1 | #include <itpp/itbase.h> |
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2 | #include <itpp/base/bessel.h> |
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3 | #include "libEF.h" |
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4 | #include <math.h> |
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5 | |
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6 | using namespace itpp; |
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7 | |
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8 | Uniform_RNG UniRNG; |
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9 | Normal_RNG NorRNG; |
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10 | Gamma_RNG GamRNG; |
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11 | |
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12 | using std::cout; |
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13 | |
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14 | vec egamma::sample() const { |
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15 | vec smp ( rv.count() ); |
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16 | int i; |
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17 | |
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18 | for ( i=0; i<rv.count(); i++ ) { |
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19 | GamRNG.setup ( alpha ( i ),beta ( i ) ); |
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20 | smp ( i ) = GamRNG(); |
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21 | } |
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22 | |
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23 | return smp; |
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24 | } |
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25 | |
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26 | mat egamma::sample ( int N ) const { |
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27 | mat Smp ( rv.count(),N ); |
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28 | int i,j; |
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29 | |
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30 | for ( i=0; i<rv.count(); i++ ) { |
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31 | GamRNG.setup ( alpha ( i ),beta ( i ) ); |
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32 | |
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33 | for ( j=0; j<N; j++ ) { |
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34 | Smp ( i,j ) = GamRNG(); |
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35 | } |
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36 | } |
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37 | |
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38 | return Smp; |
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39 | } |
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40 | |
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41 | double egamma::evalpdflog ( const vec &val ) const { |
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42 | double res = 0.0; //will be added |
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43 | int i; |
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44 | |
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45 | for ( i=0; i<rv.count(); i++ ) { |
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46 | res += ( alpha ( i ) - 1 ) *std::log ( val ( i ) ) + alpha ( i ) *std::log ( beta ( i ) ) - beta ( i ) *val ( i ) - lgamma ( alpha ( i ) ); |
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47 | } |
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48 | |
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49 | return res; |
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50 | } |
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51 | |
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52 | //MGamma |
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53 | mgamma::mgamma ( const RV &rv,const RV &rvc ) : mEF ( rv,rvc ), epdf ( rv ) {vec* tmp; epdf._param ( tmp,_beta );}; |
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54 | |
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55 | void mgamma::set_parameters ( double k0 ) { |
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56 | k=k0; |
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57 | ep = &epdf; |
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58 | epdf.set_parameters ( k*ones ( rv.count() ),*_beta ); |
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59 | }; |
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60 | |
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61 | vec mgamma::samplecond ( vec &cond, double &ll ) { |
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62 | *_beta=k / cond ; |
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63 | vec smp = epdf.sample(); |
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64 | ll = epdf.evalpdflog ( smp ); |
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65 | return smp; |
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66 | }; |
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67 | |
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68 | //Fixme repetition of mlnorm.samplecond. |
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69 | mat mgamma::samplecond ( vec &cond, vec &lik, int n ) { |
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70 | int i; |
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71 | int dim = rv.count(); |
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72 | mat Smp ( dim,n ); |
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73 | vec smp ( dim ); |
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74 | this->condition ( cond ); |
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75 | |
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76 | for ( i=0; i<n; i++ ) { |
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77 | smp = epdf.sample(); |
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78 | lik ( i ) = epdf.eval ( smp ); |
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79 | Smp.set_col ( i ,smp ); |
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80 | } |
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81 | |
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82 | return Smp; |
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83 | }; |
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84 | |
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85 | ivec eEmp::resample ( RESAMPLING_METHOD method ) { |
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86 | ivec ind=zeros_i ( n ); |
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87 | ivec N_babies = zeros_i ( n ); |
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88 | vec cumDist = cumsum ( w ); |
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89 | vec u ( n ); |
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90 | int i,j,parent; |
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91 | double u0; |
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92 | |
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93 | switch ( method ) { |
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94 | case MULTINOMIAL: |
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95 | u ( n - 1 ) = pow ( UniRNG.sample(), 1.0 / n ); |
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96 | |
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97 | for ( i = n - 2;i >= 0;i-- ) { |
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98 | u ( i ) = u ( i + 1 ) * pow ( UniRNG.sample(), 1.0 / ( i + 1 ) ); |
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99 | } |
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100 | |
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101 | break; |
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102 | |
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103 | case STRATIFIED: |
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104 | |
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105 | for ( i = 0;i < n;i++ ) { |
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106 | u ( i ) = ( i + UniRNG.sample() ) / n; |
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107 | } |
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108 | |
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109 | break; |
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110 | |
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111 | case SYSTEMATIC: |
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112 | u0 = UniRNG.sample(); |
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113 | |
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114 | for ( i = 0;i < n;i++ ) { |
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115 | u ( i ) = ( i + u0 ) / n; |
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116 | } |
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117 | |
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118 | break; |
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119 | |
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120 | default: |
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121 | it_error ( "PF::resample(): Unknown resampling method" ); |
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122 | } |
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123 | |
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124 | // U is now full |
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125 | j = 0; |
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126 | |
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127 | for ( i = 0;i < n;i++ ) { |
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128 | while ( u ( i ) > cumDist ( j ) ) j++; |
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129 | |
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130 | N_babies ( j ) ++; |
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131 | } |
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132 | |
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133 | // We have assigned new babies for each Particle |
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134 | // Now, we fill the resulting index such that: |
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135 | // * particles with at least one baby should not move * |
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136 | // This assures that reassignment can be done inplace; |
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137 | |
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138 | // find the first parent; |
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139 | parent=0; while ( N_babies ( parent ) ==0 ) parent++; |
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140 | |
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141 | // Build index |
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142 | for ( i = 0;i < n;i++ ) { |
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143 | if ( N_babies ( i ) > 0 ) { |
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144 | ind ( i ) = i; |
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145 | N_babies ( i ) --; //this index was now replicated; |
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146 | } else { |
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147 | // test if the parent has been fully replicated |
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148 | // if yes, find the next one |
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149 | while ( ( N_babies ( parent ) ==0 ) || ( N_babies ( parent ) ==1 && parent>i ) ) parent++; |
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150 | |
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151 | // Replicate parent |
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152 | ind ( i ) = parent; |
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153 | |
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154 | N_babies ( parent ) --; //this index was now replicated; |
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155 | } |
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156 | |
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157 | } |
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158 | |
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159 | // copy the internals according to ind |
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160 | for ( i=0;i<n;i++ ) { |
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161 | if ( ind ( i ) !=i ) { |
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162 | samples ( i ) =samples ( ind ( i ) ); |
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163 | } |
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164 | w ( i ) = 1.0/n; |
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165 | } |
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166 | |
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167 | return ind; |
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168 | } |
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169 | |
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170 | void eEmp::set_parameters ( const vec &w0, epdf* epdf0 ) { |
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171 | //it_assert_debug(rv==epdf0->rv(),"Wrong epdf0"); |
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172 | w=w0; |
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173 | w/=sum ( w0 );//renormalize |
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174 | n=w.length(); |
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175 | samples.set_size ( n ); |
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176 | |
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177 | for ( int i=0;i<n;i++ ) {samples ( i ) =epdf0->sample();} |
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178 | } |
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