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1\hypertarget{classARX}{
2\section{ARX Class Reference}
3\label{classARX}\index{ARX@{ARX}}
4}
5Linear Autoregressive model with Gaussian noise. 
6
7
8{\tt \#include $<$arx.h$>$}
9
10Inheritance diagram for ARX:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=43pt]{classARX__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for ARX:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=96pt]{classARX__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
27\hypertarget{classARX_545e269bf7852c81484cf361b54d9917}{
28\hyperlink{classARX_545e269bf7852c81484cf361b54d9917}{ARX} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}, const mat \&V0, const double \&nu0, const double frg0=1.0)}
29\label{classARX_545e269bf7852c81484cf361b54d9917}
30
31\begin{CompactList}\small\item\em Full constructor. \item\end{CompactList}\item 
32\hypertarget{classARX_a5358883a49b52f50755ad8770c2bbdb}{
33\hyperlink{classARX_a5358883a49b52f50755ad8770c2bbdb}{ARX} (const \hyperlink{classARX}{ARX} \&A0)}
34\label{classARX_a5358883a49b52f50755ad8770c2bbdb}
35
36\begin{CompactList}\small\item\em Copy constructor. \item\end{CompactList}\item 
37\hypertarget{classARX_d2751057811c6fb8f4ff86e1648bcddc}{
38\hyperlink{classBM}{BM} $\ast$ \hyperlink{classARX_d2751057811c6fb8f4ff86e1648bcddc}{\_\-copy\_\-} (bool changerv=false)}
39\label{classARX_d2751057811c6fb8f4ff86e1648bcddc}
40
41\begin{CompactList}\small\item\em Auxiliary function. \item\end{CompactList}\item 
42\hypertarget{classARX_bc8c36399e82b2fc504baed845ed2007}{
43void \hyperlink{classARX_bc8c36399e82b2fc504baed845ed2007}{set\_\-parameters} (const \hyperlink{classldmat}{ldmat} \&V0, const double \&nu0)}
44\label{classARX_bc8c36399e82b2fc504baed845ed2007}
45
46\begin{CompactList}\small\item\em Set sufficient statistics. \item\end{CompactList}\item 
47\hypertarget{classARX_26925d66dfc366815c497d67b62ee49c}{
48void \hyperlink{classARX_26925d66dfc366815c497d67b62ee49c}{set\_\-statistics} (const \hyperlink{classBMEF}{BMEF} $\ast$BM0)}
49\label{classARX_26925d66dfc366815c497d67b62ee49c}
50
51\begin{CompactList}\small\item\em get statistics from another model \item\end{CompactList}\item 
52\hypertarget{classARX_29f55b43b8b6f5c4a55f6176aa85c494}{
53void \hyperlink{classARX_29f55b43b8b6f5c4a55f6176aa85c494}{get\_\-parameters} (mat \&V0, double \&nu0)}
54\label{classARX_29f55b43b8b6f5c4a55f6176aa85c494}
55
56\begin{CompactList}\small\item\em Returns sufficient statistics. \item\end{CompactList}\item 
57\hypertarget{classARX_14d62abfe355275ea3b8d0c5d40f01a0}{
58void \hyperlink{classARX_14d62abfe355275ea3b8d0c5d40f01a0}{bayes} (const vec \&dt, const double w)}
59\label{classARX_14d62abfe355275ea3b8d0c5d40f01a0}
60
61\begin{CompactList}\small\item\em Here $dt = [y_t psi_t] $. \item\end{CompactList}\item 
62void \hyperlink{classARX_ba82c956ca893826811aefe1e4af465d}{bayes} (const vec \&dt)
63\begin{CompactList}\small\item\em Incremental Bayes rule. \item\end{CompactList}\item 
64\hypertarget{classARX_c13df43e0af87697fda6b457d56a6d45}{
65const \hyperlink{classepdf}{epdf} \& \hyperlink{classARX_c13df43e0af87697fda6b457d56a6d45}{\_\-epdf} () const }
66\label{classARX_c13df43e0af87697fda6b457d56a6d45}
67
68\begin{CompactList}\small\item\em Returns a pointer to the \hyperlink{classepdf}{epdf} representing posterior density on parameters. Use with care! \item\end{CompactList}\item 
69double \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{logpred} (const vec \&dt) const
70\item 
71\hypertarget{classARX_365092d4fd1ab769fcf62bf28f364fab}{
72void \hyperlink{classARX_365092d4fd1ab769fcf62bf28f364fab}{flatten} (\hyperlink{classBMEF}{BMEF} $\ast$B)}
73\label{classARX_365092d4fd1ab769fcf62bf28f364fab}
74
75\begin{CompactList}\small\item\em Flatten the posterior. \item\end{CompactList}\item 
76ivec \hyperlink{classARX_130bb7336aac681ce14b027b8f1409fa}{structure\_\-est} (\hyperlink{classegiw}{egiw} Eg0)
77\begin{CompactList}\small\item\em Brute force structure estimation. \item\end{CompactList}\item 
78\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
79virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
80\label{classBM_0186270f75189677f390fe088a9947e9}
81
82\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
83\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{
84const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const }
85\label{classBM_126bd2595c48e311fc2a7ab72876092a}
86
87\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
88\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{
89double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const }
90\label{classBM_87f4a547d2c29180be88175e5eab9c88}
91
92\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
93\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{
94void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)}
95\label{classBM_1ffa9f23669aabecc3760c06c6987522}
96
97\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
98\subsection*{Protected Attributes}
99\begin{CompactItemize}
100\item 
101\hypertarget{classARX_691d023662beffa1dda611b416c0e27e}{
102\hyperlink{classegiw}{egiw} \hyperlink{classARX_691d023662beffa1dda611b416c0e27e}{est}}
103\label{classARX_691d023662beffa1dda611b416c0e27e}
104
105\begin{CompactList}\small\item\em Posterior estimate of $\theta,r$ in the form of Normal-inverse Wishart density. \item\end{CompactList}\item 
106\hypertarget{classARX_2291297861dd74ca0175a01f910a0ef7}{
107\hyperlink{classldmat}{ldmat} \& \hyperlink{classARX_2291297861dd74ca0175a01f910a0ef7}{V}}
108\label{classARX_2291297861dd74ca0175a01f910a0ef7}
109
110\begin{CompactList}\small\item\em cached value of est.V \item\end{CompactList}\item 
111\hypertarget{classARX_a4182c281098b2d86b62518a7493d9be}{
112double \& \hyperlink{classARX_a4182c281098b2d86b62518a7493d9be}{nu}}
113\label{classARX_a4182c281098b2d86b62518a7493d9be}
114
115\begin{CompactList}\small\item\em cached value of est.nu \item\end{CompactList}\item 
116\hypertarget{classBMEF_538d632e59f9afa8daa1de74da12ce71}{
117double \hyperlink{classBMEF_538d632e59f9afa8daa1de74da12ce71}{frg}}
118\label{classBMEF_538d632e59f9afa8daa1de74da12ce71}
119
120\begin{CompactList}\small\item\em forgetting factor \item\end{CompactList}\item 
121\hypertarget{classBMEF_308cf5d4133cd471fdf1ecd5dfa09d02}{
122double \hyperlink{classBMEF_308cf5d4133cd471fdf1ecd5dfa09d02}{last\_\-lognc}}
123\label{classBMEF_308cf5d4133cd471fdf1ecd5dfa09d02}
124
125\begin{CompactList}\small\item\em cached value of lognc() in the previous step (used in evaluation of {\tt ll} ) \item\end{CompactList}\item 
126\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
127\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
128\label{classBM_af00f0612fabe66241dd507188cdbf88}
129
130\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
131\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
132double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
133\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
134
135\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
136\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
137bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
138\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
139
140\begin{CompactList}\small\item\em If true, the filter will compute likelihood of the data record and store it in {\tt ll} . Set to false if you want to save computational time. \item\end{CompactList}\end{CompactItemize}
141
142
143\subsection{Detailed Description}
144Linear Autoregressive model with Gaussian noise.
145
146Regression of the following kind: \[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \] where unknown parameters {\tt rv} are $[\theta r]$, regression vector $\psi=\psi(y_{1:t},u_{1:t})$ is a known function of past outputs and exogeneous variables $u_t$. Distrubances $e_t$ are supposed to be normally distributed: \[ e_t \sim \mathcal{N}(0,1). \]
147
148Extension for time-variant parameters $\theta_t,r_t$ may be achived using exponential forgetting (Kulhavy and Zarrop, 1993). In such a case, the forgetting factor {\tt frg} $\in <0,1>$ should be given in the constructor. Time-invariant parameters are estimated for {\tt frg} = 1.
149
150\subsection{Member Function Documentation}
151\hypertarget{classARX_ba82c956ca893826811aefe1e4af465d}{
152\index{ARX@{ARX}!bayes@{bayes}}
153\index{bayes@{bayes}!ARX@{ARX}}
154\subsubsection[bayes]{\setlength{\rightskip}{0pt plus 5cm}void ARX::bayes (const vec \& {\em dt})\hspace{0.3cm}{\tt  \mbox{[}inline, virtual\mbox{]}}}}
155\label{classARX_ba82c956ca893826811aefe1e4af465d}
156
157
158Incremental Bayes rule.
159
160\begin{Desc}
161\item[Parameters:]
162\begin{description}
163\item[{\em dt}]vector of input data \end{description}
164\end{Desc}
165
166
167Reimplemented from \hyperlink{classBMEF_52b7719312d545215cca1ff87722a35a}{BMEF}.
168
169References bayes().\hypertarget{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{
170\index{ARX@{ARX}!logpred@{logpred}}
171\index{logpred@{logpred}!ARX@{ARX}}
172\subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}double ARX::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt  \mbox{[}virtual\mbox{]}}}}
173\label{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}
174
175
176Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
177
178Reimplemented from \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{BM}.
179
180References egiw::\_\-nu(), egiw::\_\-V(), est, BM::evalll, BMEF::frg, BMEF::last\_\-lognc, egiw::lognc(), nu, ldmat::opupdt(), egiw::pow(), and V.\hypertarget{classARX_130bb7336aac681ce14b027b8f1409fa}{
181\index{ARX@{ARX}!structure\_\-est@{structure\_\-est}}
182\index{structure\_\-est@{structure\_\-est}!ARX@{ARX}}
183\subsubsection[structure\_\-est]{\setlength{\rightskip}{0pt plus 5cm}ivec ARX::structure\_\-est ({\bf egiw} {\em Eg0})}}
184\label{classARX_130bb7336aac681ce14b027b8f1409fa}
185
186
187Brute force structure estimation.
188
189\begin{Desc}
190\item[Returns:]indeces of accepted regressors. \end{Desc}
191
192
193References RV::count(), est, egiw::lognc(), and BM::rv.
194
195The documentation for this class was generated from the following files:\begin{CompactItemize}
196\item 
197work/git/mixpp/bdm/estim/\hyperlink{arx_8h}{arx.h}\item 
198work/git/mixpp/bdm/estim/arx.cpp\end{CompactItemize}
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