root/doc/html/arx_8h-source.html @ 324

Revision 323, 19.0 kB (checked in by smidl, 16 years ago)

doc

Line 
1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
2<html><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
3<title>mixpp: arx.h Source File</title>
4<link href="tabs.css" rel="stylesheet" type="text/css">
5<link href="doxygen.css" rel="stylesheet" type="text/css">
6</head><body>
7<!-- Generated by Doxygen 1.5.8 -->
8<script type="text/javascript">
9<!--
10function changeDisplayState (e){
11  var num=this.id.replace(/[^[0-9]/g,'');
12  var button=this.firstChild;
13  var sectionDiv=document.getElementById('dynsection'+num);
14  if (sectionDiv.style.display=='none'||sectionDiv.style.display==''){
15    sectionDiv.style.display='block';
16    button.src='open.gif';
17  }else{
18    sectionDiv.style.display='none';
19    button.src='closed.gif';
20  }
21}
22function initDynSections(){
23  var divs=document.getElementsByTagName('div');
24  var sectionCounter=1;
25  for(var i=0;i<divs.length-1;i++){
26    if(divs[i].className=='dynheader'&&divs[i+1].className=='dynsection'){
27      var header=divs[i];
28      var section=divs[i+1];
29      var button=header.firstChild;
30      if (button!='IMG'){
31        divs[i].insertBefore(document.createTextNode(' '),divs[i].firstChild);
32        button=document.createElement('img');
33        divs[i].insertBefore(button,divs[i].firstChild);
34      }
35      header.style.cursor='pointer';
36      header.onclick=changeDisplayState;
37      header.id='dynheader'+sectionCounter;
38      button.src='closed.gif';
39      section.id='dynsection'+sectionCounter;
40      section.style.display='none';
41      section.style.marginLeft='14px';
42      sectionCounter++;
43    }
44  }
45}
46window.onload = initDynSections;
47-->
48</script>
49<div class="navigation" id="top">
50  <div class="tabs">
51    <ul>
52      <li><a href="main.html"><span>Main&nbsp;Page</span></a></li>
53      <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
54      <li><a href="modules.html"><span>Modules</span></a></li>
55      <li><a href="annotated.html"><span>Classes</span></a></li>
56      <li class="current"><a href="files.html"><span>Files</span></a></li>
57    </ul>
58  </div>
59  <div class="tabs">
60    <ul>
61      <li><a href="files.html"><span>File&nbsp;List</span></a></li>
62      <li><a href="globals.html"><span>File&nbsp;Members</span></a></li>
63    </ul>
64  </div>
65<h1>arx.h</h1><a href="arx_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001
66<a name="l00013"></a>00013 <span class="preprocessor">#ifndef AR_H</span>
67<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define AR_H</span>
68<a name="l00015"></a>00015 <span class="preprocessor"></span>
69<a name="l00016"></a>00016 <span class="preprocessor">#include "../stat/libFN.h"</span>
70<a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libEF.h"</span>
71<a name="l00018"></a>00018
72<a name="l00019"></a>00019 <span class="keyword">namespace </span>bdm {
73<a name="l00020"></a>00020
74<a name="l00039"></a><a class="code" href="classbdm_1_1ARX.html">00039</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> {
75<a name="l00040"></a>00040 <span class="keyword">protected</span>:
76<a name="l00042"></a><a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9">00042</a>         <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>;
77<a name="l00045"></a><a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">00045</a>         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>;
78<a name="l00047"></a><a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026">00047</a>         <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;
79<a name="l00049"></a><a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd">00049</a>         <a class="code" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &amp;<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>;
80<a name="l00051"></a><a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">00051</a>         <span class="keywordtype">double</span> &amp;<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>;
81<a name="l00052"></a>00052 <span class="keyword">public</span>:
82<a name="l00055"></a>00055         <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> ( <span class="keyword">const</span> <span class="keywordtype">double</span> frg0=1.0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( frg0 ),<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> (), <a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) {};
83<a name="l00056"></a>00056         <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> &amp;A0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (),<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> (), <a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) {
84<a name="l00057"></a>00057                 set_statistics ( A0.<a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>,A0.<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>,A0.<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> );
85<a name="l00058"></a>00058                 set_parameters(A0.<a class="code" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>);
86<a name="l00059"></a>00059         };
87<a name="l00060"></a>00060         ARX* <a class="code" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106" title="Flatten the posterior as if to keep nu0 data.">_copy_</a>() <span class="keyword">const</span>;
88<a name="l00061"></a>00061         <span class="keywordtype">void</span> set_parameters ( <span class="keywordtype">double</span> frg0 ) {<a class="code" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>=frg0;}
89<a name="l00062"></a>00062         <span class="keywordtype">void</span> set_statistics ( <span class="keywordtype">int</span> dimx0, <span class="keyword">const</span> <a class="code" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> V0, <span class="keywordtype">double</span> nu0=-1.0 ) {<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.set_parameters ( dimx0,V0,nu0 );<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.lognc();<a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>=dimx0;}
90<a name="l00064"></a>00064
91<a name="l00065"></a>00065 <span class="comment">//      //! Set parameters given by moments, \c mu (mean of theta), \c R (mean of R) and \c C (variance of theta)</span>
92<a name="l00066"></a>00066 <span class="comment">//      void set_parameters ( const vec &amp;mu, const mat &amp;R, const mat &amp;C, double dfm){};</span>
93<a name="l00068"></a>00068 <span class="comment"></span>        <span class="keywordtype">void</span> set_statistics ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html#2def512872ed8a4fc3b702371ec0be55" title="Default constructor (=empty constructor).">BMEF</a>* BM0 );
94<a name="l00069"></a>00069 <span class="comment">//      //! Returns sufficient statistics</span>
95<a name="l00070"></a>00070 <span class="comment">//      void get_parameters ( mat &amp;V0, double &amp;nu0 ) {V0=est._V().to_mat(); nu0=est._nu();}</span>
96<a name="l00073"></a>00073 <span class="comment"></span>
97<a name="l00075"></a>00075         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Weighted Bayes .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt, <span class="keyword">const</span> <span class="keywordtype">double</span> w );
98<a name="l00076"></a><a class="code" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3">00076</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) {<a class="code" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3" title="Incremental Bayes rule.">bayes</a> ( dt,1.0 );};
99<a name="l00077"></a>00077         <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">logpred</a> ( <span class="keyword">const</span> vec &amp;dt ) <span class="keyword">const</span>;
100<a name="l00078"></a><a class="code" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca">00078</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca" title="Flatten the posterior according to the given BMEF (of the same type!).">flatten</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* B ) {
101<a name="l00079"></a>00079                 <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* A=<span class="keyword">dynamic_cast&lt;</span><span class="keyword">const </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>*<span class="keyword">&gt;</span> ( B );
102<a name="l00080"></a>00080                 <span class="comment">// nu should be equal to B.nu</span>
103<a name="l00081"></a>00081                 <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#8e610e95401a11baf34f65e16ecd87be" title="Power of the density, used e.g. to flatten the density.">pow</a> ( A-&gt;<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>/<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> );
104<a name="l00082"></a>00082                 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a> ) {<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();}
105<a name="l00083"></a>00083         }
106<a name="l00085"></a>00085         <a class="code" href="classbdm_1_1enorm.html">enorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a> ( <span class="keyword">const</span> vec &amp;rgr ) <span class="keyword">const</span>;
107<a name="l00087"></a><a class="code" href="classbdm_1_1ARX.html#4cdf5e2a7d3480ec31f6247ed4289b15">00087</a>         <a class="code" href="classbdm_1_1enorm.html">enorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a>()<span class="keyword"> const </span>{
108<a name="l00088"></a>00088                 it_assert_debug ( <a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>==<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>.<a class="code" href="group__math.html#g96dfb21865db4f5bd36fa70f9b0b1163" title="access function">rows</a>()-1,<span class="stringliteral">"Regressor is not only 1"</span> );
109<a name="l00089"></a>00089                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a> ( vec_1 ( 1.0 ) );
110<a name="l00090"></a>00090         }
111<a name="l00092"></a>00092         <a class="code" href="classbdm_1_1mlnorm.html">mlnorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#74fe8ae2d88bee8639510fd0eaf73513" title="conditional version of the predictor">predictor</a>() <span class="keyword">const</span>;
112<a name="l00093"></a>00093         <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a>* predictor_student() <span class="keyword">const</span>;
113<a name="l00095"></a>00095         ivec <a class="code" href="classbdm_1_1ARX.html#16b02ae03316751664c22d59d90c1e34" title="Brute force structure estimation.">structure_est</a> ( <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 );
114<a name="l00097"></a>00097
115<a name="l00100"></a>00100         <span class="keyword">const</span> <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a>* _e()<span class="keyword"> const </span>{<span class="keywordflow">return</span> &amp;<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ;};
116<a name="l00101"></a>00101         <span class="keyword">const</span> egiw&amp; posterior()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;}
117<a name="l00103"></a>00103
118<a name="l00106"></a>00106         <span class="keywordtype">void</span> set_drv ( <span class="keyword">const</span> RV &amp;drv0 ) {<a class="code" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a>=drv0;}
119<a name="l00107"></a>00107         RV&amp; get_yrv() {
120<a name="l00108"></a>00108                 <span class="comment">//if yrv is not ready create it</span>
121<a name="l00109"></a>00109                 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() !=<a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> ) {
122<a name="l00110"></a>00110                         <span class="keywordtype">int</span> i=0;
123<a name="l00111"></a>00111                         <span class="keywordflow">while</span> ( <a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() &lt;<a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> ) {<a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>.add ( <a class="code" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a> ( vec_1 ( i ) ) );i++;}
124<a name="l00112"></a>00112                 }
125<a name="l00113"></a>00113                 <span class="comment">//yrv should be ready by now</span>
126<a name="l00114"></a>00114                 it_assert_debug ( <a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() ==<a class="code" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>,<span class="stringliteral">"incompatible drv"</span> );
127<a name="l00115"></a>00115                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>;
128<a name="l00116"></a>00116         }
129<a name="l00118"></a>00118 };
130<a name="l00119"></a>00119
131<a name="l00120"></a>00120 }
132<a name="l00121"></a>00121
133<a name="l00122"></a>00122 <span class="preprocessor">#endif // AR_H</span>
134<a name="l00123"></a>00123 <span class="preprocessor"></span>
135<a name="l00124"></a>00124
136</pre></div></div>
137<hr size="1"><address style="text-align: right;"><small>Generated on Thu Apr 23 21:06:42 2009 for mixpp by&nbsp;
138<a href="http://www.doxygen.org/index.html">
139<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
140</body>
141</html>
Note: See TracBrowser for help on using the browser.