[2] | 1 | /*! |
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[5] | 2 | \file |
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[508] | 3 | \brief Basic structures of probability calculus: random variables, probability densities, Bayes rule |
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[5] | 4 | \author Vaclav Smidl. |
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[2] | 5 | |
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[5] | 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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[384] | 13 | #ifndef BDMBASE_H |
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| 14 | #define BDMBASE_H |
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[2] | 15 | |
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[351] | 16 | #include <map> |
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[263] | 17 | |
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[190] | 18 | #include "../itpp_ext.h" |
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[357] | 19 | #include "../bdmroot.h" |
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[461] | 20 | #include "../shared_ptr.h" |
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[384] | 21 | #include "user_info.h" |
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[2] | 22 | |
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[340] | 23 | using namespace libconfig; |
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[270] | 24 | using namespace itpp; |
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| 25 | using namespace std; |
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[2] | 26 | |
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[488] | 27 | namespace bdm |
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| 28 | { |
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[340] | 29 | |
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[270] | 30 | typedef std::map<string, int> RVmap; |
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[536] | 31 | //! Internal global variable storing sizes of RVs |
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[270] | 32 | extern ivec RV_SIZES; |
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[536] | 33 | //! Internal global variable storing names of RVs |
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[270] | 34 | extern Array<string> RV_NAMES; |
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| 35 | |
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[422] | 36 | //! Structure of RV, i.e. RVs expanded into a flat list of IDs, used for debugging. |
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[488] | 37 | class str |
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| 38 | { |
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| 39 | public: |
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| 40 | //! vector id ids (non-unique!) |
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| 41 | ivec ids; |
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| 42 | //! vector of times |
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| 43 | ivec times; |
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| 44 | //!Default constructor |
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| 45 | str (ivec ids0, ivec times0) : ids (ids0), times (times0) { |
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[565] | 46 | bdm_assert_debug (times0.length() == ids0.length(), "Incompatible input"); |
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[488] | 47 | }; |
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[270] | 48 | }; |
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[145] | 49 | |
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[270] | 50 | /*! |
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| 51 | * \brief Class representing variables, most often random variables |
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[5] | 52 | |
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[270] | 53 | The purpose of this class is to decribe a vector of data. Such description is used for connecting various vectors between each other, see class datalink. |
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[32] | 54 | |
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[270] | 55 | The class is implemented using global variables to assure uniqueness of description: |
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[2] | 56 | |
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[270] | 57 | In is a vector |
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| 58 | \dot |
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| 59 | digraph datalink { |
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| 60 | rankdir=LR; |
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| 61 | subgraph cluster0 { |
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| 62 | node [shape=record]; |
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| 63 | label = "RV_MAP \n std::map<string,int>"; |
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| 64 | map [label="{{\"a\"| \"b\" | \"c\"} | {<3> 3 |<1> 1|<2> 2}}"]; |
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| 65 | color = "white" |
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| 66 | } |
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| 67 | subgraph cluster1{ |
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| 68 | node [shape=record]; |
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| 69 | label = "RV_NAMES"; |
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| 70 | names [label="{<1> \"b\" | <2> \"c\" | <3>\"a\" }"]; |
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| 71 | color = "white" |
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| 72 | } |
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| 73 | subgraph cluster2{ |
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| 74 | node [shape=record]; |
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| 75 | label = "RV_SIZES"; |
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| 76 | labelloc = b; |
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| 77 | sizes [label="{<1>1 |<2> 4 |<3> 1}"]; |
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| 78 | color = "white" |
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| 79 | } |
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| 80 | map:1 -> names:1; |
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| 81 | map:1 -> sizes:1; |
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| 82 | map:3 -> names:3; |
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| 83 | map:3 -> sizes:3; |
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| 84 | } |
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| 85 | \enddot |
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| 86 | */ |
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[32] | 87 | |
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[488] | 88 | class RV : public root |
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| 89 | { |
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| 90 | protected: |
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| 91 | //! size of the data vector |
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| 92 | int dsize; |
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| 93 | //! number of individual rvs |
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| 94 | int len; |
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| 95 | //! Vector of unique IDs |
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| 96 | ivec ids; |
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| 97 | //! Vector of shifts from current time |
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| 98 | ivec times; |
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[5] | 99 | |
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[488] | 100 | private: |
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| 101 | //! auxiliary function used in constructor |
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| 102 | void init (const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times); |
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| 103 | int init (const string &name, int size); |
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| 104 | public: |
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| 105 | //! \name Constructors |
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| 106 | //!@{ |
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[271] | 107 | |
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[488] | 108 | //! Full constructor |
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| 109 | RV (const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times) { |
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| 110 | init (in_names, in_sizes, in_times); |
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| 111 | } |
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[422] | 112 | |
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[488] | 113 | //! Constructor with times=0 |
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| 114 | RV (const Array<std::string> &in_names, const ivec &in_sizes) { |
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| 115 | init (in_names, in_sizes, zeros_i (in_names.length())); |
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| 116 | } |
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[422] | 117 | |
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[488] | 118 | //! Constructor with sizes=1, times=0 |
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| 119 | RV (const Array<std::string> &in_names) { |
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| 120 | init (in_names, ones_i (in_names.length()), zeros_i (in_names.length())); |
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| 121 | } |
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[422] | 122 | |
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[488] | 123 | //! Constructor of empty RV |
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| 124 | RV() : dsize (0), len (0), ids (0), times (0) {} |
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[532] | 125 | |
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[488] | 126 | //! Constructor of a single RV with given id |
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| 127 | RV (string name, int sz, int tm = 0); |
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[532] | 128 | |
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| 129 | // compiler-generated copy constructor is used |
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[488] | 130 | //!@} |
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[271] | 131 | |
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[488] | 132 | //! \name Access functions |
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| 133 | //!@{ |
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[271] | 134 | |
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[488] | 135 | //! State output, e.g. for debugging. |
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| 136 | friend std::ostream &operator<< (std::ostream &os, const RV &rv); |
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[422] | 137 | |
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[488] | 138 | int _dsize() const { |
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| 139 | return dsize; |
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| 140 | } |
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[584] | 141 | |
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| 142 | //! access function |
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| 143 | const ivec& _ids() const { return ids;} |
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[422] | 144 | |
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[488] | 145 | //! Recount size of the corresponding data vector |
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| 146 | int countsize() const; |
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| 147 | ivec cumsizes() const; |
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| 148 | int length() const { |
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| 149 | return len; |
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| 150 | } |
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| 151 | int id (int at) const { |
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| 152 | return ids (at); |
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| 153 | } |
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| 154 | int size (int at) const { |
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| 155 | return RV_SIZES (ids (at)); |
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| 156 | } |
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| 157 | int time (int at) const { |
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| 158 | return times (at); |
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| 159 | } |
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| 160 | std::string name (int at) const { |
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| 161 | return RV_NAMES (ids (at)); |
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| 162 | } |
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| 163 | void set_time (int at, int time0) { |
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| 164 | times (at) = time0; |
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| 165 | } |
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| 166 | //!@} |
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[271] | 167 | |
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[488] | 168 | //! \name Algebra on Random Variables |
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| 169 | //!@{ |
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[271] | 170 | |
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[488] | 171 | //! Find indices of self in another rv, \return ivec of the same size as self. |
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| 172 | ivec findself (const RV &rv2) const; |
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| 173 | //! Compare if \c rv2 is identical to this \c RV |
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| 174 | bool equal (const RV &rv2) const; |
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| 175 | //! Add (concat) another variable to the current one, \return true if all rv2 were added, false if rv2 is in conflict |
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| 176 | bool add (const RV &rv2); |
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| 177 | //! Subtract another variable from the current one |
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| 178 | RV subt (const RV &rv2) const; |
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| 179 | //! Select only variables at indices ind |
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| 180 | RV subselect (const ivec &ind) const; |
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[422] | 181 | |
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[488] | 182 | //! Select only variables at indices ind |
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| 183 | RV operator() (const ivec &ind) const { |
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| 184 | return subselect (ind); |
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| 185 | } |
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[422] | 186 | |
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[488] | 187 | //! Select from data vector starting at di1 to di2 |
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| 188 | RV operator() (int di1, int di2) const; |
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[422] | 189 | |
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[488] | 190 | //! Shift \c time by delta. |
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| 191 | void t (int delta); |
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| 192 | //!@} |
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[271] | 193 | |
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[488] | 194 | //!\name Relation to vectors |
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| 195 | //!@{ |
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[271] | 196 | |
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[536] | 197 | //! generate \c str from rv, by expanding sizes |
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[488] | 198 | str tostr() const; |
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| 199 | //! when this rv is a part of bigger rv, this function returns indices of self in the data vector of the bigger crv. |
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| 200 | //! Then, data can be copied via: data_of_this = cdata(ind); |
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| 201 | ivec dataind (const RV &crv) const; |
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| 202 | //! generate mutual indices when copying data between self and crv. |
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| 203 | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
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| 204 | void dataind (const RV &rv2, ivec &selfi, ivec &rv2i) const; |
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| 205 | //! Minimum time-offset |
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| 206 | int mint() const { |
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| 207 | return min (times); |
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| 208 | } |
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| 209 | //!@} |
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[271] | 210 | |
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[488] | 211 | /*! \brief UI for class RV (description of data vectors) |
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[357] | 212 | |
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[488] | 213 | \code |
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| 214 | rv = { |
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[531] | 215 | class = "RV"; // class name |
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[488] | 216 | // UNIQUE IDENTIFIER same names = same variable |
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[531] | 217 | names = ( "a", "b", "c", ...); // which will be used e.g. in loggers |
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[357] | 218 | |
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[488] | 219 | //optional arguments |
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| 220 | sizes = [1, 2, 3, ...]; // (optional) default = ones() |
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| 221 | times = [-1, -2, 0, ...]; // time shifts with respect to current time (optional) default = zeros() |
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| 222 | } |
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| 223 | \endcode |
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| 224 | */ |
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| 225 | void from_setting (const Setting &set); |
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[357] | 226 | |
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[488] | 227 | // TODO dodelat void to_setting( Setting &set ) const; |
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| 228 | //! Invalidate all named RVs. Use before initializing any RV instances, with care... |
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| 229 | static void clear_all(); |
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[270] | 230 | }; |
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[488] | 231 | UIREGISTER (RV); |
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[529] | 232 | SHAREDPTR (RV); |
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[32] | 233 | |
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[145] | 234 | //! Concat two random variables |
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[488] | 235 | RV concat (const RV &rv1, const RV &rv2); |
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[2] | 236 | |
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[211] | 237 | //!Default empty RV that can be used as default argument |
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[270] | 238 | extern RV RV0; |
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[145] | 239 | |
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[85] | 240 | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
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[2] | 241 | |
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[488] | 242 | class fnc : public root |
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| 243 | { |
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| 244 | protected: |
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| 245 | //! Length of the output vector |
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| 246 | int dimy; |
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| 247 | public: |
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| 248 | //!default constructor |
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| 249 | fnc() {}; |
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| 250 | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
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| 251 | virtual vec eval (const vec &cond) { |
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| 252 | return vec (0); |
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| 253 | }; |
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[27] | 254 | |
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[488] | 255 | //! function substitutes given value into an appropriate position |
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| 256 | virtual void condition (const vec &val) {}; |
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[28] | 257 | |
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[488] | 258 | //! access function |
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| 259 | int dimension() const { |
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| 260 | return dimy; |
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| 261 | } |
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[270] | 262 | }; |
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[2] | 263 | |
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[270] | 264 | class mpdf; |
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[7] | 265 | |
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[4] | 266 | //! Probability density function with numerical statistics, e.g. posterior density. |
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[32] | 267 | |
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[488] | 268 | class epdf : public root |
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| 269 | { |
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| 270 | protected: |
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| 271 | //! dimension of the random variable |
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| 272 | int dim; |
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| 273 | //! Description of the random variable |
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| 274 | RV rv; |
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[32] | 275 | |
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[488] | 276 | public: |
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| 277 | /*! \name Constructors |
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| 278 | Construction of each epdf should support two types of constructors: |
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| 279 | \li empty constructor, |
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| 280 | \li copy constructor, |
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[271] | 281 | |
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[488] | 282 | The following constructors should be supported for convenience: |
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| 283 | \li constructor followed by calling \c set_parameters() |
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| 284 | \li constructor accepting random variables calling \c set_rv() |
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[271] | 285 | |
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[488] | 286 | All internal data structures are constructed as empty. Their values (including sizes) will be set by method \c set_parameters(). This way references can be initialized in constructors. |
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| 287 | @{*/ |
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| 288 | epdf() : dim (0), rv() {}; |
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| 289 | epdf (const epdf &e) : dim (e.dim), rv (e.rv) {}; |
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| 290 | epdf (const RV &rv0) : dim (rv0._dsize()) { |
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| 291 | set_rv (rv0); |
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| 292 | }; |
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| 293 | void set_parameters (int dim0) { |
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| 294 | dim = dim0; |
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| 295 | } |
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| 296 | //!@} |
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[271] | 297 | |
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[488] | 298 | //! \name Matematical Operations |
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| 299 | //!@{ |
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[271] | 300 | |
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[488] | 301 | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
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| 302 | virtual vec sample() const { |
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[565] | 303 | bdm_error ("not implemented"); |
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| 304 | return vec(); |
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[502] | 305 | } |
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| 306 | |
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[488] | 307 | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
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| 308 | virtual mat sample_m (int N) const; |
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[502] | 309 | |
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[488] | 310 | //! Compute log-probability of argument \c val |
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| 311 | //! In case the argument is out of suport return -Infinity |
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| 312 | virtual double evallog (const vec &val) const { |
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[565] | 313 | bdm_error ("not implemented"); |
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[488] | 314 | return 0.0; |
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[477] | 315 | } |
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[502] | 316 | |
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[488] | 317 | //! Compute log-probability of multiple values argument \c val |
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[502] | 318 | virtual vec evallog_m (const mat &Val) const; |
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| 319 | |
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| 320 | //! Compute log-probability of multiple values argument \c val |
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| 321 | virtual vec evallog_m (const Array<vec> &Avec) const; |
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| 322 | |
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[488] | 323 | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
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[504] | 324 | virtual shared_ptr<mpdf> condition (const RV &rv) const; |
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[271] | 325 | |
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[488] | 326 | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
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[504] | 327 | virtual shared_ptr<epdf> marginal (const RV &rv) const; |
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[271] | 328 | |
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[488] | 329 | //! return expected value |
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| 330 | virtual vec mean() const { |
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[565] | 331 | bdm_error ("not implemneted"); |
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| 332 | return vec(); |
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| 333 | } |
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[271] | 334 | |
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[488] | 335 | //! return expected variance (not covariance!) |
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| 336 | virtual vec variance() const { |
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[565] | 337 | bdm_error ("not implemneted"); |
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| 338 | return vec(); |
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| 339 | } |
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| 340 | |
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[488] | 341 | //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default |
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| 342 | virtual void qbounds (vec &lb, vec &ub, double percentage = 0.95) const { |
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| 343 | vec mea = mean(); |
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| 344 | vec std = sqrt (variance()); |
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| 345 | lb = mea - 2 * std; |
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| 346 | ub = mea + 2 * std; |
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| 347 | }; |
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| 348 | //!@} |
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[271] | 349 | |
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[488] | 350 | //! \name Connection to other classes |
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| 351 | //! Description of the random quantity via attribute \c rv is optional. |
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| 352 | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
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| 353 | //! and \c conditioning \c rv has to be set. NB: |
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| 354 | //! @{ |
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[271] | 355 | |
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[488] | 356 | //!Name its rv |
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| 357 | void set_rv (const RV &rv0) { |
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| 358 | rv = rv0; |
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[565] | 359 | } |
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| 360 | |
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[488] | 361 | //! True if rv is assigned |
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| 362 | bool isnamed() const { |
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| 363 | bool b = (dim == rv._dsize()); |
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| 364 | return b; |
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| 365 | } |
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[565] | 366 | |
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[488] | 367 | //! Return name (fails when isnamed is false) |
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| 368 | const RV& _rv() const { |
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[565] | 369 | bdm_assert_debug (isnamed(), ""); |
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[488] | 370 | return rv; |
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| 371 | } |
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| 372 | //!@} |
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[377] | 373 | |
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[488] | 374 | //! \name Access to attributes |
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| 375 | //! @{ |
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[377] | 376 | |
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[488] | 377 | //! Size of the random variable |
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| 378 | int dimension() const { |
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| 379 | return dim; |
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[477] | 380 | } |
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[488] | 381 | //! Load from structure with elements: |
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| 382 | //! \code |
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| 383 | //! { rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
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| 384 | //! // elements of offsprings |
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| 385 | //! } |
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| 386 | //! \endcode |
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| 387 | //!@} |
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| 388 | void from_setting (const Setting &set) { |
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[527] | 389 | shared_ptr<RV> r = UI::build<RV> ( set, "rv", UI::optional ); |
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[488] | 390 | if (r) { |
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| 391 | set_rv (*r); |
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| 392 | } |
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| 393 | } |
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[377] | 394 | |
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[270] | 395 | }; |
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[529] | 396 | SHAREDPTR(epdf); |
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[32] | 397 | |
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[536] | 398 | //! Conditional probability density, e.g. modeling \f$ f( x | y) \f$, where \f$ x \f$ is random variable, \c rv, and \f$ y \f$ is conditioning variable, \c rvc. |
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[488] | 399 | class mpdf : public root |
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| 400 | { |
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| 401 | protected: |
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| 402 | //!dimension of the condition |
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| 403 | int dimc; |
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| 404 | //! random variable in condition |
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| 405 | RV rvc; |
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| 406 | private: |
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| 407 | //! internal epdf, used only as cache to avoid virtual calls of \c _rv() and \c _dimension() |
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| 408 | epdf* ep; |
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[461] | 409 | |
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[488] | 410 | protected: |
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[536] | 411 | //! set internal pointer \c ep to point to given \c iepdf |
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[488] | 412 | void set_ep (epdf &iepdf) { |
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| 413 | ep = &iepdf; |
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| 414 | } |
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[536] | 415 | //! set internal pointer \c ep to point to given \c iepdf |
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[489] | 416 | void set_ep (epdf *iepdfp) { |
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| 417 | ep = iepdfp; |
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| 418 | } |
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[271] | 419 | |
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[488] | 420 | public: |
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| 421 | //! \name Constructors |
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| 422 | //! @{ |
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[2] | 423 | |
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[488] | 424 | mpdf() : dimc (0), rvc(), ep (NULL) { } |
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[271] | 425 | |
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[488] | 426 | mpdf (const mpdf &m) : dimc (m.dimc), rvc (m.rvc), ep (m.ep) { } |
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| 427 | //!@} |
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[102] | 428 | |
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[488] | 429 | //! \name Matematical operations |
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| 430 | //!@{ |
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[461] | 431 | |
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[488] | 432 | //! Returns a sample from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
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[565] | 433 | virtual vec samplecond (const vec &cond) { |
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| 434 | bdm_error ("Not implemented"); |
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| 435 | return vec(); |
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| 436 | } |
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[461] | 437 | |
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[488] | 438 | //! Returns \param N samples from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
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[532] | 439 | virtual mat samplecond_m (const vec &cond, int N); |
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[461] | 440 | |
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[488] | 441 | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
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[565] | 442 | virtual double evallogcond (const vec &dt, const vec &cond) { |
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| 443 | bdm_error ("Not implemented"); |
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| 444 | return 0.0; |
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| 445 | } |
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[201] | 446 | |
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[488] | 447 | //! Matrix version of evallogcond |
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[489] | 448 | virtual vec evallogcond_m (const mat &Dt, const vec &cond) { |
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| 449 | vec v(Dt.cols()); |
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| 450 | for(int i=0;i<Dt.cols();i++){v(i)= evallogcond(Dt.get_col(i),cond);} |
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| 451 | return v; |
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| 452 | } |
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[271] | 453 | |
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[488] | 454 | //! Array<vec> version of evallogcond |
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[565] | 455 | virtual vec evallogcond_m (const Array<vec> &Dt, const vec &cond) { |
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| 456 | bdm_error ("Not implemented"); |
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| 457 | return vec(); |
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| 458 | } |
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[271] | 459 | |
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[488] | 460 | //! \name Access to attributes |
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| 461 | //! @{ |
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[461] | 462 | |
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[507] | 463 | RV _rv() const { |
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[488] | 464 | return ep->_rv(); |
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| 465 | } |
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| 466 | RV _rvc() { |
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| 467 | return rvc; |
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| 468 | } |
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[527] | 469 | |
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| 470 | int dimension() const { |
---|
[488] | 471 | return ep->dimension(); |
---|
| 472 | } |
---|
| 473 | int dimensionc() { |
---|
| 474 | return dimc; |
---|
| 475 | } |
---|
[461] | 476 | |
---|
[488] | 477 | //! Load from structure with elements: |
---|
| 478 | //! \code |
---|
| 479 | //! { class = "mpdf_offspring", |
---|
| 480 | //! rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
---|
| 481 | //! rvc= {class="RV", names=(...),}; // RV describing meaning of random variable in condition |
---|
| 482 | //! // elements of offsprings |
---|
| 483 | //! } |
---|
| 484 | //! \endcode |
---|
| 485 | //!@} |
---|
| 486 | void from_setting (const Setting &set); |
---|
| 487 | //!@} |
---|
| 488 | |
---|
| 489 | //! \name Connection to other objects |
---|
| 490 | //!@{ |
---|
| 491 | void set_rvc (const RV &rvc0) { |
---|
| 492 | rvc = rvc0; |
---|
| 493 | } |
---|
| 494 | void set_rv (const RV &rv0) { |
---|
| 495 | ep->set_rv (rv0); |
---|
| 496 | } |
---|
| 497 | bool isnamed() { |
---|
| 498 | return (ep->isnamed()) && (dimc == rvc._dsize()); |
---|
| 499 | } |
---|
| 500 | //!@} |
---|
[270] | 501 | }; |
---|
[529] | 502 | SHAREDPTR(mpdf); |
---|
[32] | 503 | |
---|
[536] | 504 | //! Mpdf with internal epdf that is modified by function \c condition |
---|
[487] | 505 | template <class EPDF> |
---|
[488] | 506 | class mpdf_internal: public mpdf |
---|
| 507 | { |
---|
[487] | 508 | protected : |
---|
[536] | 509 | //! Internal epdf used for sampling |
---|
[487] | 510 | EPDF iepdf; |
---|
| 511 | public: |
---|
| 512 | //! constructor |
---|
[488] | 513 | mpdf_internal() : mpdf(), iepdf() {set_ep (iepdf);} |
---|
[565] | 514 | |
---|
[487] | 515 | //! Update \c iepdf so that it represents this mpdf conditioned on \c rvc = cond |
---|
| 516 | //! This function provides convenient reimplementation in offsprings |
---|
[488] | 517 | virtual void condition (const vec &cond) { |
---|
[565] | 518 | bdm_error ("Not implemented"); |
---|
| 519 | } |
---|
| 520 | |
---|
[487] | 521 | //!access function to iepdf |
---|
[488] | 522 | EPDF& e() {return iepdf;} |
---|
| 523 | |
---|
[487] | 524 | //! Reimplements samplecond using \c condition() |
---|
[488] | 525 | vec samplecond (const vec &cond); |
---|
[487] | 526 | //! Reimplements evallogcond using \c condition() |
---|
[488] | 527 | double evallogcond (const vec &val, const vec &cond); |
---|
| 528 | //! Efficient version of evallogcond for matrices |
---|
| 529 | virtual vec evallogcond_m (const mat &Dt, const vec &cond); |
---|
[487] | 530 | //! Efficient version of evallogcond for Array<vec> |
---|
[488] | 531 | virtual vec evallogcond_m (const Array<vec> &Dt, const vec &cond); |
---|
| 532 | //! Efficient version of samplecond |
---|
| 533 | virtual mat samplecond_m (const vec &cond, int N); |
---|
[487] | 534 | }; |
---|
| 535 | |
---|
[270] | 536 | /*! \brief DataLink is a connection between two data vectors Up and Down |
---|
[2] | 537 | |
---|
[270] | 538 | Up can be longer than Down. Down must be fully present in Up (TODO optional) |
---|
| 539 | See chart: |
---|
| 540 | \dot |
---|
| 541 | digraph datalink { |
---|
[377] | 542 | node [shape=record]; |
---|
| 543 | subgraph cluster0 { |
---|
| 544 | label = "Up"; |
---|
| 545 | up [label="<1>|<2>|<3>|<4>|<5>"]; |
---|
| 546 | color = "white" |
---|
[270] | 547 | } |
---|
[377] | 548 | subgraph cluster1{ |
---|
| 549 | label = "Down"; |
---|
| 550 | labelloc = b; |
---|
| 551 | down [label="<1>|<2>|<3>"]; |
---|
| 552 | color = "white" |
---|
[270] | 553 | } |
---|
| 554 | up:1 -> down:1; |
---|
| 555 | up:3 -> down:2; |
---|
| 556 | up:5 -> down:3; |
---|
| 557 | } |
---|
| 558 | \enddot |
---|
[263] | 559 | |
---|
[270] | 560 | */ |
---|
[488] | 561 | class datalink |
---|
| 562 | { |
---|
| 563 | protected: |
---|
| 564 | //! Remember how long val should be |
---|
| 565 | int downsize; |
---|
[424] | 566 | |
---|
[488] | 567 | //! Remember how long val of "Up" should be |
---|
| 568 | int upsize; |
---|
[424] | 569 | |
---|
[488] | 570 | //! val-to-val link, indices of the upper val |
---|
| 571 | ivec v2v_up; |
---|
[424] | 572 | |
---|
[488] | 573 | public: |
---|
| 574 | //! Constructor |
---|
| 575 | datalink() : downsize (0), upsize (0) { } |
---|
[545] | 576 | |
---|
| 577 | //! Convenience constructor |
---|
[488] | 578 | datalink (const RV &rv, const RV &rv_up) { |
---|
| 579 | set_connection (rv, rv_up); |
---|
| 580 | } |
---|
[424] | 581 | |
---|
[488] | 582 | //! set connection, rv must be fully present in rv_up |
---|
[545] | 583 | void set_connection (const RV &rv, const RV &rv_up); |
---|
[271] | 584 | |
---|
[488] | 585 | //! set connection using indices |
---|
[545] | 586 | void set_connection (int ds, int us, const ivec &upind); |
---|
[286] | 587 | |
---|
[488] | 588 | //! Get val for myself from val of "Up" |
---|
| 589 | vec pushdown (const vec &val_up) { |
---|
[565] | 590 | bdm_assert_debug (upsize == val_up.length(), "Wrong val_up"); |
---|
[488] | 591 | return get_vec (val_up, v2v_up); |
---|
| 592 | } |
---|
[424] | 593 | |
---|
[488] | 594 | //! Fill val of "Up" by my pieces |
---|
| 595 | void pushup (vec &val_up, const vec &val) { |
---|
[565] | 596 | bdm_assert_debug (downsize == val.length(), "Wrong val"); |
---|
| 597 | bdm_assert_debug (upsize == val_up.length(), "Wrong val_up"); |
---|
[488] | 598 | set_subvector (val_up, v2v_up, val); |
---|
| 599 | } |
---|
[270] | 600 | }; |
---|
[115] | 601 | |
---|
[424] | 602 | //! Data link with a condition. |
---|
[488] | 603 | class datalink_m2e: public datalink |
---|
| 604 | { |
---|
| 605 | protected: |
---|
| 606 | //! Remember how long cond should be |
---|
| 607 | int condsize; |
---|
[424] | 608 | |
---|
[488] | 609 | //!upper_val-to-local_cond link, indices of the upper val |
---|
| 610 | ivec v2c_up; |
---|
[424] | 611 | |
---|
[488] | 612 | //!upper_val-to-local_cond link, indices of the local cond |
---|
| 613 | ivec v2c_lo; |
---|
[192] | 614 | |
---|
[488] | 615 | public: |
---|
| 616 | //! Constructor |
---|
| 617 | datalink_m2e() : condsize (0) { } |
---|
[545] | 618 | |
---|
[536] | 619 | //! Set connection between vectors |
---|
[545] | 620 | void set_connection (const RV &rv, const RV &rvc, const RV &rv_up); |
---|
[424] | 621 | |
---|
[488] | 622 | //!Construct condition |
---|
[545] | 623 | vec get_cond (const vec &val_up); |
---|
| 624 | |
---|
[536] | 625 | //! Copy corresponding values to Up.condition |
---|
[545] | 626 | void pushup_cond (vec &val_up, const vec &val, const vec &cond); |
---|
[270] | 627 | }; |
---|
[424] | 628 | |
---|
[192] | 629 | //!DataLink is a connection between mpdf and its superordinate (Up) |
---|
| 630 | //! This class links |
---|
[488] | 631 | class datalink_m2m: public datalink_m2e |
---|
| 632 | { |
---|
| 633 | protected: |
---|
| 634 | //!cond-to-cond link, indices of the upper cond |
---|
| 635 | ivec c2c_up; |
---|
| 636 | //!cond-to-cond link, indices of the local cond |
---|
| 637 | ivec c2c_lo; |
---|
[424] | 638 | |
---|
[488] | 639 | public: |
---|
| 640 | //! Constructor |
---|
| 641 | datalink_m2m() {}; |
---|
[536] | 642 | //! Set connection between the vectors |
---|
[488] | 643 | void set_connection (const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up) { |
---|
| 644 | datalink_m2e::set_connection (rv, rvc, rv_up); |
---|
| 645 | //establish c2c connection |
---|
| 646 | rvc.dataind (rvc_up, c2c_lo, c2c_up); |
---|
[565] | 647 | bdm_assert_debug (c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given"); |
---|
[488] | 648 | } |
---|
[424] | 649 | |
---|
[488] | 650 | //! Get cond for myself from val and cond of "Up" |
---|
| 651 | vec get_cond (const vec &val_up, const vec &cond_up) { |
---|
| 652 | vec tmp (condsize); |
---|
| 653 | set_subvector (tmp, v2c_lo, val_up (v2c_up)); |
---|
| 654 | set_subvector (tmp, c2c_lo, cond_up (c2c_up)); |
---|
| 655 | return tmp; |
---|
| 656 | } |
---|
| 657 | //! Fill |
---|
[190] | 658 | |
---|
[270] | 659 | }; |
---|
[190] | 660 | |
---|
[270] | 661 | /*! |
---|
| 662 | @brief Class for storing results (and semi-results) of an experiment |
---|
[267] | 663 | |
---|
[270] | 664 | This class abstracts logging of results from implementation. This class replaces direct logging of results (e.g. to files or to global variables) by calling methods of a logger. Specializations of this abstract class for specific storage method are designed. |
---|
| 665 | */ |
---|
[488] | 666 | class logger : public root |
---|
| 667 | { |
---|
| 668 | protected: |
---|
| 669 | //! RVs of all logged variables. |
---|
| 670 | Array<RV> entries; |
---|
| 671 | //! Names of logged quantities, e.g. names of algorithm variants |
---|
| 672 | Array<string> names; |
---|
| 673 | public: |
---|
| 674 | //!Default constructor |
---|
| 675 | logger() : entries (0), names (0) {} |
---|
[267] | 676 | |
---|
[488] | 677 | //! returns an identifier which will be later needed for calling the \c logit() function |
---|
| 678 | //! For empty RV it returns -1, this entry will be ignored by \c logit(). |
---|
| 679 | virtual int add (const RV &rv, string prefix = "") { |
---|
| 680 | int id; |
---|
| 681 | if (rv._dsize() > 0) { |
---|
| 682 | id = entries.length(); |
---|
| 683 | names = concat (names, prefix); // diff |
---|
| 684 | entries.set_length (id + 1, true); |
---|
| 685 | entries (id) = rv; |
---|
| 686 | } else { |
---|
| 687 | id = -1; |
---|
| 688 | } |
---|
| 689 | return id; // identifier of the last entry |
---|
[477] | 690 | } |
---|
[267] | 691 | |
---|
[488] | 692 | //! log this vector |
---|
[588] | 693 | virtual void logit (int id, const vec &v) {bdm_error("Not implemented");}; |
---|
[488] | 694 | //! log this double |
---|
[588] | 695 | virtual void logit (int id, const double &d) {bdm_error("Not implemented");}; |
---|
[267] | 696 | |
---|
[488] | 697 | //! Shifts storage position for another time step. |
---|
[588] | 698 | virtual void step() {bdm_error("Not implemneted");}; |
---|
[267] | 699 | |
---|
[488] | 700 | //! Finalize storing information |
---|
| 701 | virtual void finalize() {}; |
---|
[267] | 702 | |
---|
[488] | 703 | //! Initialize the storage |
---|
| 704 | virtual void init() {}; |
---|
[267] | 705 | |
---|
[270] | 706 | }; |
---|
[267] | 707 | |
---|
[270] | 708 | /*! \brief Unconditional mpdf, allows using epdf in the role of mpdf. |
---|
[190] | 709 | |
---|
[270] | 710 | */ |
---|
[488] | 711 | class mepdf : public mpdf |
---|
| 712 | { |
---|
[536] | 713 | //! Internal shared pointer to epdf |
---|
[489] | 714 | shared_ptr<epdf> iepdf; |
---|
[488] | 715 | public: |
---|
| 716 | //!Default constructor |
---|
| 717 | mepdf() { } |
---|
[536] | 718 | //! Set internal shared pointer |
---|
[488] | 719 | mepdf (shared_ptr<epdf> em) { |
---|
[489] | 720 | iepdf = em; |
---|
| 721 | set_ep (*iepdf.get()); |
---|
[488] | 722 | dimc = 0; |
---|
| 723 | } |
---|
[461] | 724 | |
---|
[488] | 725 | //! empty |
---|
[489] | 726 | vec samplecond(const vec &cond){return iepdf->sample();} |
---|
| 727 | double evallogcond(const vec &val, const vec &cond){return iepdf->evallog(val);} |
---|
[461] | 728 | |
---|
[488] | 729 | //! Load from structure with elements: |
---|
| 730 | //! \code |
---|
| 731 | //! { class = "mepdf", |
---|
| 732 | //! epdf = {class="epdf_offspring",...} |
---|
| 733 | //! } |
---|
| 734 | //! \endcode |
---|
| 735 | //!@} |
---|
| 736 | void from_setting (const Setting &set); |
---|
[270] | 737 | }; |
---|
[488] | 738 | UIREGISTER (mepdf); |
---|
[529] | 739 | SHAREDPTR (mepdf); |
---|
[115] | 740 | |
---|
[507] | 741 | //! \brief Combines RVs from a list of mpdfs to a single one. |
---|
| 742 | RV get_composite_rv ( const Array<shared_ptr<mpdf> > &mpdfs, bool checkoverlap = false ); |
---|
[175] | 743 | |
---|
[270] | 744 | /*! \brief Abstract class for discrete-time sources of data. |
---|
[12] | 745 | |
---|
[270] | 746 | The class abstracts operations of: (i) data aquisition, (ii) data-preprocessing, (iii) scaling of data, and (iv) data resampling from the task of estimation and control. |
---|
| 747 | Moreover, for controlled systems, it is able to receive the desired control action and perform it in the next step. (Or as soon as possible). |
---|
[12] | 748 | |
---|
[270] | 749 | */ |
---|
[32] | 750 | |
---|
[488] | 751 | class DS : public root |
---|
| 752 | { |
---|
| 753 | protected: |
---|
| 754 | int dtsize; |
---|
| 755 | int utsize; |
---|
| 756 | //!Description of data returned by \c getdata(). |
---|
| 757 | RV Drv; |
---|
| 758 | //!Description of data witten by by \c write(). |
---|
| 759 | RV Urv; // |
---|
| 760 | //! Remember its own index in Logger L |
---|
| 761 | int L_dt, L_ut; |
---|
| 762 | public: |
---|
| 763 | //! default constructors |
---|
| 764 | DS() : Drv(), Urv() {}; |
---|
[565] | 765 | |
---|
[488] | 766 | //! Returns full vector of observed data=[output, input] |
---|
| 767 | virtual void getdata (vec &dt) { |
---|
[565] | 768 | bdm_error ("abstract class"); |
---|
| 769 | } |
---|
| 770 | |
---|
[488] | 771 | //! Returns data records at indeces. |
---|
| 772 | virtual void getdata (vec &dt, const ivec &indeces) { |
---|
[565] | 773 | bdm_error ("abstract class"); |
---|
| 774 | } |
---|
| 775 | |
---|
[488] | 776 | //! Accepts action variable and schedule it for application. |
---|
| 777 | virtual void write (vec &ut) { |
---|
[565] | 778 | bdm_error ("abstract class"); |
---|
| 779 | } |
---|
| 780 | |
---|
[488] | 781 | //! Accepts action variables at specific indeces |
---|
| 782 | virtual void write (vec &ut, const ivec &indeces) { |
---|
[565] | 783 | bdm_error ("abstract class"); |
---|
| 784 | } |
---|
[32] | 785 | |
---|
[488] | 786 | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
---|
| 787 | virtual void step() = 0; |
---|
[32] | 788 | |
---|
[488] | 789 | //! Register DS for logging into logger L |
---|
| 790 | virtual void log_add (logger &L) { |
---|
[565] | 791 | bdm_assert_debug (dtsize == Drv._dsize(), "invalid DS: dtsize different from Drv"); |
---|
| 792 | bdm_assert_debug (utsize == Urv._dsize(), "invalid DS: utsize different from Urv"); |
---|
[32] | 793 | |
---|
[488] | 794 | L_dt = L.add (Drv, ""); |
---|
| 795 | L_ut = L.add (Urv, ""); |
---|
| 796 | } |
---|
| 797 | //! Register DS for logging into logger L |
---|
| 798 | virtual void logit (logger &L) { |
---|
| 799 | vec tmp (Drv._dsize() + Urv._dsize()); |
---|
| 800 | getdata (tmp); |
---|
| 801 | // d is first in getdata |
---|
| 802 | L.logit (L_dt, tmp.left (Drv._dsize())); |
---|
| 803 | // u follows after d in getdata |
---|
| 804 | L.logit (L_ut, tmp.mid (Drv._dsize(), Urv._dsize())); |
---|
| 805 | } |
---|
| 806 | //!access function |
---|
| 807 | virtual RV _drv() const { |
---|
| 808 | return concat (Drv, Urv); |
---|
| 809 | } |
---|
| 810 | //!access function |
---|
| 811 | const RV& _urv() const { |
---|
| 812 | return Urv; |
---|
| 813 | } |
---|
| 814 | //! set random rvariables |
---|
| 815 | virtual void set_drv (const RV &drv, const RV &urv) { |
---|
| 816 | Drv = drv; |
---|
| 817 | Urv = urv; |
---|
| 818 | } |
---|
[270] | 819 | }; |
---|
[18] | 820 | |
---|
[270] | 821 | /*! \brief Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities. |
---|
[32] | 822 | |
---|
[283] | 823 | This object represents exact or approximate evaluation of the Bayes rule: |
---|
| 824 | \f[ |
---|
| 825 | f(\theta_t | d_1,\ldots,d_t) = \frac{f(y_t|\theta_t,\cdot) f(\theta_t|d_1,\ldots,d_{t-1})}{f(y_t|d_1,\ldots,d_{t-1})} |
---|
| 826 | \f] |
---|
| 827 | |
---|
| 828 | Access to the resulting posterior density is via function \c posterior(). |
---|
| 829 | |
---|
| 830 | As a "side-effect" it also evaluates log-likelihood of the data, which can be accessed via function _ll(). |
---|
| 831 | It can also evaluate predictors of future values of \f$y_t\f$, see functions epredictor() and predictor(). |
---|
| 832 | |
---|
| 833 | Alternatively, it can evaluate posterior density conditioned by a known constant, \f$ c_t \f$: |
---|
| 834 | \f[ |
---|
| 835 | f(\theta_t | c_t, d_1,\ldots,d_t) \propto f(y_t,\theta_t|c_t,\cdot, d_1,\ldots,d_{t-1}) |
---|
| 836 | \f] |
---|
| 837 | |
---|
| 838 | The value of \f$ c_t \f$ is set by function condition(). |
---|
| 839 | |
---|
[270] | 840 | */ |
---|
[32] | 841 | |
---|
[488] | 842 | class BM : public root |
---|
| 843 | { |
---|
| 844 | protected: |
---|
| 845 | //! Random variable of the data (optional) |
---|
| 846 | RV drv; |
---|
| 847 | //!Logarithm of marginalized data likelihood. |
---|
| 848 | double ll; |
---|
| 849 | //! If true, the filter will compute likelihood of the data record and store it in \c ll . Set to false if you want to save computational time. |
---|
| 850 | bool evalll; |
---|
| 851 | public: |
---|
| 852 | //! \name Constructors |
---|
| 853 | //! @{ |
---|
[271] | 854 | |
---|
[488] | 855 | BM() : ll (0), evalll (true), LIDs (4), LFlags (4) { |
---|
| 856 | LIDs = -1;/*empty IDs*/ |
---|
| 857 | LFlags = 0; |
---|
| 858 | LFlags (0) = 1; /*log only mean*/ |
---|
| 859 | }; |
---|
| 860 | BM (const BM &B) : drv (B.drv), ll (B.ll), evalll (B.evalll) {} |
---|
| 861 | //! Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! |
---|
| 862 | //! Prototype: \code BM* _copy_() const {return new BM(*this);} \endcode |
---|
| 863 | virtual BM* _copy_() const { |
---|
| 864 | return NULL; |
---|
| 865 | }; |
---|
| 866 | //!@} |
---|
[18] | 867 | |
---|
[488] | 868 | //! \name Mathematical operations |
---|
| 869 | //!@{ |
---|
[271] | 870 | |
---|
[488] | 871 | /*! \brief Incremental Bayes rule |
---|
| 872 | @param dt vector of input data |
---|
| 873 | */ |
---|
| 874 | virtual void bayes (const vec &dt) = 0; |
---|
| 875 | //! Batch Bayes rule (columns of Dt are observations) |
---|
| 876 | virtual void bayesB (const mat &Dt); |
---|
| 877 | //! Evaluates predictive log-likelihood of the given data record |
---|
| 878 | //! I.e. marginal likelihood of the data with the posterior integrated out. |
---|
| 879 | virtual double logpred (const vec &dt) const { |
---|
[565] | 880 | bdm_error ("Not implemented"); |
---|
[488] | 881 | return 0.0; |
---|
[477] | 882 | } |
---|
[565] | 883 | |
---|
[488] | 884 | //! Matrix version of logpred |
---|
| 885 | vec logpred_m (const mat &dt) const { |
---|
| 886 | vec tmp (dt.cols()); |
---|
| 887 | for (int i = 0; i < dt.cols(); i++) { |
---|
| 888 | tmp (i) = logpred (dt.get_col (i)); |
---|
| 889 | } |
---|
| 890 | return tmp; |
---|
| 891 | } |
---|
[32] | 892 | |
---|
[488] | 893 | //!Constructs a predictive density \f$ f(d_{t+1} |d_{t}, \ldots d_{0}) \f$ |
---|
| 894 | virtual epdf* epredictor() const { |
---|
[565] | 895 | bdm_error ("Not implemented"); |
---|
[488] | 896 | return NULL; |
---|
| 897 | }; |
---|
[536] | 898 | //!Constructs conditional density of 1-step ahead predictor \f$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) \f$ |
---|
[488] | 899 | virtual mpdf* predictor() const { |
---|
[565] | 900 | bdm_error ("Not implemented"); |
---|
[488] | 901 | return NULL; |
---|
| 902 | }; |
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| 903 | //!@} |
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[271] | 904 | |
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[488] | 905 | //! \name Extension to conditional BM |
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| 906 | //! This extension is useful e.g. in Marginalized Particle Filter (\ref bdm::MPF). |
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| 907 | //! Alternatively, it can be used for automated connection to DS when the condition is observed |
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| 908 | //!@{ |
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[283] | 909 | |
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[488] | 910 | //! Name of extension variable |
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| 911 | RV rvc; |
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| 912 | //! access function |
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| 913 | const RV& _rvc() const { |
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| 914 | return rvc; |
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| 915 | } |
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[283] | 916 | |
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[488] | 917 | //! Substitute \c val for \c rvc. |
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| 918 | virtual void condition (const vec &val) { |
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[565] | 919 | bdm_error ("Not implemented!"); |
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| 920 | } |
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[283] | 921 | |
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[488] | 922 | //!@} |
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[283] | 923 | |
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| 924 | |
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[488] | 925 | //! \name Access to attributes |
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| 926 | //!@{ |
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[271] | 927 | |
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[488] | 928 | const RV& _drv() const { |
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| 929 | return drv; |
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| 930 | } |
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| 931 | void set_drv (const RV &rv) { |
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| 932 | drv = rv; |
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| 933 | } |
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| 934 | void set_rv (const RV &rv) { |
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| 935 | const_cast<epdf&> (posterior()).set_rv (rv); |
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| 936 | } |
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| 937 | double _ll() const { |
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| 938 | return ll; |
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| 939 | } |
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| 940 | void set_evalll (bool evl0) { |
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| 941 | evalll = evl0; |
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| 942 | } |
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| 943 | virtual const epdf& posterior() const = 0; |
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| 944 | //!@} |
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[28] | 945 | |
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[488] | 946 | //! \name Logging of results |
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| 947 | //!@{ |
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[200] | 948 | |
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[488] | 949 | //! Set boolean options from a string, recognized are: "logbounds,logll" |
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| 950 | virtual void set_options (const string &opt) { |
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| 951 | LFlags (0) = 1; |
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| 952 | if (opt.find ("logbounds") != string::npos) { |
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| 953 | LFlags (1) = 1; |
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| 954 | LFlags (2) = 1; |
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| 955 | } |
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| 956 | if (opt.find ("logll") != string::npos) { |
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| 957 | LFlags (3) = 1; |
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| 958 | } |
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[477] | 959 | } |
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[488] | 960 | //! IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll] |
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| 961 | ivec LIDs; |
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[190] | 962 | |
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[488] | 963 | //! Flags for logging - same size as LIDs, each entry correspond to the same in LIDs |
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| 964 | ivec LFlags; |
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| 965 | //! Add all logged variables to a logger |
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| 966 | virtual void log_add (logger &L, const string &name = "") { |
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| 967 | // internal |
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| 968 | RV r; |
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| 969 | if (posterior().isnamed()) { |
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| 970 | r = posterior()._rv(); |
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| 971 | } else { |
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| 972 | r = RV ("est", posterior().dimension()); |
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| 973 | }; |
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[190] | 974 | |
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[488] | 975 | // Add mean value |
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| 976 | if (LFlags (0)) LIDs (0) = L.add (r, name + "mean_"); |
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| 977 | if (LFlags (1)) LIDs (1) = L.add (r, name + "lb_"); |
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| 978 | if (LFlags (2)) LIDs (2) = L.add (r, name + "ub_"); |
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| 979 | if (LFlags (3)) LIDs (3) = L.add (RV ("ll", 1), name); //TODO: "local" RV |
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[477] | 980 | } |
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[488] | 981 | virtual void logit (logger &L) { |
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| 982 | L.logit (LIDs (0), posterior().mean()); |
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| 983 | if (LFlags (1) || LFlags (2)) { //if one of them is off, its LID==-1 and will not be stored |
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| 984 | vec ub, lb; |
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| 985 | posterior().qbounds (lb, ub); |
---|
| 986 | L.logit (LIDs (1), lb); |
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| 987 | L.logit (LIDs (2), ub); |
---|
| 988 | } |
---|
| 989 | if (LFlags (3)) L.logit (LIDs (3), ll); |
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| 990 | } |
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| 991 | //!@} |
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[573] | 992 | void from_setting (const Setting &set){ |
---|
| 993 | shared_ptr<RV> r = UI::build<RV> ( set, "drv", UI::optional ); |
---|
| 994 | if (r) { |
---|
| 995 | set_drv (*r); |
---|
| 996 | } |
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[586] | 997 | string opt; |
---|
| 998 | if(!UI::get(opt, set, "options", UI::optional)) { |
---|
| 999 | set_options(opt); |
---|
| 1000 | } |
---|
[573] | 1001 | } |
---|
| 1002 | |
---|
[270] | 1003 | }; |
---|
[32] | 1004 | |
---|
[529] | 1005 | typedef Array<shared_ptr<epdf> > epdf_array; |
---|
| 1006 | |
---|
| 1007 | typedef Array<shared_ptr<mpdf> > mpdf_array; |
---|
| 1008 | |
---|
[488] | 1009 | template<class EPDF> |
---|
| 1010 | vec mpdf_internal<EPDF>::samplecond (const vec &cond) |
---|
| 1011 | { |
---|
| 1012 | condition (cond); |
---|
| 1013 | vec temp = iepdf.sample(); |
---|
| 1014 | return temp; |
---|
| 1015 | } |
---|
[339] | 1016 | |
---|
[488] | 1017 | template<class EPDF> |
---|
| 1018 | mat mpdf_internal<EPDF>::samplecond_m (const vec &cond, int N) |
---|
| 1019 | { |
---|
| 1020 | condition (cond); |
---|
| 1021 | mat temp (dimension(), N); |
---|
| 1022 | vec smp (dimension()); |
---|
| 1023 | for (int i = 0; i < N; i++) { |
---|
| 1024 | smp = iepdf.sample(); |
---|
| 1025 | temp.set_col (i, smp); |
---|
| 1026 | } |
---|
| 1027 | |
---|
| 1028 | return temp; |
---|
| 1029 | } |
---|
| 1030 | |
---|
| 1031 | template<class EPDF> |
---|
| 1032 | double mpdf_internal<EPDF>::evallogcond (const vec &dt, const vec &cond) |
---|
| 1033 | { |
---|
| 1034 | double tmp; |
---|
| 1035 | condition (cond); |
---|
| 1036 | tmp = iepdf.evallog (dt); |
---|
| 1037 | return tmp; |
---|
| 1038 | } |
---|
| 1039 | |
---|
| 1040 | template<class EPDF> |
---|
| 1041 | vec mpdf_internal<EPDF>::evallogcond_m (const mat &Dt, const vec &cond) |
---|
| 1042 | { |
---|
| 1043 | condition (cond); |
---|
| 1044 | return iepdf.evallog_m (Dt); |
---|
| 1045 | } |
---|
| 1046 | |
---|
| 1047 | template<class EPDF> |
---|
| 1048 | vec mpdf_internal<EPDF>::evallogcond_m (const Array<vec> &Dt, const vec &cond) |
---|
| 1049 | { |
---|
| 1050 | condition (cond); |
---|
| 1051 | return iepdf.evallog_m (Dt); |
---|
| 1052 | } |
---|
| 1053 | |
---|
[254] | 1054 | }; //namespace |
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[384] | 1055 | #endif // BDMBASE_H |
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