1 | /*! |
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2 | \file |
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3 | \brief Bayesian Filtering for mixtures of exponential family (EF) members |
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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 MIXTURES_H |
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14 | #define MIXTURES_H |
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15 | |
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16 | |
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17 | #include "../math/functions.h" |
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18 | #include "../stat/exp_family.h" |
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19 | #include "../stat/emix.h" |
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20 | #include "arx.h" |
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21 | |
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22 | namespace bdm { |
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23 | |
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24 | //! enum switch for internal approximation used in MixEF |
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25 | enum MixEF_METHOD { EM = 0, QB = 1}; |
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26 | |
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27 | /*! |
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28 | * \brief Mixture of Exponential Family Densities |
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29 | |
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30 | An approximate estimation method for models with latent discrete variable, such as |
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31 | mixture models of the following kind: |
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32 | \f[ |
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33 | f(y_t|\psi_t, heta) = \sum_{i=1}^{n} w_i f(y_t|\psi_t, heta_i) |
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34 | \f] |
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35 | where \f$\psi\f$ is a known function of past outputs, \f$w=[w_1,\ldots,w_n]\f$ are component weights, and component parameters \f$ heta_i\f$ are assumed to be mutually independent. \f$ heta\f$ is an aggregation af all component parameters and weights, i.e. \f$ heta = [ heta_1,\ldots, heta_n,w]\f$. |
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36 | |
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37 | The characteristic feature of this model is that if the exact values of the latent variable were known, estimation of the parameters can be handled by a single model. For example, for the case of mixture models, posterior density for each component parameters would be a BayesianModel from Exponential Family. |
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38 | |
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39 | This class uses EM-style type algorithms for estimation of its parameters. Under this simplification, the posterior density is a product of exponential family members, hence under EM-style approximate estimation this class itself belongs to the exponential family. |
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40 | |
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41 | Two methods are provided: |
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42 | - QB where the probability of being from one component is computed using predictors, |
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43 | - EM where the data is assigned to component with the highest likelihood (winner takes all) |
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44 | |
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45 | These methods are stored in attribute options: |
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46 | - method: ["EM","QB"] estimation method as mentioned above, QB is default |
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47 | - max_niter: maximum of iterations in bayes_batch() |
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48 | |
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49 | */ |
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50 | class MixEF: public BMEF { |
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51 | protected: |
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52 | //! Models for Components of \f$ heta_i\f$ |
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53 | Array<BMEF*> Coms; |
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54 | //! Statistics for weights |
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55 | multiBM weights; |
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56 | //aux |
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57 | friend class eprod_mix; |
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58 | |
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59 | //! \brief Posterior on component parameters |
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60 | class eprod_mix: public eprod_base { |
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61 | protected: |
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62 | const MixEF &mix; // pointer to parent.n |
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63 | public: |
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64 | eprod_mix(const MixEF &m):mix(m) {} |
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65 | const epdf* factor(int i) const { |
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66 | return (i==(mix.Coms.length()-1)) ? &mix.weights.posterior() : &mix.Coms(i)->posterior(); |
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67 | } |
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68 | const int no_factors()const { |
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69 | return mix.Coms.length()+1; |
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70 | } |
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71 | } est; |
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72 | ////!indices of component rvc in common rvc |
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73 | |
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74 | class Options: public root { |
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75 | public: |
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76 | //! Flag for a method that is used in the inference |
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77 | MixEF_METHOD method; |
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78 | |
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79 | //! maximum number of iterations |
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80 | int max_niter; |
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81 | |
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82 | Options():method(QB),max_niter(10) {}; |
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83 | |
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84 | /*! Create object from the following structure |
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85 | |
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86 | \code |
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87 | --- optional fields --- |
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88 | method = '...'; % 'EM' or 'QB', methods of computing bayes |
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89 | max_iter = []; % maximum number of iterations in bayes_batch |
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90 | --- inherited fields --- |
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91 | bdm::root::from_setting |
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92 | \endcode |
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93 | If the optional fields are not given, they will be filled as follows: |
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94 | \code |
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95 | max_niter = 10; |
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96 | method = 'QB'; |
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97 | \endcode |
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98 | */ |
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99 | void from_setting(const Setting &set) { |
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100 | string meth; |
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101 | UI::get(meth,set,"method",UI::optional); |
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102 | if (meth=="EM") { |
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103 | method=EM; |
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104 | } |
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105 | max_niter =10; |
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106 | UI::get(max_niter,set,"max_niter",UI::optional); |
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107 | }; |
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108 | |
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109 | void to_setting(Setting &set)const { |
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110 | string meth=(method==EM ? "EM" : "QB"); |
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111 | UI::save(meth,set,"method"); |
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112 | UI::save(max_niter,set,"max_niter"); |
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113 | }; |
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114 | }; |
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115 | |
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116 | Options options; |
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117 | public: |
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118 | //! Full constructor |
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119 | MixEF ( const Array<BMEF*> &Coms0, const vec &alpha0 ) : |
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120 | BMEF ( ), Coms ( Coms0.length() ), |
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121 | weights (), est(*this), options() { |
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122 | for ( int i = 0; i < Coms0.length(); i++ ) { |
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123 | Coms ( i ) = ( BMEF* ) Coms0 ( i )->_copy(); |
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124 | } |
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125 | weights.set_parameters(alpha0); |
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126 | weights.validate(); |
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127 | } |
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128 | |
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129 | //! Constructor of empty mixture |
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130 | MixEF () : |
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131 | BMEF ( ), Coms ( 0 ), |
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132 | weights (), est(*this), options() { |
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133 | } |
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134 | //! Copy constructor |
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135 | MixEF ( const MixEF &M2 ) : BMEF ( ), Coms ( M2.Coms.length() ), |
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136 | weights ( M2.weights ), est(*this), options(M2.options) { |
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137 | for ( int i = 0; i < M2.Coms.length(); i++ ) { |
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138 | Coms ( i ) = (BMEF*) M2.Coms ( i )->_copy(); |
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139 | } |
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140 | } |
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141 | |
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142 | //! Initializing the mixture by a random pick of centroids from data |
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143 | //! \param Com0 Initial component - necessary to determine its type. |
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144 | //! \param Data Data on which the initialization will be done |
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145 | //! \param c Initial number of components, default=5 |
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146 | //! when the number of data records (columns of Data) is equal to the number of requested components, each data is used, otherwise, they are picked randomly. |
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147 | void init ( BMEF* Com0, const mat &Data, const int c = 5 ); |
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148 | //Destructor |
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149 | //! Recursive EM-like algorithm (QB-variant), see Karny et. al, 2006 |
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150 | void bayes ( const vec &yt, const vec &cond ); |
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151 | //! batch weighted Bayes rule |
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152 | double bayes_batch_weighted ( const mat &yt, const mat &cond, const vec &wData ); |
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153 | double bayes_batch ( const mat &yt, const mat &cond) { |
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154 | return bayes_batch_weighted(yt,cond,ones(yt.cols())); |
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155 | }; |
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156 | double logpred ( const vec &yt, const vec &cond ) const; |
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157 | //! return correctly typed posterior (covariant return) |
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158 | const eprod_mix& posterior() const { |
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159 | return est; |
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160 | } |
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161 | |
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162 | emix* epredictor(const vec &cond=vec()) const; |
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163 | //! Flatten the density as if it was not estimated from the data |
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164 | void flatten ( const BMEF* M2, double weight ); |
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165 | //! Access function |
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166 | BMEF* _Coms ( int i ) { |
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167 | return Coms ( i ); |
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168 | } |
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169 | |
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170 | //!Set which method is to be used |
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171 | void set_method ( MixEF_METHOD M ) { |
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172 | options.method = M; |
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173 | } |
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174 | |
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175 | void to_setting ( Setting &set ) const { |
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176 | BMEF::to_setting( set ); |
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177 | UI::save ( Coms, set, "Coms" ); |
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178 | UI::save ( &weights, set, "weights" ); |
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179 | UI::save (options, set, "options"); |
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180 | } |
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181 | |
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182 | /*! Create object from the following structure |
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183 | |
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184 | \code |
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185 | class = 'MixEF'; |
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186 | Coms = { list of bdm::BMEF }; % list of components containing any offsprings of Bayesian models BMEF, bdm::BMEF::from_setting |
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187 | weights = [...]; % vector containing weights of components |
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188 | --- optional fields --- |
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189 | options = configuration of bdm::MixEF::Options; % see MixEF::Options, bdm::MixEF::Options::from_setting |
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190 | --- inherited fields --- |
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191 | bdm::BMEF::from_setting |
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192 | \endcode |
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193 | */ |
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194 | void from_setting (const Setting &set ) { |
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195 | BMEF::from_setting( set ); |
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196 | UI::get ( Coms, set, "Coms" ); |
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197 | UI::get ( weights, set, "weights" ); |
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198 | UI::get (options, set, "options",UI::optional); |
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199 | } |
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200 | }; |
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201 | UIREGISTER ( MixEF ); |
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202 | |
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203 | //! \brief Product of ARX models forming an ARX model with potentially reduced structure |
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204 | class ARXprod: public ProdBMBase { |
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205 | Array<shared_ptr<ARX> > arxs; |
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206 | public: |
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207 | ARX* bm(int i) { |
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208 | return arxs(i).get(); |
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209 | } |
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210 | int no_bms() { |
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211 | return arxs.length(); |
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212 | } |
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213 | }; |
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214 | UIREGISTER(ARXprod); |
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215 | |
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216 | } |
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217 | #endif // MIXTURES_H |
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