1 | /*! |
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2 | \file |
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3 | \brief Common DataSources. |
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4 | \author Vaclav Smidl. |
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5 | |
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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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13 | #ifndef DATASOURCE_H |
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14 | #define DATASOURCE_H |
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15 | |
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16 | |
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17 | #include "../base/bdmbase.h" |
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18 | #include "../stat/exp_family.h" |
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19 | #include "../base/user_info.h" |
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20 | |
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21 | namespace bdm { |
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22 | /*! |
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23 | * \brief Memory storage of off-line data column-wise |
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24 | |
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25 | 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. |
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26 | |
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27 | The data can be loaded from a file. |
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28 | */ |
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29 | class MemDS : public DS { |
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30 | protected: |
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31 | //! internal matrix of data |
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32 | mat Data; |
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33 | //! active column in the Data matrix |
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34 | int time; |
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35 | //! vector of rows that are presented in Dt |
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36 | ivec rowid; |
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37 | |
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38 | public: |
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39 | int max_length() {return Data.cols();} |
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40 | void getdata ( vec &dt ) const; |
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41 | void getdata ( vec &dt, const ivec &indeces ); |
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42 | void set_drv (const RV &drv,const RV &urv ); |
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43 | |
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44 | void write ( const vec &ut ) { |
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45 | bdm_error ( "MemDS::write is not supported" ); |
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46 | } |
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47 | |
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48 | void write ( const vec &ut, const ivec &indices ) { |
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49 | bdm_error ( "MemDS::write is not supported" ); |
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50 | } |
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51 | |
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52 | void step(); |
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53 | //!Default constructor |
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54 | MemDS () {}; |
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55 | //! Convenience constructor |
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56 | MemDS ( mat &Dat, ivec &rowid0); |
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57 | /*! Create object from the following structure |
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58 | \code |
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59 | { class = "MemDS"; |
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60 | Data = (...); // Data matrix or data vector |
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61 | --- optional --- |
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62 | drv = {class="RV"; ...} // Identification how rows of the matrix Data will be known to others |
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63 | time = 0; // Index of the first column to user_info, |
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64 | rowid = [1,2,3...]; // ids of rows to be used |
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65 | } |
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66 | \endcode |
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67 | |
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68 | If the optional fields are not given, they will be filled as follows: |
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69 | \code |
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70 | rowid= [0, 1, 2, ...number_of_rows_of_Data]; |
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71 | drv = {names=("ch0", "ch1", "ch2", ..."number_of_rows_of_Data"); |
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72 | sizes=( 1 1 1 ...); |
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73 | times=( 0 0 0 ...); |
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74 | }; |
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75 | time = 0; |
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76 | \endcode |
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77 | If \c rowid is given, \c drv will be named after indeces in rowids. |
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78 | |
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79 | Hence the data provided by method \c getdata() will be full column of matrix Data starting from the first record. |
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80 | */ |
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81 | void from_setting(const Setting &set){ |
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82 | UI::get(Data, set, "Data", UI::compulsory); |
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83 | if(!UI::get(time, set,"time", UI::optional)) {time =0;} |
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84 | if(!UI::get(rowid, set, "rowid",UI::optional)) {rowid =linspace(0,Data.rows()-1);} |
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85 | shared_ptr<RV> r=UI::build<RV>(set,"drv",UI::optional); |
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86 | if (!r) {r=new RV(); |
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87 | for (int i=0; i<rowid.length(); i++){ r->add(RV("ch"+num2str(rowid(i)), 1, 0));} |
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88 | } |
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89 | set_drv(*r,RV()); //empty urv |
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90 | dtsize=r->_dsize(); |
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91 | ytsize = dtsize; |
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92 | utsize=0; |
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93 | } |
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94 | }; |
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95 | UIREGISTER(MemDS); |
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96 | |
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97 | /*! \brief Simulate data from a static pdf (epdf) |
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98 | |
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99 | 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. |
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100 | */ |
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101 | |
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102 | class EpdfDS: public DS { |
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103 | protected: |
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104 | //! internal pointer to epdf from which we samplecond |
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105 | shared_ptr<epdf> iepdf; |
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106 | //! internal storage of data sample |
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107 | vec dt; |
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108 | public: |
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109 | void step() { |
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110 | dt=iepdf->sample(); |
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111 | } |
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112 | void getdata ( vec &dt_out ) const { |
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113 | dt_out = dt; |
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114 | } |
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115 | void getdata ( vec &dt_out, const ivec &ids ) { |
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116 | dt_out = dt ( ids ); |
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117 | } |
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118 | const RV& _drv() const { |
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119 | return iepdf->_rv(); |
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120 | } |
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121 | |
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122 | /*! |
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123 | \code |
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124 | class = "EpdfDS"; |
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125 | epdf = {class="epdf_offspring", ...}// uncondtitional density to sample from |
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126 | \endcode |
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127 | |
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128 | */ |
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129 | void from_setting ( const Setting &set ) { |
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130 | iepdf=UI::build<epdf> ( set,"epdf",UI::compulsory ); |
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131 | bdm_assert(iepdf->isnamed(), "Input epdf must be named, check if RV is given correctly"); |
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132 | dt = zeros(iepdf->dimension()); |
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133 | dtsize=dt.length(); |
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134 | set_drv(iepdf->_rv(),RV()); |
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135 | utsize =0; |
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136 | validate(); |
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137 | } |
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138 | void validate() { |
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139 | dt = iepdf->sample(); |
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140 | } |
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141 | }; |
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142 | UIREGISTER ( EpdfDS ); |
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143 | |
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144 | /*! \brief Simulate data from conditional density |
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145 | Still having only one density but allowing conditioning on either input or delayed values. |
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146 | */ |
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147 | class MpdfDS :public DS { |
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148 | protected: |
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149 | //! internal pointer to epdf from which we samplecond |
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150 | shared_ptr<mpdf> impdf; |
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151 | //! internal storage of data sample |
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152 | vec yt; |
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153 | //! input vector |
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154 | vec ut; |
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155 | //! datalink between ut and regressor |
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156 | datalink_buffered ut2rgr; |
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157 | //! datalink between yt and regressor |
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158 | datalink_buffered yt2rgr; |
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159 | //! numeric values of regressor |
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160 | vec rgr; |
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161 | |
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162 | public: |
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163 | void step() { |
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164 | yt2rgr.step(yt); // y is now history |
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165 | ut2rgr.filldown ( ut,rgr ); |
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166 | yt2rgr.filldown ( yt,rgr ); |
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167 | yt=impdf->samplecond ( rgr ); |
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168 | ut2rgr.step(ut); //u is now history |
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169 | } |
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170 | void getdata ( vec &dt_out ) const { |
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171 | bdm_assert_debug(dt_out.length()>=utsize+ytsize,"Short output vector"); |
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172 | dt_out.set_subvector(0, yt); |
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173 | dt_out.set_subvector(ytsize, ut); |
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174 | } |
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175 | void write(const vec &ut0){ut=ut0;} |
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176 | |
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177 | /*! |
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178 | \code |
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179 | class = "MpdfDS"; |
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180 | mpdf = {class="mpdf_offspring", ...}; // mpdf to simulate |
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181 | --- optional --- |
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182 | init_rv = {class="RV",names=...}; // define what rv to initialize - typically delayed values! |
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183 | init_values = [...]; // vector of initial values corresponding to init_rv |
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184 | \endcode |
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185 | |
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186 | If init_rv is not given, init_values are set to zero. |
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187 | */ |
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188 | void from_setting ( const Setting &set ) { |
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189 | impdf=UI::build<mpdf> ( set,"mpdf",UI::compulsory ); |
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190 | |
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191 | Yrv = impdf->_rv(); |
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192 | // get unique rvs form rvc |
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193 | RV rgrv0=impdf->_rvc().remove_time(); |
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194 | // input is what in not in Yrv |
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195 | Urv=rgrv0.subt(Yrv); |
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196 | set_drv(Yrv, Urv); |
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197 | // connect input and output to rvc |
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198 | ut2rgr.set_connection(impdf->_rvc(), Urv); |
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199 | yt2rgr.set_connection(impdf->_rvc(), Yrv); |
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200 | |
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201 | //set history - if given |
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202 | shared_ptr<RV> rv_ini=UI::build<RV>(set,"init_rv",UI::optional); |
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203 | if(rv_ini){ // check if |
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204 | vec val; |
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205 | UI::get(val, set, "init_values", UI::optional); |
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206 | if (val.length()!=rv_ini->_dsize()){ |
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207 | bdm_error("init_rv and init_values fields have incompatible sizes"); |
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208 | } else { |
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209 | ut2rgr.set_history(*rv_ini, val); |
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210 | yt2rgr.set_history(*rv_ini, val); |
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211 | } |
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212 | } |
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213 | |
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214 | yt = zeros ( impdf->dimension() ); |
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215 | rgr = zeros ( impdf->dimensionc() ); |
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216 | ut = zeros(Urv._dsize()); |
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217 | |
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218 | ytsize=yt.length(); |
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219 | utsize=ut.length(); |
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220 | dtsize = ytsize+utsize; |
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221 | validate(); |
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222 | } |
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223 | void validate() { |
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224 | //taken from sample() - shift of history is not done here |
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225 | ut2rgr.filldown ( ut,rgr ); |
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226 | yt2rgr.filldown ( yt,rgr ); |
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227 | yt=impdf->samplecond ( rgr ); |
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228 | } |
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229 | }; |
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230 | UIREGISTER ( MpdfDS ); |
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231 | |
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232 | /*! Pseudovirtual class for reading data from files |
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233 | |
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234 | */ |
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235 | class FileDS: public MemDS { |
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236 | |
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237 | public: |
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238 | void getdata ( vec &dt ) { |
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239 | dt = Data.get_col ( time ); |
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240 | } |
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241 | |
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242 | void getdata ( vec &dt, const ivec &indices ) { |
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243 | vec tmp = Data.get_col ( time ); |
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244 | dt = tmp ( indices ); |
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245 | } |
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246 | |
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247 | //! returns number of data in the file; |
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248 | int ndat() { |
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249 | return Data.cols(); |
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250 | } |
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251 | //! no sense to log this type |
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252 | void log_register(logger &L, const string &prefix){}; |
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253 | //! no sense to log this type |
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254 | void log_write ( ) const {}; |
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255 | }; |
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256 | |
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257 | /*! |
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258 | * \brief Read Data Matrix from an IT file |
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259 | |
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260 | 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$t\f$! |
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261 | |
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262 | */ |
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263 | class ITppFileDS: public FileDS { |
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264 | |
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265 | public: |
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266 | //! Convenience constructor |
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267 | ITppFileDS ( const string &fname, const string &varname ) : FileDS() { |
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268 | it_file it ( fname ); |
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269 | it << Name ( varname ); |
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270 | it >> Data; |
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271 | time = 0; |
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272 | //rowid and delays are ignored |
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273 | }; |
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274 | |
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275 | ITppFileDS () : FileDS() { |
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276 | }; |
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277 | |
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278 | void from_setting ( const Setting &set ); |
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279 | |
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280 | // TODO dodelat void to_setting( Setting &set ) const; |
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281 | |
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282 | }; |
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283 | |
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284 | UIREGISTER ( ITppFileDS ); |
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285 | SHAREDPTR ( ITppFileDS ); |
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286 | |
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287 | /*! |
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288 | * \brief CSV file data storage |
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289 | The constructor creates \c Data matrix from the records in a CSV file \c fname. The orientation can be of two types: |
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290 | 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. |
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291 | 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. |
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292 | |
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293 | */ |
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294 | class CsvFileDS: public FileDS { |
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295 | |
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296 | public: |
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297 | //! Constructor - create DS from a CSV file. |
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298 | CsvFileDS ( const string& fname, const string& orientation = "BY_COL" ); |
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299 | }; |
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300 | |
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301 | |
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302 | |
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303 | // ARXDs - DELETED |
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304 | |
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305 | //! State-space data source simulating two densities |
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306 | class stateDS : public DS { |
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307 | private: |
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308 | //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$ |
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309 | shared_ptr<mpdf> IM; |
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310 | |
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311 | //!conditional pdf of the observations \f$ f(d_t|x_t) \f$ |
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312 | shared_ptr<mpdf> OM; |
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313 | |
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314 | protected: |
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315 | //! result storage |
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316 | vec dt; |
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317 | //! state storage |
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318 | vec xt; |
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319 | //! input storage |
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320 | vec ut; |
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321 | //! Logger |
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322 | int L_xt; |
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323 | |
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324 | public: |
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325 | void getdata ( vec &dt0 ) { |
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326 | dt0 = dt; |
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327 | } |
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328 | |
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329 | void getdata ( vec &dt0, const ivec &indices ) { |
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330 | dt0 = dt ( indices ); |
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331 | } |
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332 | //! convenience constructor |
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333 | stateDS ( const shared_ptr<mpdf> &IM0, const shared_ptr<mpdf> &OM0, int usize ) : IM ( IM0 ), OM ( OM0 ), |
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334 | dt ( OM0->dimension() ), xt ( IM0->dimension() ), |
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335 | ut ( usize ), L_xt ( 0 ) { } |
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336 | |
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337 | stateDS() : L_xt ( 0 ) { } |
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338 | |
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339 | virtual void step() { |
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340 | xt = IM->samplecond ( concat ( xt, ut ) ); |
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341 | dt = OM->samplecond ( concat ( xt, ut ) ); |
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342 | } |
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343 | |
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344 | virtual void log_register(logger &L, const string &prefix){ |
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345 | DS::log_register ( L, prefix ); //ids 0 and 1 |
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346 | |
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347 | logrec->ids.set_size(3,true);//copy |
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348 | logrec->ids(2)=logrec->L.add ( IM->_rv(), "true" ); |
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349 | } |
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350 | virtual void log_write () { |
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351 | DS::log_write ( ); |
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352 | logrec->L.logit ( logrec->ids(2), xt ); |
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353 | } |
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354 | |
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355 | /*! UI for stateDS |
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356 | |
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357 | The DS is constructed from a structure with fields: |
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358 | \code |
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359 | system = { |
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360 | type = "stateDS"; |
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361 | //Internal model |
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362 | IM = { type = "mpdf"; //<-- valid offspring! e.g. "mlnorm" |
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363 | rv = { //description of x_t |
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364 | names=["name1",...]; |
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365 | sizes=[2,1]; // optional default=[1,1...]; |
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366 | times=[0,0]; // optional default=[0,0...]; |
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367 | } |
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368 | rvu= { //description of u_t |
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369 | //optional default=empty |
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370 | } |
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371 | |
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372 | // remaining fields depending on the chosen type |
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373 | }; |
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374 | //Observation model |
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375 | OM = { type = "mpdf-offspring"; |
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376 | rv = {}; //description of d_t |
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377 | rvu = {type="internal", path="system.IM.rvu"}; //description of u_t |
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378 | |
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379 | //remaining fields |
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380 | } |
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381 | }; |
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382 | \endcode |
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383 | */ |
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384 | void from_setting ( const Setting &set ); |
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385 | |
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386 | // TODO dodelat void to_setting( Setting &set ) const; |
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387 | |
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388 | }; |
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389 | |
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390 | UIREGISTER ( stateDS ); |
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391 | SHAREDPTR ( stateDS ); |
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392 | |
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393 | }; //namespace |
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394 | |
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395 | #endif // DS_H |
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