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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