[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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[600] | 27 | namespace bdm { |
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[422] | 28 | //! Structure of RV, i.e. RVs expanded into a flat list of IDs, used for debugging. |
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[600] | 29 | class str { |
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| 30 | public: |
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| 31 | //! vector id ids (non-unique!) |
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| 32 | ivec ids; |
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| 33 | //! vector of times |
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| 34 | ivec times; |
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| 35 | //!Default constructor |
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| 36 | str ( ivec ids0, ivec times0 ) : ids ( ids0 ), times ( times0 ) { |
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[620] | 37 | bdm_assert ( times0.length() == ids0.length(), "Incompatible input" ); |
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[600] | 38 | }; |
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[270] | 39 | }; |
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[145] | 40 | |
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[270] | 41 | /*! |
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| 42 | * \brief Class representing variables, most often random variables |
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[5] | 43 | |
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[270] | 44 | 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] | 45 | |
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[270] | 46 | The class is implemented using global variables to assure uniqueness of description: |
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[2] | 47 | |
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[270] | 48 | In is a vector |
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| 49 | \dot |
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| 50 | digraph datalink { |
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| 51 | rankdir=LR; |
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| 52 | subgraph cluster0 { |
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| 53 | node [shape=record]; |
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[600] | 54 | label = "MAP \n std::map<string,int>"; |
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[270] | 55 | map [label="{{\"a\"| \"b\" | \"c\"} | {<3> 3 |<1> 1|<2> 2}}"]; |
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| 56 | color = "white" |
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| 57 | } |
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| 58 | subgraph cluster1{ |
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| 59 | node [shape=record]; |
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[600] | 60 | label = "NAMES"; |
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[270] | 61 | names [label="{<1> \"b\" | <2> \"c\" | <3>\"a\" }"]; |
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| 62 | color = "white" |
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| 63 | } |
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| 64 | subgraph cluster2{ |
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| 65 | node [shape=record]; |
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[600] | 66 | label = "SIZES"; |
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[270] | 67 | labelloc = b; |
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| 68 | sizes [label="{<1>1 |<2> 4 |<3> 1}"]; |
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| 69 | color = "white" |
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| 70 | } |
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| 71 | map:1 -> names:1; |
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| 72 | map:1 -> sizes:1; |
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| 73 | map:3 -> names:3; |
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| 74 | map:3 -> sizes:3; |
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| 75 | } |
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| 76 | \enddot |
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| 77 | */ |
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[32] | 78 | |
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[600] | 79 | class RV : public root { |
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| 80 | private: |
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| 81 | typedef std::map<string, int> str2int_map; |
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[5] | 82 | |
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[600] | 83 | //! Internal global variable storing sizes of RVs |
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| 84 | static ivec SIZES; |
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| 85 | //! Internal global variable storing names of RVs |
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| 86 | static Array<string> NAMES; |
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[271] | 87 | |
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[600] | 88 | //! TODO |
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| 89 | const static int BUFFER_STEP; |
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[422] | 90 | |
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[600] | 91 | //! TODO |
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| 92 | static str2int_map MAP; |
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[422] | 93 | |
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[600] | 94 | public: |
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[422] | 95 | |
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[600] | 96 | protected: |
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| 97 | //! size of the data vector |
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| 98 | int dsize; |
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| 99 | //! number of individual rvs |
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| 100 | int len; |
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| 101 | //! Vector of unique IDs |
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| 102 | ivec ids; |
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| 103 | //! Vector of shifts from current time |
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| 104 | ivec times; |
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[532] | 105 | |
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[600] | 106 | private: |
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| 107 | enum enum_dummy {dummy}; |
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[532] | 108 | |
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[600] | 109 | //! auxiliary function used in constructor |
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| 110 | void init ( const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times ); |
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| 111 | int init ( const string &name, int size ); |
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| 112 | //! Private constructor from IDs, potentially dangerous since all ids must be valid! |
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| 113 | //! dummy is there to prevent confusion with RV(" string"); |
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| 114 | explicit RV ( const ivec &ids0, enum_dummy dum ) : dsize ( 0 ), len ( ids0.length() ), ids ( ids0 ), times ( zeros_i ( ids0.length() ) ) { |
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| 115 | dsize = countsize(); |
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| 116 | } |
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| 117 | public: |
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| 118 | //! \name Constructors |
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| 119 | //!@{ |
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[271] | 120 | |
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[600] | 121 | //! Full constructor |
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| 122 | RV ( const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times ) { |
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| 123 | init ( in_names, in_sizes, in_times ); |
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| 124 | } |
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[271] | 125 | |
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[600] | 126 | //! Constructor with times=0 |
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| 127 | RV ( const Array<std::string> &in_names, const ivec &in_sizes ) { |
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| 128 | init ( in_names, in_sizes, zeros_i ( in_names.length() ) ); |
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| 129 | } |
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[422] | 130 | |
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[600] | 131 | //! Constructor with sizes=1, times=0 |
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| 132 | RV ( const Array<std::string> &in_names ) { |
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| 133 | init ( in_names, ones_i ( in_names.length() ), zeros_i ( in_names.length() ) ); |
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| 134 | } |
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[422] | 135 | |
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[600] | 136 | //! Constructor of empty RV |
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| 137 | RV() : dsize ( 0 ), len ( 0 ), ids ( 0 ), times ( 0 ) {} |
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[271] | 138 | |
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[600] | 139 | //! Constructor of a single RV with given id |
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| 140 | RV ( string name, int sz, int tm = 0 ); |
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[271] | 141 | |
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[600] | 142 | // compiler-generated copy constructor is used |
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| 143 | //!@} |
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[422] | 144 | |
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[600] | 145 | //! \name Access functions |
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| 146 | //!@{ |
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[422] | 147 | |
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[600] | 148 | //! State output, e.g. for debugging. |
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| 149 | friend std::ostream &operator<< ( std::ostream &os, const RV &rv ); |
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[422] | 150 | |
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[737] | 151 | string to_string() const { |
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| 152 | ostringstream o; |
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| 153 | o << *this; |
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| 154 | return o.str(); |
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| 155 | } |
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| 156 | |
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[604] | 157 | //! total size of a random variable |
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[600] | 158 | int _dsize() const { |
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| 159 | return dsize; |
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| 160 | } |
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[271] | 161 | |
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[600] | 162 | //! access function |
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| 163 | const ivec& _ids() const { |
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| 164 | return ids; |
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| 165 | } |
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| 166 | |
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| 167 | //! Recount size of the corresponding data vector |
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| 168 | int countsize() const; |
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[604] | 169 | //! Vector of cumulative sizes of RV |
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[600] | 170 | ivec cumsizes() const; |
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[604] | 171 | //! Number of named parts |
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[600] | 172 | int length() const { |
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| 173 | return len; |
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| 174 | } |
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| 175 | int id ( int at ) const { |
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| 176 | return ids ( at ); |
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| 177 | } |
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| 178 | int size ( int at ) const { |
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| 179 | return SIZES ( ids ( at ) ); |
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| 180 | } |
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| 181 | int time ( int at ) const { |
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| 182 | return times ( at ); |
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| 183 | } |
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| 184 | std::string name ( int at ) const { |
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| 185 | return NAMES ( ids ( at ) ); |
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| 186 | } |
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[610] | 187 | //! returns name of a scalar at position scalat, i.e. it can be in the middle of vector name, in that case it adds "_%d" to it |
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[738] | 188 | std::string scalarname ( int scalat ) const; |
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[610] | 189 | |
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[600] | 190 | void set_time ( int at, int time0 ) { |
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| 191 | times ( at ) = time0; |
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| 192 | } |
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| 193 | //!@} |
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| 194 | |
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| 195 | //! \name Algebra on Random Variables |
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| 196 | //!@{ |
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| 197 | |
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| 198 | //! Find indices of self in another rv, \return ivec of the same size as self. |
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| 199 | ivec findself ( const RV &rv2 ) const; |
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| 200 | //! Find indices of self in another rv, ignore time, \return ivec of the same size as self. |
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| 201 | ivec findself_ids ( const RV &rv2 ) const; |
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| 202 | //! Compare if \c rv2 is identical to this \c RV |
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| 203 | bool equal ( const RV &rv2 ) const; |
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| 204 | //! 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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| 205 | bool add ( const RV &rv2 ); |
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| 206 | //! Subtract another variable from the current one |
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| 207 | RV subt ( const RV &rv2 ) const; |
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| 208 | //! Select only variables at indices ind |
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| 209 | RV subselect ( const ivec &ind ) const; |
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| 210 | |
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| 211 | //! Select only variables at indices ind |
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| 212 | RV operator() ( const ivec &ind ) const { |
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| 213 | return subselect ( ind ); |
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| 214 | } |
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| 215 | |
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| 216 | //! Select from data vector starting at di1 to di2 |
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| 217 | RV operator() ( int di1, int di2 ) const; |
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| 218 | |
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| 219 | //! Shift \c time by delta. |
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[604] | 220 | void t_plus ( int delta ); |
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[600] | 221 | //!@} |
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| 222 | |
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[604] | 223 | //! @{ \name Time manipulation functions |
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[600] | 224 | //! returns rvs with time set to 0 and removed duplicates |
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| 225 | RV remove_time() const { |
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| 226 | return RV ( unique ( ids ), dummy ); |
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| 227 | } |
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[604] | 228 | //! create new RV from the current one with time shifted by given value |
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[737] | 229 | RV copy_t ( int dt ) const { |
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| 230 | RV tmp = *this; |
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| 231 | tmp.t_plus ( dt ); |
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[604] | 232 | return tmp; |
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| 233 | } |
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[660] | 234 | //! return rvs with expanded delayes and sorted in the order of: \f$ [ rv_{0}, rv_{-1},\ldots rv_{max_delay}]\f$ |
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[738] | 235 | RV expand_delayes() const; |
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[600] | 236 | //!@} |
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[271] | 237 | |
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[600] | 238 | //!\name Relation to vectors |
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| 239 | //!@{ |
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[271] | 240 | |
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[600] | 241 | //! generate \c str from rv, by expanding sizes |
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| 242 | str tostr() const; |
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| 243 | //! 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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| 244 | //! Then, data can be copied via: data_of_this = cdata(ind); |
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| 245 | ivec dataind ( const RV &crv ) const; |
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| 246 | //! same as dataind but this time crv should not be complete supperset of rv. |
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| 247 | ivec dataind_part ( const RV &crv ) const; |
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| 248 | //! generate mutual indices when copying data between self and crv. |
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| 249 | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
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| 250 | void dataind ( const RV &rv2, ivec &selfi, ivec &rv2i ) const; |
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| 251 | //! Minimum time-offset |
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| 252 | int mint() const { |
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[737] | 253 | return times.length() > 0 ? min ( times ) : 0; |
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[600] | 254 | } |
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[700] | 255 | //! Minimum time-offset of ids of given RVs |
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[737] | 256 | int mint ( const RV &rv ) const { |
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| 257 | bvec belong = zeros_b ( len ); |
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| 258 | for ( int r = 0; r < rv.length(); r++ ) { |
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| 259 | belong = belong | ( ids == rv.id ( r ) ); |
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[700] | 260 | } |
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[737] | 261 | return times.length() > 0 ? min ( get_from_bvec ( times, belong ) ) : 0; |
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[700] | 262 | } |
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[600] | 263 | //!@} |
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[357] | 264 | |
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[600] | 265 | /*! \brief UI for class RV (description of data vectors) |
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[357] | 266 | |
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[600] | 267 | \code |
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[737] | 268 | class = 'RV'; |
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[624] | 269 | names = {'a', 'b', 'c', ...}; // UNIQUE IDENTIFIER same names = same variable |
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[737] | 270 | // names are also used when storing results |
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[624] | 271 | --- optional --- |
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| 272 | sizes = [1, 2, 3, ...]; // size of each name. default = ones() |
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| 273 | // if size = -1, it is found out from previous instances of the same name |
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| 274 | times = [-1, -2, 0, ...]; // time shifts with respect to current time, default = zeros() |
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[600] | 275 | \endcode |
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| 276 | */ |
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| 277 | void from_setting ( const Setting &set ); |
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| 278 | |
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[737] | 279 | void to_setting ( Setting &set ) const; |
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[600] | 280 | |
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| 281 | //! Invalidate all named RVs. Use before initializing any RV instances, with care... |
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| 282 | static void clear_all(); |
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[604] | 283 | //! function for debugging RV related stuff |
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| 284 | string show_all(); |
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| 285 | |
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[270] | 286 | }; |
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[600] | 287 | UIREGISTER ( RV ); |
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| 288 | SHAREDPTR ( RV ); |
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[32] | 289 | |
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[145] | 290 | //! Concat two random variables |
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[600] | 291 | RV concat ( const RV &rv1, const RV &rv2 ); |
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[2] | 292 | |
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[676] | 293 | /*! |
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| 294 | @brief Class for storing results (and semi-results) of an experiment |
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| 295 | |
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| 296 | 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. |
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| 297 | */ |
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| 298 | class logger : public root { |
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[737] | 299 | protected: |
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| 300 | //! RVs of all logged variables. |
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| 301 | Array<RV> entries; |
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| 302 | //! Names of logged quantities, e.g. names of algorithm variants |
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| 303 | Array<string> names; |
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| 304 | //!separator of prefixes of entries |
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| 305 | const string separator; |
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| 306 | //! Root Setting for storing Settings |
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| 307 | Config setting_conf; |
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| 308 | //! list of Settings for specific ids |
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| 309 | Array<Setting*> settings; |
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| 310 | public: |
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| 311 | //!Default constructor |
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| 312 | logger ( const string separator0 ) : entries ( 0 ), names ( 0 ), separator ( separator0 ) {} |
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| 313 | |
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| 314 | //! returns an identifier which will be later needed for calling the \c logit() function |
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| 315 | //! For empty RV it returns -1, this entry will be ignored by \c logit(). |
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[738] | 316 | virtual int add_vector ( const RV &rv, string prefix = "" ); |
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[737] | 317 | |
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[738] | 318 | virtual int add_setting ( const string &prefix ); |
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| 319 | |
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[737] | 320 | //! log this vector |
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| 321 | virtual void log_vector ( int id, const vec &v ) { |
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| 322 | bdm_error ( "Not implemented" ); |
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| 323 | }; |
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| 324 | |
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| 325 | virtual Setting & log_to_setting ( int id ) { |
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| 326 | return settings ( id )->add ( Setting::TypeGroup ); |
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| 327 | } |
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| 328 | |
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| 329 | //! log this double |
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| 330 | virtual void logit ( int id, const double &d ) { |
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| 331 | bdm_error ( "Not implemented" ); |
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| 332 | }; |
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| 333 | |
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| 334 | //! Shifts storage position for another time step. |
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| 335 | virtual void step() { |
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| 336 | bdm_error ( "Not implemneted" ); |
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| 337 | }; |
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| 338 | |
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| 339 | //! Finalize storing information |
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| 340 | virtual void finalize() {}; |
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| 341 | |
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| 342 | //! Initialize the storage |
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| 343 | virtual void init() {}; |
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| 344 | |
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| 345 | //!separator of prefixes for this logger |
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| 346 | const string& prefix_sep() { |
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| 347 | return separator; |
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| 348 | } |
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[676] | 349 | }; |
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| 350 | |
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| 351 | |
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[85] | 352 | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
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[600] | 353 | class fnc : public root { |
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| 354 | protected: |
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| 355 | //! Length of the output vector |
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| 356 | int dimy; |
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[665] | 357 | //! Length of the input vector |
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| 358 | int dimc; |
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[600] | 359 | public: |
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| 360 | //!default constructor |
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| 361 | fnc() {}; |
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| 362 | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
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| 363 | virtual vec eval ( const vec &cond ) { |
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| 364 | return vec ( 0 ); |
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| 365 | }; |
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[2] | 366 | |
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[600] | 367 | //! function substitutes given value into an appropriate position |
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| 368 | virtual void condition ( const vec &val ) {}; |
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[27] | 369 | |
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[600] | 370 | //! access function |
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| 371 | int dimension() const { |
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| 372 | return dimy; |
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| 373 | } |
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[665] | 374 | //! access function |
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| 375 | int dimensionc() const { |
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| 376 | return dimc; |
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| 377 | } |
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[270] | 378 | }; |
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[2] | 379 | |
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[675] | 380 | class epdf; |
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[7] | 381 | |
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[675] | 382 | //! 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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[693] | 383 | class pdf : public root { |
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[675] | 384 | protected: |
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| 385 | //!dimension of the condition |
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| 386 | int dimc; |
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| 387 | //! random variable in condition |
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| 388 | RV rvc; |
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[32] | 389 | |
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[678] | 390 | //! dimension of random variable |
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[675] | 391 | int dim; |
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| 392 | |
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[678] | 393 | //! random variable |
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[675] | 394 | RV rv; |
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| 395 | |
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| 396 | public: |
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| 397 | //! \name Constructors |
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| 398 | //! @{ |
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| 399 | |
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[737] | 400 | pdf() : dimc ( 0 ), rvc(), dim ( 0 ), rv() { } |
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[675] | 401 | |
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[737] | 402 | pdf ( const pdf &m ) : dimc ( m.dimc ), rvc ( m.rvc ), dim ( m.dim ), rv ( m.rv ) { } |
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| 403 | |
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[679] | 404 | //! copy of the current object - make sure to implement |
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[737] | 405 | virtual pdf* _copy_() const { |
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| 406 | return new pdf ( *this ); |
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| 407 | } |
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[675] | 408 | //!@} |
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| 409 | |
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| 410 | //! \name Matematical operations |
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| 411 | //!@{ |
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| 412 | |
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| 413 | //! 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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| 414 | virtual vec samplecond ( const vec &cond ) { |
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| 415 | bdm_error ( "Not implemented" ); |
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| 416 | return vec(); |
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| 417 | } |
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| 418 | |
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| 419 | //! 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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[713] | 420 | virtual mat samplecond_mat ( const vec &cond, int N ); |
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[675] | 421 | |
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| 422 | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
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[679] | 423 | virtual double evallogcond ( const vec &yt, const vec &cond ) { |
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[675] | 424 | bdm_error ( "Not implemented" ); |
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| 425 | return 0.0; |
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| 426 | } |
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| 427 | |
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| 428 | //! Matrix version of evallogcond |
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[713] | 429 | virtual vec evallogcond_mat ( const mat &Yt, const vec &cond ) { |
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[679] | 430 | vec v ( Yt.cols() ); |
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| 431 | for ( int i = 0; i < Yt.cols(); i++ ) { |
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| 432 | v ( i ) = evallogcond ( Yt.get_col ( i ), cond ); |
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[675] | 433 | } |
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| 434 | return v; |
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| 435 | } |
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| 436 | |
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| 437 | //! Array<vec> version of evallogcond |
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[713] | 438 | virtual vec evallogcond_mat ( const Array<vec> &Yt, const vec &cond ) { |
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[741] | 439 | vec v ( Yt.length() ); |
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| 440 | for ( int i = 0; i < Yt.length(); i++ ) { |
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| 441 | v ( i ) = evallogcond ( Yt( i ), cond ); |
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| 442 | } |
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| 443 | return v; |
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[675] | 444 | } |
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| 445 | |
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| 446 | //! \name Access to attributes |
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| 447 | //! @{ |
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| 448 | |
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| 449 | const RV& _rv() const { |
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| 450 | return rv; |
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| 451 | } |
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| 452 | const RV& _rvc() const { |
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| 453 | return rvc; |
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| 454 | } |
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| 455 | |
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| 456 | int dimension() const { |
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| 457 | return dim; |
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| 458 | } |
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| 459 | int dimensionc() { |
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| 460 | return dimc; |
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| 461 | } |
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| 462 | |
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[679] | 463 | //! access function |
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[737] | 464 | void set_dim ( int d ) { |
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| 465 | dim = d; |
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| 466 | } |
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[679] | 467 | //! access function |
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[737] | 468 | void set_dimc ( int d ) { |
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| 469 | dimc = d; |
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| 470 | } |
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[675] | 471 | //! Load from structure with elements: |
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| 472 | //! \code |
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[693] | 473 | //! { class = "pdf_offspring", |
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[675] | 474 | //! rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
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| 475 | //! rvc= {class="RV", names=(...),}; // RV describing meaning of random variable in condition |
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| 476 | //! // elements of offsprings |
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| 477 | //! } |
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| 478 | //! \endcode |
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| 479 | //!@} |
---|
| 480 | void from_setting ( const Setting &set ); |
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| 481 | //!@} |
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| 482 | |
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| 483 | //! \name Connection to other objects |
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| 484 | //!@{ |
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| 485 | void set_rvc ( const RV &rvc0 ) { |
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| 486 | rvc = rvc0; |
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| 487 | } |
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| 488 | void set_rv ( const RV &rv0 ) { |
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| 489 | rv = rv0; |
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| 490 | } |
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| 491 | |
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[678] | 492 | bool isnamed() const { |
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[675] | 493 | return ( dim == rv._dsize() ) && ( dimc == rvc._dsize() ); |
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| 494 | } |
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| 495 | //!@} |
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| 496 | }; |
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[693] | 497 | SHAREDPTR ( pdf ); |
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[675] | 498 | |
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| 499 | //! Probability density function with numerical statistics, e.g. posterior density. |
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[693] | 500 | class epdf : public pdf { |
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[32] | 501 | |
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[600] | 502 | public: |
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| 503 | /*! \name Constructors |
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| 504 | Construction of each epdf should support two types of constructors: |
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| 505 | \li empty constructor, |
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| 506 | \li copy constructor, |
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[271] | 507 | |
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[600] | 508 | The following constructors should be supported for convenience: |
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| 509 | \li constructor followed by calling \c set_parameters() |
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| 510 | \li constructor accepting random variables calling \c set_rv() |
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[271] | 511 | |
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[600] | 512 | 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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| 513 | @{*/ |
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[678] | 514 | epdf() {}; |
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[737] | 515 | epdf ( const epdf &e ) : pdf ( e ) {}; |
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[600] | 516 | void set_parameters ( int dim0 ) { |
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| 517 | dim = dim0; |
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| 518 | } |
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[737] | 519 | epdf* _copy_() const { |
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| 520 | return new epdf ( *this ); |
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| 521 | } |
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[600] | 522 | //!@} |
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[271] | 523 | |
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[600] | 524 | //! \name Matematical Operations |
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| 525 | //!@{ |
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[271] | 526 | |
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[600] | 527 | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
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| 528 | virtual vec sample() const { |
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| 529 | bdm_error ( "not implemented" ); |
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| 530 | return vec(); |
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| 531 | } |
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[502] | 532 | |
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[600] | 533 | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
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[713] | 534 | virtual mat sample_mat ( int N ) const; |
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[502] | 535 | |
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[600] | 536 | //! Compute log-probability of argument \c val |
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| 537 | //! In case the argument is out of suport return -Infinity |
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| 538 | virtual double evallog ( const vec &val ) const { |
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| 539 | bdm_error ( "not implemented" ); |
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| 540 | return 0.0; |
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| 541 | } |
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[502] | 542 | |
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[600] | 543 | //! Compute log-probability of multiple values argument \c val |
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[713] | 544 | virtual vec evallog_mat ( const mat &Val ) const; |
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[502] | 545 | |
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[600] | 546 | //! Compute log-probability of multiple values argument \c val |
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[713] | 547 | virtual vec evallog_mat ( const Array<vec> &Avec ) const; |
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[502] | 548 | |
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[600] | 549 | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
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[693] | 550 | virtual shared_ptr<pdf> condition ( const RV &rv ) const; |
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[271] | 551 | |
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[600] | 552 | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
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| 553 | virtual shared_ptr<epdf> marginal ( const RV &rv ) const; |
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[271] | 554 | |
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[600] | 555 | //! return expected value |
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| 556 | virtual vec mean() const { |
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| 557 | bdm_error ( "not implemneted" ); |
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| 558 | return vec(); |
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| 559 | } |
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[271] | 560 | |
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[600] | 561 | //! return expected variance (not covariance!) |
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| 562 | virtual vec variance() const { |
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| 563 | bdm_error ( "not implemneted" ); |
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| 564 | return vec(); |
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| 565 | } |
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[565] | 566 | |
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[600] | 567 | //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default |
---|
| 568 | virtual void qbounds ( vec &lb, vec &ub, double percentage = 0.95 ) const { |
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| 569 | vec mea = mean(); |
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| 570 | vec std = sqrt ( variance() ); |
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| 571 | lb = mea - 2 * std; |
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| 572 | ub = mea + 2 * std; |
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| 573 | }; |
---|
| 574 | //!@} |
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[271] | 575 | |
---|
[600] | 576 | //! \name Connection to other classes |
---|
| 577 | //! Description of the random quantity via attribute \c rv is optional. |
---|
| 578 | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
---|
| 579 | //! and \c conditioning \c rv has to be set. NB: |
---|
| 580 | //! @{ |
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[271] | 581 | |
---|
[676] | 582 | //! store values of the epdf on the following levels: |
---|
| 583 | //! #1 mean |
---|
| 584 | //! #2 mean + lower & upper bound |
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[738] | 585 | void log_register ( logger &L, const string &prefix ); |
---|
[737] | 586 | |
---|
[738] | 587 | void log_write() const; |
---|
[600] | 588 | //!@} |
---|
[377] | 589 | |
---|
[600] | 590 | //! \name Access to attributes |
---|
| 591 | //! @{ |
---|
[377] | 592 | |
---|
[600] | 593 | //! Load from structure with elements: |
---|
| 594 | //! \code |
---|
| 595 | //! { rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
---|
| 596 | //! // elements of offsprings |
---|
| 597 | //! } |
---|
| 598 | //! \endcode |
---|
| 599 | //!@} |
---|
| 600 | void from_setting ( const Setting &set ) { |
---|
| 601 | shared_ptr<RV> r = UI::build<RV> ( set, "rv", UI::optional ); |
---|
| 602 | if ( r ) { |
---|
| 603 | set_rv ( *r ); |
---|
[477] | 604 | } |
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[600] | 605 | } |
---|
[377] | 606 | |
---|
[675] | 607 | vec samplecond ( const vec &cond ) { |
---|
| 608 | return sample(); |
---|
[600] | 609 | } |
---|
[675] | 610 | double evallogcond ( const vec &val, const vec &cond ) { |
---|
| 611 | return evallog ( val ); |
---|
[600] | 612 | } |
---|
[270] | 613 | }; |
---|
[675] | 614 | SHAREDPTR ( epdf ); |
---|
[32] | 615 | |
---|
[693] | 616 | //! pdf with internal epdf that is modified by function \c condition |
---|
[487] | 617 | template <class EPDF> |
---|
[693] | 618 | class pdf_internal: public pdf { |
---|
[600] | 619 | protected : |
---|
| 620 | //! Internal epdf used for sampling |
---|
| 621 | EPDF iepdf; |
---|
| 622 | public: |
---|
| 623 | //! constructor |
---|
[693] | 624 | pdf_internal() : pdf(), iepdf() { |
---|
[675] | 625 | // set_ep ( iepdf ); TODO! |
---|
[600] | 626 | } |
---|
[565] | 627 | |
---|
[693] | 628 | //! Update \c iepdf so that it represents this pdf conditioned on \c rvc = cond |
---|
[600] | 629 | //! This function provides convenient reimplementation in offsprings |
---|
| 630 | virtual void condition ( const vec &cond ) { |
---|
| 631 | bdm_error ( "Not implemented" ); |
---|
| 632 | } |
---|
[565] | 633 | |
---|
[600] | 634 | //!access function to iepdf |
---|
| 635 | EPDF& e() { |
---|
| 636 | return iepdf; |
---|
| 637 | } |
---|
[488] | 638 | |
---|
[600] | 639 | //! Reimplements samplecond using \c condition() |
---|
| 640 | vec samplecond ( const vec &cond ); |
---|
| 641 | //! Reimplements evallogcond using \c condition() |
---|
| 642 | double evallogcond ( const vec &val, const vec &cond ); |
---|
| 643 | //! Efficient version of evallogcond for matrices |
---|
[713] | 644 | virtual vec evallogcond_mat ( const mat &Dt, const vec &cond ); |
---|
[600] | 645 | //! Efficient version of evallogcond for Array<vec> |
---|
[713] | 646 | virtual vec evallogcond_mat ( const Array<vec> &Dt, const vec &cond ); |
---|
[600] | 647 | //! Efficient version of samplecond |
---|
[713] | 648 | virtual mat samplecond_mat ( const vec &cond, int N ); |
---|
[737] | 649 | |
---|
[678] | 650 | void validate() { |
---|
| 651 | iepdf.validate(); |
---|
[737] | 652 | if ( rv._dsize() < iepdf._rv()._dsize() ) { |
---|
| 653 | rv = iepdf._rv(); |
---|
| 654 | }; |
---|
[678] | 655 | dim = iepdf.dimension(); |
---|
| 656 | } |
---|
[487] | 657 | }; |
---|
| 658 | |
---|
[270] | 659 | /*! \brief DataLink is a connection between two data vectors Up and Down |
---|
[2] | 660 | |
---|
[270] | 661 | Up can be longer than Down. Down must be fully present in Up (TODO optional) |
---|
| 662 | See chart: |
---|
| 663 | \dot |
---|
| 664 | digraph datalink { |
---|
[377] | 665 | node [shape=record]; |
---|
| 666 | subgraph cluster0 { |
---|
| 667 | label = "Up"; |
---|
| 668 | up [label="<1>|<2>|<3>|<4>|<5>"]; |
---|
| 669 | color = "white" |
---|
[270] | 670 | } |
---|
[377] | 671 | subgraph cluster1{ |
---|
| 672 | label = "Down"; |
---|
| 673 | labelloc = b; |
---|
| 674 | down [label="<1>|<2>|<3>"]; |
---|
| 675 | color = "white" |
---|
[270] | 676 | } |
---|
| 677 | up:1 -> down:1; |
---|
| 678 | up:3 -> down:2; |
---|
| 679 | up:5 -> down:3; |
---|
| 680 | } |
---|
| 681 | \enddot |
---|
[263] | 682 | |
---|
[270] | 683 | */ |
---|
[600] | 684 | class datalink { |
---|
| 685 | protected: |
---|
| 686 | //! Remember how long val should be |
---|
| 687 | int downsize; |
---|
[424] | 688 | |
---|
[600] | 689 | //! Remember how long val of "Up" should be |
---|
| 690 | int upsize; |
---|
[424] | 691 | |
---|
[600] | 692 | //! val-to-val link, indices of the upper val |
---|
| 693 | ivec v2v_up; |
---|
[545] | 694 | |
---|
[600] | 695 | public: |
---|
| 696 | //! Constructor |
---|
| 697 | datalink() : downsize ( 0 ), upsize ( 0 ) { } |
---|
[424] | 698 | |
---|
[600] | 699 | //! Convenience constructor |
---|
| 700 | datalink ( const RV &rv, const RV &rv_up ) { |
---|
| 701 | set_connection ( rv, rv_up ); |
---|
| 702 | } |
---|
[271] | 703 | |
---|
[600] | 704 | //! set connection, rv must be fully present in rv_up |
---|
[628] | 705 | virtual void set_connection ( const RV &rv, const RV &rv_up ); |
---|
[286] | 706 | |
---|
[600] | 707 | //! set connection using indices |
---|
[628] | 708 | virtual void set_connection ( int ds, int us, const ivec &upind ); |
---|
[424] | 709 | |
---|
[600] | 710 | //! Get val for myself from val of "Up" |
---|
| 711 | vec pushdown ( const vec &val_up ) { |
---|
| 712 | vec tmp ( downsize ); |
---|
| 713 | filldown ( val_up, tmp ); |
---|
| 714 | return tmp; |
---|
| 715 | } |
---|
| 716 | //! Get val for vector val_down from val of "Up" |
---|
[628] | 717 | virtual void filldown ( const vec &val_up, vec &val_down ) { |
---|
[600] | 718 | bdm_assert_debug ( upsize == val_up.length(), "Wrong val_up" ); |
---|
| 719 | val_down = val_up ( v2v_up ); |
---|
| 720 | } |
---|
| 721 | //! Fill val of "Up" by my pieces |
---|
[628] | 722 | virtual void pushup ( vec &val_up, const vec &val ) { |
---|
[600] | 723 | bdm_assert_debug ( downsize == val.length(), "Wrong val" ); |
---|
| 724 | bdm_assert_debug ( upsize == val_up.length(), "Wrong val_up" ); |
---|
| 725 | set_subvector ( val_up, v2v_up, val ); |
---|
| 726 | } |
---|
| 727 | //! access functions |
---|
| 728 | int _upsize() { |
---|
| 729 | return upsize; |
---|
| 730 | } |
---|
| 731 | //! access functions |
---|
| 732 | int _downsize() { |
---|
| 733 | return downsize; |
---|
| 734 | } |
---|
[665] | 735 | //! for future use |
---|
[737] | 736 | virtual ~datalink() {} |
---|
[270] | 737 | }; |
---|
[115] | 738 | |
---|
[598] | 739 | /*! Extension of datalink to fill only part of Down |
---|
| 740 | */ |
---|
[600] | 741 | class datalink_part : public datalink { |
---|
| 742 | protected: |
---|
[598] | 743 | //! indeces of values in vector downsize |
---|
| 744 | ivec v2v_down; |
---|
[600] | 745 | public: |
---|
| 746 | void set_connection ( const RV &rv, const RV &rv_up ); |
---|
| 747 | //! Get val for vector val_down from val of "Up" |
---|
| 748 | void filldown ( const vec &val_up, vec &val_down ) { |
---|
| 749 | set_subvector ( val_down, v2v_down, val_up ( v2v_up ) ); |
---|
| 750 | } |
---|
[598] | 751 | }; |
---|
| 752 | |
---|
| 753 | /*! \brief Datalink that buffers delayed values - do not forget to call step() |
---|
| 754 | |
---|
| 755 | Up is current data, Down is their subset with possibly delayed values |
---|
| 756 | */ |
---|
[600] | 757 | class datalink_buffered: public datalink_part { |
---|
| 758 | protected: |
---|
[598] | 759 | //! History, ordered as \f$[Up_{t-1},Up_{t-2}, \ldots]\f$ |
---|
| 760 | vec history; |
---|
| 761 | //! rv of the history |
---|
| 762 | RV Hrv; |
---|
[600] | 763 | //! h2v : indeces in down |
---|
[598] | 764 | ivec h2v_down; |
---|
| 765 | //! h2v : indeces in history |
---|
| 766 | ivec h2v_hist; |
---|
[603] | 767 | //! v2h: indeces of up too be pushed to h |
---|
| 768 | ivec v2h_up; |
---|
[600] | 769 | public: |
---|
| 770 | |
---|
| 771 | datalink_buffered() : datalink_part(), history ( 0 ), h2v_down ( 0 ), h2v_hist ( 0 ) {}; |
---|
[598] | 772 | //! push current data to history |
---|
[723] | 773 | void store_data ( const vec &val_up ) { |
---|
[613] | 774 | if ( v2h_up.length() > 0 ) { |
---|
| 775 | history.shift_right ( 0, v2h_up.length() ); |
---|
[737] | 776 | history.set_subvector ( 0, val_up ( v2h_up ) ); |
---|
[598] | 777 | } |
---|
| 778 | } |
---|
[600] | 779 | //! Get val for myself from val of "Up" |
---|
| 780 | vec pushdown ( const vec &val_up ) { |
---|
| 781 | vec tmp ( downsize ); |
---|
| 782 | filldown ( val_up, tmp ); |
---|
| 783 | return tmp; |
---|
[598] | 784 | } |
---|
[600] | 785 | |
---|
| 786 | void filldown ( const vec &val_up, vec &val_down ) { |
---|
| 787 | bdm_assert_debug ( val_down.length() >= downsize, "short val_down" ); |
---|
| 788 | |
---|
| 789 | set_subvector ( val_down, v2v_down, val_up ( v2v_up ) ); // copy direct values |
---|
| 790 | set_subvector ( val_down, h2v_down, history ( h2v_hist ) ); // copy delayed values |
---|
[598] | 791 | } |
---|
[600] | 792 | |
---|
[738] | 793 | void set_connection ( const RV &rv, const RV &rv_up ); |
---|
| 794 | |
---|
[613] | 795 | //! set history of variable given by \c rv1 to values of \c hist. |
---|
[738] | 796 | void set_history ( const RV& rv1, const vec &hist0 ); |
---|
[598] | 797 | }; |
---|
| 798 | |
---|
| 799 | //! buffered datalink from 2 vectors to 1 |
---|
[600] | 800 | class datalink_2to1_buffered { |
---|
| 801 | protected: |
---|
[660] | 802 | //! link 1st vector to down |
---|
[598] | 803 | datalink_buffered dl1; |
---|
[660] | 804 | //! link 2nd vector to down |
---|
[598] | 805 | datalink_buffered dl2; |
---|
[600] | 806 | public: |
---|
[598] | 807 | //! set connection between RVs |
---|
[600] | 808 | void set_connection ( const RV &rv, const RV &rv_up1, const RV &rv_up2 ) { |
---|
| 809 | dl1.set_connection ( rv, rv_up1 ); |
---|
| 810 | dl2.set_connection ( rv, rv_up2 ); |
---|
[598] | 811 | } |
---|
[660] | 812 | //! fill values of down from the values of the two up vectors |
---|
[600] | 813 | void filldown ( const vec &val1, const vec &val2, vec &val_down ) { |
---|
| 814 | bdm_assert_debug ( val_down.length() >= dl1._downsize() + dl2._downsize(), "short val_down" ); |
---|
| 815 | dl1.filldown ( val1, val_down ); |
---|
| 816 | dl2.filldown ( val2, val_down ); |
---|
[598] | 817 | } |
---|
[660] | 818 | //! update buffer |
---|
[600] | 819 | void step ( const vec &dt, const vec &ut ) { |
---|
[723] | 820 | dl1.store_data ( dt ); |
---|
| 821 | dl2.store_data ( ut ); |
---|
[600] | 822 | } |
---|
[598] | 823 | }; |
---|
| 824 | |
---|
[600] | 825 | |
---|
| 826 | |
---|
[424] | 827 | //! Data link with a condition. |
---|
[600] | 828 | class datalink_m2e: public datalink { |
---|
| 829 | protected: |
---|
| 830 | //! Remember how long cond should be |
---|
| 831 | int condsize; |
---|
[424] | 832 | |
---|
[600] | 833 | //!upper_val-to-local_cond link, indices of the upper val |
---|
| 834 | ivec v2c_up; |
---|
[424] | 835 | |
---|
[600] | 836 | //!upper_val-to-local_cond link, indices of the local cond |
---|
| 837 | ivec v2c_lo; |
---|
[192] | 838 | |
---|
[600] | 839 | public: |
---|
| 840 | //! Constructor |
---|
| 841 | datalink_m2e() : condsize ( 0 ) { } |
---|
[545] | 842 | |
---|
[600] | 843 | //! Set connection between vectors |
---|
| 844 | void set_connection ( const RV &rv, const RV &rvc, const RV &rv_up ); |
---|
[424] | 845 | |
---|
[600] | 846 | //!Construct condition |
---|
| 847 | vec get_cond ( const vec &val_up ); |
---|
[545] | 848 | |
---|
[600] | 849 | //! Copy corresponding values to Up.condition |
---|
| 850 | void pushup_cond ( vec &val_up, const vec &val, const vec &cond ); |
---|
[270] | 851 | }; |
---|
[424] | 852 | |
---|
[693] | 853 | //!DataLink is a connection between pdf and its superordinate (Up) |
---|
[192] | 854 | //! This class links |
---|
[600] | 855 | class datalink_m2m: public datalink_m2e { |
---|
| 856 | protected: |
---|
| 857 | //!cond-to-cond link, indices of the upper cond |
---|
| 858 | ivec c2c_up; |
---|
| 859 | //!cond-to-cond link, indices of the local cond |
---|
| 860 | ivec c2c_lo; |
---|
[424] | 861 | |
---|
[600] | 862 | public: |
---|
| 863 | //! Constructor |
---|
| 864 | datalink_m2m() {}; |
---|
| 865 | //! Set connection between the vectors |
---|
| 866 | void set_connection ( const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up ) { |
---|
| 867 | datalink_m2e::set_connection ( rv, rvc, rv_up ); |
---|
| 868 | //establish c2c connection |
---|
| 869 | rvc.dataind ( rvc_up, c2c_lo, c2c_up ); |
---|
[700] | 870 | // bdm_assert_debug ( c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given" ); |
---|
[600] | 871 | } |
---|
[424] | 872 | |
---|
[600] | 873 | //! Get cond for myself from val and cond of "Up" |
---|
| 874 | vec get_cond ( const vec &val_up, const vec &cond_up ) { |
---|
| 875 | vec tmp ( condsize ); |
---|
[737] | 876 | fill_cond ( val_up, cond_up, tmp ); |
---|
[600] | 877 | return tmp; |
---|
| 878 | } |
---|
[737] | 879 | //! fill condition |
---|
| 880 | void fill_cond ( const vec &val_up, const vec &cond_up, vec& cond_out ) { |
---|
| 881 | bdm_assert_debug ( cond_out.length() >= condsize, "dl.fill_cond: cond_out is too small" ); |
---|
[700] | 882 | set_subvector ( cond_out, v2c_lo, val_up ( v2c_up ) ); |
---|
| 883 | set_subvector ( cond_out, c2c_lo, cond_up ( c2c_up ) ); |
---|
| 884 | } |
---|
[600] | 885 | //! Fill |
---|
[190] | 886 | |
---|
[270] | 887 | }; |
---|
[190] | 888 | |
---|
[267] | 889 | |
---|
[693] | 890 | //! \brief Combines RVs from a list of pdfs to a single one. |
---|
| 891 | RV get_composite_rv ( const Array<shared_ptr<pdf> > &pdfs, bool checkoverlap = false ); |
---|
[175] | 892 | |
---|
[270] | 893 | /*! \brief Abstract class for discrete-time sources of data. |
---|
[12] | 894 | |
---|
[737] | 895 | The class abstracts operations of: |
---|
| 896 | \li data aquisition, |
---|
| 897 | \li data-preprocessing, such as scaling of data, |
---|
[603] | 898 | \li data resampling from the task of estimation and control. |
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[270] | 899 | 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). |
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[12] | 900 | |
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[603] | 901 | The DataSource has three main data interaction structures: |
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[737] | 902 | \li input, \f$ u_t \f$, |
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[603] | 903 | \li output \f$ y_t \f$, |
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| 904 | \li data, \f$ d_t=[y_t,u_t, \ldots ]\f$ a collection of all inputs and outputs and possibly some internal variables too. |
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| 905 | |
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[270] | 906 | */ |
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[32] | 907 | |
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[600] | 908 | class DS : public root { |
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| 909 | protected: |
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[737] | 910 | //! size of data returned by \c getdata() |
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[600] | 911 | int dtsize; |
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[737] | 912 | //! size of data |
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[600] | 913 | int utsize; |
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[737] | 914 | //!size of output |
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| 915 | int ytsize; |
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[600] | 916 | //!Description of data returned by \c getdata(). |
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| 917 | RV Drv; |
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| 918 | //!Description of data witten by by \c write(). |
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| 919 | RV Urv; // |
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[737] | 920 | //!Description of output data |
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| 921 | RV Yrv; // |
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[600] | 922 | public: |
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| 923 | //! default constructors |
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[737] | 924 | DS() : dtsize ( 0 ), utsize ( 0 ), ytsize ( 0 ), Drv(), Urv(), Yrv() { |
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| 925 | log_level = 1; |
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| 926 | }; |
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[565] | 927 | |
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[609] | 928 | //! Returns maximum number of provided data, by default it is set to maximum allowed length, shorter DS should overload this method! See, MemDS.max_length(). |
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[737] | 929 | virtual int max_length() { |
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| 930 | return std::numeric_limits< int >::max(); |
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| 931 | } |
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[600] | 932 | //! Returns full vector of observed data=[output, input] |
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[676] | 933 | virtual void getdata ( vec &dt ) const { |
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[600] | 934 | bdm_error ( "abstract class" ); |
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| 935 | } |
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| 936 | //! Returns data records at indeces. |
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| 937 | virtual void getdata ( vec &dt, const ivec &indeces ) { |
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| 938 | bdm_error ( "abstract class" ); |
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| 939 | } |
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[565] | 940 | |
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[600] | 941 | //! Accepts action variable and schedule it for application. |
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[737] | 942 | virtual void write ( const vec &ut ) { |
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[600] | 943 | bdm_error ( "abstract class" ); |
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| 944 | } |
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[565] | 945 | |
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[600] | 946 | //! Accepts action variables at specific indeces |
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[737] | 947 | virtual void write ( const vec &ut, const ivec &indeces ) { |
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[600] | 948 | bdm_error ( "abstract class" ); |
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| 949 | } |
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[32] | 950 | |
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[600] | 951 | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
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[737] | 952 | virtual void step() { |
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[619] | 953 | bdm_error ( "abstract class" ); |
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| 954 | } |
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[32] | 955 | |
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[600] | 956 | //! Register DS for logging into logger L |
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[738] | 957 | virtual void log_register ( logger &L, const string &prefix ); |
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[600] | 958 | //! Register DS for logging into logger L |
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[738] | 959 | virtual void log_write ( ) const; |
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[600] | 960 | //!access function |
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| 961 | virtual const RV& _drv() const { |
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[676] | 962 | return Drv; |
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[600] | 963 | } |
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| 964 | //!access function |
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| 965 | const RV& _urv() const { |
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| 966 | return Urv; |
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| 967 | } |
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[676] | 968 | //!access function |
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| 969 | const RV& _yrv() const { |
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| 970 | return Yrv; |
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| 971 | } |
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[600] | 972 | //! set random variables |
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[737] | 973 | virtual void set_drv ( const RV &yrv, const RV &urv ) { |
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[676] | 974 | Yrv = yrv; |
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[737] | 975 | Drv = concat ( yrv, urv ); |
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[600] | 976 | Urv = urv; |
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| 977 | } |
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[270] | 978 | }; |
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[18] | 979 | |
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[270] | 980 | /*! \brief Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities. |
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[32] | 981 | |
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[283] | 982 | This object represents exact or approximate evaluation of the Bayes rule: |
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| 983 | \f[ |
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[679] | 984 | f(\theta_t | y_1,\ldots,y_t, u_1,\ldots,u_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})} |
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[283] | 985 | \f] |
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[679] | 986 | where: |
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[737] | 987 | * \f$ y_t \f$ is the variable |
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[283] | 988 | Access to the resulting posterior density is via function \c posterior(). |
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| 989 | |
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| 990 | As a "side-effect" it also evaluates log-likelihood of the data, which can be accessed via function _ll(). |
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| 991 | It can also evaluate predictors of future values of \f$y_t\f$, see functions epredictor() and predictor(). |
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| 992 | |
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[679] | 993 | Alternatively, it can evaluate posterior density with rvc replaced by the given values, \f$ c_t \f$: |
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[283] | 994 | \f[ |
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| 995 | 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}) |
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| 996 | \f] |
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| 997 | |
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| 998 | |
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[270] | 999 | */ |
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[32] | 1000 | |
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[600] | 1001 | class BM : public root { |
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| 1002 | protected: |
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| 1003 | //! Random variable of the data (optional) |
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[679] | 1004 | RV yrv; |
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| 1005 | //! size of the data record |
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| 1006 | int dimy; |
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| 1007 | //! Name of extension variable |
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| 1008 | RV rvc; |
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| 1009 | //! size of the conditioning vector |
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| 1010 | int dimc; |
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[737] | 1011 | |
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[600] | 1012 | //!Logarithm of marginalized data likelihood. |
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| 1013 | double ll; |
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| 1014 | //! 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. |
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| 1015 | bool evalll; |
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[679] | 1016 | |
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[600] | 1017 | public: |
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| 1018 | //! \name Constructors |
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| 1019 | //! @{ |
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[271] | 1020 | |
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[737] | 1021 | BM() : yrv(), dimy ( 0 ), rvc(), dimc ( 0 ), ll ( 0 ), evalll ( true ) { }; |
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[700] | 1022 | // BM ( const BM &B ) : yrv ( B.yrv ), dimy(B.dimy), rvc ( B.rvc ),dimc(B.dimc), ll ( B.ll ), evalll ( B.evalll ) {} |
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[660] | 1023 | //! \brief Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! |
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[600] | 1024 | //! Prototype: \code BM* _copy_() const {return new BM(*this);} \endcode |
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[737] | 1025 | virtual BM* _copy_() const { |
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| 1026 | return NULL; |
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| 1027 | }; |
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[600] | 1028 | //!@} |
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[18] | 1029 | |
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[600] | 1030 | //! \name Mathematical operations |
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| 1031 | //!@{ |
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[271] | 1032 | |
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[600] | 1033 | /*! \brief Incremental Bayes rule |
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| 1034 | @param dt vector of input data |
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| 1035 | */ |
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[737] | 1036 | virtual void bayes ( const vec &yt, const vec &cond = empty_vec ) = 0; |
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[600] | 1037 | //! Batch Bayes rule (columns of Dt are observations) |
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[737] | 1038 | virtual void bayes_batch ( const mat &Dt, const vec &cond = empty_vec ); |
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[690] | 1039 | //! Batch Bayes rule (columns of Dt are observations, columns of Cond are conditions) |
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| 1040 | virtual void bayes_batch ( const mat &Dt, const mat &Cond ); |
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[600] | 1041 | //! Evaluates predictive log-likelihood of the given data record |
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[737] | 1042 | //! I.e. marginal likelihood of the data with the posterior integrated out. |
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| 1043 | //! This function evaluates only \f$ y_t \f$, condition is assumed to be the last used in bayes(). |
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[679] | 1044 | //! See bdm::BM::predictor for conditional version. |
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| 1045 | virtual double logpred ( const vec &yt ) const { |
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[600] | 1046 | bdm_error ( "Not implemented" ); |
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| 1047 | return 0.0; |
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| 1048 | } |
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[565] | 1049 | |
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[600] | 1050 | //! Matrix version of logpred |
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[713] | 1051 | vec logpred_mat ( const mat &Yt ) const { |
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[679] | 1052 | vec tmp ( Yt.cols() ); |
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| 1053 | for ( int i = 0; i < Yt.cols(); i++ ) { |
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| 1054 | tmp ( i ) = logpred ( Yt.get_col ( i ) ); |
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[488] | 1055 | } |
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[600] | 1056 | return tmp; |
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| 1057 | } |
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[32] | 1058 | |
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[600] | 1059 | //!Constructs a predictive density \f$ f(d_{t+1} |d_{t}, \ldots d_{0}) \f$ |
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| 1060 | virtual epdf* epredictor() const { |
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| 1061 | bdm_error ( "Not implemented" ); |
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| 1062 | return NULL; |
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| 1063 | }; |
---|
| 1064 | //!Constructs conditional density of 1-step ahead predictor \f$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) \f$ |
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[693] | 1065 | virtual pdf* predictor() const { |
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[600] | 1066 | bdm_error ( "Not implemented" ); |
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| 1067 | return NULL; |
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| 1068 | }; |
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| 1069 | //!@} |
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[271] | 1070 | |
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[283] | 1071 | |
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[600] | 1072 | //! \name Access to attributes |
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| 1073 | //!@{ |
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[737] | 1074 | //! access function |
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| 1075 | const RV& _rvc() const { |
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| 1076 | return rvc; |
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| 1077 | } |
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| 1078 | //! access function |
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| 1079 | int dimensionc() const { |
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| 1080 | return dimc; |
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| 1081 | } |
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| 1082 | //! access function |
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| 1083 | int dimensiony() const { |
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| 1084 | return dimy; |
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| 1085 | } |
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| 1086 | //! access function |
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| 1087 | int dimension() const { |
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| 1088 | return posterior().dimension(); |
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| 1089 | } |
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| 1090 | //! access function |
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[679] | 1091 | const RV& _yrv() const { |
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| 1092 | return yrv; |
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[600] | 1093 | } |
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[660] | 1094 | //! access function |
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[679] | 1095 | void set_yrv ( const RV &rv ) { |
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| 1096 | yrv = rv; |
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[600] | 1097 | } |
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[660] | 1098 | //! access to rv of the posterior |
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[600] | 1099 | void set_rv ( const RV &rv ) { |
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[737] | 1100 | const_cast<epdf&> ( posterior() ).set_rv ( rv ); |
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[600] | 1101 | } |
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[679] | 1102 | //! access function |
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| 1103 | void set_dim ( int dim ) { |
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[737] | 1104 | const_cast<epdf&> ( posterior() ).set_dim ( dim ); |
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[679] | 1105 | } |
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[660] | 1106 | //! return internal log-likelihood of the last data vector |
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[600] | 1107 | double _ll() const { |
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| 1108 | return ll; |
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| 1109 | } |
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[660] | 1110 | //! switch evaluation of log-likelihood on/off |
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[600] | 1111 | void set_evalll ( bool evl0 ) { |
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| 1112 | evalll = evl0; |
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| 1113 | } |
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[660] | 1114 | //! return posterior density |
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[600] | 1115 | virtual const epdf& posterior() const = 0; |
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| 1116 | //!@} |
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[28] | 1117 | |
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[600] | 1118 | //! \name Logging of results |
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| 1119 | //!@{ |
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[200] | 1120 | |
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[600] | 1121 | //! Set boolean options from a string, recognized are: "logbounds,logll" |
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[738] | 1122 | virtual void set_options ( const string &opt ); |
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[190] | 1123 | |
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[600] | 1124 | //! Add all logged variables to a logger |
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[676] | 1125 | //! Log levels two digits: xy where |
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| 1126 | //! * y = 0/1 log-likelihood is to be logged |
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| 1127 | //! * x = level of the posterior (typically 0/1/2 for nothing/mean/bounds) |
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[738] | 1128 | virtual void log_register ( logger &L, const string &prefix = "" ); |
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[190] | 1129 | |
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[676] | 1130 | //! Save results to the given logger, details of what is stored is configured by \c LIDs and \c options |
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[738] | 1131 | virtual void log_write ( ) const; |
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| 1132 | |
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[600] | 1133 | //!@} |
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| 1134 | void from_setting ( const Setting &set ) { |
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[685] | 1135 | shared_ptr<RV> r = UI::build<RV> ( set, "yrv", UI::optional ); |
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[600] | 1136 | if ( r ) { |
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[679] | 1137 | set_yrv ( *r ); |
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[488] | 1138 | } |
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[685] | 1139 | shared_ptr<RV> r2 = UI::build<RV> ( set, "rvc", UI::optional ); |
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| 1140 | if ( r2 ) { |
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| 1141 | rvc = *r2; |
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| 1142 | } |
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| 1143 | shared_ptr<RV> r3 = UI::build<RV> ( set, "rv", UI::optional ); |
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| 1144 | if ( r3 ) { |
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[737] | 1145 | set_rv ( *r3 ); |
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[685] | 1146 | } |
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[737] | 1147 | |
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[600] | 1148 | string opt; |
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[665] | 1149 | if ( UI::get ( opt, set, "options", UI::optional ) ) { |
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[600] | 1150 | set_options ( opt ); |
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[573] | 1151 | } |
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[600] | 1152 | } |
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[573] | 1153 | |
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[270] | 1154 | }; |
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[660] | 1155 | //! array of pointers to epdf |
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[529] | 1156 | typedef Array<shared_ptr<epdf> > epdf_array; |
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[693] | 1157 | //! array of pointers to pdf |
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| 1158 | typedef Array<shared_ptr<pdf> > pdf_array; |
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[529] | 1159 | |
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[488] | 1160 | template<class EPDF> |
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[693] | 1161 | vec pdf_internal<EPDF>::samplecond ( const vec &cond ) { |
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[600] | 1162 | condition ( cond ); |
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[488] | 1163 | vec temp = iepdf.sample(); |
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| 1164 | return temp; |
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| 1165 | } |
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[339] | 1166 | |
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[488] | 1167 | template<class EPDF> |
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[713] | 1168 | mat pdf_internal<EPDF>::samplecond_mat ( const vec &cond, int N ) { |
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[600] | 1169 | condition ( cond ); |
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| 1170 | mat temp ( dimension(), N ); |
---|
| 1171 | vec smp ( dimension() ); |
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| 1172 | for ( int i = 0; i < N; i++ ) { |
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[488] | 1173 | smp = iepdf.sample(); |
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[600] | 1174 | temp.set_col ( i, smp ); |
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[488] | 1175 | } |
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| 1176 | |
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| 1177 | return temp; |
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| 1178 | } |
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| 1179 | |
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| 1180 | template<class EPDF> |
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[693] | 1181 | double pdf_internal<EPDF>::evallogcond ( const vec &yt, const vec &cond ) { |
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[488] | 1182 | double tmp; |
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[600] | 1183 | condition ( cond ); |
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[679] | 1184 | tmp = iepdf.evallog ( yt ); |
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[488] | 1185 | return tmp; |
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| 1186 | } |
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| 1187 | |
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| 1188 | template<class EPDF> |
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[713] | 1189 | vec pdf_internal<EPDF>::evallogcond_mat ( const mat &Yt, const vec &cond ) { |
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[600] | 1190 | condition ( cond ); |
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[713] | 1191 | return iepdf.evallog_mat ( Yt ); |
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[488] | 1192 | } |
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| 1193 | |
---|
| 1194 | template<class EPDF> |
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[713] | 1195 | vec pdf_internal<EPDF>::evallogcond_mat ( const Array<vec> &Yt, const vec &cond ) { |
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[600] | 1196 | condition ( cond ); |
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[713] | 1197 | return iepdf.evallog_mat ( Yt ); |
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[488] | 1198 | } |
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| 1199 | |
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[254] | 1200 | }; //namespace |
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[384] | 1201 | #endif // BDMBASE_H |
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