[18] | 1 | /*! |
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| 2 | \file |
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| 3 | \brief Common DataSources. |
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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 | #ifndef DS_H |
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| 14 | #define DS_H |
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| 15 | |
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[263] | 16 | |
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[19] | 17 | #include "libBM.h" |
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[263] | 18 | #include "libEF.h" |
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[18] | 19 | |
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| 20 | |
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[263] | 21 | namespace bdm { |
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[271] | 22 | /*! |
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| 23 | * \brief Memory storage of off-line data column-wise |
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[18] | 24 | |
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[271] | 25 | The data are stored in an internal matrix \c Data . Each column of Data corresponds to one discrete time observation \f$t\f$. Access to this matrix is via indices \c rowid and \c delays. |
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[18] | 26 | |
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[271] | 27 | The data can be loaded from a file. |
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| 28 | */ |
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| 29 | class MemDS : public DS { |
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[283] | 30 | protected: |
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[271] | 31 | //! internal matrix of data |
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| 32 | mat Data; |
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| 33 | //! active column in the Data matrix |
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| 34 | int time; |
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| 35 | //! vector of rows that are presented in Dt |
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| 36 | ivec rowid; |
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| 37 | //! vector of delays that are presented in Dt |
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| 38 | ivec delays; |
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[18] | 39 | |
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[271] | 40 | public: |
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| 41 | void getdata ( vec &dt ); |
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| 42 | void getdata ( vec &dt, const ivec &indeces ); |
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| 43 | void set_rvs ( RV &drv, RV &urv ); |
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| 44 | void write ( vec &ut ) {it_error ( "MemDS::write is not supported" );} |
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| 45 | void write ( vec &ut,ivec &indices ) {it_error ( "MemDS::write is not supported" );} |
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| 46 | void step(); |
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| 47 | //!Default constructor |
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[283] | 48 | MemDS () {}; |
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[271] | 49 | MemDS ( mat &Dat, ivec &rowid, ivec &delays ); |
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| 50 | }; |
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[263] | 51 | |
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[283] | 52 | /*! Read Data Matrix from an IT file |
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| 53 | |
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| 54 | */ |
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| 55 | class FileDS: public MemDS { |
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| 56 | |
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| 57 | public: |
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| 58 | FileDS ( const string &fname, const string &varname ) :MemDS() { |
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| 59 | it_file it ( fname ); |
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| 60 | it << Name ( varname ); |
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| 61 | it >> Data; |
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| 62 | time =0; |
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| 63 | //rowid and delays are ignored |
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| 64 | } |
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| 65 | void getdata ( vec &dt ) { |
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| 66 | it_assert_debug ( dt.length() ==Data.rows(),"" ); |
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| 67 | dt = Data.get_col(time); |
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| 68 | }; |
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| 69 | void getdata ( vec &dt, const ivec &indeces ){ |
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| 70 | it_assert_debug ( dt.length() ==indeces.length(),"" ); |
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| 71 | vec tmp(indeces.length()); |
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| 72 | tmp = Data.get_col(time); |
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| 73 | dt = tmp(indeces); |
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| 74 | }; |
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| 75 | //! returns number of data in the file; |
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| 76 | int ndat(){return Data.cols();} |
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| 77 | }; |
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| 78 | |
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[271] | 79 | /*! |
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| 80 | \brief Generator of ARX data |
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[263] | 81 | |
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[271] | 82 | */ |
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| 83 | class ArxDS : public DS { |
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| 84 | protected: |
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| 85 | //! Rv of the regressor |
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| 86 | RV Rrv; |
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| 87 | //! History, ordered as \f$[y_t, u_t, y_{t-1 }, u_{t-1}, \ldots]\f$ |
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| 88 | vec H; |
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| 89 | //! (future) input |
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| 90 | vec U; |
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| 91 | //! temporary variable for regressor |
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| 92 | vec rgr; |
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| 93 | //! data link: H -> rgr |
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| 94 | datalink rgrlnk; |
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| 95 | //! model of Y - linear Gaussian |
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| 96 | mlnorm<chmat> model; |
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| 97 | //! options |
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| 98 | bool opt_L_theta; |
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| 99 | //! loggers |
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| 100 | int L_theta; |
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| 101 | int L_R; |
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| 102 | int dt_size; |
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| 103 | public: |
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| 104 | void getdata ( vec &dt ) { |
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| 105 | //it_assert_debug ( dt.length() ==Drv.count(),"ArxDS" ); |
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| 106 | dt=H; |
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| 107 | }; |
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| 108 | void getdata ( vec &dt, const ivec &indices ) { |
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| 109 | it_assert_debug ( dt.length() ==indices.length(),"ArxDS" ); |
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| 110 | dt=H ( indices ); |
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| 111 | }; |
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| 112 | void write ( vec &ut ) { |
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| 113 | //it_assert_debug ( ut.length() ==Urv.count(),"ArxDS" ); |
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| 114 | U=ut; |
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| 115 | }; |
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| 116 | void write ( vec &ut, const ivec &indices ) { |
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| 117 | it_assert_debug ( ut.length() ==indices.length(),"ArxDS" ); |
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| 118 | set_subvector ( U, indices,ut ); |
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| 119 | }; |
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| 120 | void step(); |
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| 121 | //!Default constructor |
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| 122 | ArxDS ( ) {}; |
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| 123 | //! Set parameters of the internal model, H is maximum time delay |
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| 124 | void set_parameters ( const mat &Th0, const vec mu0, const chmat &sqR0 ) |
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| 125 | { model.set_parameters ( Th0, mu0, sqR0 );}; |
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| 126 | //! Set |
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[283] | 127 | void set_drv ( RV &yrv, RV &urv, RV &rrv ) { |
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[271] | 128 | Rrv = rrv; |
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| 129 | Urv = urv; |
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[283] | 130 | dt_size = yrv._dsize() +urv._dsize(); |
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| 131 | |
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| 132 | RV drv = concat ( yrv,urv ); |
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[271] | 133 | Drv = drv; |
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| 134 | int td = rrv.mint(); |
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[283] | 135 | H.set_size ( drv._dsize() * ( -td+1 ) ); |
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| 136 | U.set_size ( Urv._dsize() ); |
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| 137 | for ( int i=-1;i>=td;i-- ) { |
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| 138 | drv.t ( -1 ); |
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| 139 | Drv.add ( drv ); //shift u1 |
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[265] | 140 | } |
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[283] | 141 | rgrlnk.set_connection ( rrv,Drv ); |
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| 142 | |
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[271] | 143 | dtsize = Drv._dsize(); |
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| 144 | utsize = Urv._dsize(); |
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| 145 | } |
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| 146 | //! set options from a string |
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| 147 | void set_options ( const string &s ) { |
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| 148 | opt_L_theta= ( s.find ( "L_theta" ) !=string::npos ); |
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[263] | 149 | }; |
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[271] | 150 | virtual void log_add ( logger &L ) { |
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| 151 | //DS::log_add ( L ); too long!! |
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[283] | 152 | L_dt=L.add ( Drv ( 0,dt_size ),"" ); |
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[271] | 153 | L_ut=L.add ( Urv,"" ); |
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[263] | 154 | |
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[271] | 155 | mat &A =model._A(); |
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| 156 | mat R =model._R(); |
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| 157 | if ( opt_L_theta ) {L_theta=L.add ( RV ( "{th }", vec_1 ( A.rows() *A.cols() ) ),"t" );} |
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| 158 | if ( opt_L_theta ) {L_R=L.add ( RV ( "{R }", vec_1 ( R.rows() *R.cols() ) ),"r" );} |
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| 159 | } |
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| 160 | virtual void logit ( logger &L ) { |
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| 161 | //DS::logit ( L ); |
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[283] | 162 | L.logit ( L_dt, H.left ( dt_size ) ); |
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| 163 | L.logit ( L_ut, U ); |
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| 164 | |
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[271] | 165 | mat &A =model._A(); |
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| 166 | mat R =model._R(); |
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| 167 | if ( opt_L_theta ) {L.logit ( L_theta,vec ( A._data(), A.rows() *A.cols() ) );}; |
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| 168 | if ( opt_L_theta ) {L.logit ( L_R, vec ( R._data(), R.rows() *R.rows() ) );}; |
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| 169 | } |
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[265] | 170 | |
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[271] | 171 | }; |
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[265] | 172 | |
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[271] | 173 | class stateDS : public DS { |
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| 174 | protected: |
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| 175 | //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$ |
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| 176 | mpdf* IM; |
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| 177 | //!conditional pdf of the observations \f$ f(d_t|x_t) \f$ |
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| 178 | mpdf* OM; |
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| 179 | //! result storage |
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| 180 | vec dt; |
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| 181 | //! state storage |
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| 182 | vec xt; |
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| 183 | //! input storage |
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| 184 | vec ut; |
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| 185 | //! Logger |
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| 186 | int L_xt; |
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| 187 | public: |
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| 188 | void getdata ( vec &dt0 ) {dt0=dt;} |
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| 189 | void getdata ( vec &dt0, const ivec &indeces ) {dt0=dt ( indeces );} |
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| 190 | |
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| 191 | stateDS ( mpdf* IM0, mpdf* OM0, int usize ) :DS ( ),IM ( IM0 ),OM ( OM0 ), |
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| 192 | dt ( OM0->dimension() ), xt ( IM0->dimension() ), ut ( usize ) {} |
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| 193 | ~stateDS() {delete IM; delete OM;} |
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| 194 | virtual void step() { |
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| 195 | xt=IM->samplecond ( concat ( xt,ut ) ); |
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| 196 | dt=OM->samplecond ( concat ( xt,ut ) ); |
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[265] | 197 | }; |
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[267] | 198 | |
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[271] | 199 | virtual void log_add ( logger &L ) { |
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| 200 | DS::log_add ( L ); |
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| 201 | L_xt=L.add ( IM->_rv(),"true" ); |
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| 202 | } |
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| 203 | virtual void logit ( logger &L ) { |
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| 204 | DS::logit ( L ); |
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| 205 | L.logit ( L_xt,xt ); |
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| 206 | } |
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[267] | 207 | |
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[271] | 208 | }; |
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[267] | 209 | |
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[254] | 210 | }; //namespace |
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[18] | 211 | |
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| 212 | #endif // DS_H |
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