[18] | 1 | /*! |
---|
| 2 | \file |
---|
| 3 | \brief Common DataSources. |
---|
| 4 | \author Vaclav Smidl. |
---|
| 5 | |
---|
| 6 | ----------------------------------- |
---|
| 7 | BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
---|
| 8 | |
---|
| 9 | Using IT++ for numerical operations |
---|
| 10 | ----------------------------------- |
---|
| 11 | */ |
---|
| 12 | |
---|
[384] | 13 | #ifndef DATASOURCE_H |
---|
| 14 | #define DATASOURCE_H |
---|
[18] | 15 | |
---|
[384] | 16 | #include "../base/bdmbase.h" |
---|
| 17 | #include "../stat/exp_family.h" |
---|
| 18 | #include "../base/user_info.h" |
---|
[18] | 19 | |
---|
[263] | 20 | namespace bdm { |
---|
[271] | 21 | /*! |
---|
| 22 | * \brief Memory storage of off-line data column-wise |
---|
[18] | 23 | |
---|
[611] | 24 | The data are stored in an internal matrix \c Data . Each column of Data corresponds to one discrete time observation \f$t\f$. Access to this matrix is via indices \c rowid. |
---|
[18] | 25 | |
---|
[271] | 26 | The data can be loaded from a file. |
---|
| 27 | */ |
---|
| 28 | class MemDS : public DS { |
---|
[737] | 29 | protected: |
---|
| 30 | //! internal matrix of data |
---|
| 31 | mat Data; |
---|
| 32 | //! active column in the Data matrix |
---|
| 33 | int time; |
---|
[18] | 34 | |
---|
[737] | 35 | public: |
---|
[896] | 36 | //!Default constructor |
---|
| 37 | MemDS () {}; |
---|
| 38 | |
---|
| 39 | //! Convenience constructor |
---|
| 40 | MemDS ( mat &Dat ); |
---|
| 41 | |
---|
| 42 | //! returns number of data in the file; |
---|
[737] | 43 | int max_length() { |
---|
| 44 | return Data.cols(); |
---|
| 45 | } |
---|
[896] | 46 | |
---|
[737] | 47 | void getdata ( vec &dt ) const; |
---|
[565] | 48 | |
---|
[896] | 49 | void getdata ( vec &dt, const ivec &indices ); |
---|
| 50 | |
---|
| 51 | void set_drv ( const RV &drv ); |
---|
| 52 | |
---|
| 53 | void set_drv ( const RV &drv, const RV &urv ) |
---|
| 54 | { |
---|
| 55 | bdm_error ( "MemDS::urv is not supported" ); |
---|
| 56 | } |
---|
| 57 | |
---|
[737] | 58 | void write ( const vec &ut ) { |
---|
| 59 | bdm_error ( "MemDS::write is not supported" ); |
---|
| 60 | } |
---|
[565] | 61 | |
---|
[737] | 62 | void write ( const vec &ut, const ivec &indices ) { |
---|
| 63 | bdm_error ( "MemDS::write is not supported" ); |
---|
| 64 | } |
---|
[565] | 65 | |
---|
[737] | 66 | void step(); |
---|
[896] | 67 | |
---|
[737] | 68 | /*! Create object from the following structure |
---|
| 69 | \code |
---|
| 70 | { class = "MemDS"; |
---|
| 71 | Data = (...); // Data matrix or data vector |
---|
| 72 | --- optional --- |
---|
| 73 | drv = {class="RV"; ...} // Identification how rows of the matrix Data will be known to others |
---|
| 74 | time = 0; // Index of the first column to user_info, |
---|
| 75 | } |
---|
| 76 | \endcode |
---|
| 77 | |
---|
| 78 | If the optional fields are not given, they will be filled as follows: |
---|
| 79 | \code |
---|
| 80 | drv = {names=("ch0", "ch1", "ch2", ..."number_of_rows_of_Data"); |
---|
| 81 | sizes=( 1 1 1 ...); |
---|
| 82 | times=( 0 0 0 ...); |
---|
| 83 | }; |
---|
| 84 | time = 0; |
---|
| 85 | \endcode |
---|
[896] | 86 | If \c rowid is given, \c drv will be named after indices in rowids. |
---|
[737] | 87 | |
---|
| 88 | Hence the data provided by method \c getdata() will be full column of matrix Data starting from the first record. |
---|
| 89 | */ |
---|
[896] | 90 | void from_setting ( const Setting &set ); |
---|
[271] | 91 | }; |
---|
[737] | 92 | UIREGISTER ( MemDS ); |
---|
[263] | 93 | |
---|
[892] | 94 | /*! Pseudovirtual class for reading data from files |
---|
| 95 | |
---|
| 96 | */ |
---|
| 97 | class FileDS: public MemDS { |
---|
[896] | 98 | protected: |
---|
| 99 | string filename; |
---|
[892] | 100 | public: |
---|
[896] | 101 | void from_setting ( const Setting & set ); |
---|
[892] | 102 | }; |
---|
| 103 | |
---|
| 104 | /*! |
---|
| 105 | * \brief Read Data Matrix from an IT file |
---|
| 106 | |
---|
| 107 | The constructor creates an internal matrix \c Data from an IT++ file. The file is binary and can be made using the IT++ library or the Matlab/Octave function itsave. NB: the data are stored columnwise, i.e. each column contains the data for time \f$t\f$! |
---|
| 108 | |
---|
| 109 | */ |
---|
| 110 | class ITppFileDS: public FileDS { |
---|
| 111 | |
---|
| 112 | public: |
---|
| 113 | //! Convenience constructor |
---|
| 114 | ITppFileDS ( const string &fname, const string &varname ) : FileDS() { |
---|
| 115 | it_file it ( fname ); |
---|
| 116 | it << Name ( varname ); |
---|
| 117 | it >> Data; |
---|
| 118 | time = 0; |
---|
[896] | 119 | //delays are ignored |
---|
[892] | 120 | }; |
---|
| 121 | |
---|
| 122 | ITppFileDS () : FileDS() { |
---|
| 123 | }; |
---|
| 124 | |
---|
| 125 | void from_setting ( const Setting &set ); |
---|
| 126 | |
---|
| 127 | // TODO dodelat void to_setting( Setting &set ) const; |
---|
| 128 | |
---|
| 129 | }; |
---|
| 130 | |
---|
| 131 | UIREGISTER ( ITppFileDS ); |
---|
| 132 | SHAREDPTR ( ITppFileDS ); |
---|
| 133 | |
---|
| 134 | /*! |
---|
| 135 | * \brief CSV file data storage |
---|
| 136 | The constructor creates \c Data matrix from the records in a CSV file \c fname. The orientation can be of two types: |
---|
| 137 | 1. \c BY_COL which is default - the data are stored in columns; one column per time \f$t\f$, one row per data item. |
---|
| 138 | 2. \c BY_ROW if the data are stored the classical CSV style. Then each column stores the values for data item, for ex. \f$[y_{t} y_{t-1} ...]\f$, one row for each discrete time instant. |
---|
| 139 | |
---|
| 140 | */ |
---|
| 141 | class CsvFileDS: public FileDS { |
---|
| 142 | public: |
---|
[896] | 143 | void from_setting ( const Setting & set ); |
---|
[892] | 144 | }; |
---|
| 145 | |
---|
| 146 | |
---|
| 147 | |
---|
| 148 | // ARXDs - DELETED |
---|
| 149 | |
---|
[611] | 150 | /*! \brief Simulate data from a static pdf (epdf) |
---|
| 151 | |
---|
[598] | 152 | Trivial example of a data source, could be used for tests of some estimation algorithms. For example, simulating data from a mixture model and feeding them to mixture model estimators. |
---|
| 153 | */ |
---|
| 154 | |
---|
| 155 | class EpdfDS: public DS { |
---|
[737] | 156 | protected: |
---|
| 157 | //! internal pointer to epdf from which we samplecond |
---|
| 158 | shared_ptr<epdf> iepdf; |
---|
| 159 | //! internal storage of data sample |
---|
| 160 | vec dt; |
---|
| 161 | public: |
---|
| 162 | void step() { |
---|
| 163 | dt = iepdf->sample(); |
---|
| 164 | } |
---|
| 165 | void getdata ( vec &dt_out ) const { |
---|
| 166 | dt_out = dt; |
---|
| 167 | } |
---|
| 168 | void getdata ( vec &dt_out, const ivec &ids ) { |
---|
| 169 | dt_out = dt ( ids ); |
---|
| 170 | } |
---|
| 171 | const RV& _drv() const { |
---|
| 172 | return iepdf->_rv(); |
---|
| 173 | } |
---|
[598] | 174 | |
---|
[892] | 175 | //! Accepts action variable and schedule it for application. |
---|
[766] | 176 | virtual void write ( const vec &ut ) NOT_IMPLEMENTED_VOID; |
---|
[892] | 177 | |
---|
[896] | 178 | //! Accepts action variables at specific indices |
---|
| 179 | virtual void write ( const vec &ut, const ivec &indices ) NOT_IMPLEMENTED_VOID; |
---|
[766] | 180 | |
---|
[737] | 181 | /*! |
---|
| 182 | \code |
---|
| 183 | class = "EpdfDS"; |
---|
| 184 | epdf = {class="epdf_offspring", ...}// uncondtitional density to sample from |
---|
| 185 | \endcode |
---|
[598] | 186 | |
---|
[737] | 187 | */ |
---|
| 188 | void from_setting ( const Setting &set ) { |
---|
| 189 | iepdf = UI::build<epdf> ( set, "epdf", UI::compulsory ); |
---|
| 190 | bdm_assert ( iepdf->isnamed(), "Input epdf must be named, check if RV is given correctly" ); |
---|
| 191 | dt = zeros ( iepdf->dimension() ); |
---|
| 192 | dtsize = dt.length(); |
---|
| 193 | set_drv ( iepdf->_rv(), RV() ); |
---|
| 194 | utsize = 0; |
---|
| 195 | } |
---|
[795] | 196 | |
---|
[737] | 197 | void validate() { |
---|
[795] | 198 | DS::validate(); |
---|
| 199 | |
---|
[737] | 200 | dt = iepdf->sample(); |
---|
| 201 | } |
---|
[598] | 202 | }; |
---|
| 203 | UIREGISTER ( EpdfDS ); |
---|
| 204 | |
---|
| 205 | /*! \brief Simulate data from conditional density |
---|
| 206 | Still having only one density but allowing conditioning on either input or delayed values. |
---|
| 207 | */ |
---|
[737] | 208 | class PdfDS : public DS { |
---|
| 209 | protected: |
---|
| 210 | //! internal pointer to epdf from which we samplecond |
---|
| 211 | shared_ptr<pdf> ipdf; |
---|
| 212 | //! internal storage of data sample |
---|
| 213 | vec yt; |
---|
| 214 | //! input vector |
---|
| 215 | vec ut; |
---|
| 216 | //! datalink between ut and regressor |
---|
| 217 | datalink_buffered ut2rgr; |
---|
| 218 | //! datalink between yt and regressor |
---|
| 219 | datalink_buffered yt2rgr; |
---|
| 220 | //! numeric values of regressor |
---|
| 221 | vec rgr; |
---|
[598] | 222 | |
---|
[737] | 223 | public: |
---|
[738] | 224 | void step(); |
---|
| 225 | |
---|
| 226 | void getdata ( vec &dt_out ) const; |
---|
| 227 | |
---|
[737] | 228 | void write ( const vec &ut0 ) { |
---|
| 229 | ut = ut0; |
---|
| 230 | } |
---|
| 231 | void write ( const vec &ut0, const ivec &ind ) { |
---|
| 232 | set_subvector ( ut, ind, ut0 ); |
---|
| 233 | } |
---|
| 234 | |
---|
[766] | 235 | |
---|
[896] | 236 | //! Returns data records at indices. |
---|
| 237 | virtual void getdata ( vec &dt, const ivec &indices ) NOT_IMPLEMENTED_VOID; |
---|
[766] | 238 | |
---|
| 239 | |
---|
[737] | 240 | /*! |
---|
| 241 | \code |
---|
| 242 | class = "PdfDS"; |
---|
| 243 | pdf = {class="pdf_offspring", ...}; // pdf to simulate |
---|
| 244 | --- optional --- |
---|
| 245 | init_rv = {class="RV",names=...}; // define what rv to initialize - typically delayed values! |
---|
| 246 | init_values = [...]; // vector of initial values corresponding to init_rv |
---|
| 247 | \endcode |
---|
| 248 | |
---|
| 249 | If init_rv is not given, init_values are set to zero. |
---|
| 250 | */ |
---|
| 251 | void from_setting ( const Setting &set ) { |
---|
| 252 | ipdf = UI::build<pdf> ( set, "pdf", UI::compulsory ); |
---|
| 253 | |
---|
[895] | 254 | RV Yrv = ipdf->_rv(); |
---|
[737] | 255 | // get unique rvs form rvc |
---|
| 256 | RV rgrv0 = ipdf->_rvc().remove_time(); |
---|
| 257 | // input is what in not in Yrv |
---|
| 258 | Urv = rgrv0.subt ( Yrv ); |
---|
[895] | 259 | set_drv ( concat(Yrv,Urv), Urv ); |
---|
[737] | 260 | // connect input and output to rvc |
---|
| 261 | ut2rgr.set_connection ( ipdf->_rvc(), Urv ); |
---|
| 262 | yt2rgr.set_connection ( ipdf->_rvc(), Yrv ); |
---|
| 263 | |
---|
| 264 | //set history - if given |
---|
| 265 | shared_ptr<RV> rv_ini = UI::build<RV> ( set, "init_rv", UI::optional ); |
---|
| 266 | if ( rv_ini ) { // check if |
---|
| 267 | vec val; |
---|
| 268 | UI::get ( val, set, "init_values", UI::optional ); |
---|
| 269 | if ( val.length() != rv_ini->_dsize() ) { |
---|
| 270 | bdm_error ( "init_rv and init_values fields have incompatible sizes" ); |
---|
| 271 | } else { |
---|
| 272 | ut2rgr.set_history ( *rv_ini, val ); |
---|
| 273 | yt2rgr.set_history ( *rv_ini, val ); |
---|
[613] | 274 | } |
---|
[737] | 275 | } |
---|
[598] | 276 | |
---|
[737] | 277 | yt = zeros ( ipdf->dimension() ); |
---|
| 278 | rgr = zeros ( ipdf->dimensionc() ); |
---|
| 279 | ut = zeros ( Urv._dsize() ); |
---|
[603] | 280 | |
---|
[737] | 281 | utsize = ut.length(); |
---|
[895] | 282 | dtsize = yt.length() + utsize; |
---|
[737] | 283 | } |
---|
[795] | 284 | |
---|
[737] | 285 | void validate() { |
---|
[795] | 286 | DS::validate(); |
---|
| 287 | |
---|
[737] | 288 | //taken from sample() - shift of history is not done here |
---|
| 289 | ut2rgr.filldown ( ut, rgr ); |
---|
| 290 | yt2rgr.filldown ( yt, rgr ); |
---|
| 291 | yt = ipdf->samplecond ( rgr ); |
---|
| 292 | } |
---|
[598] | 293 | }; |
---|
[693] | 294 | UIREGISTER ( PdfDS ); |
---|
[598] | 295 | |
---|
[660] | 296 | //! State-space data source simulating two densities |
---|
[695] | 297 | class StateDS : public DS { |
---|
[737] | 298 | protected: |
---|
| 299 | //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$ |
---|
| 300 | shared_ptr<pdf> IM; |
---|
[527] | 301 | |
---|
[737] | 302 | //!conditional pdf of the observations \f$ f(d_t|x_t) \f$ |
---|
| 303 | shared_ptr<pdf> OM; |
---|
[527] | 304 | |
---|
[737] | 305 | //! result storage |
---|
| 306 | vec dt; |
---|
| 307 | //! state storage |
---|
| 308 | vec xt; |
---|
| 309 | //! input storage |
---|
| 310 | vec ut; |
---|
[527] | 311 | |
---|
[737] | 312 | //! datalink from ut to IM.rvc |
---|
| 313 | datalink_part u2imc; |
---|
| 314 | //! datalink from ut to OM.rvc |
---|
| 315 | datalink_part u2omc; |
---|
| 316 | public: |
---|
| 317 | void getdata ( vec &dt0 ) const { |
---|
| 318 | dt0 = dt; |
---|
| 319 | } |
---|
| 320 | void write ( const vec &ut0 ) { |
---|
| 321 | ut = ut0; |
---|
| 322 | } |
---|
[357] | 323 | |
---|
[737] | 324 | void getdata ( vec &dt0, const ivec &indices ) { |
---|
| 325 | dt0 = dt ( indices ); |
---|
| 326 | } |
---|
[267] | 327 | |
---|
[738] | 328 | virtual void step(); |
---|
[267] | 329 | |
---|
[737] | 330 | //! set parameters |
---|
| 331 | void set_parameters ( shared_ptr<pdf> IM0, shared_ptr<pdf> OM0 ) { |
---|
| 332 | IM = IM0; |
---|
| 333 | OM = OM0; |
---|
| 334 | } |
---|
| 335 | void set_initx ( const vec &x0 ) { |
---|
| 336 | xt = x0; |
---|
| 337 | } |
---|
[357] | 338 | |
---|
[896] | 339 | virtual void write ( const vec &ut, const ivec &indices ) NOT_IMPLEMENTED_VOID; |
---|
[766] | 340 | |
---|
[737] | 341 | /*! UI for stateDS |
---|
[357] | 342 | |
---|
[737] | 343 | The DS is constructed from a structure with fields: |
---|
| 344 | \code |
---|
| 345 | class = "stateDS"; |
---|
| 346 | //Internal model |
---|
| 347 | IM = { type = "pdf-offspring"; }; |
---|
| 348 | //Observation model |
---|
| 349 | OM = { type = "pdf-offspring"; } |
---|
| 350 | //initial state |
---|
| 351 | x0 = [...]; //vector of data |
---|
| 352 | \endcode |
---|
| 353 | Both models must have defined \c rv. and \c rvc |
---|
| 354 | Random variables not found in any rv are considered to be inputs. |
---|
| 355 | */ |
---|
| 356 | void from_setting ( const Setting &set ); |
---|
| 357 | |
---|
| 358 | // TODO dodelat void to_setting( Setting &set ) const; |
---|
| 359 | |
---|
| 360 | void validate(); |
---|
[271] | 361 | }; |
---|
[267] | 362 | |
---|
[695] | 363 | UIREGISTER ( StateDS ); |
---|
| 364 | SHAREDPTR ( StateDS ); |
---|
[357] | 365 | |
---|
[254] | 366 | }; //namespace |
---|
[18] | 367 | |
---|
| 368 | #endif // DS_H |
---|