root/library/bdm/base/datasources.h @ 618

/*!
  \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

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.

The data can be loaded from a file.
*/
class MemDS : public DS {
        protected:
                //! internal matrix of data
                mat Data;
                //! active column in the Data matrix
                int time;
                //!  vector of rows that are presented in Dt
                ivec rowid;

        public:
                int max_length() {return Data.cols();}
                void getdata ( vec &dt );
                void getdata ( vec &dt, const ivec &indeces );
                void set_rvs ( RV &drv, RV &urv );

                void write ( vec &ut ) {
                        bdm_error ( "MemDS::write is not supported" );
                }

                void write ( vec &ut, ivec &indices ) {
                        bdm_error ( "MemDS::write is not supported" );
                }

                void step();
                //!Default constructor
                MemDS () {};
                MemDS ( mat &Dat, ivec &rowid0);
                /*! Create object from the following structure
                \code
                { class = "MemDS";
                   Data = (...);            // Data matrix or data vector
                   --- optional ---
                   drv = {class="RV"; ...} // Identification how rows of the matrix Data will be known to others
                   time = 0;               // Index of the first column to user_info,
                   rowid = [1,2,3...];     // ids of rows to be used
                }
                \endcode
                
                If the optional fields are not given, they will be filled as follows:
                \code
                rowid= [0, 1, 2, ...number_of_rows_of_Data];
                drv = {names=("ch0", "ch1", "ch2", ..."number_of_rows_of_Data");
                      sizes=( 1    1    1 ...);
                          times=( 0    0    0 ...);
                          };
                time = 0;
                \endcode
                If \c rowid is given, \c drv will be named after indeces in rowids.
                
                Hence the data provided by method \c getdata() will be full column of matrix Data starting from the first record. 
                */
                void from_setting(const Setting &set){
                        UI::get(Data, set, "Data", UI::compulsory);
                        if(!UI::get(time, set,"time", UI::optional)) {time =0;}
                        if(!UI::get(rowid, set, "rowid",UI::optional)) {rowid =linspace(0,Data.rows()-1);}
                        shared_ptr<RV> r=UI::build<RV>(set,"drv",UI::optional);
                        if (!r) {r=new RV();
                                for (int i=0; i<rowid.length(); i++){ r->add(RV("ch"+num2str(rowid(i)), 1, 0));}
                        }
                        set_drv(*r,RV()); //empty urv
                        dtsize=r->_dsize();
                        utsize=0;
                }
};
UIREGISTER(MemDS);

/*!  \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 ) {
                        dt_out = dt;
                }
                void getdata ( vec &dt_out, const ivec &ids ) {
                        dt_out = dt ( ids );
                }
                const RV& _drv() {
                        return iepdf->_rv();
                }

                /*!
                \code
                class = "EpdfDS";
                epdf = {class="epdf_offspring", ...}// uncondtitional density to sample from
                \endcode

                */
                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();
                        set_drv(iepdf->_rv(),RV());
                        utsize =0;
                        validate();
                }
                void validate() {
                        dt = iepdf->sample();
                }
};
UIREGISTER ( EpdfDS );

/*!  \brief Simulate data from conditional density
Still having only one density but allowing conditioning on either input or delayed values.
*/
class MpdfDS :public DS {
        protected:
                //! internal pointer to epdf from which we samplecond
                shared_ptr<mpdf> impdf;
                //! 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() {
                        yt2rgr.step(yt); // y is now history
                        ut2rgr.filldown ( ut,rgr );
                        yt2rgr.filldown ( yt,rgr );
                        yt=impdf->samplecond ( rgr );
                        ut2rgr.step(ut); //u is now history
                }
                void getdata ( vec &dt_out ) {
                        bdm_assert_debug(dt_out.length()>=utsize+ytsize,"Short output vector");
                        dt_out.set_subvector(0, yt);
                        dt_out.set_subvector(ytsize, ut);
                }
                void write(const vec &ut0){ut=ut0;}

                /*!
                \code
                class = "MpdfDS";
                mpdf = {class="mpdf_offspring", ...};  // mpdf to simulate
                --- optional ---
                init_rv = {class="RV",names=...};      // define what rv to initialize - typically delayed values!
                init_values = [...];                   // vector of initial values corresponding to init_rv
                \endcode

                If init_rv is not given, init_values are set to zero.
                */
                void from_setting ( const Setting &set ) {
                        impdf=UI::build<mpdf> ( set,"mpdf",UI::compulsory );
                        
                        Yrv = impdf->_rv();
                        // get unique rvs form rvc
                        RV rgrv0=impdf->_rvc().remove_time();
                        // input is what in not in Yrv
                        Urv=rgrv0.subt(Yrv); 
                        set_drv(Yrv, Urv);
                        // connect input and output to rvc
                        ut2rgr.set_connection(impdf->_rvc(), Urv); 
                        yt2rgr.set_connection(impdf->_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 ( impdf->dimension() );
                        rgr = zeros ( impdf->dimensionc() );
                        ut = zeros(Urv._dsize());

                        ytsize=yt.length();
                        utsize=ut.length();
                        dtsize = ytsize+utsize;
                        validate();
                }
                void validate() {
                        //taken from sample() - shift of history is not done here
                        ut2rgr.filldown ( ut,rgr );
                        yt2rgr.filldown ( yt,rgr );
                        yt=impdf->samplecond ( rgr );
                }
};
UIREGISTER ( MpdfDS );

/*! Pseudovirtual class for reading data from files

*/
class FileDS: public MemDS {

        public:
                void getdata ( vec &dt ) {
                        dt = Data.get_col ( time );
                }

                void getdata ( vec &dt, const ivec &indices ) {
                        vec tmp = Data.get_col ( time );
                        dt = tmp ( indices );
                }

                //! returns number of data in the file;
                int ndat() {
                        return Data.cols();
                }
                //! no sense to log this type
                void log_add ( logger &L ) {};
                //! no sense to log this type
                void logit ( logger &L ) {};
};

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

                ITppFileDS () : FileDS() {
                };

                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:
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.
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.

*/
class CsvFileDS: public FileDS {

        public:
                //! Constructor - create DS from a CSV file.
                CsvFileDS ( const string& fname, const string& orientation = "BY_COL" );
};



/*!
\brief Generator of ARX data

*/
class ArxDS : public DS {
        protected:
                //! Rv of the regressor
                RV Rrv;
                //! History, ordered as \f$[y_t, u_t, y_{t-1 }, u_{t-1}, \ldots]\f$
                vec H;
                //! (future) input
                vec U;
                //! temporary variable for regressor
                vec rgr;
                //! data link: H -> rgr
                datalink rgrlnk;
                //! model of Y - linear Gaussian
                mlnorm<chmat> model;
                //! options
                bool opt_L_theta;
                //! loggers
                int L_theta;
                int L_R;
                int dt_size;
        public:
                void getdata ( vec &dt ) {
                        dt = H;
                }

                void getdata ( vec &dt, const ivec &indices ) {
                        dt = H ( indices );
                }

                void write ( vec &ut ) {
                        U = ut;
                }

                void write ( vec &ut, const ivec &indices ) {
                        bdm_assert_debug ( ut.length() == indices.length(), "ArxDS" );
                        set_subvector ( U, indices, ut );
                }

                void step();

                //!Default constructor
                ArxDS ( ) {};
                //! Set parameters of the internal model, H is maximum time delay
                void set_parameters ( const mat &Th0, const vec mu0, const chmat &sqR0 ) {
                        model.set_parameters ( Th0, mu0, sqR0 );
                };
                //! Set
                void set_drv ( const RV &yrv, const RV &urv, const RV &rrv ) {
                        Rrv = rrv;
                        Urv = urv;
                        dt_size = yrv._dsize() + urv._dsize();

                        RV drv = concat ( yrv, urv );
                        Drv = drv;
                        int td = rrv.mint();
                        H.set_size ( drv._dsize() * ( -td + 1 ) );
                        U.set_size ( Urv._dsize() );
                        for ( int i = -1; i >= td; i-- ) {
                                drv.t_plus ( -1 );
                                Drv.add ( drv ); //shift u1
                        }
                        rgrlnk.set_connection ( rrv, Drv );

                        dtsize = Drv._dsize();
                        utsize = Urv._dsize();
                }
                //! set options from a string
                void set_options ( const string &s ) {
                        opt_L_theta = ( s.find ( "L_theta" ) != string::npos );
                };
                virtual void log_add ( logger &L ) {
                        //DS::log_add ( L ); too long!!
                        L_dt = L.add ( Drv ( 0, dt_size ), "" );
                        L_ut = L.add ( Urv, "" );

                        const mat &A = model._A();
                        const mat R = model._R();
                        if ( opt_L_theta ) {
                                L_theta = L.add ( RV ( "{th }", vec_1 ( A.rows() * A.cols() ) ), "t" );
                        }
                        if ( opt_L_theta ) {
                                L_R = L.add ( RV ( "{R }", vec_1 ( R.rows() * R.cols() ) ), "r" );
                        }
                }
                virtual void logit ( logger &L ) {
                        //DS::logit ( L );
                        L.logit ( L_dt, H.left ( dt_size ) );
                        L.logit ( L_ut, U );

                        const mat &A = model._A();
                        const mat R = model._R();
                        if ( opt_L_theta ) {
                                L.logit ( L_theta, vec ( A._data(), A.rows() *A.cols() ) );
                        };
                        if ( opt_L_theta ) {
                                L.logit ( L_R, vec ( R._data(), R.rows() *R.rows() ) );
                        };
                }

                // TODO dokumentace - aktualizovat
                /*! UI for ArxDS using factorized description!

                The ArxDS is constructed from a structure with fields:
                \code
                system = {
                        type = "ArxDS";
                        // description of y variables
                        y = {type="rv"; names=["y", "u"];};
                        // description of u variable
                        u = {type="rv"; names=[];}
                        // description of regressor
                        rgr = {type="rv";
                                names = ["y","y","y","u"];
                                times = [-1, -2, -3, -1];
                        }

                        // theta
                        theta = [0.8, -0.3, 0.4, 1.0,
                                         0.0, 0.0, 0.0, 0.0];
                        // offset (optional)
                        offset = [0.0, 0.0];
                        //variance
                        r = [0.1, 0.0,
                                 0.0, 1.0];
                        //options: L_theta = log value of theta,
                        opt = "L_theta";
                };
                \endcode

                Result is ARX data source offering with full history as Drv.
                */
                void from_setting ( const Setting &set );

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

UIREGISTER ( ArxDS );
SHAREDPTR ( ArxDS );

class stateDS : public DS {
        private:
                //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$
                shared_ptr<mpdf> IM;

                //!conditional pdf of the observations \f$ f(d_t|x_t) \f$
                shared_ptr<mpdf> OM;

        protected:
                //! result storage
                vec dt;
                //! state storage
                vec xt;
                //! input storage
                vec ut;
                //! Logger
                int L_xt;

        public:
                void getdata ( vec &dt0 ) {
                        dt0 = dt;
                }

                void getdata ( vec &dt0, const ivec &indices ) {
                        dt0 = dt ( indices );
                }

                stateDS ( const shared_ptr<mpdf> &IM0, const shared_ptr<mpdf> &OM0, int usize ) : IM ( IM0 ), OM ( OM0 ),
                                dt ( OM0->dimension() ), xt ( IM0->dimension() ),
                                ut ( usize ), L_xt ( 0 ) { }

                stateDS() : L_xt ( 0 ) { }

                virtual void step() {
                        xt = IM->samplecond ( concat ( xt, ut ) );
                        dt = OM->samplecond ( concat ( xt, ut ) );
                }

                virtual void log_add ( logger &L ) {
                        DS::log_add ( L );
                        L_xt = L.add ( IM->_rv(), "true" );
                }
                virtual void logit ( logger &L ) {
                        DS::logit ( L );
                        L.logit ( L_xt, xt );
                }

                /*! UI for stateDS

                The DS is constructed from a structure with fields:
                \code
                system = {
                        type = "stateDS";
                        //Internal model
                        IM = { type = "mpdf"; //<-- valid offspring! e.g. "mlnorm"
                                rv = { //description of x_t
                                        names=["name1",...];
                                        sizes=[2,1]; // optional default=[1,1...];
                                        times=[0,0]; // optional default=[0,0...];
                                        }
                                rvu= { //description of  u_t
                                        //optional default=empty
                                        }

                                // remaining fields depending on the chosen type
                                };
                        //Observation model
                        OM = { type = "mpdf-offspring";
                                rv = {}; //description of d_t
                                rvu = {type="internal", path="system.IM.rvu"}; //description of u_t

                                //remaining fields
                        }
                };
                \endcode
                */
                void from_setting ( const Setting &set );

                // TODO dodelat void to_setting( Setting &set ) const;

};

UIREGISTER ( stateDS );
SHAREDPTR ( stateDS );

}; //namespace

#endif // DS_H