectors |
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161 | //!@{ |
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162 | |
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163 | //! generate \c str from rv, by expanding sizes |
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164 | str tostr() const; |
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165 | //! when this rv is a part of bigger rv, this function returns indeces of self in the data vector of the bigger crv. |
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166 | //! Then, data can be copied via: data_of_this = cdata(ind); |
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167 | ivec dataind ( const RV &crv ) const; |
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168 | //! generate mutual indeces when copying data betwenn self and crv. |
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169 | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
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170 | void dataind ( const RV &rv2, ivec &selfi, ivec &rv2i ) const; |
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171 | //! Minimum time-offset |
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172 | int mint () const {return min ( times );}; |
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173 | //!@} |
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174 | |
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175 | }; |
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176 | |
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177 | |
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178 | //! Concat two random variables |
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179 | RV concat ( const RV &rv1, const RV &rv2 ); |
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180 | |
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181 | //!Default empty RV that can be used as default argument |
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182 | extern RV RV0; |
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183 | |
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184 | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
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185 | |
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186 | class fnc :public bdmroot { |
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187 | protected: |
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188 | //! Length of the output vector |
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189 | int dimy; |
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190 | public: |
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191 | //!default constructor |
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192 | fnc ( ) {}; |
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193 | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
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194 | virtual vec eval ( const vec &cond ) { |
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195 | return vec ( 0 ); |
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196 | }; |
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197 | |
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198 | //! function substitutes given value into an appropriate position |
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199 | virtual void condition ( const vec &val ) {}; |
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200 | |
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201 | //! access function |
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202 | int _dimy() const{return dimy;} |
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203 | }; |
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204 | |
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205 | class mpdf; |
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206 | |
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207 | //! Probability density function with numerical statistics, e.g. posterior density. |
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208 | |
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209 | class epdf :public bdmroot { |
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210 | protected: |
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211 | //! dimension of the random variable |
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212 | int dim; |
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213 | //! Description of the random variable |
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214 | RV rv; |
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215 | |
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216 | public: |
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217 | /*! \name Constructors |
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218 | Construction of each epdf should support two types of constructors: |
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219 | \li empty constructor, |
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220 | \li copy constructor, |
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221 | |
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222 | The following constructors should be supported for convenience: |
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223 | \li constructor followed by calling \c set_parameters() |
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224 | \li constructor accepting random variables calling \c set_rv() |
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225 | |
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226 | All internal data structures are constructed as empty. Their values (including sizes) will be set by method \c set_parameters(). This way references can be initialized in constructors. |
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227 | @{*/ |
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228 | epdf() :dim(0),rv ( ) {}; |
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229 | epdf(const epdf &e) :dim(e.dim),rv (e.rv) {}; |
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230 | epdf(const RV &rv0) {set_rv(rv0);}; |
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231 | void set_parameters(int dim0){dim=dim0;} |
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232 | //!@} |
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233 | |
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234 | //! \name Matematical Operations |
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235 | //!@{ |
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236 | |
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237 | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
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238 | virtual vec sample () const {it_error("not implemneted");return vec(0);}; |
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239 | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
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240 | virtual mat sample_m ( int N ) const; |
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241 | //! Compute log-probability of argument \c val |
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242 | virtual double evallog ( const vec &val ) const {it_error("not implemneted");return 0.0;}; |
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243 | //! Compute log-probability of multiple values argument \c val |
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244 | virtual vec evallog_m ( const mat &Val ) const { |
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245 | vec x ( Val.cols() ); |
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246 | for ( int i=0;i<Val.cols();i++ ) {x ( i ) =evallog ( Val.get_col ( i ) ) ;} |
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247 | return x; |
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248 | } |
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249 | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
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250 | virtual mpdf* condition ( const RV &rv ) const {it_warning ( "Not implemented" ); return NULL;} |
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251 | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
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252 | virtual epdf* marginal ( const RV &rv ) const {it_warning ( "Not implemented" ); return NULL;} |
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253 | //! return expected value |
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254 | virtual vec mean() const {it_error("not implemneted");return vec(0);}; |
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255 | //! return expected variance (not covariance!) |
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256 | virtual vec variance() const {it_error("not implemneted");return vec(0);}; |
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257 | //!@} |
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258 | |
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259 | //! \name Connection to other classes |
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260 | //! Description of the random quantity via attribute \c rv is optional. |
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261 | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
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262 | //! and \c conditioning \c rv has to be set. NB: |
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263 | //! @{ |
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264 | |
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265 | //!Name its rv |
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266 | void set_rv ( const RV &rv0 ) {rv = rv0; }//it_assert_debug(isnamed(),""); }; |
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267 | //! True if rv is assigned |
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268 | bool isnamed() const {bool b=( dim==rv._dsize() );return b;} |
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269 | //! Return name (fails when isnamed is false) |
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270 | const RV& _rv() const {it_assert_debug ( isnamed(),"" ); return rv;} |
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271 | //!@} |
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272 | |
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273 | //! \name Access to attributes |
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274 | //! @{ |
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275 | |
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276 | //! Size of the random variable |
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277 | int dimension() const {return dim;} |
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278 | //!@} |
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279 | |
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280 | }; |
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281 | |
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282 | |
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283 | //! Conditional probability density, e.g. modeling some dependencies. |
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284 | //TODO Samplecond can be generalized |
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285 | |
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286 | class mpdf : public bdmroot { |
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287 | protected: |
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288 | //!dimension of the condition |
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289 | int dimc; |
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290 | //! random variable in condition |
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291 | RV rvc; |
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292 | //! pointer to internal epdf |
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293 | epdf* ep; |
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294 | public: |
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295 | //! \name Constructors |
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296 | //! @{ |
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297 | |
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298 | mpdf ( ) :dimc(0),rvc ( ) {}; |
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299 | //! copy constructor does not set pointer \c ep - has to be done in offsprings! |
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300 | mpdf (const mpdf &m ) :dimc(m.dimc),rvc (m.rvc ) {}; |
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301 | //!@} |
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302 | |
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303 | //! \name Matematical operations |
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304 | //!@{ |
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305 | |
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306 | //! Returns a sample from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
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307 | virtual vec samplecond ( const vec &cond ) { |
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308 | this->condition ( cond ); |
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309 | vec temp= ep->sample(); |
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310 | return temp; |
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311 | }; |
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312 | //! Returns \param N samples from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv \param ll is a return value of log-likelihood of the sample. |
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313 | virtual mat samplecond_m ( const vec &cond, int N ) { |
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314 | this->condition ( cond ); |
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315 | mat temp ( ep->dimension(),N ); vec smp ( ep->dimension() ); |
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316 | for ( int i=0;i<N;i++ ) {smp=ep->sample() ;temp.set_col ( i, smp );} |
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317 | return temp; |
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318 | }; |
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319 | //! Update \c ep so that it represents this mpdf conditioned on \c rvc = cond |
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320 | virtual void condition ( const vec &cond ) {it_error ( "Not implemented" );}; |
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321 | |
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322 | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
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323 | virtual double evallogcond ( const vec &dt, const vec &cond ) { |
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324 | double tmp; this->condition ( cond );tmp = ep->evallog ( dt ); it_assert_debug ( std::isfinite ( tmp ),"Infinite value" ); return tmp; |
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325 | }; |
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326 | |
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327 | //! Matrix version of evallogcond |
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328 | virtual vec evallogcond_m ( const mat &Dt, const vec &cond ) {this->condition ( cond );return ep->evallog_m ( Dt );}; |
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329 | |
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330 | //! \name Access to attributes |
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331 | //! @{ |
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332 | |
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333 | RV _rv() {return ep->_rv();} |
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334 | RV _rvc() {it_assert_debug ( isnamed(),"" ); return rvc;} |
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335 | int dimension() {return ep->dimension();} |
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336 | int dimensionc() {return dimc;} |
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337 | epdf& _epdf() {return *ep;} |
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338 | epdf* _e() {return ep;} |
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339 | //!@} |
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340 | |
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341 | //! \name Connection to other objects |
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342 | //!@{ |
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343 | void set_rvc ( const RV &rvc0 ) {rvc=rvc0;} |
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344 | void set_rv ( const RV &rv0 ) {ep->set_rv(rv0);} |
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345 | bool isnamed() {return (ep->isnamed())&&(dimc==rvc._dsize());} |
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346 | //!@} |
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347 | }; |
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348 | |
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349 | /*! \brief DataLink is a connection between two data vectors Up and Down |
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350 | |
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351 | Up can be longer than Down. Down must be fully present in Up (TODO optional) |
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352 | See chart: |
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353 | \dot |
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354 | digraph datalink { |
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355 | node [shape=record]; |
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356 | subgraph cluster0 { |
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357 | label = "Up"; |
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358 | up [label="<1>|<2>|<3>|<4>|<5>"]; |
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359 | color = "white" |
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360 | } |
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361 | subgraph cluster1{ |
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362 | label = "Down"; |
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363 | labelloc = b; |
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364 | down [label="<1>|<2>|<3>"]; |
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365 | color = "white" |
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366 | } |
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367 | up:1 -> down:1; |
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368 | up:3 -> down:2; |
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369 | up:5 -> down:3; |
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370 | } |
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371 | \enddot |
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372 | |
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373 | */ |
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374 | class datalink { |
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375 | protected: |
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376 | //! Remember how long val should be |
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377 | int downsize; |
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378 | //! Remember how long val of "Up" should be |
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379 | int upsize; |
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380 | //! val-to-val link, indeces of the upper val |
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381 | ivec v2v_up; |
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382 | public: |
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383 | //! Constructor |
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384 | datalink ( const RV &rv, const RV &rv_up ) : |
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385 | downsize ( rv._dsize() ), upsize ( rv_up._dsize() ), v2v_up ( rv.dataind ( rv_up ) ) { |
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386 | it_assert_debug ( v2v_up.length() ==downsize,"rv is not fully in rv_up" ); |
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387 | } |
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388 | //! Get val for myself from val of "Up" |
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389 | vec pushdown ( const vec &val_up ) { |
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390 | it_assert_debug ( upsize==val_up.length(),"Wrong val_up" ); |
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391 | return get_vec ( val_up,v2v_up ); |
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392 | } |
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393 | //! Fill val of "Up" by my pieces |
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394 | void pushup ( vec &val_up, const vec &val ) { |
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395 | it_assert_debug ( downsize==val.length(),"Wrong val" ); |
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396 | it_assert_debug ( upsize==val_up.length(),"Wrong val_up" ); |
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397 | set_subvector ( val_up, v2v_up, val ); |
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398 | } |
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399 | }; |
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400 | |
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401 | //! data link between |
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402 | class datalink_m2e: public datalink { |
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403 | protected: |
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404 | //! Remember how long cond should be |
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405 | int condsize; |
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406 | //!upper_val-to-local_cond link, indeces of the upper val |
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407 | ivec v2c_up; |
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408 | //!upper_val-to-local_cond link, ideces of the local cond |
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409 | ivec v2c_lo; |
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410 | |
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411 | public: |
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412 | //! Constructor |
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413 | datalink_m2e ( const RV &rv, const RV &rvc, const RV &rv_up ) : |
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414 | datalink ( rv,rv_up ), condsize ( rvc._dsize() ) { |
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415 | //establish v2c connection |
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416 | rvc.dataind ( rv_up, v2c_lo, v2c_up ); |
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417 | } |
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418 | //!Construct condition |
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419 | vec get_cond ( const vec &val_up ) { |
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420 | vec tmp ( condsize ); |
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421 | set_subvector ( tmp,v2c_lo,val_up ( v2c_up ) ); |
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422 | return tmp; |
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423 | } |
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424 | void pushup_cond ( vec &val_up, const vec &val, const vec &cond ) { |
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425 | it_assert_debug ( downsize==val.length(),"Wrong val" ); |
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426 | it_assert_debug ( upsize==val_up.length(),"Wrong val_up" ); |
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427 | set_subvector ( val_up, v2v_up, val ); |
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428 | set_subvector ( val_up, v2c_up, cond ); |
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429 | } |
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430 | }; |
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431 | //!DataLink is a connection between mpdf and its superordinate (Up) |
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432 | //! This class links |
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433 | class datalink_m2m: public datalink_m2e { |
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434 | protected: |
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435 | //!cond-to-cond link, indeces of the upper cond |
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436 | ivec c2c_up; |
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437 | //!cond-to-cond link, indeces of the local cond |
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438 | ivec c2c_lo; |
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439 | public: |
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440 | //! Constructor |
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441 | datalink_m2m ( const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up ) : |
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442 | datalink_m2e ( rv, rvc, rv_up ) { |
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443 | //establish c2c connection |
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444 | rvc.dataind ( rvc_up, c2c_lo, c2c_up ); |
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445 | it_assert_debug ( c2c_lo.length() +v2c_lo.length() ==condsize, "cond is not fully given" ); |
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446 | } |
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447 | //! Get cond for myself from val and cond of "Up" |
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448 | vec get_cond ( const vec &val_up, const vec &cond_up ) { |
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449 | vec tmp ( condsize ); |
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450 | set_subvector ( tmp,v2c_lo,val_up ( v2c_up ) ); |
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451 | set_subvector ( tmp,c2c_lo,cond_up ( c2c_up ) ); |
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452 | return tmp; |
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453 | } |
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454 | //! Fill |
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455 | |
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456 | }; |
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457 | |
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458 | /*! |
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459 | @brief Class for storing results (and semi-results) of an experiment |
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460 | |
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461 | This class abstracts logging of results from implementation. This class replaces direct logging of results (e.g. to files or to global variables) by calling methods of a logger. Specializations of this abstract class for specific storage method are designed. |
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462 | */ |
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463 | class logger : public bdmroot { |
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464 | protected: |
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465 | //! RVs of all logged variables. |
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466 | Array<RV> entries; |
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467 | //! Names of logged quantities, e.g. names of algorithm variants |
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468 | Array<string> names; |
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469 | public: |
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470 | //!Default constructor |
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471 | logger ( ) : entries ( 0 ),names ( 0 ) {} |
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472 | |
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473 | //! returns an identifier which will be later needed for calling the log() function |
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474 | virtual int add ( const RV &rv, string name="" ) { |
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475 | int id=entries.length(); |
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476 | names=concat ( names, name ); // diff |
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477 | entries.set_length ( id+1,true ); |
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478 | entries ( id ) = rv; |
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479 | return id; // identifier of the last entry |
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480 | } |
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481 | |
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482 | //! log this vector |
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483 | virtual void logit ( int id, const vec &v ) =0; |
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484 | |
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485 | //! Shifts storage position for another time step. |
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486 | virtual void step() =0; |
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487 | |
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488 | //! Finalize storing information |
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489 | virtual void finalize() {}; |
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490 | |
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491 | //! Initialize the storage |
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492 | virtual void init() {}; |
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493 | |
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494 | }; |
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495 | |
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496 | /*! \brief Unconditional mpdf, allows using epdf in the role of mpdf. |
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497 | |
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498 | */ |
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499 | class mepdf : public mpdf { |
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500 | public: |
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501 | //!Default constructor |
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502 | mepdf ( const epdf* em ) :mpdf ( ) {ep=const_cast<epdf*> ( em );}; |
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503 | void condition ( const vec &cond ) {} |
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504 | }; |
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505 | |
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506 | //!\brief Abstract composition of pdfs, will be used for specific classes |
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507 | //!this abstract class is common to epdf and mpdf |
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508 | class compositepdf { |
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509 | protected: |
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510 | //!Number of mpdfs in the composite |
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511 | int n; |
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512 | //! Elements of composition |
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513 | Array<mpdf*> mpdfs; |
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514 | public: |
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515 | compositepdf ( Array<mpdf*> A0 ) : n ( A0.length() ), mpdfs ( A0 ) {}; |
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516 | //! find common rv, flag \param checkoverlap modifies whether overlaps are acceptable |
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517 | RV getrv ( bool checkoverlap=false ); |
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518 | //! common rvc of all mpdfs is written to rvc |
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519 | void setrvc ( const RV &rv, RV &rvc ); |
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520 | }; |
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521 | |
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522 | /*! \brief Abstract class for discrete-time sources of data. |
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523 | |
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524 | The class abstracts operations of: (i) data aquisition, (ii) data-preprocessing, (iii) scaling of data, and (iv) data resampling from the task of estimation and control. |
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525 | Moreover, for controlled systems, it is able to receive the desired control action and perform it in the next step. (Or as soon as possible). |
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526 | |
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527 | */ |
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528 | |
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529 | class DS : public bdmroot { |
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530 | protected: |
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531 | int dtsize; |
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532 | int utsize; |
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533 | //!Description of data returned by \c getdata(). |
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534 | RV Drv; |
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535 | //!Description of data witten by by \c write(). |
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536 | RV Urv; // |
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537 | //! Remember its own index in Logger L |
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538 | int L_dt, L_ut; |
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539 | public: |
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540 | //! default constructors |
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541 | DS() :Drv ( ),Urv ( ) {}; |
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542 | //! Returns full vector of observed data=[output, input] |
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543 | virtual void getdata ( vec &dt ) {it_error ( "abstract class" );}; |
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544 | //! Returns data records at indeces. |
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545 | virtual void getdata ( vec &dt, const ivec &indeces ) {it_error ( "abstract class" );}; |
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546 | //! Accepts action variable and schedule it for application. |
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547 | virtual void write ( vec &ut ) {it_error ( "abstract class" );}; |
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548 | //! Accepts action variables at specific indeces |
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549 | virtual void write ( vec &ut, const ivec &indeces ) {it_error ( "abstract class" );}; |
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550 | |
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551 | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
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552 | virtual void step() =0; |
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553 | |
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554 | //! Register DS for logging into logger L |
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555 | virtual void log_add ( logger &L ) { |
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556 | it_assert_debug ( dtsize==Drv._dsize(),"" ); |
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557 | it_assert_debug ( utsize==Urv._dsize(),"" ); |
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558 | |
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559 | L_dt=L.add ( Drv,"" ); |
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560 | L_ut=L.add ( Urv,"" ); |
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561 | } |
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562 | //! Register DS for logging into logger L |
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563 | virtual void logit ( logger &L ) { |
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564 | vec tmp ( Drv._dsize() +Urv._dsize() ); |
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565 | getdata ( tmp ); |
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566 | // d is first in getdata |
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567 | L.logit ( L_dt,tmp.left ( Drv._dsize() ) ); |
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568 | // u follows after d in getdata |
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569 | L.logit ( L_ut,tmp.mid ( Drv._dsize(), Urv._dsize() ) ); |
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570 | } |
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571 | //!access function |
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572 | virtual RV _drv() const {return concat ( Drv,Urv );} |
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573 | //!access function |
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574 | const RV& _urv() const {return Urv;} |
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575 | }; |
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576 | |
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577 | /*! \brief Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities. |
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578 | |
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579 | */ |
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580 | |
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581 | class BM :public bdmroot { |
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582 | protected: |
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583 | //! Random variable of the data (optional) |
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584 | RV drv; |
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585 | //!Logarithm of marginalized data likelihood. |
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586 | double ll; |
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587 | //! If true, the filter will compute likelihood of the data record and store it in \c ll . Set to false if you want to save computational time. |
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588 | bool evalll; |
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589 | public: |
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590 | //! \name Constructors |
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591 | //! @{ |
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592 | |
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593 | BM () :ll (0),evalll ( false) {}; |
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594 | BM ( const BM &B ) : drv(B.drv), ll ( B.ll ), evalll ( B.evalll ) {} |
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595 | //! Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! |
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596 | //! Prototype: \code BM* _copy_(){return new BM(*this);} \endcode |
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597 | virtual BM* _copy_ () {return NULL;}; |
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598 | //!@} |
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599 | |
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600 | //! \name Mathematical operations |
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601 | //!@{ |
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602 | |
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603 | /*! \brief Incremental Bayes rule |
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604 | @param dt vector of input data |
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605 | */ |
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606 | virtual void bayes ( const vec &dt ) = 0; |
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607 | //! Batch Bayes rule (columns of Dt are observations) |
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608 | virtual void bayesB ( const mat &Dt ); |
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609 | //! Evaluates predictive log-likelihood of the given data record |
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610 | //! I.e. marginal likelihood of the data with the posterior integrated out. |
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611 | virtual double logpred ( const vec &dt ) const{it_error ( "Not implemented" );return 0.0;} |
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612 | //! Matrix version of logpred |
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613 | vec logpred_m ( const mat &dt ) const{vec tmp ( dt.cols() );for ( int i=0;i<dt.cols();i++ ) {tmp ( i ) =logpred ( dt.get_col ( i ) );}return tmp;} |
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614 | |
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615 | //!Constructs a predictive density \f$ f(d_{t+1} |d_{t}, \ldots d_{0}) \f$ |
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616 | virtual epdf* epredictor ( ) const {it_error ( "Not implemented" );return NULL;}; |
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617 | //!Constructs a conditional density 1-step ahead predictor \f$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) |
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618 | virtual mpdf* predictor ( ) const {it_error ( "Not implemented" );return NULL;}; |
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619 | //!@} |
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620 | |
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621 | //! \name Access to attributes |
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622 | //!@{ |
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623 | |
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624 | const RV& _drv() const {return drv;} |
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625 | void set_drv ( const RV &rv ) {drv=rv;} |
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626 | double _ll() const {return ll;} |
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627 | void set_evalll ( bool evl0 ) {evalll=evl0;} |
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628 | virtual const epdf& _epdf() const =0; |
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629 | virtual const epdf* _e() const =0; |
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630 | //!@} |
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631 | |
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632 | }; |
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633 | |
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634 | /*! |
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635 | \brief Conditional Bayesian Filter |
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636 | |
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637 | Evaluates conditional filtering density \f$f(rv|rvc,data)\f$ for a given \c rvc which is specified in each step by calling function \c condition. |
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638 | |
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639 | This is an interface class used to assure that certain BM has operation \c condition . |
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640 | |
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641 | */ |
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642 | |
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643 | class BMcond :public bdmroot { |
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644 | protected: |
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645 | //! Identificator of the conditioning variable |
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646 | RV rvc; |
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647 | public: |
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648 | //! Substitute \c val for \c rvc. |
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649 | virtual void condition ( const vec &val ) =0; |
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650 | //! Default constructor |
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651 | BMcond ( ) :rvc ( ) {}; |
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652 | //! Destructor for future use |
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653 | virtual ~BMcond() {}; |
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654 | //! access function |
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655 | const RV& _rvc() const {return rvc;} |
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656 | }; |
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657 | |
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658 | }; //namespace |
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659 | /*! @} */ |
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660 | #endif // BM_H |
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