1 | /*! |
---|
2 | \file |
---|
3 | \brief Bayesian Models (bm) that use Bayes rule to learn from observations |
---|
4 | \author Vaclav Smidl. |
---|
5 | |
---|
6 | ----------------------------------- |
---|
7 | BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
---|
8 | |
---|
9 | Using IT++ for numerical operations |
---|
10 | ----------------------------------- |
---|
11 | */ |
---|
12 | |
---|
13 | #ifndef BM_H |
---|
14 | #define BM_H |
---|
15 | |
---|
16 | |
---|
17 | #include "../itpp_ext.h" |
---|
18 | #include <map> |
---|
19 | |
---|
20 | namespace bdm { |
---|
21 | using namespace itpp; |
---|
22 | using namespace std; |
---|
23 | |
---|
24 | //! Root class of BDM objects |
---|
25 | class bdmroot { |
---|
26 | public: |
---|
27 | //! make sure this is a virtual object |
---|
28 | virtual ~bdmroot() {} |
---|
29 | }; |
---|
30 | |
---|
31 | typedef std::map<string, int> RVmap; |
---|
32 | extern ivec RV_SIZES; |
---|
33 | extern Array<string> RV_NAMES; |
---|
34 | |
---|
35 | //! Structure of RV (used internally), i.e. expanded RVs |
---|
36 | class str { |
---|
37 | public: |
---|
38 | //! vector id ids (non-unique!) |
---|
39 | ivec ids; |
---|
40 | //! vector of times |
---|
41 | ivec times; |
---|
42 | //!Default constructor |
---|
43 | str ( ivec ids0, ivec times0 ) :ids ( ids0 ),times ( times0 ) { |
---|
44 | it_assert_debug ( times0.length() ==ids0.length(),"Incompatible input" ); |
---|
45 | }; |
---|
46 | }; |
---|
47 | |
---|
48 | /*! |
---|
49 | * \brief Class representing variables, most often random variables |
---|
50 | |
---|
51 | 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. |
---|
52 | |
---|
53 | The class is implemented using global variables to assure uniqueness of description: |
---|
54 | |
---|
55 | In is a vector |
---|
56 | \dot |
---|
57 | digraph datalink { |
---|
58 | rankdir=LR; |
---|
59 | subgraph cluster0 { |
---|
60 | node [shape=record]; |
---|
61 | label = "RV_MAP \n std::map<string,int>"; |
---|
62 | map [label="{{\"a\"| \"b\" | \"c\"} | {<3> 3 |<1> 1|<2> 2}}"]; |
---|
63 | color = "white" |
---|
64 | } |
---|
65 | subgraph cluster1{ |
---|
66 | node [shape=record]; |
---|
67 | label = "RV_NAMES"; |
---|
68 | names [label="{<1> \"b\" | <2> \"c\" | <3>\"a\" }"]; |
---|
69 | color = "white" |
---|
70 | } |
---|
71 | subgraph cluster2{ |
---|
72 | node [shape=record]; |
---|
73 | label = "RV_SIZES"; |
---|
74 | labelloc = b; |
---|
75 | sizes [label="{<1>1 |<2> 4 |<3> 1}"]; |
---|
76 | color = "white" |
---|
77 | } |
---|
78 | map:1 -> names:1; |
---|
79 | map:1 -> sizes:1; |
---|
80 | map:3 -> names:3; |
---|
81 | map:3 -> sizes:3; |
---|
82 | } |
---|
83 | \enddot |
---|
84 | */ |
---|
85 | |
---|
86 | class RV :public bdmroot { |
---|
87 | protected: |
---|
88 | //! size of the data vector |
---|
89 | int dsize; |
---|
90 | //! number of individual rvs |
---|
91 | int len; |
---|
92 | //! Vector of unique IDs |
---|
93 | ivec ids; |
---|
94 | //! Vector of shifts from current time |
---|
95 | ivec times; |
---|
96 | |
---|
97 | private: |
---|
98 | //! auxiliary function used in constructor |
---|
99 | void init ( Array<std::string> in_names, ivec in_sizes, ivec in_times ); |
---|
100 | int init ( const string &name, int size ); |
---|
101 | public: |
---|
102 | //! \name Constructors |
---|
103 | //!@{ |
---|
104 | |
---|
105 | //! Full constructor |
---|
106 | RV ( Array<std::string> in_names, ivec in_sizes, ivec in_times ) {init ( in_names,in_sizes,in_times );}; |
---|
107 | //! Constructor with times=0 |
---|
108 | RV ( Array<std::string> in_names, ivec in_sizes ) {init ( in_names,in_sizes,zeros_i ( in_names.length() ) );}; |
---|
109 | //! Constructor with sizes=1, times=0 |
---|
110 | RV ( Array<std::string> in_names ) {init ( in_names,ones_i ( in_names.length() ),zeros_i ( in_names.length() ) );} |
---|
111 | //! Constructor of empty RV |
---|
112 | RV () :dsize ( 0 ),len ( 0 ),ids ( 0 ),times ( 0 ) {}; |
---|
113 | //! Constructor of a single RV with given id |
---|
114 | RV ( string name, int sz, int tm=0 ); |
---|
115 | //!@} |
---|
116 | |
---|
117 | //! \name Access functions |
---|
118 | //!@{ |
---|
119 | |
---|
120 | //! Printing output e.g. for debugging. |
---|
121 | friend std::ostream &operator<< ( std::ostream &os, const RV &rv ); |
---|
122 | int _dsize() const {return dsize;} ; |
---|
123 | //! Recount size of the corresponding data vector |
---|
124 | int countsize() const; |
---|
125 | ivec cumsizes() const; |
---|
126 | int length() const {return len;} ; |
---|
127 | int id ( int at ) const{return ids ( at );}; |
---|
128 | int size ( int at ) const {return RV_SIZES ( ids ( at ) );}; |
---|
129 | int time ( int at ) const{return times ( at );}; |
---|
130 | std::string name ( int at ) const {return RV_NAMES ( ids ( at ) );}; |
---|
131 | void set_time ( int at, int time0 ) {times ( at ) =time0;}; |
---|
132 | //!@} |
---|
133 | |
---|
134 | //TODO why not inline and later?? |
---|
135 | |
---|
136 | //! \name Algebra on Random Variables |
---|
137 | //!@{ |
---|
138 | |
---|
139 | //! Find indices of self in another rv, \return ivec of the same size as self. |
---|
140 | ivec findself ( const RV &rv2 ) const; |
---|
141 | //! Compare if \c rv2 is identical to this \c RV |
---|
142 | bool equal ( const RV &rv2 ) const; |
---|
143 | //! Add (concat) another variable to the current one, \return true if all rv2 were added, false if rv2 is in conflict |
---|
144 | bool add ( const RV &rv2 ); |
---|
145 | //! Subtract another variable from the current one |
---|
146 | RV subt ( const RV &rv2 ) const; |
---|
147 | //! Select only variables at indeces ind |
---|
148 | RV subselect ( const ivec &ind ) const; |
---|
149 | //! Select only variables at indeces ind |
---|
150 | RV operator() ( const ivec &ind ) const {return subselect ( ind );}; |
---|
151 | //! Select from data vector starting at di1 to di2 |
---|
152 | RV operator() ( int di1, int di2 ) const { |
---|
153 | ivec sz=cumsizes(); |
---|
154 | int i1=0; |
---|
155 | while ( sz ( i1 ) <di1 ) i1++; |
---|
156 | int i2=i1; |
---|
157 | while ( sz ( i2 ) <di2 ) i2++; |
---|
158 | return subselect ( linspace ( i1,i2 ) ); |
---|
159 | }; |
---|
160 | //! Shift \c time shifted by delta. |
---|
161 | void t ( int delta ); |
---|
162 | //!@} |
---|
163 | |
---|
164 | //!\name Relation to vectors |
---|
165 | //!@{ |
---|
166 | |
---|
167 | //! generate \c str from rv, by expanding sizes |
---|
168 | str tostr() const; |
---|
169 | //! when this rv is a part of bigger rv, this function returns indeces of self in the data vector of the bigger crv. |
---|
170 | //! Then, data can be copied via: data_of_this = cdata(ind); |
---|
171 | ivec dataind ( const RV &crv ) const; |
---|
172 | //! generate mutual indeces when copying data betwenn self and crv. |
---|
173 | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
---|
174 | void dataind ( const RV &rv2, ivec &selfi, ivec &rv2i ) const; |
---|
175 | //! Minimum time-offset |
---|
176 | int mint () const {return min ( times );}; |
---|
177 | //!@} |
---|
178 | |
---|
179 | }; |
---|
180 | |
---|
181 | |
---|
182 | //! Concat two random variables |
---|
183 | RV concat ( const RV &rv1, const RV &rv2 ); |
---|
184 | |
---|
185 | //!Default empty RV that can be used as default argument |
---|
186 | extern RV RV0; |
---|
187 | |
---|
188 | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
---|
189 | |
---|
190 | class fnc :public bdmroot { |
---|
191 | protected: |
---|
192 | //! Length of the output vector |
---|
193 | int dimy; |
---|
194 | public: |
---|
195 | //!default constructor |
---|
196 | fnc ( ) {}; |
---|
197 | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
---|
198 | virtual vec eval ( const vec &cond ) { |
---|
199 | return vec ( 0 ); |
---|
200 | }; |
---|
201 | |
---|
202 | //! function substitutes given value into an appropriate position |
---|
203 | virtual void condition ( const vec &val ) {}; |
---|
204 | |
---|
205 | //! access function |
---|
206 | int dimension() const{return dimy;} |
---|
207 | }; |
---|
208 | |
---|
209 | class mpdf; |
---|
210 | |
---|
211 | //! Probability density function with numerical statistics, e.g. posterior density. |
---|
212 | |
---|
213 | class epdf :public bdmroot { |
---|
214 | protected: |
---|
215 | //! dimension of the random variable |
---|
216 | int dim; |
---|
217 | //! Description of the random variable |
---|
218 | RV rv; |
---|
219 | |
---|
220 | public: |
---|
221 | /*! \name Constructors |
---|
222 | Construction of each epdf should support two types of constructors: |
---|
223 | \li empty constructor, |
---|
224 | \li copy constructor, |
---|
225 | |
---|
226 | The following constructors should be supported for convenience: |
---|
227 | \li constructor followed by calling \c set_parameters() |
---|
228 | \li constructor accepting random variables calling \c set_rv() |
---|
229 | |
---|
230 | 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. |
---|
231 | @{*/ |
---|
232 | epdf() :dim ( 0 ),rv ( ) {}; |
---|
233 | epdf ( const epdf &e ) :dim ( e.dim ),rv ( e.rv ) {}; |
---|
234 | epdf ( const RV &rv0 ) {set_rv ( rv0 );}; |
---|
235 | void set_parameters ( int dim0 ) {dim=dim0;} |
---|
236 | //!@} |
---|
237 | |
---|
238 | //! \name Matematical Operations |
---|
239 | //!@{ |
---|
240 | |
---|
241 | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
---|
242 | virtual vec sample () const {it_error ( "not implemneted" );return vec ( 0 );}; |
---|
243 | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
---|
244 | virtual mat sample_m ( int N ) const; |
---|
245 | //! Compute log-probability of argument \c val |
---|
246 | virtual double evallog ( const vec &val ) const {it_error ( "not implemneted" );return 0.0;}; |
---|
247 | //! Compute log-probability of multiple values argument \c val |
---|
248 | virtual vec evallog_m ( const mat &Val ) const { |
---|
249 | vec x ( Val.cols() ); |
---|
250 | for ( int i=0;i<Val.cols();i++ ) {x ( i ) =evallog ( Val.get_col ( i ) ) ;} |
---|
251 | return x; |
---|
252 | } |
---|
253 | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
---|
254 | virtual mpdf* condition ( const RV &rv ) const {it_warning ( "Not implemented" ); return NULL;} |
---|
255 | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
---|
256 | virtual epdf* marginal ( const RV &rv ) const {it_warning ( "Not implemented" ); return NULL;} |
---|
257 | //! return expected value |
---|
258 | virtual vec mean() const {it_error ( "not implemneted" );return vec ( 0 );}; |
---|
259 | //! return expected variance (not covariance!) |
---|
260 | virtual vec variance() const {it_error ( "not implemneted" );return vec ( 0 );}; |
---|
261 | //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default |
---|
262 | virtual void qbounds ( vec &lb, vec &ub, double percentage=0.95 ) const { |
---|
263 | vec mea=mean(); vec std=sqrt(variance()); |
---|
264 | lb = mea-2*std; ub=mea+2*std; |
---|
265 | }; |
---|
266 | //!@} |
---|
267 | |
---|
268 | //! \name Connection to other classes |
---|
269 | //! Description of the random quantity via attribute \c rv is optional. |
---|
270 | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
---|
271 | //! and \c conditioning \c rv has to be set. NB: |
---|
272 | //! @{ |
---|
273 | |
---|
274 | //!Name its rv |
---|
275 | void set_rv ( const RV &rv0 ) {rv = rv0; }//it_assert_debug(isnamed(),""); }; |
---|
276 | //! True if rv is assigned |
---|
277 | bool isnamed() const {bool b= ( dim==rv._dsize() );return b;} |
---|
278 | //! Return name (fails when isnamed is false) |
---|
279 | const RV& _rv() const {it_assert_debug ( isnamed(),"" ); return rv;} |
---|
280 | //!@} |
---|
281 | |
---|
282 | //! \name Access to attributes |
---|
283 | //! @{ |
---|
284 | |
---|
285 | //! Size of the random variable |
---|
286 | int dimension() const {return dim;} |
---|
287 | //!@} |
---|
288 | |
---|
289 | }; |
---|
290 | |
---|
291 | |
---|
292 | //! Conditional probability density, e.g. modeling some dependencies. |
---|
293 | //TODO Samplecond can be generalized |
---|
294 | |
---|
295 | class mpdf : public bdmroot { |
---|
296 | protected: |
---|
297 | //!dimension of the condition |
---|
298 | int dimc; |
---|
299 | //! random variable in condition |
---|
300 | RV rvc; |
---|
301 | //! pointer to internal epdf |
---|
302 | epdf* ep; |
---|
303 | public: |
---|
304 | //! \name Constructors |
---|
305 | //! @{ |
---|
306 | |
---|
307 | mpdf ( ) :dimc ( 0 ),rvc ( ) {}; |
---|
308 | //! copy constructor does not set pointer \c ep - has to be done in offsprings! |
---|
309 | mpdf ( const mpdf &m ) :dimc ( m.dimc ),rvc ( m.rvc ) {}; |
---|
310 | //!@} |
---|
311 | |
---|
312 | //! \name Matematical operations |
---|
313 | //!@{ |
---|
314 | |
---|
315 | //! 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 |
---|
316 | virtual vec samplecond ( const vec &cond ) { |
---|
317 | this->condition ( cond ); |
---|
318 | vec temp= ep->sample(); |
---|
319 | return temp; |
---|
320 | }; |
---|
321 | //! 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. |
---|
322 | virtual mat samplecond_m ( const vec &cond, int N ) { |
---|
323 | this->condition ( cond ); |
---|
324 | mat temp ( ep->dimension(),N ); vec smp ( ep->dimension() ); |
---|
325 | for ( int i=0;i<N;i++ ) {smp=ep->sample() ;temp.set_col ( i, smp );} |
---|
326 | return temp; |
---|
327 | }; |
---|
328 | //! Update \c ep so that it represents this mpdf conditioned on \c rvc = cond |
---|
329 | virtual void condition ( const vec &cond ) {it_error ( "Not implemented" );}; |
---|
330 | |
---|
331 | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
---|
332 | virtual double evallogcond ( const vec &dt, const vec &cond ) { |
---|
333 | double tmp; this->condition ( cond );tmp = ep->evallog ( dt ); it_assert_debug ( std::isfinite ( tmp ),"Infinite value" ); return tmp; |
---|
334 | }; |
---|
335 | |
---|
336 | //! Matrix version of evallogcond |
---|
337 | virtual vec evallogcond_m ( const mat &Dt, const vec &cond ) {this->condition ( cond );return ep->evallog_m ( Dt );}; |
---|
338 | |
---|
339 | //! \name Access to attributes |
---|
340 | //! @{ |
---|
341 | |
---|
342 | RV _rv() {return ep->_rv();} |
---|
343 | RV _rvc() {it_assert_debug ( isnamed(),"" ); return rvc;} |
---|
344 | int dimension() {return ep->dimension();} |
---|
345 | int dimensionc() {return dimc;} |
---|
346 | epdf& _epdf() {return *ep;} |
---|
347 | epdf* _e() {return ep;} |
---|
348 | //!@} |
---|
349 | |
---|
350 | //! \name Connection to other objects |
---|
351 | //!@{ |
---|
352 | void set_rvc ( const RV &rvc0 ) {rvc=rvc0;} |
---|
353 | void set_rv ( const RV &rv0 ) {ep->set_rv ( rv0 );} |
---|
354 | bool isnamed() {return ( ep->isnamed() ) && ( dimc==rvc._dsize() );} |
---|
355 | //!@} |
---|
356 | }; |
---|
357 | |
---|
358 | /*! \brief DataLink is a connection between two data vectors Up and Down |
---|
359 | |
---|
360 | Up can be longer than Down. Down must be fully present in Up (TODO optional) |
---|
361 | See chart: |
---|
362 | \dot |
---|
363 | digraph datalink { |
---|
364 | node [shape=record]; |
---|
365 | subgraph cluster0 { |
---|
366 | label = "Up"; |
---|
367 | up [label="<1>|<2>|<3>|<4>|<5>"]; |
---|
368 | color = "white" |
---|
369 | } |
---|
370 | subgraph cluster1{ |
---|
371 | label = "Down"; |
---|
372 | labelloc = b; |
---|
373 | down [label="<1>|<2>|<3>"]; |
---|
374 | color = "white" |
---|
375 | } |
---|
376 | up:1 -> down:1; |
---|
377 | up:3 -> down:2; |
---|
378 | up:5 -> down:3; |
---|
379 | } |
---|
380 | \enddot |
---|
381 | |
---|
382 | */ |
---|
383 | class datalink { |
---|
384 | protected: |
---|
385 | //! Remember how long val should be |
---|
386 | int downsize; |
---|
387 | //! Remember how long val of "Up" should be |
---|
388 | int upsize; |
---|
389 | //! val-to-val link, indeces of the upper val |
---|
390 | ivec v2v_up; |
---|
391 | public: |
---|
392 | //! Constructor |
---|
393 | datalink () {}; |
---|
394 | datalink ( const RV &rv, const RV &rv_up ) {set_connection ( rv,rv_up );}; |
---|
395 | //! set connection, rv must be fully present in rv_up |
---|
396 | void set_connection ( const RV &rv, const RV &rv_up ) { |
---|
397 | downsize = rv._dsize(); |
---|
398 | upsize = rv_up._dsize(); |
---|
399 | v2v_up= ( rv.dataind ( rv_up ) ); |
---|
400 | |
---|
401 | it_assert_debug ( v2v_up.length() ==downsize,"rv is not fully in rv_up" ); |
---|
402 | } |
---|
403 | //! Get val for myself from val of "Up" |
---|
404 | vec pushdown ( const vec &val_up ) { |
---|
405 | it_assert_debug ( upsize==val_up.length(),"Wrong val_up" ); |
---|
406 | return get_vec ( val_up,v2v_up ); |
---|
407 | } |
---|
408 | //! Fill val of "Up" by my pieces |
---|
409 | void pushup ( vec &val_up, const vec &val ) { |
---|
410 | it_assert_debug ( downsize==val.length(),"Wrong val" ); |
---|
411 | it_assert_debug ( upsize==val_up.length(),"Wrong val_up" ); |
---|
412 | set_subvector ( val_up, v2v_up, val ); |
---|
413 | } |
---|
414 | }; |
---|
415 | |
---|
416 | //! data link between |
---|
417 | class datalink_m2e: public datalink { |
---|
418 | protected: |
---|
419 | //! Remember how long cond should be |
---|
420 | int condsize; |
---|
421 | //!upper_val-to-local_cond link, indeces of the upper val |
---|
422 | ivec v2c_up; |
---|
423 | //!upper_val-to-local_cond link, ideces of the local cond |
---|
424 | ivec v2c_lo; |
---|
425 | |
---|
426 | public: |
---|
427 | //! Constructor |
---|
428 | datalink_m2e ( const RV &rv, const RV &rvc, const RV &rv_up ) : |
---|
429 | datalink ( rv,rv_up ), condsize ( rvc._dsize() ) { |
---|
430 | //establish v2c connection |
---|
431 | rvc.dataind ( rv_up, v2c_lo, v2c_up ); |
---|
432 | } |
---|
433 | //!Construct condition |
---|
434 | vec get_cond ( const vec &val_up ) { |
---|
435 | vec tmp ( condsize ); |
---|
436 | set_subvector ( tmp,v2c_lo,val_up ( v2c_up ) ); |
---|
437 | return tmp; |
---|
438 | } |
---|
439 | void pushup_cond ( vec &val_up, const vec &val, const vec &cond ) { |
---|
440 | it_assert_debug ( downsize==val.length(),"Wrong val" ); |
---|
441 | it_assert_debug ( upsize==val_up.length(),"Wrong val_up" ); |
---|
442 | set_subvector ( val_up, v2v_up, val ); |
---|
443 | set_subvector ( val_up, v2c_up, cond ); |
---|
444 | } |
---|
445 | }; |
---|
446 | //!DataLink is a connection between mpdf and its superordinate (Up) |
---|
447 | //! This class links |
---|
448 | class datalink_m2m: public datalink_m2e { |
---|
449 | protected: |
---|
450 | //!cond-to-cond link, indeces of the upper cond |
---|
451 | ivec c2c_up; |
---|
452 | //!cond-to-cond link, indeces of the local cond |
---|
453 | ivec c2c_lo; |
---|
454 | public: |
---|
455 | //! Constructor |
---|
456 | datalink_m2m ( const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up ) : |
---|
457 | datalink_m2e ( rv, rvc, rv_up ) { |
---|
458 | //establish c2c connection |
---|
459 | rvc.dataind ( rvc_up, c2c_lo, c2c_up ); |
---|
460 | it_assert_debug ( c2c_lo.length() +v2c_lo.length() ==condsize, "cond is not fully given" ); |
---|
461 | } |
---|
462 | //! Get cond for myself from val and cond of "Up" |
---|
463 | vec get_cond ( const vec &val_up, const vec &cond_up ) { |
---|
464 | vec tmp ( condsize ); |
---|
465 | set_subvector ( tmp,v2c_lo,val_up ( v2c_up ) ); |
---|
466 | set_subvector ( tmp,c2c_lo,cond_up ( c2c_up ) ); |
---|
467 | return tmp; |
---|
468 | } |
---|
469 | //! Fill |
---|
470 | |
---|
471 | }; |
---|
472 | |
---|
473 | /*! |
---|
474 | @brief Class for storing results (and semi-results) of an experiment |
---|
475 | |
---|
476 | 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. |
---|
477 | */ |
---|
478 | class logger : public bdmroot { |
---|
479 | protected: |
---|
480 | //! RVs of all logged variables. |
---|
481 | Array<RV> entries; |
---|
482 | //! Names of logged quantities, e.g. names of algorithm variants |
---|
483 | Array<string> names; |
---|
484 | public: |
---|
485 | //!Default constructor |
---|
486 | logger ( ) : entries ( 0 ),names ( 0 ) {} |
---|
487 | |
---|
488 | //! returns an identifier which will be later needed for calling the \c logit() function |
---|
489 | //! For empty RV it returns -1, this entry will be ignored by \c logit(). |
---|
490 | virtual int add ( const RV &rv, string name="" ) { |
---|
491 | int id; |
---|
492 | if ( rv._dsize() >0 ) { |
---|
493 | id=entries.length(); |
---|
494 | names=concat ( names, name ); // diff |
---|
495 | entries.set_length ( id+1,true ); |
---|
496 | entries ( id ) = rv; |
---|
497 | } |
---|
498 | else { id =-1;} |
---|
499 | return id; // identifier of the last entry |
---|
500 | } |
---|
501 | |
---|
502 | //! log this vector |
---|
503 | virtual void logit ( int id, const vec &v ) =0; |
---|
504 | |
---|
505 | //! Shifts storage position for another time step. |
---|
506 | virtual void step() =0; |
---|
507 | |
---|
508 | //! Finalize storing information |
---|
509 | virtual void finalize() {}; |
---|
510 | |
---|
511 | //! Initialize the storage |
---|
512 | virtual void init() {}; |
---|
513 | |
---|
514 | }; |
---|
515 | |
---|
516 | /*! \brief Unconditional mpdf, allows using epdf in the role of mpdf. |
---|
517 | |
---|
518 | */ |
---|
519 | class mepdf : public mpdf { |
---|
520 | public: |
---|
521 | //!Default constructor |
---|
522 | mepdf ( const epdf* em ) :mpdf ( ) {ep=const_cast<epdf*> ( em );}; |
---|
523 | void condition ( const vec &cond ) {} |
---|
524 | }; |
---|
525 | |
---|
526 | //!\brief Abstract composition of pdfs, will be used for specific classes |
---|
527 | //!this abstract class is common to epdf and mpdf |
---|
528 | class compositepdf { |
---|
529 | protected: |
---|
530 | //!Number of mpdfs in the composite |
---|
531 | int n; |
---|
532 | //! Elements of composition |
---|
533 | Array<mpdf*> mpdfs; |
---|
534 | public: |
---|
535 | compositepdf ( Array<mpdf*> A0 ) : n ( A0.length() ), mpdfs ( A0 ) {}; |
---|
536 | //! find common rv, flag \param checkoverlap modifies whether overlaps are acceptable |
---|
537 | RV getrv ( bool checkoverlap=false ); |
---|
538 | //! common rvc of all mpdfs is written to rvc |
---|
539 | void setrvc ( const RV &rv, RV &rvc ); |
---|
540 | }; |
---|
541 | |
---|
542 | /*! \brief Abstract class for discrete-time sources of data. |
---|
543 | |
---|
544 | 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. |
---|
545 | 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). |
---|
546 | |
---|
547 | */ |
---|
548 | |
---|
549 | class DS : public bdmroot { |
---|
550 | protected: |
---|
551 | int dtsize; |
---|
552 | int utsize; |
---|
553 | //!Description of data returned by \c getdata(). |
---|
554 | RV Drv; |
---|
555 | //!Description of data witten by by \c write(). |
---|
556 | RV Urv; // |
---|
557 | //! Remember its own index in Logger L |
---|
558 | int L_dt, L_ut; |
---|
559 | public: |
---|
560 | //! default constructors |
---|
561 | DS() :Drv ( ),Urv ( ) {}; |
---|
562 | //! Returns full vector of observed data=[output, input] |
---|
563 | virtual void getdata ( vec &dt ) {it_error ( "abstract class" );}; |
---|
564 | //! Returns data records at indeces. |
---|
565 | virtual void getdata ( vec &dt, const ivec &indeces ) {it_error ( "abstract class" );}; |
---|
566 | //! Accepts action variable and schedule it for application. |
---|
567 | virtual void write ( vec &ut ) {it_error ( "abstract class" );}; |
---|
568 | //! Accepts action variables at specific indeces |
---|
569 | virtual void write ( vec &ut, const ivec &indeces ) {it_error ( "abstract class" );}; |
---|
570 | |
---|
571 | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
---|
572 | virtual void step() =0; |
---|
573 | |
---|
574 | //! Register DS for logging into logger L |
---|
575 | virtual void log_add ( logger &L ) { |
---|
576 | it_assert_debug ( dtsize==Drv._dsize(),"" ); |
---|
577 | it_assert_debug ( utsize==Urv._dsize(),"" ); |
---|
578 | |
---|
579 | L_dt=L.add ( Drv,"" ); |
---|
580 | L_ut=L.add ( Urv,"" ); |
---|
581 | } |
---|
582 | //! Register DS for logging into logger L |
---|
583 | virtual void logit ( logger &L ) { |
---|
584 | vec tmp ( Drv._dsize() +Urv._dsize() ); |
---|
585 | getdata ( tmp ); |
---|
586 | // d is first in getdata |
---|
587 | L.logit ( L_dt,tmp.left ( Drv._dsize() ) ); |
---|
588 | // u follows after d in getdata |
---|
589 | L.logit ( L_ut,tmp.mid ( Drv._dsize(), Urv._dsize() ) ); |
---|
590 | } |
---|
591 | //!access function |
---|
592 | virtual RV _drv() const {return concat ( Drv,Urv );} |
---|
593 | //!access function |
---|
594 | const RV& _urv() const {return Urv;} |
---|
595 | }; |
---|
596 | |
---|
597 | /*! \brief Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities. |
---|
598 | |
---|
599 | This object represents exact or approximate evaluation of the Bayes rule: |
---|
600 | \f[ |
---|
601 | f(\theta_t | d_1,\ldots,d_t) = \frac{f(y_t|\theta_t,\cdot) f(\theta_t|d_1,\ldots,d_{t-1})}{f(y_t|d_1,\ldots,d_{t-1})} |
---|
602 | \f] |
---|
603 | |
---|
604 | Access to the resulting posterior density is via function \c posterior(). |
---|
605 | |
---|
606 | As a "side-effect" it also evaluates log-likelihood of the data, which can be accessed via function _ll(). |
---|
607 | It can also evaluate predictors of future values of \f$y_t\f$, see functions epredictor() and predictor(). |
---|
608 | |
---|
609 | Alternatively, it can evaluate posterior density conditioned by a known constant, \f$ c_t \f$: |
---|
610 | \f[ |
---|
611 | f(\theta_t | c_t, d_1,\ldots,d_t) \propto f(y_t,\theta_t|c_t,\cdot, d_1,\ldots,d_{t-1}) |
---|
612 | \f] |
---|
613 | |
---|
614 | The value of \f$ c_t \f$ is set by function condition(). |
---|
615 | |
---|
616 | */ |
---|
617 | |
---|
618 | class BM :public bdmroot { |
---|
619 | protected: |
---|
620 | //! Random variable of the data (optional) |
---|
621 | RV drv; |
---|
622 | //!Logarithm of marginalized data likelihood. |
---|
623 | double ll; |
---|
624 | //! 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. |
---|
625 | bool evalll; |
---|
626 | public: |
---|
627 | //! \name Constructors |
---|
628 | //! @{ |
---|
629 | |
---|
630 | BM () :ll ( 0 ),evalll ( true ), LIDs ( 3 ), opt_L_bounds ( false ) {}; |
---|
631 | BM ( const BM &B ) : drv ( B.drv ), ll ( B.ll ), evalll ( B.evalll ) {} |
---|
632 | //! Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! |
---|
633 | //! Prototype: \code BM* _copy_() const {return new BM(*this);} \endcode |
---|
634 | virtual BM* _copy_ () const {return NULL;}; |
---|
635 | //!@} |
---|
636 | |
---|
637 | //! \name Mathematical operations |
---|
638 | //!@{ |
---|
639 | |
---|
640 | /*! \brief Incremental Bayes rule |
---|
641 | @param dt vector of input data |
---|
642 | */ |
---|
643 | virtual void bayes ( const vec &dt ) = 0; |
---|
644 | //! Batch Bayes rule (columns of Dt are observations) |
---|
645 | virtual void bayesB ( const mat &Dt ); |
---|
646 | //! Evaluates predictive log-likelihood of the given data record |
---|
647 | //! I.e. marginal likelihood of the data with the posterior integrated out. |
---|
648 | virtual double logpred ( const vec &dt ) const{it_error ( "Not implemented" );return 0.0;} |
---|
649 | //! Matrix version of logpred |
---|
650 | 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;} |
---|
651 | |
---|
652 | //!Constructs a predictive density \f$ f(d_{t+1} |d_{t}, \ldots d_{0}) \f$ |
---|
653 | virtual epdf* epredictor ( ) const {it_error ( "Not implemented" );return NULL;}; |
---|
654 | //!Constructs a conditional density 1-step ahead predictor \f$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) |
---|
655 | virtual mpdf* predictor ( ) const {it_error ( "Not implemented" );return NULL;}; |
---|
656 | //!@} |
---|
657 | |
---|
658 | //! \name Extension to conditional BM |
---|
659 | //! This extension is useful e.g. in Marginalized Particle Filter (\ref bdm::MPF). |
---|
660 | //! Alternatively, it can be used for automated connection to DS when the condition is observed |
---|
661 | //!@{ |
---|
662 | |
---|
663 | //! Name of extension variable |
---|
664 | RV rvc; |
---|
665 | //! access function |
---|
666 | const RV& _rvc() const {return rvc;} |
---|
667 | |
---|
668 | //! Substitute \c val for \c rvc. |
---|
669 | virtual void condition ( const vec &val ) {it_error ( "Not implemented!" );}; |
---|
670 | |
---|
671 | //!@} |
---|
672 | |
---|
673 | |
---|
674 | //! \name Access to attributes |
---|
675 | //!@{ |
---|
676 | |
---|
677 | const RV& _drv() const {return drv;} |
---|
678 | void set_drv ( const RV &rv ) {drv=rv;} |
---|
679 | void set_rv ( const RV &rv ) {const_cast<epdf&> ( posterior() ).set_rv ( rv );} |
---|
680 | double _ll() const {return ll;} |
---|
681 | void set_evalll ( bool evl0 ) {evalll=evl0;} |
---|
682 | virtual const epdf& posterior() const =0; |
---|
683 | virtual const epdf* _e() const =0; |
---|
684 | //!@} |
---|
685 | |
---|
686 | //! \name Logging of results |
---|
687 | //!@{ |
---|
688 | |
---|
689 | //! Set boolean options from a string |
---|
690 | void set_options ( const string &opt ) { |
---|
691 | opt_L_bounds= ( opt.find ( "logbounds" ) !=string::npos ); |
---|
692 | } |
---|
693 | //! IDs of storages in loggers |
---|
694 | ivec LIDs; |
---|
695 | |
---|
696 | //! Option for logging bounds |
---|
697 | bool opt_L_bounds; |
---|
698 | //! Add all logged variables to a logger |
---|
699 | void log_add ( logger *L, const string &name="" ) { |
---|
700 | // internal |
---|
701 | RV r; |
---|
702 | if ( posterior().isnamed() ) {r=posterior()._rv();} |
---|
703 | else{r=RV ( "est", posterior().dimension() );}; |
---|
704 | |
---|
705 | // Add mean value |
---|
706 | LIDs ( 0 ) =L->add ( r,name ); |
---|
707 | if ( opt_L_bounds ) { |
---|
708 | LIDs ( 1 ) =L->add ( r,name+"_lb" ); |
---|
709 | LIDs ( 2 ) =L->add ( r,name+"_ub" ); |
---|
710 | } |
---|
711 | } |
---|
712 | void logit ( logger *L ) { |
---|
713 | L->logit ( LIDs ( 0 ), posterior().mean() ); |
---|
714 | if ( opt_L_bounds ) { |
---|
715 | vec ub,lb; |
---|
716 | posterior().qbounds(lb,ub); |
---|
717 | L->logit ( LIDs ( 1 ), lb ); |
---|
718 | L->logit ( LIDs ( 2 ), ub ); |
---|
719 | } |
---|
720 | } |
---|
721 | //!@} |
---|
722 | }; |
---|
723 | |
---|
724 | }; //namespace |
---|
725 | #endif // BM_H |
---|