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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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16<h1>work/mixpp/bdm/stat/libBM.h</h1><a href="libBM_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001
17<a name="l00013"></a>00013 <span class="preprocessor">#ifndef BM_H</span>
18<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define BM_H</span>
19<a name="l00015"></a>00015 <span class="preprocessor"></span>
20<a name="l00016"></a>00016 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span>
21<a name="l00017"></a>00017 <span class="comment">//#include &lt;std&gt;</span>
22<a name="l00018"></a>00018
23<a name="l00019"></a>00019 <span class="keyword">using namespace </span>itpp;
24<a name="l00020"></a>00020
25<a name="l00027"></a><a class="code" href="classRV.html">00027</a> <span class="keyword">class </span><a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> {
26<a name="l00028"></a>00028 <span class="keyword">protected</span>:
27<a name="l00030"></a><a class="code" href="classRV.html#0cae53d262be90a775a99a198e17fa58">00030</a>         <span class="keywordtype">int</span> <a class="code" href="classRV.html#0cae53d262be90a775a99a198e17fa58" title="size = sum of sizes">size</a>;
28<a name="l00032"></a><a class="code" href="classRV.html#0d7b36e2bbccf880c8fcf1e8cc43c1a9">00032</a>         <span class="keywordtype">int</span> <a class="code" href="classRV.html#0d7b36e2bbccf880c8fcf1e8cc43c1a9" title="len = number of individual rvs">len</a>;
29<a name="l00033"></a>00033         ivec ids;
30<a name="l00034"></a>00034         ivec sizes;
31<a name="l00035"></a>00035         ivec times;
32<a name="l00036"></a>00036         ivec obs;
33<a name="l00037"></a>00037         Array&lt;std::string&gt; names;
34<a name="l00038"></a>00038
35<a name="l00039"></a>00039 <span class="keyword">private</span>:
36<a name="l00040"></a>00040         <span class="keywordtype">void</span> init ( ivec in_ids, Array&lt;std::string&gt; in_names, ivec in_sizes, ivec in_times, ivec in_obs );
37<a name="l00041"></a>00041 <span class="keyword">public</span>:
38<a name="l00043"></a>00043         <a class="code" href="classRV.html#6a22f5c06d6403870d4e414b1993bf9e" title="Empty constructor will be set later.">RV</a> ( ivec in_ids, Array&lt;std::string&gt; in_names, ivec in_sizes, ivec in_times, ivec in_obs );
39<a name="l00045"></a>00045         <a class="code" href="classRV.html#6a22f5c06d6403870d4e414b1993bf9e" title="Empty constructor will be set later.">RV</a> ( ivec ids );
40<a name="l00047"></a>00047         <a class="code" href="classRV.html#6a22f5c06d6403870d4e414b1993bf9e" title="Empty constructor will be set later.">RV</a> ();
41<a name="l00048"></a>00048
42<a name="l00050"></a>00050         <span class="keyword">friend</span> std::ostream &amp;<a class="code" href="classRV.html#cad6f15535d10437f6690cb4492176a8" title="Printing output e.g. for debugging.">operator&lt;&lt; </a>( std::ostream &amp;os, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv );
43<a name="l00051"></a>00051
44<a name="l00053"></a><a class="code" href="classRV.html#f5c7b8bd589eef09ccdf3329a0addea0">00053</a>         <span class="keywordtype">int</span> <a class="code" href="classRV.html#f5c7b8bd589eef09ccdf3329a0addea0" title="Return length (number of scalars) of the RV.">count</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classRV.html#0cae53d262be90a775a99a198e17fa58" title="size = sum of sizes">size</a>;} ;
45<a name="l00054"></a>00054
46<a name="l00055"></a>00055         <span class="comment">//TODO why not inline and later??</span>
47<a name="l00056"></a>00056
48<a name="l00058"></a>00058         ivec <a class="code" href="classRV.html#6b078b1086224aca3a9e5a203e647fb6" title="Find indexes of another rv in self.">find</a> ( <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rv2 );
49<a name="l00060"></a>00060         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <span class="keyword">add</span> (<span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv2 );
50<a name="l00062"></a>00062         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classRV.html#4c5ec5e913fc598e242cb930ae8bdf4a" title="Subtract another variable from the current one.">subt</a> ( <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rv2 );
51<a name="l00064"></a>00064         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classRV.html#2bf35b18a32aad419f0516273939628e" title="Select only variables at indeces ind.">subselect</a> ( ivec ind );
52<a name="l00066"></a>00066         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classRV.html#28bbcb8873bafdac317bafb7b481cc45" title="Select only variables at indeces ind.">operator() </a>( ivec ind );
53<a name="l00068"></a>00068         <span class="keywordtype">void</span> <a class="code" href="classRV.html#e0a158d53ab9430627241f844f4c9a60" title="Generate new RV with time shifted by delta.">t</a> ( <span class="keywordtype">int</span> delta );
54<a name="l00070"></a>00070         ivec <a class="code" href="classRV.html#8470cf53be6e7bdba78ad0efbd203ee7" title="generate a list of indeces, i.e. which">indexlist</a>();
55<a name="l00071"></a>00071 };
56<a name="l00072"></a>00072
57<a name="l00074"></a>00074
58<a name="l00075"></a><a class="code" href="classfnc.html">00075</a> <span class="keyword">class </span><a class="code" href="classfnc.html" title="Class representing function $f(x)$ of variable $x$ represented by rv.">fnc</a> {
59<a name="l00076"></a>00076 <span class="keyword">protected</span>:
60<a name="l00077"></a>00077         <span class="keywordtype">int</span> dimy;
61<a name="l00078"></a>00078 <span class="keyword">public</span>:
62<a name="l00080"></a><a class="code" href="classfnc.html#7fad2e6cb35909a165ec5a53def4a18c">00080</a>         <span class="keyword">virtual</span> vec <a class="code" href="classfnc.html#7fad2e6cb35909a165ec5a53def4a18c" title="function evaluates numerical value of $f(x)$ at $x=cond$">eval</a> ( <span class="keyword">const</span> vec &amp;cond ) {
63<a name="l00081"></a>00081                 <span class="keywordflow">return</span> vec ( 0 );
64<a name="l00082"></a>00082         }; <span class="comment">//Fixme: virtual?</span>
65<a name="l00083"></a>00083
66<a name="l00085"></a><a class="code" href="classfnc.html#a8891973d0ca48ce38e1886df45ca298">00085</a>         <span class="keywordtype">int</span> <a class="code" href="classfnc.html#a8891973d0ca48ce38e1886df45ca298" title="access function">_dimy</a>()<span class="keyword"> const</span>{<span class="keywordflow">return</span> dimy;}
67<a name="l00086"></a>00086
68<a name="l00088"></a><a class="code" href="classfnc.html#17164c202f6feee3d708b8caab6306ab">00088</a>         <span class="keyword">virtual</span> <a class="code" href="classfnc.html#17164c202f6feee3d708b8caab6306ab" title="Destructor for future use;.">~fnc</a>() {};
69<a name="l00089"></a>00089 };
70<a name="l00090"></a>00090
71<a name="l00091"></a>00091
72<a name="l00093"></a>00093
73<a name="l00094"></a><a class="code" href="classepdf.html">00094</a> <span class="keyword">class </span><a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> {
74<a name="l00095"></a>00095 <span class="keyword">protected</span>:
75<a name="l00096"></a>00096         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rv;
76<a name="l00097"></a>00097 <span class="keyword">public</span>:
77<a name="l00099"></a><a class="code" href="classepdf.html#d8eb760037b3bad5a0d64081606697cd">00099</a>         <a class="code" href="classepdf.html#d8eb760037b3bad5a0d64081606697cd" title="default constructor">epdf</a>() :rv ( ivec ( 0 ) ) {};
78<a name="l00100"></a>00100
79<a name="l00102"></a><a class="code" href="classepdf.html#c95b1a27a8dd9507bb9a5a3cb2809c7a">00102</a>         <a class="code" href="classepdf.html#d8eb760037b3bad5a0d64081606697cd" title="default constructor">epdf</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0 ) :rv ( rv0 ) {};
80<a name="l00103"></a>00103
81<a name="l00105"></a>00105 <span class="comment">//      virtual vec moment ( const int order = 1 );</span>
82<a name="l00107"></a>00107 <span class="comment"></span>        <span class="keyword">virtual</span> vec <a class="code" href="classepdf.html#7f74d871d50b9ff360f1b3879092a9fa" title="Returns the required moment of the epdf.">sample</a> () =0;
83<a name="l00109"></a><a class="code" href="classepdf.html#f333ceeb88ebc37d81fcd4cea4526bfc">00109</a>         <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classepdf.html#f333ceeb88ebc37d81fcd4cea4526bfc" title="Compute probability of argument val.">eval</a> ( <span class="keyword">const</span> vec &amp;val ) {<span class="keywordflow">return</span> 0.0;};
84<a name="l00110"></a>00110
85<a name="l00112"></a><a class="code" href="classepdf.html#113c76c61d20e3f2a24ba322a73dfc51">00112</a>         <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classepdf.html#113c76c61d20e3f2a24ba322a73dfc51" title="Compute log-probability of argument val.">evalpdflog</a> ( <span class="keyword">const</span> vec &amp;val ) {<span class="keywordflow">return</span> 0.0;};
86<a name="l00113"></a>00113
87<a name="l00115"></a>00115         <span class="keyword">virtual</span> vec <a class="code" href="classepdf.html#5b61fae74d370d2216576d598c1a74ef" title="return expected value">mean</a>()=0;
88<a name="l00116"></a>00116         
89<a name="l00118"></a><a class="code" href="classepdf.html#0a322dd106f04c0a2915e3d4f4227396">00118</a>         <span class="keyword">virtual</span> <a class="code" href="classepdf.html#0a322dd106f04c0a2915e3d4f4227396" title="Destructor for future use;.">~epdf</a>() {};
90<a name="l00119"></a>00119 };
91<a name="l00120"></a>00120
92<a name="l00121"></a>00121
93<a name="l00123"></a>00123 <span class="comment">//TODO Samplecond can be generalized</span>
94<a name="l00124"></a>00124
95<a name="l00125"></a><a class="code" href="classmpdf.html">00125</a> <span class="keyword">class </span><a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> {
96<a name="l00126"></a>00126 <span class="keyword">protected</span>:
97<a name="l00128"></a><a class="code" href="classmpdf.html#f6687c07ff07d47812dd565368ca59eb">00128</a>         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classmpdf.html#f6687c07ff07d47812dd565368ca59eb" title="modeled random variable">rv</a>;
98<a name="l00130"></a><a class="code" href="classmpdf.html#acb7dda792b3cd5576f39fa3129abbab">00130</a>         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classmpdf.html#acb7dda792b3cd5576f39fa3129abbab" title="random variable in condition">rvc</a>;
99<a name="l00132"></a><a class="code" href="classmpdf.html#7aa894208a32f3487827df6d5054424c">00132</a>         <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* <a class="code" href="classmpdf.html#7aa894208a32f3487827df6d5054424c" title="pointer to internal epdf">ep</a>;
100<a name="l00133"></a>00133 <span class="keyword">public</span>:
101<a name="l00134"></a>00134
102<a name="l00136"></a>00136 <span class="comment">//      virtual fnc moment ( const int order = 1 );</span>
103<a name="l00138"></a><a class="code" href="classmpdf.html#c20c796f8d0a201f0897299150e45a41">00138</a> <span class="comment"></span>        <span class="keyword">virtual</span> vec <a class="code" href="classmpdf.html#c20c796f8d0a201f0897299150e45a41" title="Returns the required moment of the epdf.">samplecond</a> ( vec &amp;cond, <span class="keywordtype">double</span> lik ) {<span class="keywordflow">return</span> vec ( 0 );};
104<a name="l00139"></a>00139
105<a name="l00140"></a>00140         <span class="keyword">virtual</span> <span class="keywordtype">void</span> condition ( <span class="keyword">const</span> vec &amp;cond ) {};
106<a name="l00141"></a>00141         
107<a name="l00142"></a>00142         <span class="keyword">virtual</span> <span class="keywordtype">double</span> evalcond (<span class="keyword">const</span> vec &amp;dt, <span class="keyword">const</span> vec &amp;cond ) {this-&gt;condition(cond);<span class="keywordflow">return</span> <a class="code" href="classmpdf.html#7aa894208a32f3487827df6d5054424c" title="pointer to internal epdf">ep</a>-&gt;<a class="code" href="classepdf.html#f333ceeb88ebc37d81fcd4cea4526bfc" title="Compute probability of argument val.">eval</a>(dt);};
108<a name="l00143"></a>00143
109<a name="l00145"></a><a class="code" href="classmpdf.html#6788be9f3a888796499c5293a318fcfb">00145</a>         <span class="keyword">virtual</span> <a class="code" href="classmpdf.html#6788be9f3a888796499c5293a318fcfb" title="Destructor for future use;.">~mpdf</a>() {};
110<a name="l00146"></a>00146
111<a name="l00148"></a><a class="code" href="classmpdf.html#581ecf362185d37c08bb31cb9d046d6f">00148</a>         <a class="code" href="classmpdf.html#581ecf362185d37c08bb31cb9d046d6f" title="Default constructor.">mpdf</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvc0 ) :<a class="code" href="classmpdf.html#f6687c07ff07d47812dd565368ca59eb" title="modeled random variable">rv</a> ( rv0 ),<a class="code" href="classmpdf.html#acb7dda792b3cd5576f39fa3129abbab" title="random variable in condition">rvc</a> ( rvc0 ) {};
112<a name="l00149"></a>00149 };
113<a name="l00150"></a>00150
114<a name="l00158"></a><a class="code" href="classDS.html">00158</a> <span class="keyword">class </span><a class="code" href="classDS.html" title="Abstract class for discrete-time sources of data.">DS</a> {
115<a name="l00159"></a>00159 <span class="keyword">protected</span>:
116<a name="l00161"></a><a class="code" href="classDS.html#1012025a1a3a1fdd24aa48698a3d3454">00161</a>         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classDS.html#1012025a1a3a1fdd24aa48698a3d3454" title="Observed variables, returned by getdata().">Drv</a>;
117<a name="l00163"></a><a class="code" href="classDS.html#0a88ffaeb3c7c2cf30c69bc41a000629">00163</a>         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classDS.html#0a88ffaeb3c7c2cf30c69bc41a000629" title="Action variables, accepted by write().">Urv</a>; <span class="comment">//</span>
118<a name="l00164"></a>00164 <span class="keyword">public</span>:
119<a name="l00166"></a>00166         <span class="keywordtype">void</span> <a class="code" href="classDS.html#db2dacc9e71a36eeb9c5c2ee402eeeb1" title="Returns full vector of observed data.">getdata</a> ( vec &amp;dt );
120<a name="l00168"></a>00168         <span class="keywordtype">void</span> <a class="code" href="classDS.html#db2dacc9e71a36eeb9c5c2ee402eeeb1" title="Returns full vector of observed data.">getdata</a> ( vec &amp;dt, ivec &amp;indeces );
121<a name="l00170"></a>00170         <span class="keywordtype">void</span> <a class="code" href="classDS.html#0dfb6788b70c0d48a1f5276ed6c93039" title="Accepts action variable and schedule it for application.">write</a> ( vec &amp;ut );
122<a name="l00172"></a>00172         <span class="keywordtype">void</span> <a class="code" href="classDS.html#0dfb6788b70c0d48a1f5276ed6c93039" title="Accepts action variable and schedule it for application.">write</a> ( vec &amp;ut, ivec &amp;indeces );
123<a name="l00178"></a>00178         <span class="keywordtype">void</span> <a class="code" href="classDS.html#9a35ca9c9321dce2bf63bf668f785b75" title="Method that assigns random variables to the datasource. Typically, the datasource...">linkrvs</a> ( <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;drv, <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;urv );
124<a name="l00179"></a>00179
125<a name="l00181"></a>00181         <span class="keywordtype">void</span> <a class="code" href="classDS.html#470ba89e8e7c3c4d830803221b4e9be6" title="Moves from $t$ to $t+1$, i.e. perfroms the actions and reads response of the system...">step</a>();
126<a name="l00182"></a>00182
127<a name="l00183"></a>00183 };
128<a name="l00184"></a>00184
129<a name="l00189"></a><a class="code" href="classBM.html">00189</a> <span class="keyword">class </span><a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> {
130<a name="l00190"></a>00190 <span class="keyword">protected</span>:
131<a name="l00192"></a><a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88">00192</a>         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>;
132<a name="l00194"></a><a class="code" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">00194</a>  <span class="keywordtype">double</span> <a class="code" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979" title="Logarithm of marginalized data likelihood.">ll</a>;
133<a name="l00196"></a><a class="code" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">00196</a>         <span class="keywordtype">bool</span> <a class="code" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>;
134<a name="l00197"></a>00197 <span class="keyword">public</span>:
135<a name="l00198"></a>00198
136<a name="l00200"></a><a class="code" href="classBM.html#605d28b426adb677c86a57ddb525132a">00200</a>         <a class="code" href="classBM.html#605d28b426adb677c86a57ddb525132a" title="Default constructor.">BM</a>(<span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0) :<a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>(rv0), <a class="code" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979" title="Logarithm of marginalized data likelihood.">ll</a> ( 0 ),<a class="code" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a> ( true ) {<span class="comment">//Fixme: test rv </span>
137<a name="l00201"></a>00201         };
138<a name="l00202"></a>00202
139<a name="l00206"></a>00206         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classBM.html#a892eff438aab2dd1a9e2efcb7fb5bdf" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) = 0;
140<a name="l00208"></a>00208         <span class="keywordtype">void</span> <a class="code" href="classBM.html#a892eff438aab2dd1a9e2efcb7fb5bdf" title="Incremental Bayes rule.">bayes</a> ( mat Dt );
141<a name="l00210"></a>00210         <span class="keyword">virtual</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classBM.html#3dc45554556926bde996a267636abe55" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>()=0;
142<a name="l00211"></a>00211
143<a name="l00213"></a><a class="code" href="classBM.html#ca0f02b3b4144e0895cc14f7e0374bdd">00213</a>         <span class="keyword">virtual</span> <a class="code" href="classBM.html#ca0f02b3b4144e0895cc14f7e0374bdd" title="Destructor for future use;.">~BM</a>() {};
144<a name="l00214"></a>00214 };
145<a name="l00215"></a>00215
146<a name="l00225"></a><a class="code" href="classBMcond.html">00225</a> <span class="keyword">class </span><a class="code" href="classBMcond.html" title="Conditional Bayesian Filter.">BMcond</a> {
147<a name="l00226"></a>00226 <span class="keyword">protected</span>:
148<a name="l00227"></a>00227         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rvc;
149<a name="l00228"></a>00228 <span class="keyword">public</span>:
150<a name="l00230"></a>00230         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classBMcond.html#3543cfe274c35f9033c24d8036a96c4d" title="Substitute val for rvc.">condition</a> ( <span class="keyword">const</span> vec &amp;val ) =0;
151<a name="l00231"></a>00231         <span class="keyword">virtual</span> ~<a class="code" href="classBMcond.html" title="Conditional Bayesian Filter.">BMcond</a>(){};
152<a name="l00232"></a>00232 };
153<a name="l00233"></a>00233
154<a name="l00234"></a>00234 <span class="preprocessor">#endif // BM_H</span>
155</pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:40 2008 for mixpp by&nbsp;
156<a href="http://www.doxygen.org/index.html">
157<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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