[8] | 1 | /*! |
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| 2 | \file |
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| 3 | \brief Probability distributions for Exponential Family models. |
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| 4 | \author Vaclav Smidl. |
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| 5 | |
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| 6 | ----------------------------------- |
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| 7 | BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
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| 8 | |
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| 9 | Using IT++ for numerical operations |
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| 10 | ----------------------------------- |
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| 11 | */ |
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| 12 | |
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| 13 | #ifndef EF_H |
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| 14 | #define EF_H |
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| 15 | |
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| 16 | #include <itpp/itbase.h> |
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[12] | 17 | #include "libDC.h" |
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| 18 | #include "libBM.h" |
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[8] | 19 | //#include <std> |
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| 20 | |
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| 21 | using namespace itpp; |
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| 22 | |
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| 23 | /*! |
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| 24 | * \brief General conjugate exponential family posterior density. |
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| 25 | |
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| 26 | * More?... |
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| 27 | */ |
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[12] | 28 | class eEF : public epdf { |
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[8] | 29 | |
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| 30 | public: |
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[12] | 31 | virtual void tupdate( double phi, mat &vbar, double nubar ) {}; |
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| 32 | virtual void dupdate( mat &v,double nu=1.0 ) {}; |
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[8] | 33 | }; |
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| 34 | |
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[12] | 35 | class mEF : public mpdf { |
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[8] | 36 | |
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| 37 | public: |
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| 38 | |
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| 39 | }; |
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| 40 | |
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| 41 | /*! |
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| 42 | * \brief General exponential family density |
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| 43 | |
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| 44 | * More?... |
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| 45 | */ |
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| 46 | template<class sq_T> |
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| 47 | class enorm : public eEF { |
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[12] | 48 | int dim; |
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[8] | 49 | vec mu; |
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| 50 | sq_T R; |
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| 51 | public: |
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| 52 | enorm( RV &rv, vec &mu, sq_T &R ); |
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| 53 | enorm(); |
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| 54 | void tupdate( double phi, mat &vbar, double nubar ); |
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| 55 | void dupdate( mat &v,double nu=1.0 ); |
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| 56 | vec sample(); |
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[12] | 57 | mat sample(int N); |
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[8] | 58 | double eval( const vec &val ); |
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[12] | 59 | Normal_RNG RNG; |
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[8] | 60 | }; |
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| 61 | |
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| 62 | /*! |
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| 63 | \brief |
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| 64 | */ |
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| 65 | template<class sq_T> |
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| 66 | class mlnorm : public mEF { |
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| 67 | enorm<sq_T> epdf; |
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| 68 | mat A; |
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| 69 | public: |
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| 70 | //! Constructor |
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| 71 | mlnorm( RV &rv,RV &rvc, mat &A, sq_T &R ); |
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| 72 | //!Generate one sample of the posterior |
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| 73 | vec samplecond( vec &cond, double &lik ); |
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| 74 | mat samplecond( vec &cond, vec &lik, int n ); |
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| 75 | void condition( vec &cond ); |
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| 76 | }; |
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| 77 | |
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| 78 | //////////////////////// |
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| 79 | |
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| 80 | template<class sq_T> |
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| 81 | enorm<sq_T>::enorm( RV &rv, vec &mu0, sq_T &R0 ) { |
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[12] | 82 | dim = rv.count(); |
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[8] | 83 | mu = mu0; |
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| 84 | R = R0; |
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| 85 | }; |
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| 86 | |
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| 87 | template<class sq_T> |
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| 88 | void enorm<sq_T>::dupdate( mat &v, double nu ) { |
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| 89 | // |
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| 90 | }; |
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| 91 | |
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| 92 | template<class sq_T> |
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| 93 | void enorm<sq_T>::tupdate( double phi, mat &vbar, double nubar ) { |
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| 94 | // |
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| 95 | }; |
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| 96 | |
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| 97 | template<class sq_T> |
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| 98 | vec enorm<sq_T>::sample() { |
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[12] | 99 | vec x( dim ); |
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| 100 | RNG.sample_vector( dim,x ); |
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| 101 | vec smp = R.sqrt_mult( x ); |
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| 102 | |
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| 103 | smp += mu; |
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| 104 | return smp; |
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[8] | 105 | }; |
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| 106 | |
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| 107 | template<class sq_T> |
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[12] | 108 | mat enorm<sq_T>::sample( int N ) { |
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| 109 | mat X( dim,N ); |
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| 110 | vec x( dim ); |
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| 111 | vec pom; |
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| 112 | int i; |
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| 113 | for ( i=0;i<N;i++ ) { |
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| 114 | RNG.sample_vector( dim,x ); |
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| 115 | pom = R.sqrt_mult( x ); |
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| 116 | pom +=mu; |
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| 117 | X.set_col( i, pom); |
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| 118 | } |
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| 119 | return X; |
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| 120 | }; |
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| 121 | |
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| 122 | template<class sq_T> |
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[8] | 123 | double enorm<sq_T>::eval( const vec &val ) { |
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| 124 | // |
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| 125 | }; |
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| 126 | |
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| 127 | |
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| 128 | template<class sq_T> |
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| 129 | enorm<sq_T>::enorm() {}; |
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| 130 | |
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| 131 | template<class sq_T> |
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| 132 | mlnorm<sq_T>::mlnorm( RV &rv,RV &rvc, mat &A, sq_T &R ) { |
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[12] | 133 | int dim = rv.count(); |
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[8] | 134 | vec mu( dim ); |
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| 135 | |
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| 136 | epdf = enorm<sq_T>( rv,mu,R ); |
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| 137 | } |
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| 138 | |
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| 139 | template<class sq_T> |
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| 140 | vec mlnorm<sq_T>::samplecond( vec &cond, double &lik ) { |
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| 141 | this->condition( cond ); |
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| 142 | vec smp = epdf.sample(); |
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[12] | 143 | lik = epdf.eval( smp ); |
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[8] | 144 | return smp; |
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| 145 | } |
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| 146 | |
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| 147 | template<class sq_T> |
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| 148 | mat mlnorm<sq_T>::samplecond( vec &cond, vec &lik, int n ) { |
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| 149 | int i; |
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[12] | 150 | int dim = rv.count(); |
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[8] | 151 | mat Smp( dim,n ); |
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[12] | 152 | vec smp( dim ); |
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[8] | 153 | this->condition( cond ); |
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| 154 | for ( i=0; i<dim; i++ ) { |
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| 155 | smp = epdf.sample(); |
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[12] | 156 | lik( i ) = epdf.eval( smp ); |
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| 157 | Smp.set_col( i ,smp ); |
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[8] | 158 | } |
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| 159 | return Smp; |
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| 160 | } |
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| 161 | |
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| 162 | template<class sq_T> |
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[12] | 163 | void mlnorm<sq_T>::condition( vec &cond ) { |
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| 164 | epdf.mu = A*cond; |
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| 165 | //R is already assigned; |
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[8] | 166 | } |
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| 167 | |
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| 168 | #endif //EF_H |
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