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| 25 | <div class="contents"> |
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| 26 | <h1>MixEF Class Reference</h1><!-- doxytag: class="MixEF" --><!-- doxytag: inherits="BM" -->Mixture of Exponential Family Densities. |
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| 27 | <a href="#_details">More...</a> |
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| 28 | <p> |
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| 29 | <code>#include <<a class="el" href="mixef_8h-source.html">mixef.h</a>></code> |
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| 30 | <p> |
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| 31 | <div class="dynheader"> |
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| 32 | Inheritance diagram for MixEF:</div> |
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| 33 | <div class="dynsection"> |
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| 34 | <p><center><img src="classMixEF__inherit__graph.png" border="0" usemap="#MixEF__inherit__map" alt="Inheritance graph"></center> |
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| 35 | <map name="MixEF__inherit__map"> |
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| 36 | <area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="13,7,53,33"></map> |
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| 37 | <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> |
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| 38 | <div class="dynheader"> |
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| 39 | Collaboration diagram for MixEF:</div> |
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| 40 | <div class="dynsection"> |
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| 41 | <p><center><img src="classMixEF__coll__graph.png" border="0" usemap="#MixEF__coll__map" alt="Collaboration graph"></center> |
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| 42 | <map name="MixEF__coll__map"> |
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| 43 | <area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="27,183,67,209"><area shape="rect" href="classBMEF.html" title="Estimator for Exponential family." alt="" coords="19,289,75,316"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="68,7,105,33"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="107,103,155,129"><area shape="rect" href="classeprod.html" title="Product of independent epdfs. For dependent pdfs, use mprod." alt="" coords="168,236,227,263"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="109,183,152,209"><area shape="rect" href="classmultiBM.html" title="Estimator for Multinomial density." alt="" coords="47,385,119,412"><area shape="rect" href="classeDirich.html" title="Dirichlet posterior density." alt="" coords="99,289,163,316"></map> |
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| 44 | <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> |
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| 45 | |
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| 46 | <p> |
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| 47 | <a href="classMixEF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0"> |
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| 48 | <tr><td></td></tr> |
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| 49 | <tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> |
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| 50 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7713c2f01e97df268049821749405bc2"></a><!-- doxytag: member="MixEF::MixEF" ref="7713c2f01e97df268049821749405bc2" args="(Array< BMEF * > &Coms0, const vec &alpha0)" --> |
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| 51 | </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#7713c2f01e97df268049821749405bc2">MixEF</a> (Array< <a class="el" href="classBMEF.html">BMEF</a> * > &Coms0, const vec &alpha0)</td></tr> |
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| 52 | |
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| 53 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Full constructor. <br></td></tr> |
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| 54 | <tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#8be6cf2d9bb0d86e01e9470720515ae6">MixEF</a> (<a class="el" href="classBMEF.html">BMEF</a> *Com0, const mat &Data, int c=5)</td></tr> |
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| 55 | |
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| 56 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d520fb534aa43f3084ff1568ffe7573d"></a><!-- doxytag: member="MixEF::bayes" ref="d520fb534aa43f3084ff1568ffe7573d" args="(const vec &dt)" --> |
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| 57 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#d520fb534aa43f3084ff1568ffe7573d">bayes</a> (const vec &dt)</td></tr> |
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| 58 | |
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| 59 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Recursive EM-like algorithm (QB-variant), see Karny et. al, 2006. <br></td></tr> |
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| 60 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4e0ad97868e55facffb37932dd44353f"></a><!-- doxytag: member="MixEF::bayes" ref="4e0ad97868e55facffb37932dd44353f" args="(const mat &dt)" --> |
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| 61 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#4e0ad97868e55facffb37932dd44353f">bayes</a> (const mat &dt)</td></tr> |
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| 62 | |
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| 63 | <tr><td class="mdescLeft"> </td><td class="mdescRight">EM algorithm. <br></td></tr> |
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| 64 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e6810daa121ccaff1ac18f26fbad4563"></a><!-- doxytag: member="MixEF::bayesB" ref="e6810daa121ccaff1ac18f26fbad4563" args="(const mat &dt)" --> |
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| 65 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#e6810daa121ccaff1ac18f26fbad4563">bayesB</a> (const mat &dt)</td></tr> |
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| 66 | |
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| 67 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> |
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| 68 | <tr><td class="memItemLeft" nowrap align="right" valign="top">double </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#424ca64f36d4e41de7a7e7ae921d35ea">logpred</a> (const vec &dt) const </td></tr> |
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| 69 | |
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| 70 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="efb3e20c2151d91c4fc080b7722a2069"></a><!-- doxytag: member="MixEF::_epdf" ref="efb3e20c2151d91c4fc080b7722a2069" args="() const " --> |
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| 71 | const <a class="el" href="classepdf.html">epdf</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#efb3e20c2151d91c4fc080b7722a2069">_epdf</a> () const </td></tr> |
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| 72 | |
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| 73 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Returns a pointer to the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. Use with care! <br></td></tr> |
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| 74 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="MixEF::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " --> |
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| 75 | const <a class="el" href="classRV.html">RV</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#126bd2595c48e311fc2a7ab72876092a">_rv</a> () const </td></tr> |
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| 76 | |
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| 77 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
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| 78 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="MixEF::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " --> |
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| 79 | double </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr> |
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| 80 | |
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| 81 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
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| 82 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1ffa9f23669aabecc3760c06c6987522"></a><!-- doxytag: member="MixEF::set_evalll" ref="1ffa9f23669aabecc3760c06c6987522" args="(bool evl0)" --> |
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| 83 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#1ffa9f23669aabecc3760c06c6987522">set_evalll</a> (bool evl0)</td></tr> |
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| 84 | |
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| 85 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
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| 86 | <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classBM.html">BM</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#eb58c81d6a7b75b05fc6f276eed78887">_copy_</a> (bool changerv=false)</td></tr> |
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| 87 | |
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| 88 | <tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr> |
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| 89 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ae381b3a7dfbe2c1e5bb579a5d9b9d1"></a><!-- doxytag: member="MixEF::build_est" ref="5ae381b3a7dfbe2c1e5bb579a5d9b9d1" args="()" --> |
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| 90 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#5ae381b3a7dfbe2c1e5bb579a5d9b9d1">build_est</a> ()</td></tr> |
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| 91 | |
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| 92 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Auxiliary function for use in constructors. <br></td></tr> |
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| 93 | <tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> |
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| 94 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e9cc9bb3e6da801455cec99a59aea149"></a><!-- doxytag: member="MixEF::n" ref="e9cc9bb3e6da801455cec99a59aea149" args="" --> |
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| 95 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#e9cc9bb3e6da801455cec99a59aea149">n</a></td></tr> |
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| 96 | |
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| 97 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Number of components. <br></td></tr> |
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| 98 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c4a140ca4e6e71b00237b7bc754302e"></a><!-- doxytag: member="MixEF::Coms" ref="4c4a140ca4e6e71b00237b7bc754302e" args="" --> |
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| 99 | Array< <a class="el" href="classBMEF.html">BMEF</a> * > </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#4c4a140ca4e6e71b00237b7bc754302e">Coms</a></td></tr> |
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| 100 | |
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| 101 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Models for Components of <img class="formulaInl" alt="$\theta_i$" src="form_69.png">. <br></td></tr> |
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| 102 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d906782a0a9558f19150dc69411f717f"></a><!-- doxytag: member="MixEF::weights" ref="d906782a0a9558f19150dc69411f717f" args="" --> |
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| 103 | <a class="el" href="classmultiBM.html">multiBM</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#d906782a0a9558f19150dc69411f717f">weights</a></td></tr> |
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| 104 | |
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| 105 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Statistics for weights. <br></td></tr> |
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| 106 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="33968f1325137cc6f4431f0cf05096dc"></a><!-- doxytag: member="MixEF::est" ref="33968f1325137cc6f4431f0cf05096dc" args="" --> |
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| 107 | <a class="el" href="classeprod.html">eprod</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classMixEF.html#33968f1325137cc6f4431f0cf05096dc">est</a></td></tr> |
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| 108 | |
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| 109 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Posterior on component parameters. <br></td></tr> |
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| 110 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="MixEF::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" --> |
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| 111 | <a class="el" href="classRV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a></td></tr> |
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| 112 | |
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| 113 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Random variable of the posterior. <br></td></tr> |
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| 114 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="MixEF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" --> |
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| 115 | double </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr> |
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| 116 | |
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| 117 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> |
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| 118 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="MixEF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" --> |
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| 119 | bool </td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr> |
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| 120 | |
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| 121 | <tr><td class="mdescLeft"> </td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr> |
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| 122 | </table> |
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| 123 | <hr><a name="_details"></a><h2>Detailed Description</h2> |
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| 124 | Mixture of Exponential Family Densities. |
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| 125 | <p> |
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| 126 | An approximate estimation method for models with latent discrete variable, such as mixture models of the following kind: <p class="formulaDsp"> |
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| 127 | <img class="formulaDsp" alt="\[ f(y_t|\psi_t, \Theta) = \sum_{i=1}^{n} w_i f(y_t|\psi_t, \theta_i) \]" src="form_66.png"> |
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| 128 | <p> |
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| 129 | where <img class="formulaInl" alt="$\psi$" src="form_67.png"> is a known function of past outputs, <img class="formulaInl" alt="$w=[w_1,\ldots,w_n]$" src="form_68.png"> are component weights, and component parameters <img class="formulaInl" alt="$\theta_i$" src="form_69.png"> are assumed to be mutually independent. <img class="formulaInl" alt="$\Theta$" src="form_70.png"> is an aggregation af all component parameters and weights, i.e. <img class="formulaInl" alt="$\Theta = [\theta_1,\ldots,\theta_n,w]$" src="form_71.png">.<p> |
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| 130 | The characteristic feature of this model is that if the exact values of the latent variable were known, estimation of the parameters can be handled by a single model. For example, for the case of mixture models, posterior density for each component parameters would be a BayesianModel from Exponential Family.<p> |
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| 131 | This class uses EM-style type algorithms for estimation of its parameters. Under this simplification, the posterior density is a product of exponential family members, hence approximate estimation project this class itself belongs to the exponential family.<p> |
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| 132 | TODO: Extend <a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> to use rvc. <hr><h2>Constructor & Destructor Documentation</h2> |
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| 133 | <a class="anchor" name="8be6cf2d9bb0d86e01e9470720515ae6"></a><!-- doxytag: member="MixEF::MixEF" ref="8be6cf2d9bb0d86e01e9470720515ae6" args="(BMEF *Com0, const mat &Data, int c=5)" --> |
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| 134 | <div class="memitem"> |
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| 135 | <div class="memproto"> |
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| 136 | <table class="memname"> |
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| 137 | <tr> |
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| 138 | <td class="memname">MixEF::MixEF </td> |
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| 139 | <td>(</td> |
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| 140 | <td class="paramtype"><a class="el" href="classBMEF.html">BMEF</a> * </td> |
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| 141 | <td class="paramname"> <em>Com0</em>, </td> |
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| 142 | </tr> |
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| 143 | <tr> |
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| 144 | <td class="paramkey"></td> |
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| 145 | <td></td> |
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| 146 | <td class="paramtype">const mat & </td> |
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| 147 | <td class="paramname"> <em>Data</em>, </td> |
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| 148 | </tr> |
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| 149 | <tr> |
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| 150 | <td class="paramkey"></td> |
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| 151 | <td></td> |
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| 152 | <td class="paramtype">int </td> |
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| 153 | <td class="paramname"> <em>c</em> = <code>5</code></td><td> </td> |
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| 154 | </tr> |
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| 155 | <tr> |
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| 156 | <td></td> |
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| 157 | <td>)</td> |
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| 158 | <td></td><td></td><td></td> |
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| 159 | </tr> |
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| 160 | </table> |
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| 161 | </div> |
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| 162 | <div class="memdoc"> |
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| 163 | |
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| 164 | <p> |
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| 165 | Constructor Initializing the mixture by a random pick of centroids from data <dl compact><dt><b>Parameters:</b></dt><dd> |
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| 166 | <table border="0" cellspacing="2" cellpadding="0"> |
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| 167 | <tr><td valign="top"></td><td valign="top"><em>Com0</em> </td><td>Initial component - necessary to determine its type. </td></tr> |
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| 168 | <tr><td valign="top"></td><td valign="top"><em>Data</em> </td><td>Data on which the initialization will be done </td></tr> |
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| 169 | <tr><td valign="top"></td><td valign="top"><em>c</em> </td><td>Initial number of components, default=5 </td></tr> |
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| 170 | </table> |
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| 171 | </dl> |
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| 172 | |
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| 173 | <p>References <a class="el" href="libBM_8h-source.html#l00313">BM::_copy_()</a>, <a class="el" href="mixef_8h-source.html#l00052">build_est()</a>, <a class="el" href="mixef_8h-source.html#l00044">Coms</a>, and <a class="el" href="mixef_8h-source.html#l00042">n</a>.</p> |
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| 174 | |
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| 175 | </div> |
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| 176 | </div><p> |
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| 177 | <hr><h2>Member Function Documentation</h2> |
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| 178 | <a class="anchor" name="424ca64f36d4e41de7a7e7ae921d35ea"></a><!-- doxytag: member="MixEF::logpred" ref="424ca64f36d4e41de7a7e7ae921d35ea" args="(const vec &dt) const " --> |
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| 179 | <div class="memitem"> |
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| 180 | <div class="memproto"> |
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| 181 | <table class="memname"> |
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| 182 | <tr> |
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| 183 | <td class="memname">double MixEF::logpred </td> |
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| 184 | <td>(</td> |
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| 185 | <td class="paramtype">const vec & </td> |
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| 186 | <td class="paramname"> <em>dt</em> </td> |
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| 187 | <td> ) </td> |
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| 188 | <td> const<code> [virtual]</code></td> |
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| 189 | </tr> |
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| 190 | </table> |
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| 191 | </div> |
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| 192 | <div class="memdoc"> |
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| 193 | |
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| 194 | <p> |
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| 195 | Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. |
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| 196 | <p>Reimplemented from <a class="el" href="classBM.html#8a8ce6df431689964c41cc6c849cfd06">BM</a>.</p> |
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| 197 | |
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| 198 | <p>References <a class="el" href="libEF_8h-source.html#l00259">multiBM::_epdf()</a>, <a class="el" href="mixef_8h-source.html#l00044">Coms</a>, <a class="el" href="classepdf.html#bf0a070a8f3e67a93604ca724638b870">epdf::mean()</a>, <a class="el" href="mixef_8h-source.html#l00042">n</a>, and <a class="el" href="mixef_8h-source.html#l00046">weights</a>.</p> |
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| 199 | |
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| 200 | </div> |
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| 201 | </div><p> |
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| 202 | <a class="anchor" name="eb58c81d6a7b75b05fc6f276eed78887"></a><!-- doxytag: member="MixEF::_copy_" ref="eb58c81d6a7b75b05fc6f276eed78887" args="(bool changerv=false)" --> |
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| 203 | <div class="memitem"> |
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| 204 | <div class="memproto"> |
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| 205 | <table class="memname"> |
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| 206 | <tr> |
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| 207 | <td class="memname">virtual <a class="el" href="classBM.html">BM</a>* BM::_copy_ </td> |
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| 208 | <td>(</td> |
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| 209 | <td class="paramtype">bool </td> |
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| 210 | <td class="paramname"> <em>changerv</em> = <code>false</code> </td> |
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| 211 | <td> ) </td> |
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| 212 | <td><code> [inline, virtual, inherited]</code></td> |
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| 213 | </tr> |
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| 214 | </table> |
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| 215 | </div> |
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| 216 | <div class="memdoc"> |
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| 217 | |
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| 218 | <p> |
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| 219 | Copy function required in vectors, Arrays of <a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: BM* <a class="el" href="classBM.html#eb58c81d6a7b75b05fc6f276eed78887">_copy_()</a>{<a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; } |
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| 220 | <p>Reimplemented in <a class="el" href="classARX.html#d2751057811c6fb8f4ff86e1648bcddc">ARX</a>.</p> |
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| 221 | |
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| 222 | <p>Referenced by <a class="el" href="mixef_8cpp-source.html#l00007">MixEF()</a>.</p> |
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| 223 | |
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| 224 | </div> |
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| 225 | </div><p> |
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| 226 | <hr>The documentation for this class was generated from the following files:<ul> |
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| 227 | <li>work/git/mixpp/bdm/estim/<a class="el" href="mixef_8h-source.html">mixef.h</a><li>work/git/mixpp/bdm/estim/mixef.cpp</ul> |
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| 228 | </div> |
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| 229 | <hr size="1"><address style="text-align: right;"><small>Generated on Tue Sep 23 16:00:54 2008 for mixpp by |
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| 230 | <a href="http://www.doxygen.org/index.html"> |
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| 231 | <img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address> |
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| 232 | </body> |
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| 233 | </html> |
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