root/library/bdm/base/datasources.h @ 1072

/*!
  \file
  \brief Common DataSources.
  \author Vaclav Smidl.

  -----------------------------------
  BDM++ - C++ library for Bayesian Decision Making under Uncertainty

  Using IT++ for numerical operations
  -----------------------------------
*/

#ifndef DATASOURCE_H
#define DATASOURCE_H

#include "../base/bdmbase.h"
#include "../stat/exp_family.h"
#include "../base/user_info.h"

namespace bdm {
/*!
* \brief Memory storage of off-line data column-wise (used mostly in C++)

The data are stored in an internal matrix \c Data .
Each column of Data corresponds to one discrete time observation \f$t\f$.

*/
class MemDS : public DS {
protected:
    //! internal matrix of data
    mat Data;
    //! active column in the Data matrix
    int time;

public:
    //!Default constructor
    MemDS () {};

    //! Convenience constructor
    MemDS ( mat &Dat );

    //! returns number of data in the file;
    int max_length() {
        return Data.cols();
    }

    void getdata ( vec &dt ) const;

    void getdata ( vec &dt, const ivec &indices );

    void write ( const vec &ut ) {
        if (ut.size()>0) {
            bdm_error ( "MemDS::write is not supported" );
        }
    }

    void write ( const vec &ut, const ivec &indices ) {
        if (ut.size()>0) {
            bdm_error ( "MemDS::write is not supported" );
        }
    }

    void step();

    /*! Create object from the following structure
    \code
    class = 'MemDS';
    Data = [...];               % Data matrix with records stored in columns
    --- optional fields ---
    time = 0;                   % Index of the first column in the matrix Data
    --- inherited fields ---
    bdm::DS::from_setting
    \endcode

    If the optional fields are not given, they will be filled as follows:
    \code
    drv.names = { "" };                % empty name
    drv.sizes = { no_rows_Data };      % full size of the record
    time = 0;
    \endcode

    */
    void from_setting ( const Setting &set );

    void validate();
};
UIREGISTER ( MemDS );

/*! \brief Pseudovirtual class for reading data from files

Common predecessord to various file formats.
*/
class FileDS: public MemDS {
protected:
    string filename;
public:
    /*! Create object from the following structure
    \code
    filename = 'data_file.ext';           % name of the file where the data sare stored
    --- inherited fields ---
    bdm::DS::from_setting
    \endcode
    */
    void from_setting ( const Setting & set );
};

/*!
* \brief Read Data Matrix from an IT file

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$t\f$!

*/
class ITppFileDS: public FileDS {

public:
    //! Convenience constructor
    ITppFileDS ( const string &fname, const string &varname ) : FileDS() {
        it_file it ( fname );
        it << Name ( varname );
        it >> Data;
        time = 0;
        //delays are ignored
    };

    ITppFileDS () : FileDS() {
    };

    /*! Create object from the following structure
    \code
    class    = 'ITppFileDS';
    filename = 'file_with_data.it';
    varname  = 'Data1';                  // Name of a variable in which the data are stored
    --- inherited fields ---
    bdm::DS::from_setting
    \endcode
    */
    void from_setting ( const Setting &set );

    // TODO dodelat void to_setting( Setting &set ) const;
};
UIREGISTER ( ITppFileDS );
SHAREDPTR ( ITppFileDS );

/*!
* \brief CSV file data storage

The constructor creates \c Data matrix from the records in a CSV file \c fname. The orientation can be of two types:
 -# \c BY_COL which is default - the data are stored in columns; one column per time \f$t\f$, one row per data item.
 -# \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.

*/
class CsvFileDS: public FileDS {
public:
    /*! Create object from the following structure
    \code
    class = 'CsvFileDS';
    filename = 'file.csv';
    orientation = 'BY_ROW' or 'BY_COL';        % data records are stored in rows of columns (default).
    --- inherited fields ---
    bdm::DS::from_setting
    \endcode
    */
    void from_setting ( const Setting & set );
};



// ARXDs - DELETED

/*!  \brief Simulate data from a static pdf (epdf)

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.
*/

class EpdfDS: public DS {
protected:
    //! internal pointer to epdf from which we samplecond
    shared_ptr<epdf> iepdf;
    //! internal storage of data sample
    vec dt;
public:
    void step() {
        dt = iepdf->sample();
    }
    void getdata ( vec &dt_out ) const {
        dt_out = dt;
    }
    void getdata ( vec &dt_out, const ivec &ids ) {
        dt_out = dt ( ids );
    }
    const RV& _drv() const {
        return iepdf->_rv();
    }

    //! Accepts action variable and schedule it for application.
    virtual void write ( const vec &ut ) NOT_IMPLEMENTED_VOID;

    //! Accepts action variables at specific indices
    virtual void write ( const vec &ut, const ivec &indices ) NOT_IMPLEMENTED_VOID;

    /*! Create object from the following structure
    \code
    class = 'EpdfDS';
    epdf = configuration of bdm::epdf        % unconditional density to sample from,  bdm::epdf::from_setting
    \endcode
    Does not inherit from bdm::DS::from_setting, names of data are taken from epdf.rv.
    */
    void from_setting ( const Setting &set ) {
        iepdf = UI::build<epdf> ( set, "epdf", UI::compulsory );
        bdm_assert ( iepdf->isnamed(), "Input epdf must be named, check if RV is given correctly" );
        dt =  zeros ( iepdf->dimension() );
        dtsize = dt.length();
        Drv = iepdf->_rv();
        utsize = 0;
    }

    void validate() {
        DS::validate();

        dt = iepdf->sample();
    }
};
UIREGISTER ( EpdfDS );

/*!  \brief Simulate data from conditional density

Data are simulated by sampling from conditional pdf.

The condition can be of two types:
 -# delayed output values: these are cached internally, initiated via \c init_rv and \c init_values.
 -# input values: remaining RVs in the rvc of the given pdf are considered to be inputs and are declared as \c urv

Note: a classical state-space model can be simulated as an instance of this case since it can be seen as a chain rule on state-evolution pdf and observation pdf. See class bdm::mprod and other offsprings of pdf.
*/
class PdfDS : public DS {
public:
    //! internal pointer to epdf from which we samplecond
    shared_ptr<pdf> ipdf;
protected:
    //! internal storage of data sample
    vec yt;
    //! input vector
    vec ut;
    //! datalink between ut and regressor
    datalink_buffered ut2rgr;
    //! datalink between yt and regressor
    datalink_buffered yt2rgr;
    //! numeric values of regressor
    vec rgr;

public:
    void step();

    void getdata ( vec &dt_out ) const;

    void write ( const vec &ut0 ) {
        ut = ut0;
    }
    void write ( const vec &ut0, const ivec &ind ) {
        set_subvector ( ut, ind, ut0 );
    }


    //! Returns data records at indices.
    virtual void getdata ( vec &dt, const ivec &indices ) NOT_IMPLEMENTED_VOID;


    /*! Create object from the following structure
    \code
    class = 'PdfDS';
    pdf = configuration of bdm::pdf;          % any offspring of pdf, bdm::pdf::from_setting
    --- optional fields ---
    init_rv = RV({'names',...},[sizes,...],[times,...]);   % define what rv to initialize - typically delayed values, time=-1, etc.!
    init_values = [...];                      % vector of initial values corresponding to init_rv
    \endcode
    Class does not call from bdm::DS::from_setting, names of data are taken from pdf.rv and pdf.rvc.

    If init_rv is not given, init_values are set to zero.
    */
    void from_setting ( const Setting &set ) {
        ipdf = UI::build<pdf> ( set, "pdf", UI::compulsory );

        RV Yrv = ipdf->_rv();
        // get unique rvs form rvc
        RV rgrv0 = ipdf->_rvc().remove_time();
        // input is what in not in Yrv
        Urv = rgrv0.subt ( Yrv );
        Drv=  concat(Yrv,Urv);
        // connect input and output to rvc
        ut2rgr.set_connection ( ipdf->_rvc(), Urv );
        yt2rgr.set_connection ( ipdf->_rvc(), Yrv );

        //set history - if given
        shared_ptr<RV> rv_ini = UI::build<RV> ( set, "init_rv", UI::optional );
        if ( rv_ini ) { // check if
            vec val;
            UI::get ( val, set, "init_values", UI::optional );
            if ( val.length() != rv_ini->_dsize() ) {
                bdm_error ( "init_rv and init_values fields have incompatible sizes" );
            } else {
                ut2rgr.set_history ( *rv_ini, val );
                yt2rgr.set_history ( *rv_ini, val );
            }
        }

        yt = zeros ( ipdf->dimension() );
        rgr = zeros ( ipdf->dimensionc() );
        ut = zeros ( Urv._dsize() );

        utsize = ut.length();
        dtsize = yt.length() + utsize;
    }

    void validate() {
        DS::validate();

        //taken from sample() - shift of history is not done here
        ut2rgr.filldown ( ut, rgr );
        yt2rgr.filldown ( yt, rgr );
        yt = ipdf->samplecond ( rgr );
    }
};
UIREGISTER ( PdfDS );

}; //namespace

#endif // DS_H