root/doc/xml/arx__test_8cpp.xml @ 235

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1<?xml version='1.0' encoding='UTF-8' standalone='no'?>
2<doxygen xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="compound.xsd" version="1.5.6">
3  <compounddef id="arx__test_8cpp" kind="file">
4    <compoundname>arx_test.cpp</compoundname>
5    <includes refid="arx_8h" local="no">estim/arx.h</includes>
6    <includes refid="libEF_8h" local="no">stat/libEF.h</includes>
7    <incdepgraph>
8      <node id="810">
9        <label>libBM.h</label>
10        <link refid="libBM_8h"/>
11        <childnode refid="808" relation="include">
12        </childnode>
13      </node>
14      <node id="813">
15        <label>../itpp_ext.h</label>
16        <link refid="itpp__ext_8h-source"/>
17        <childnode refid="808" relation="include">
18        </childnode>
19      </node>
20      <node id="811">
21        <label>../stat/libEF.h</label>
22        <link refid="libEF_8h"/>
23        <childnode refid="808" relation="include">
24        </childnode>
25        <childnode refid="812" relation="include">
26        </childnode>
27        <childnode refid="810" relation="include">
28        </childnode>
29        <childnode refid="813" relation="include">
30        </childnode>
31      </node>
32      <node id="807">
33        <label>estim/arx.h</label>
34        <link refid="arx_8h"/>
35        <childnode refid="808" relation="include">
36        </childnode>
37        <childnode refid="809" relation="include">
38        </childnode>
39        <childnode refid="811" relation="include">
40        </childnode>
41      </node>
42      <node id="809">
43        <label>../stat/libFN.h</label>
44        <link refid="libFN_8h-source"/>
45        <childnode refid="808" relation="include">
46        </childnode>
47        <childnode refid="810" relation="include">
48        </childnode>
49      </node>
50      <node id="808">
51        <label>itpp/itbase.h</label>
52      </node>
53      <node id="806">
54        <label>work/git/mixpp/tests/arx_test.cpp</label>
55        <link refid="arx_test.cpp"/>
56        <childnode refid="807" relation="include">
57        </childnode>
58        <childnode refid="811" relation="include">
59        </childnode>
60      </node>
61      <node id="812">
62        <label>../math/libDC.h</label>
63        <link refid="libDC_8h"/>
64        <childnode refid="808" relation="include">
65        </childnode>
66      </node>
67    </incdepgraph>
68      <sectiondef kind="func">
69      <memberdef kind="function" id="arx__test_8cpp_1e66f6b31b5ad750f1fe042a706a4e3d4" prot="public" static="no" const="no" explicit="no" inline="no" virt="non-virtual">
70        <type>int</type>
71        <definition>int main</definition>
72        <argsstring>()</argsstring>
73        <name>main</name>
74        <briefdescription>
75        </briefdescription>
76        <detaileddescription>
77        </detaileddescription>
78        <inbodydescription>
79        </inbodydescription>
80        <location file="/home/smidl/work/git/mixpp/tests/arx_test.cpp" line="9" bodyfile="/home/smidl/work/git/mixpp/tests/arx_test.cpp" bodystart="9" bodyend="44"/>
81      </memberdef>
82      </sectiondef>
83    <briefdescription>
84    </briefdescription>
85    <detaileddescription>
86    </detaileddescription>
87    <programlisting>
88<codeline lineno="1"><highlight class="preprocessor">#include<sp/>&lt;<ref refid="arx_8h" kindref="compound" tooltip="Bayesian Filtering for generalized autoregressive (ARX) model.">estim/arx.h</ref>&gt;</highlight><highlight class="normal"></highlight></codeline>
89<codeline lineno="2"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>&lt;<ref refid="libEF_8h" kindref="compound" tooltip="Probability distributions for Exponential Family models.">stat/libEF.h</ref>&gt;</highlight><highlight class="normal"></highlight></codeline>
90<codeline lineno="3"><highlight class="normal"></highlight><highlight class="keyword">using<sp/>namespace<sp/></highlight><highlight class="normal">itpp;</highlight></codeline>
91<codeline lineno="4"><highlight class="normal"></highlight></codeline>
92<codeline lineno="5"><highlight class="normal"></highlight><highlight class="comment">//These<sp/>lines<sp/>are<sp/>needed<sp/>for<sp/>use<sp/>of<sp/>cout<sp/>and<sp/>endl</highlight><highlight class="normal"></highlight></codeline>
93<codeline lineno="6"><highlight class="normal"></highlight><highlight class="keyword">using</highlight><highlight class="normal"><sp/>std::cout;</highlight></codeline>
94<codeline lineno="7"><highlight class="normal"></highlight><highlight class="keyword">using</highlight><highlight class="normal"><sp/>std::endl;</highlight></codeline>
95<codeline lineno="8"><highlight class="normal"></highlight></codeline>
96<codeline lineno="9"><highlight class="normal"></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/><ref refid="sim__var_8cpp_1e66f6b31b5ad750f1fe042a706a4e3d4" kindref="member" tooltip="Extended Kalman filter with unknown Q.">main</ref>()<sp/>{</highlight></codeline>
97<codeline lineno="10"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>Setup<sp/>model</highlight><highlight class="normal"></highlight></codeline>
98<codeline lineno="11"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>th(</highlight><highlight class="stringliteral">&quot;0.8<sp/>-0.3<sp/>0.4<sp/>0.01&quot;</highlight><highlight class="normal">);</highlight></codeline>
99<codeline lineno="12"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>ord=th.length();</highlight></codeline>
100<codeline lineno="13"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>sqr=1;</highlight></codeline>
101<codeline lineno="14"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
102<codeline lineno="15"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//Test<sp/>constructor</highlight><highlight class="normal"></highlight></codeline>
103<codeline lineno="16"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>V0<sp/>=<sp/>0.001*eye(ord+1);<sp/>V0(0.0)*=<sp/>10;<sp/></highlight><highlight class="comment">//</highlight><highlight class="normal"></highlight></codeline>
104<codeline lineno="17"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>nu0<sp/>=<sp/>ord+1;</highlight></codeline>
105<codeline lineno="18"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
106<codeline lineno="19"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classRV" kindref="compound" tooltip="Class representing variables, most often random variables.">RV</ref><sp/>thr(</highlight><highlight class="stringliteral">&quot;{theta_and_r<sp/>}&quot;</highlight><highlight class="normal">);</highlight></codeline>
107<codeline lineno="20"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classARX" kindref="compound" tooltip="Linear Autoregressive model with Gaussian noise.">ARX</ref><sp/>Ar(thr,<sp/>V0,<sp/>nu0);</highlight></codeline>
108<codeline lineno="21"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classepdf" kindref="compound" tooltip="Probability density function with numerical statistics, e.g. posterior density.">epdf</ref>&amp;<sp/>Ar_ep<sp/>=<sp/>Ar._epdf();</highlight></codeline>
109<codeline lineno="22"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
110<codeline lineno="23"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//Test<sp/>estimation</highlight><highlight class="normal"></highlight></codeline>
111<codeline lineno="24"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>ndat<sp/>=<sp/>1000;</highlight></codeline>
112<codeline lineno="25"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>t,j;</highlight></codeline>
113<codeline lineno="26"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>Yt(ndat);</highlight></codeline>
114<codeline lineno="27"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>LL(ndat);</highlight></codeline>
115<codeline lineno="28"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Yt.set_subvector(0,randn(ord));<sp/></highlight><highlight class="comment">//initial<sp/>values</highlight><highlight class="normal"></highlight></codeline>
116<codeline lineno="29"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>rgr(ord);</highlight></codeline>
117<codeline lineno="30"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
118<codeline lineno="31"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>cout<sp/>&lt;&lt;<sp/>Ar_ep.<ref refid="classepdf_1bf0a070a8f3e67a93604ca724638b870" kindref="member" tooltip="return expected value">mean</ref>()&lt;&lt;endl;</highlight></codeline>
119<codeline lineno="32"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal"><sp/>(t=ord;<sp/>t&lt;ndat;<sp/>t++)<sp/>{</highlight></codeline>
120<codeline lineno="33"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal">(j=0;j&lt;(ord);j++){rgr(j)=Yt(t-j-1);}</highlight></codeline>
121<codeline lineno="34"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Yt(t)<sp/>=<sp/>th*rgr<sp/>+<sp/>sqr<sp/>*<sp/>NorRNG();</highlight></codeline>
122<codeline lineno="35"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
123<codeline lineno="36"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>Psi<sp/>=<sp/>concat(Yt(t),<sp/>rgr);</highlight></codeline>
124<codeline lineno="37"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Ar.bayes(Psi);</highlight></codeline>
125<codeline lineno="38"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>LL(t)<sp/>=<sp/>Ar._ll();</highlight></codeline>
126<codeline lineno="39"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
127<codeline lineno="40"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>cout<sp/>&lt;&lt;<sp/>Ar_ep.<ref refid="classepdf_1bf0a070a8f3e67a93604ca724638b870" kindref="member" tooltip="return expected value">mean</ref>()&lt;&lt;endl;</highlight></codeline>
128<codeline lineno="41"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
129<codeline lineno="42"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>Test<sp/>brute-froce<sp/>structure<sp/>estimation</highlight><highlight class="normal"></highlight></codeline>
130<codeline lineno="43"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>cout<sp/>&lt;&lt;<sp/>Ar.structure_est(<ref refid="classegiw" kindref="compound" tooltip="Gauss-inverse-Wishart density stored in LD form.">egiw</ref>(thr,V0,nu0))<sp/>&lt;&lt;endl;</highlight></codeline>
131<codeline lineno="44"><highlight class="normal">}</highlight></codeline>
132    </programlisting>
133    <location file="/home/smidl/work/git/mixpp/tests/arx_test.cpp"/>
134  </compounddef>
135</doxygen>
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