root/doc/html/classbdm_1_1migamma__fix.html @ 270

Revision 270, 19.9 kB (checked in by smidl, 16 years ago)

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

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27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1migamma__fix.html">migamma_fix</a>
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31<h1>bdm::migamma_fix Class Reference</h1><!-- doxytag: class="bdm::migamma_fix" --><!-- doxytag: inherits="bdm::migamma" --><code>#include &lt;<a class="el" href="libEF_8h-source.html">libEF.h</a>&gt;</code>
32<p>
33<div class="dynheader">
34Inheritance diagram for bdm::migamma_fix:</div>
35<div class="dynsection">
36<p><center><img src="classbdm_1_1migamma__fix__inherit__graph.png" border="0" usemap="#bdm_1_1migamma__fix__inherit__map" alt="Inheritance graph"></center>
37<map name="bdm_1_1migamma__fix__inherit__map">
38<area shape="rect" href="classbdm_1_1migamma.html" title="Inverse&#45;Gamma random walk." alt="" coords="16,239,139,265"><area shape="rect" href="classbdm_1_1mEF.html" title="Exponential family model." alt="" coords="35,161,120,188"><area shape="rect" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies." alt="" coords="32,84,123,111"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="21,7,133,33"></map>
39<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
40
41<p>
42<a href="classbdm_1_1migamma__fix-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
43Inverse-Gamma random walk around a fixed point.
44<p>
45Mean value, <img class="formulaInl" alt="$\mu$" src="form_14.png">, of this density is given by a geometric combination of <code>rvc</code> and given fixed point, <img class="formulaInl" alt="$p$" src="form_42.png">. <img class="formulaInl" alt="$l$" src="form_43.png"> is the coefficient of the geometric combimation <p class="formulaDsp">
46<img class="formulaDsp" alt="\[ \mu = \mu_{t-1} ^{l} p^{1-l}\]" src="form_18.png">
47<p>
48<p>
49==== Check == vv = Standard deviation of the random walk is proportional to one <img class="formulaInl" alt="$k$" src="form_41.png">-th the mean. This is achieved by setting <img class="formulaInl" alt="$\alpha=k$" src="form_11.png"> and <img class="formulaInl" alt="$\beta=k/\mu$" src="form_12.png">.<p>
50The standard deviation of the walk is then: <img class="formulaInl" alt="$\mu/\sqrt(k)$" src="form_13.png">. <table border="0" cellpadding="0" cellspacing="0">
51<tr><td></td></tr>
52<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
53<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="42a61f9468b2c435386f47ae8a5ddf7e"></a><!-- doxytag: member="bdm::migamma_fix::migamma_fix" ref="42a61f9468b2c435386f47ae8a5ddf7e" args="()" -->
54&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma__fix.html#42a61f9468b2c435386f47ae8a5ddf7e">migamma_fix</a> ()</td></tr>
55
56<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructor. <br></td></tr>
57<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="17f9ce1068660a4e8c05173bef7d7440"></a><!-- doxytag: member="bdm::migamma_fix::set_parameters" ref="17f9ce1068660a4e8c05173bef7d7440" args="(double k0, vec ref0, double l0)" -->
58void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma__fix.html#17f9ce1068660a4e8c05173bef7d7440">set_parameters</a> (double k0, vec ref0, double l0)</td></tr>
59
60<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set value of <code>k</code>. <br></td></tr>
61<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfbabd293795d44aae1b7c874e57c4b8"></a><!-- doxytag: member="bdm::migamma_fix::condition" ref="cfbabd293795d44aae1b7c874e57c4b8" args="(const vec &amp;val)" -->
62void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma__fix.html#cfbabd293795d44aae1b7c874e57c4b8">condition</a> (const vec &amp;val)</td></tr>
63
64<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Update <code>ep</code> so that it represents this <a class="el" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> conditioned on <code>rvc</code> = cond. <br></td></tr>
65<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b10ab922e2a7bae2fb6bb3efc7b6151"></a><!-- doxytag: member="bdm::migamma_fix::set_parameters" ref="8b10ab922e2a7bae2fb6bb3efc7b6151" args="(int len, double k0)" -->
66void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma.html#8b10ab922e2a7bae2fb6bb3efc7b6151">set_parameters</a> (int len, double k0)</td></tr>
67
68<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set value of <code>k</code>. <br></td></tr>
69<tr><td colspan="2"><div class="groupHeader">Matematical operations</div></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#f0c1db6fcbb3aae2dd6123884457a367">samplecond</a> (const vec &amp;cond)</td></tr>
71
72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a sample from the density conditioned on <code>cond</code>, <img class="formulaInl" alt="$x \sim epdf(rv|cond)$" src="form_10.png">.  <a href="#f0c1db6fcbb3aae2dd6123884457a367"></a><br></td></tr>
73<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#afe4185b26baeb03688202e254d3b005">samplecond_m</a> (const vec &amp;cond, int N)</td></tr>
74
75<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns.  <a href="#afe4185b26baeb03688202e254d3b005"></a><br></td></tr>
76<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6336a8a72462e2a56a3989a220f18b1b"></a><!-- doxytag: member="bdm::migamma_fix::evallogcond" ref="6336a8a72462e2a56a3989a220f18b1b" args="(const vec &amp;dt, const vec &amp;cond)" -->
77virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#6336a8a72462e2a56a3989a220f18b1b">evallogcond</a> (const vec &amp;dt, const vec &amp;cond)</td></tr>
78
79<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Shortcut for conditioning and evaluation of the internal <a class="el" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>. In some cases, this operation can be implemented efficiently. <br></td></tr>
80<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0b0ed1ed663071bb7cf4a1349eb94fcb"></a><!-- doxytag: member="bdm::migamma_fix::evallogcond_m" ref="0b0ed1ed663071bb7cf4a1349eb94fcb" args="(const mat &amp;Dt, const vec &amp;cond)" -->
81virtual vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#0b0ed1ed663071bb7cf4a1349eb94fcb">evallogcond_m</a> (const mat &amp;Dt, const vec &amp;cond)</td></tr>
82
83<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of evallogcond. <br></td></tr>
84<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
85<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5571482d150fbcb72cc36f6694ce1a10"></a><!-- doxytag: member="bdm::migamma_fix::_rv" ref="5571482d150fbcb72cc36f6694ce1a10" args="()" -->
86<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>_rv</b> ()</td></tr>
87
88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="26001264236846897bd11e4baad47245"></a><!-- doxytag: member="bdm::migamma_fix::_rvc" ref="26001264236846897bd11e4baad47245" args="()" -->
89<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>_rvc</b> ()</td></tr>
90
91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1c2bae3e1e90874e72941863974ec0ed"></a><!-- doxytag: member="bdm::migamma_fix::dimension" ref="1c2bae3e1e90874e72941863974ec0ed" args="()" -->
92int&nbsp;</td><td class="memItemRight" valign="bottom"><b>dimension</b> ()</td></tr>
93
94<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="35e135910aed187b7290742f50e61bc8"></a><!-- doxytag: member="bdm::migamma_fix::dimensionc" ref="35e135910aed187b7290742f50e61bc8" args="()" -->
95int&nbsp;</td><td class="memItemRight" valign="bottom"><b>dimensionc</b> ()</td></tr>
96
97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1892fe3933488942253679f068e9e7f6"></a><!-- doxytag: member="bdm::migamma_fix::_epdf" ref="1892fe3933488942253679f068e9e7f6" args="()" -->
98<a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_epdf</b> ()</td></tr>
99
100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="05e843fd11c410a99dad2b88c55aca80"></a><!-- doxytag: member="bdm::migamma_fix::_e" ref="05e843fd11c410a99dad2b88c55aca80" args="()" -->
101<a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> ()</td></tr>
102
103<tr><td colspan="2"><div class="groupHeader">Connection to other objects</div></td></tr>
104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7631a5570e4ade1420065e8df78f4401"></a><!-- doxytag: member="bdm::migamma_fix::set_rvc" ref="7631a5570e4ade1420065e8df78f4401" args="(const RV &amp;rvc0)" -->
105void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_rvc</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rvc0)</td></tr>
106
107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18ac26bc2f96ae01ef4eb06178abbd75"></a><!-- doxytag: member="bdm::migamma_fix::set_rv" ref="18ac26bc2f96ae01ef4eb06178abbd75" args="(const RV &amp;rv0)" -->
108void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_rv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv0)</td></tr>
109
110<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f8e3798150b42fd1f3e16ddbbe0e7045"></a><!-- doxytag: member="bdm::migamma_fix::isnamed" ref="f8e3798150b42fd1f3e16ddbbe0e7045" args="()" -->
111bool&nbsp;</td><td class="memItemRight" valign="bottom"><b>isnamed</b> ()</td></tr>
112
113<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
114<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1c344accac36d7ccc3ffa502e8d2f4e"></a><!-- doxytag: member="bdm::migamma_fix::l" ref="e1c344accac36d7ccc3ffa502e8d2f4e" args="" -->
115double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma__fix.html#e1c344accac36d7ccc3ffa502e8d2f4e">l</a></td></tr>
116
117<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">parameter l <br></td></tr>
118<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5d453e5a2bdfc9a16c8acb8842dc9780"></a><!-- doxytag: member="bdm::migamma_fix::refl" ref="5d453e5a2bdfc9a16c8acb8842dc9780" args="" -->
119vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma__fix.html#5d453e5a2bdfc9a16c8acb8842dc9780">refl</a></td></tr>
120
121<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">reference vector <br></td></tr>
122<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a31b39d4179551b593c9e0d7d756783a"></a><!-- doxytag: member="bdm::migamma_fix::epdf" ref="a31b39d4179551b593c9e0d7d756783a" args="" -->
123<a class="el" href="classbdm_1_1eigamma.html">eigamma</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma.html#a31b39d4179551b593c9e0d7d756783a">epdf</a></td></tr>
124
125<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Internal <a class="el" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> that arise by conditioning on <code>rvc</code>. <br></td></tr>
126<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc56bc9da542e0103ec16b9be8e5e38c"></a><!-- doxytag: member="bdm::migamma_fix::k" ref="dc56bc9da542e0103ec16b9be8e5e38c" args="" -->
127double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma.html#dc56bc9da542e0103ec16b9be8e5e38c">k</a></td></tr>
128
129<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constant <img class="formulaInl" alt="$k$" src="form_41.png">. <br></td></tr>
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c9847093da59a9ba0ebb68d2c592f5dc"></a><!-- doxytag: member="bdm::migamma_fix::_alpha" ref="c9847093da59a9ba0ebb68d2c592f5dc" args="" -->
131vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma.html#c9847093da59a9ba0ebb68d2c592f5dc">_alpha</a></td></tr>
132
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of epdf.alpha <br></td></tr>
134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d854c047001b5465cf1ba21f52904b5"></a><!-- doxytag: member="bdm::migamma_fix::_beta" ref="0d854c047001b5465cf1ba21f52904b5" args="" -->
135vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1migamma.html#0d854c047001b5465cf1ba21f52904b5">_beta</a></td></tr>
136
137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of epdf.beta <br></td></tr>
138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c1900976ff13dbc09c9729b3bbff9e6"></a><!-- doxytag: member="bdm::migamma_fix::dimc" ref="7c1900976ff13dbc09c9729b3bbff9e6" args="" -->
139int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#7c1900976ff13dbc09c9729b3bbff9e6">dimc</a></td></tr>
140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dimension of the condition <br></td></tr>
142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a5f08950daa08b85b01ddf4e1c36288"></a><!-- doxytag: member="bdm::migamma_fix::rvc" ref="5a5f08950daa08b85b01ddf4e1c36288" args="" -->
143<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#5a5f08950daa08b85b01ddf4e1c36288">rvc</a></td></tr>
144
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">random variable in condition <br></td></tr>
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5eea43c56d38e4441bfb30270db949c0"></a><!-- doxytag: member="bdm::migamma_fix::ep" ref="5eea43c56d38e4441bfb30270db949c0" args="" -->
147<a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1mpdf.html#5eea43c56d38e4441bfb30270db949c0">ep</a></td></tr>
148
149<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer to internal <a class="el" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> <br></td></tr>
150</table>
151<hr><h2>Member Function Documentation</h2>
152<a class="anchor" name="f0c1db6fcbb3aae2dd6123884457a367"></a><!-- doxytag: member="bdm::migamma_fix::samplecond" ref="f0c1db6fcbb3aae2dd6123884457a367" args="(const vec &amp;cond)" -->
153<div class="memitem">
154<div class="memproto">
155      <table class="memname">
156        <tr>
157          <td class="memname">virtual vec bdm::mpdf::samplecond           </td>
158          <td>(</td>
159          <td class="paramtype">const vec &amp;&nbsp;</td>
160          <td class="paramname"> <em>cond</em>          </td>
161          <td>&nbsp;)&nbsp;</td>
162          <td><code> [inline, virtual, inherited]</code></td>
163        </tr>
164      </table>
165</div>
166<div class="memdoc">
167
168<p>
169Returns a sample from the density conditioned on <code>cond</code>, <img class="formulaInl" alt="$x \sim epdf(rv|cond)$" src="form_10.png">.
170<p>
171<dl compact><dt><b>Parameters:</b></dt><dd>
172  <table border="0" cellspacing="2" cellpadding="0">
173    <tr><td valign="top"></td><td valign="top"><em>cond</em>&nbsp;</td><td>is numeric value of <code>rv</code> </td></tr>
174  </table>
175</dl>
176
177<p>References <a class="el" href="libBM_8h-source.html#l00315">bdm::mpdf::condition()</a>, <a class="el" href="libBM_8h-source.html#l00288">bdm::mpdf::ep</a>, and <a class="el" href="classbdm_1_1epdf.html#09721eb148bc49d6ec2f1956039f3a10">bdm::epdf::sample()</a>.</p>
178
179<p>Referenced by <a class="el" href="libPF_8h-source.html#l00143">bdm::MPF&lt; BM_T &gt;::bayes()</a>, <a class="el" href="libPF_8cpp-source.html#l00007">bdm::PF::bayes()</a>, and <a class="el" href="libDS_8cpp-source.html#l00044">bdm::ArxDS::step()</a>.</p>
180
181</div>
182</div><p>
183<a class="anchor" name="afe4185b26baeb03688202e254d3b005"></a><!-- doxytag: member="bdm::migamma_fix::samplecond_m" ref="afe4185b26baeb03688202e254d3b005" args="(const vec &amp;cond, int N)" -->
184<div class="memitem">
185<div class="memproto">
186      <table class="memname">
187        <tr>
188          <td class="memname">virtual mat bdm::mpdf::samplecond_m           </td>
189          <td>(</td>
190          <td class="paramtype">const vec &amp;&nbsp;</td>
191          <td class="paramname"> <em>cond</em>, </td>
192        </tr>
193        <tr>
194          <td class="paramkey"></td>
195          <td></td>
196          <td class="paramtype">int&nbsp;</td>
197          <td class="paramname"> <em>N</em></td><td>&nbsp;</td>
198        </tr>
199        <tr>
200          <td></td>
201          <td>)</td>
202          <td></td><td></td><td><code> [inline, virtual, inherited]</code></td>
203        </tr>
204      </table>
205</div>
206<div class="memdoc">
207
208<p>
209Returns.
210<p>
211<dl compact><dt><b>Parameters:</b></dt><dd>
212  <table border="0" cellspacing="2" cellpadding="0">
213    <tr><td valign="top"></td><td valign="top"><em>N</em>&nbsp;</td><td>samples from the density conditioned on <code>cond</code>, <img class="formulaInl" alt="$x \sim epdf(rv|cond)$" src="form_10.png">. </td></tr>
214    <tr><td valign="top"></td><td valign="top"><em>cond</em>&nbsp;</td><td>is numeric value of <code>rv</code> </td></tr>
215    <tr><td valign="top"></td><td valign="top"><em>ll</em>&nbsp;</td><td>is a return value of log-likelihood of the sample. </td></tr>
216  </table>
217</dl>
218
219<p>References <a class="el" href="libBM_8h-source.html#l00315">bdm::mpdf::condition()</a>, <a class="el" href="libBM_8h-source.html#l00272">bdm::epdf::dimension()</a>, <a class="el" href="libBM_8h-source.html#l00288">bdm::mpdf::ep</a>, and <a class="el" href="classbdm_1_1epdf.html#09721eb148bc49d6ec2f1956039f3a10">bdm::epdf::sample()</a>.</p>
220
221</div>
222</div><p>
223<hr>The documentation for this class was generated from the following file:<ul>
224<li><a class="el" href="libEF_8h-source.html">libEF.h</a></ul>
225</div>
226<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:07 2009 for mixpp by&nbsp;
227<a href="http://www.doxygen.org/index.html">
228<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
229</body>
230</html>
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