| 1 | /*! |
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| 2 | \file |
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| 3 | \brief Bayesian Filtering for extensions of autoregressive (ARX) model |
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| 4 | \author Vaclav Smidl. |
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| 5 | |
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| 6 | */ |
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| 7 | |
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| 8 | #ifndef AREX_H |
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| 9 | #define AREX_H |
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| 10 | |
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| 11 | #include "../math/functions.h" |
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| 12 | #include "arx.h" |
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| 13 | |
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| 14 | namespace bdm { |
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| 15 | |
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| 16 | /*! |
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| 17 | * \brief Non-linear transformation + Gaussian noise |
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| 18 | |
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| 19 | Regression of the following kind: |
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| 20 | \f[ |
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| 21 | y_t = g(\psi_t ) + r e_t |
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| 22 | \f] |
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| 23 | where unknown parameters \c rv are \f$[r]\f$, regression vector \f$\psi_t=\psi(y_{1:t},u_{1:t})\f$ is propagated through a known function \c g. Distrubances \f$e_t\f$ are supposed to be normally distributed: |
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| 24 | \f[ |
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| 25 | e_t \sim \mathcal{N}(0,1). |
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| 26 | \f] |
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| 27 | |
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| 28 | */ |
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| 29 | class ARXg: public ARX { |
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| 30 | protected: |
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| 31 | //! function g |
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| 32 | shared_ptr<fnc> g; |
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| 33 | public: |
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| 34 | //! \name Constructors |
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| 35 | //!@{ |
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| 36 | ARXg (): ARX() {} |
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| 37 | ARXg (const ARXg &A0): ARX(A0),g(A0.g) {} |
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| 38 | ARXg* _copy() const { |
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| 39 | return new ARXg(*this); |
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| 40 | } |
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| 41 | //!@} |
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| 42 | |
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| 43 | //!\name Mathematical operations |
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| 44 | //!@{ |
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| 45 | |
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| 46 | //! Weighted Bayes \f$ dt = [y_t psi_t] \f$. |
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| 47 | void bayes_weighted ( const vec &yt, const vec &cond = empty_vec, const double w = 1.0 ) { |
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| 48 | int dimc_store =dimc; |
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| 49 | dimc =0; |
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| 50 | ARX::bayes_weighted(yt - g->eval(cond), empty_vec, w); |
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| 51 | dimc = dimc_store; |
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| 52 | }; |
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| 53 | //!@} |
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| 54 | |
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| 55 | /*! UI for ARXg estimator |
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| 56 | |
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| 57 | \code |
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| 58 | class = 'ARXg'; |
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| 59 | yrv = RV({names_of_dt} ) // description of output variables |
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| 60 | rgr = RV({names_of_regressors}, [-1,-2]} // description of regressor variables |
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| 61 | constant = 1; // 0/1 switch if the constant term is modelled or not |
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| 62 | g = {class='my_function',...} // function transforming regressor |
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| 63 | |
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| 64 | --- optional --- |
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| 65 | prior = {class='egiw',...}; // Prior density, when given default is used instead |
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| 66 | alternative = {class='egiw',...}; // Alternative density in stabilized estimation, when not given prior is used |
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| 67 | |
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| 68 | frg = 1.0; // forgetting, default frg=1.0 |
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| 69 | |
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| 70 | rv = RV({names_of_parameters}} // description of parametetr names |
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| 71 | \endcode |
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| 72 | */ |
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| 73 | void from_setting ( const Setting &set ) { |
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| 74 | ARX::from_setting(set); |
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| 75 | g=UI::build<fnc>(set,"g",UI::compulsory); |
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| 76 | } |
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| 77 | |
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| 78 | void validate() { |
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| 79 | ARX::validate();//if dimc not set set it from V |
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| 80 | bdm_assert(g->dimension()==dimensiony(),"incompatible g"); |
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| 81 | bdm_assert(g->dimensionc()==dimensionc(),"incompatible g"); |
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| 82 | } |
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| 83 | |
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| 84 | void to_setting ( Setting &set ) const |
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| 85 | { |
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| 86 | ARX::to_setting( set ); // takes care of rv, yrv, rvc |
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| 87 | UI::save(g,set,"g"); |
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| 88 | } |
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| 89 | }; |
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| 90 | UIREGISTER ( ARXg ); |
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| 91 | SHAREDPTR ( ARXg ); |
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| 92 | |
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| 93 | }; |
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| 94 | #endif // AREX_H |
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| 95 | |
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