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