1 | #include "particles.h" |
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2 | |
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3 | namespace bdm { |
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4 | |
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5 | using std::endl; |
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6 | |
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7 | void PF::bayes_gensmp ( const vec &ut ) { |
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8 | if ( ut.length() > 0 ) { |
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9 | vec cond ( par->dimensionc() ); |
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10 | cond.set_subvector ( par->dimension(), ut ); |
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11 | #pragma parallel for |
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12 | for ( int i = 0; i < n; i++ ) { |
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13 | cond.set_subvector ( 0, _samples ( i ) ); |
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14 | _samples ( i ) = par->samplecond ( cond ); |
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15 | lls ( i ) = 0; |
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16 | } |
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17 | } else { |
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18 | #pragma parallel for |
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19 | for ( int i = 0; i < n; i++ ) { |
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20 | _samples ( i ) = par->samplecond ( _samples ( i ) ); |
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21 | lls ( i ) = 0; |
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22 | } |
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23 | } |
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24 | } |
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25 | |
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26 | void PF::bayes_weights() { |
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27 | // |
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28 | double mlls = max ( lls ); |
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29 | // compute weights |
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30 | for ( int i = 0; i < n; i++ ) { |
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31 | _w ( i ) *= exp ( lls ( i ) - mlls ); // multiply w by likelihood |
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32 | } |
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33 | |
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34 | //renormalize |
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35 | double sw = sum ( _w ); |
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36 | if ( !std::isfinite ( sw ) ) { |
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37 | for ( int i = 0; i < n; i++ ) { |
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38 | if ( !std::isfinite ( _w ( i ) ) ) { |
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39 | _w ( i ) = 0; |
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40 | } |
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41 | } |
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42 | sw = sum ( _w ); |
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43 | if ( !std::isfinite ( sw ) || sw == 0.0 ) { |
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44 | bdm_error ( "Particle filter is lost; no particle is good enough." ); |
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45 | } |
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46 | } |
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47 | _w /= sw; |
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48 | } |
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49 | |
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50 | void PF::bayes ( const vec &yt, const vec &cond ) { |
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51 | const vec &ut = cond; //todo |
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52 | |
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53 | int i; |
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54 | // generate samples - time step |
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55 | bayes_gensmp ( ut ); |
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56 | // weight them - data step |
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57 | for ( i = 0; i < n; i++ ) { |
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58 | lls ( i ) += obs->evallogcond ( yt, _samples ( i ) ); //+= because lls may have something from gensmp! |
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59 | } |
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60 | |
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61 | bayes_weights(); |
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62 | |
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63 | if ( do_resampling() ) { |
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64 | est.resample ( resmethod ); |
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65 | } |
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66 | |
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67 | } |
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68 | |
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69 | // void PF::set_est ( const epdf &epdf0 ) { |
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70 | // int i; |
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71 | // |
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72 | // for ( i=0;i<n;i++ ) { |
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73 | // _samples ( i ) = epdf0.sample(); |
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74 | // } |
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75 | // } |
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76 | |
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77 | vec MPF::mpfepdf::mean() const { |
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78 | const vec &w = pf->posterior()._w(); |
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79 | vec pom = zeros ( BMs ( 0 )->posterior ().dimension() ); |
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80 | //compute mean of BMs |
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81 | for ( int i = 0; i < w.length(); i++ ) { |
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82 | pom += BMs ( i )->posterior().mean() * w ( i ); |
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83 | } |
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84 | return concat ( pf->posterior().mean(), pom ); |
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85 | } |
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86 | |
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87 | vec MPF::mpfepdf::variance() const { |
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88 | const vec &w = pf->posterior()._w(); |
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89 | |
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90 | vec pom = zeros ( BMs ( 0 )->posterior ().dimension() ); |
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91 | vec pom2 = zeros ( BMs ( 0 )->posterior ().dimension() ); |
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92 | vec mea; |
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93 | |
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94 | for ( int i = 0; i < w.length(); i++ ) { |
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95 | // save current mean |
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96 | mea = BMs ( i )->posterior().mean(); |
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97 | pom += mea * w ( i ); |
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98 | //compute variance |
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99 | pom2 += ( BMs ( i )->posterior().variance() + pow ( mea, 2 ) ) * w ( i ); |
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100 | } |
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101 | return concat ( pf->posterior().variance(), pom2 - pow ( pom, 2 ) ); |
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102 | } |
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103 | |
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104 | void MPF::mpfepdf::qbounds ( vec &lb, vec &ub, double perc ) const { |
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105 | //bounds on particles |
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106 | vec lbp; |
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107 | vec ubp; |
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108 | pf->posterior().qbounds ( lbp, ubp ); |
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109 | |
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110 | //bounds on Components |
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111 | int dimC = BMs ( 0 )->posterior().dimension(); |
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112 | int j; |
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113 | // temporary |
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114 | vec lbc ( dimC ); |
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115 | vec ubc ( dimC ); |
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116 | // minima and maxima |
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117 | vec Lbc ( dimC ); |
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118 | vec Ubc ( dimC ); |
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119 | Lbc = std::numeric_limits<double>::infinity(); |
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120 | Ubc = -std::numeric_limits<double>::infinity(); |
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121 | |
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122 | for ( int i = 0; i < BMs.length(); i++ ) { |
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123 | // check Coms |
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124 | BMs ( i )->posterior().qbounds ( lbc, ubc ); |
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125 | //save either minima or maxima |
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126 | for ( j = 0; j < dimC; j++ ) { |
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127 | if ( lbc ( j ) < Lbc ( j ) ) { |
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128 | Lbc ( j ) = lbc ( j ); |
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129 | } |
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130 | if ( ubc ( j ) > Ubc ( j ) ) { |
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131 | Ubc ( j ) = ubc ( j ); |
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132 | } |
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133 | } |
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134 | } |
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135 | lb = concat ( lbp, Lbc ); |
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136 | ub = concat ( ubp, Ubc ); |
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137 | } |
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138 | |
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139 | |
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140 | |
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141 | void MPF::bayes ( const vec &yt, const vec &cond ) { |
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142 | // follows PF::bayes in most places!!! |
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143 | int i; |
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144 | int n = pf->__w().length(); |
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145 | vec &lls = pf->_lls(); |
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146 | Array<vec> &samples = pf->__samples(); |
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147 | |
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148 | // generate samples - time step |
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149 | pf->bayes_gensmp ( vec ( 0 ) ); |
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150 | // weight them - data step |
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151 | #pragma parallel for |
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152 | for ( i = 0; i < n; i++ ) { |
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153 | vec bm_cond ( BMs ( i )->dimensionc() ); |
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154 | this2bm.fill_cond ( yt, cond, bm_cond ); |
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155 | pf2bm.filldown ( samples ( i ), bm_cond ); |
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156 | BMs ( i ) -> bayes ( this2bm.pushdown ( yt ), bm_cond ); |
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157 | lls ( i ) += BMs ( i )->_ll(); |
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158 | } |
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159 | |
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160 | pf->bayes_weights(); |
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161 | |
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162 | ivec ind; |
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163 | if ( pf->do_resampling() ) { |
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164 | pf->resample ( ind ); |
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165 | |
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166 | #pragma omp parallel for |
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167 | for ( i = 0; i < n; i++ ) { |
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168 | if ( ind ( i ) != i ) {//replace the current Bm by a new one |
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169 | delete BMs ( i ); |
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170 | BMs ( i ) = (BM*) BMs ( ind ( i ) )->_copy(); //copy constructor |
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171 | } |
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172 | }; |
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173 | } |
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174 | }; |
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175 | |
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176 | |
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177 | void MPF_ARXg::bayes ( const vec &yt, const vec &cond ) { |
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178 | // follows PF::bayes in most places!!! |
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179 | int i; |
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180 | int n = pf->__w().length(); |
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181 | vec &lls = pf->_lls(); |
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182 | Array<vec> &samples = pf->__samples(); |
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183 | |
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184 | // generate samples - time step |
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185 | for (int i =0;i<n; i++){ |
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186 | mat M; chmat R; |
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187 | BMsp(i)->posterior().sample_mat(M,R); |
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188 | vec diff=R._Ch().T()*randn(samples(i).length()); |
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189 | samples(i) = g->eval(samples(i)) + diff; |
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190 | //////////// |
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191 | // samples(i) = cond; |
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192 | ///////// |
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193 | BMsp(i)->bayes(diff); |
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194 | } |
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195 | // weight them - data step |
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196 | enorm<ldmat> ooo; |
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197 | ooo.set_parameters(zeros(2),0.1*eye(2)); |
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198 | ooo.validate(); |
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199 | |
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200 | #pragma parallel for |
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201 | for ( i = 0; i < n; i++ ) { |
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202 | vec tmp=yt - h->eval(samples(i)); |
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203 | BMso ( i ) -> bayes ( tmp ); |
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204 | lls ( i ) += BMso ( i )->_ll(); |
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205 | ///// |
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206 | ooo._mu()=h->eval(samples(i)); |
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207 | lls(i) = ooo.evallog_nn(yt); |
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208 | } |
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209 | |
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210 | pf->bayes_weights(); |
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211 | |
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212 | ivec ind; |
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213 | if ( pf->do_resampling() ) { |
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214 | pf->resample ( ind ); |
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215 | |
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216 | #pragma omp parallel for |
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217 | for ( i = 0; i < n; i++ ) { |
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218 | if ( ind ( i ) != i ) {//replace the current Bm by a new one |
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219 | delete BMso ( i ); |
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220 | BMso ( i ) = (ARX*) BMso ( ind ( i ) )->_copy(); //copy constructor |
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221 | delete BMsp ( i ); |
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222 | BMsp ( i ) = (ARX*) BMsp ( ind ( i ) )->_copy(); //copy constructor |
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223 | } |
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224 | }; |
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225 | } |
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226 | }; |
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227 | |
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228 | void MPF_ARXg::from_setting(const libconfig::Setting& set) { |
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229 | BM::from_setting(set); |
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230 | |
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231 | pf = new PF; |
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232 | // prior must be set before BM |
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233 | pf->prior_from_set ( set ); |
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234 | pf->resmethod_from_set ( set ); |
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235 | |
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236 | // read functions g and h |
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237 | g=UI::build<fnc>(set,"g"); |
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238 | h=UI::build<fnc>(set,"h"); |
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239 | |
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240 | set_dim( g->dimension()); |
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241 | dimy = h->dimension(); |
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242 | |
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243 | shared_ptr<ARX> arxo=UI::build<ARX>(set,"arxo"); |
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244 | shared_ptr<ARX> arxp=UI::build<ARX>(set,"arxp"); |
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245 | int n = pf->__samples().length(); |
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246 | BMso.set_length(n); |
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247 | BMsp.set_length(n); |
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248 | for(int i=0; i<n; i++){ |
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249 | BMso(i)=arxo->_copy(); |
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250 | BMsp(i)=arxp->_copy(); |
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251 | } |
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252 | |
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253 | yrv = arxo->_yrv(); |
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254 | //rvc = arxo->_rvc(); |
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255 | |
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256 | validate(); |
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257 | |
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258 | } |
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259 | |
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260 | |
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261 | } |
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262 | //MPF::MPF:{} |
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