1 | /*! |
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2 | \file |
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3 | \brief Bayesian Filtering using stochastic sampling (Particle Filters) |
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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 PARTICLES_H |
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14 | #define PARTICLES_H |
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15 | |
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16 | |
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17 | #include "../estim/arx_ext.h" |
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18 | #include "../stat/emix.h" |
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19 | |
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20 | namespace bdm { |
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21 | |
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22 | //! \brief Abstract class for Marginalized Particles |
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23 | class MarginalizedParticleBase : public BM { |
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24 | protected: |
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25 | //! discrte particle |
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26 | dirac est_emp; |
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27 | //! internal Bayes Model |
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28 | shared_ptr<BM> bm; |
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29 | |
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30 | //! \brief Internal class for custom posterior - product of empirical and exact part |
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31 | class eprod_2:public eprod_base { |
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32 | protected: |
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33 | MarginalizedParticleBase ∓ |
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34 | public: |
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35 | eprod_2(MarginalizedParticleBase &m):mp(m) {} |
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36 | const epdf* factor(int i) const { |
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37 | return (i==0) ? &mp.bm->posterior() : &mp.est_emp; |
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38 | } |
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39 | const int no_factors() const { |
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40 | return 2; |
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41 | } |
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42 | } est; |
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43 | |
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44 | public: |
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45 | MarginalizedParticleBase():est(*this) {}; |
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46 | MarginalizedParticleBase(const MarginalizedParticleBase &m2):BM(m2),est(*this) { |
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47 | bm = m2.bm->_copy(); |
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48 | est_emp = m2.est_emp; |
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49 | est.validate(); |
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50 | validate(); |
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51 | }; |
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52 | void bayes(const vec &dt, const vec &cond) NOT_IMPLEMENTED_VOID; |
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53 | |
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54 | const eprod_2& posterior() const { |
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55 | return est; |
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56 | } |
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57 | |
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58 | void set_prior(const epdf *pdf0) { |
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59 | const eprod *ep=dynamic_cast<const eprod*>(pdf0); |
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60 | if (ep) { // full prior |
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61 | bdm_assert(ep->no_factors()==2,"Incompatible prod"); |
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62 | bm->set_prior(ep->factor(0)); |
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63 | est_emp.set_point(ep->factor(1)->sample()); |
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64 | } else { |
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65 | // assume prior is only for emp; |
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66 | est_emp.set_point(pdf0->sample()); |
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67 | } |
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68 | } |
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69 | |
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70 | |
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71 | /*! Create object from the following structure |
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72 | |
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73 | \code |
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74 | class = "MarginalizedParticleBase"; |
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75 | bm = configuration of bdm::BM; % any offspring of BM, bdm::BM::from_setting |
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76 | --- inherited fields --- |
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77 | bdm::BM::from_setting |
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78 | \endcode |
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79 | */ |
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80 | void from_setting(const Setting &set) { |
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81 | BM::from_setting ( set ); |
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82 | bm = UI::build<BM> ( set, "bm", UI::compulsory ); |
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83 | } |
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84 | void validate() { |
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85 | BM::validate(); |
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86 | //est.validate(); --pdfs not known |
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87 | bdm_assert(bm,"Internal BM is not given"); |
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88 | } |
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89 | }; |
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90 | |
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91 | //! \brief Particle with marginalized subspace, used in PF |
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92 | class MarginalizedParticle : public MarginalizedParticleBase { |
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93 | protected: |
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94 | //! pdf with for transitional par |
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95 | shared_ptr<pdf> par; // pdf for non-linear part |
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96 | //! link from this to bm |
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97 | shared_ptr<datalink_part> cond2bm; |
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98 | //! link from cond to par |
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99 | shared_ptr<datalink_part> cond2par; |
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100 | //! link from emp 2 par |
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101 | shared_ptr<datalink_part> emp2bm; |
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102 | //! link from emp 2 par |
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103 | shared_ptr<datalink_part> emp2par; |
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104 | |
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105 | public: |
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106 | BM* _copy() const { |
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107 | return new MarginalizedParticle(*this); |
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108 | }; |
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109 | void bayes(const vec &dt, const vec &cond) { |
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110 | vec par_cond(par->dimensionc()); |
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111 | cond2par->filldown(cond,par_cond); // copy ut |
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112 | emp2par->filldown(est_emp._point(),par_cond); // copy xt-1 |
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113 | |
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114 | //sample new particle |
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115 | est_emp.set_point(par->samplecond(par_cond)); |
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116 | //if (evalll) |
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117 | vec bm_cond(bm->dimensionc()); |
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118 | cond2bm->filldown(cond, bm_cond);// set e.g. ut |
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119 | emp2bm->filldown(est_emp._point(), bm_cond);// set e.g. ut |
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120 | bm->bayes(dt, bm_cond); |
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121 | ll=bm->_ll(); |
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122 | } |
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123 | |
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124 | /*! Create object from the following structure |
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125 | |
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126 | \code |
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127 | class = "MarginalizedParticle"; |
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128 | parameter_pdf = configuration of bdm::epdf; % any offspring of epdf, bdm::epdf::from_setting |
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129 | --- inherited fields --- |
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130 | bdm::MarginalizedParticleBase::from_setting |
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131 | \endcode |
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132 | */ |
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133 | void from_setting(const Setting &set) { |
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134 | MarginalizedParticleBase::from_setting ( set ); |
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135 | par = UI::build<pdf> ( set, "parameter_pdf", UI::compulsory ); |
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136 | } |
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137 | |
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138 | void to_setting(Setting &set)const { |
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139 | MarginalizedParticleBase::to_setting(set); |
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140 | UI::save(par,set,"parameter_pdf"); |
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141 | UI::save(bm,set,"bm"); |
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142 | } |
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143 | void validate() { |
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144 | MarginalizedParticleBase::validate(); |
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145 | est_emp.set_rv(par->_rv()); |
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146 | if (est_emp.point.length()!=par->dimension()) |
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147 | est_emp.set_point(zeros(par->dimension())); |
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148 | est.validate(); |
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149 | |
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150 | yrv = bm->_yrv(); |
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151 | dimy = bm->dimensiony(); |
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152 | set_rv( concat(bm->_rv(), par->_rv())); |
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153 | set_dim( par->dimension()+bm->dimension()); |
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154 | |
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155 | rvc = par->_rvc(); |
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156 | rvc.add(bm->_rvc()); |
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157 | rvc=rvc.subt(par->_rv()); |
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158 | rvc=rvc.subt(par->_rv().copy_t(-1)); |
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159 | rvc=rvc.subt(bm->_rv().copy_t(-1)); // |
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160 | |
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161 | cond2bm=new datalink_part; |
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162 | cond2par=new datalink_part; |
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163 | emp2bm =new datalink_part; |
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164 | emp2par =new datalink_part; |
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165 | cond2bm->set_connection(bm->_rvc(), rvc); |
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166 | cond2par->set_connection(par->_rvc(), rvc); |
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167 | emp2bm->set_connection(bm->_rvc(), par->_rv()); |
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168 | emp2par->set_connection(par->_rvc(), par->_rv().copy_t(-1)); |
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169 | |
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170 | dimc = rvc._dsize(); |
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171 | }; |
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172 | }; |
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173 | UIREGISTER(MarginalizedParticle); |
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174 | |
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175 | //! Internal class which is used in PF |
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176 | class BootstrapParticle : public BM { |
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177 | dirac est; |
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178 | shared_ptr<pdf> par; |
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179 | shared_ptr<pdf> obs; |
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180 | shared_ptr<datalink_part> cond2par; |
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181 | shared_ptr<datalink_part> cond2obs; |
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182 | shared_ptr<datalink_part> xt2obs; |
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183 | shared_ptr<datalink_part> xtm2par; |
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184 | public: |
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185 | BM* _copy() const { |
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186 | return new BootstrapParticle(*this); |
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187 | }; |
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188 | void bayes(const vec &dt, const vec &cond) { |
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189 | vec par_cond(par->dimensionc()); |
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190 | cond2par->filldown(cond,par_cond); // copy ut |
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191 | xtm2par->filldown(est._point(),par_cond); // copy xt-1 |
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192 | |
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193 | //sample new particle |
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194 | est.set_point(par->samplecond(par_cond)); |
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195 | //if (evalll) |
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196 | vec obs_cond(obs->dimensionc()); |
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197 | cond2obs->filldown(cond, obs_cond);// set e.g. ut |
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198 | xt2obs->filldown(est._point(), obs_cond);// set e.g. ut |
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199 | ll=obs->evallogcond(dt,obs_cond); |
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200 | } |
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201 | const dirac& posterior() const { |
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202 | return est; |
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203 | } |
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204 | |
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205 | void set_prior(const epdf *pdf0) { |
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206 | est.set_point(pdf0->sample()); |
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207 | } |
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208 | |
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209 | /*! Create object from the following structure |
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210 | \code |
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211 | class = "BootstrapParticle"; |
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212 | parameter_pdf = configuration of bdm::epdf; % any offspring of epdf, bdm::epdf::from_setting |
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213 | observation_pdf = configuration of bdm::epdf; % any offspring of epdf, bdm::epdf::from_setting |
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214 | --- inherited fields --- |
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215 | bdm::BM::from_setting |
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216 | \endcode |
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217 | */ |
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218 | void from_setting(const Setting &set) { |
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219 | BM::from_setting ( set ); |
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220 | par = UI::build<pdf> ( set, "parameter_pdf", UI::compulsory ); |
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221 | obs = UI::build<pdf> ( set, "observation_pdf", UI::compulsory ); |
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222 | } |
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223 | |
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224 | void validate() { |
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225 | yrv = obs->_rv(); |
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226 | dimy = obs->dimension(); |
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227 | set_rv( par->_rv()); |
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228 | set_dim( par->dimension()); |
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229 | |
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230 | rvc = par->_rvc().subt(par->_rv().copy_t(-1)); |
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231 | rvc.add(obs->_rvc().subt(par->_rv())); // |
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232 | |
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233 | cond2obs=new datalink_part; |
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234 | cond2par=new datalink_part; |
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235 | xt2obs =new datalink_part; |
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236 | xtm2par =new datalink_part; |
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237 | cond2obs->set_connection(obs->_rvc(), rvc); |
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238 | cond2par->set_connection(par->_rvc(), rvc); |
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239 | xt2obs->set_connection(obs->_rvc(), _rv()); |
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240 | xtm2par->set_connection(par->_rvc(), _rv().copy_t(-1)); |
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241 | |
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242 | dimc = rvc._dsize(); |
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243 | }; |
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244 | }; |
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245 | UIREGISTER(BootstrapParticle); |
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246 | |
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247 | |
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248 | /*! |
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249 | * \brief Trivial particle filter with proposal density equal to parameter evolution model. |
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250 | |
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251 | Posterior density is represented by a weighted empirical density (\c eEmp ). |
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252 | */ |
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253 | |
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254 | class PF : public BM { |
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255 | //! \var log_level_enums logweights |
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256 | //! all weightes will be logged |
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257 | |
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258 | //! \var log_level_enums logmeans |
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259 | //! means of particles will be logged |
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260 | LOG_LEVEL(PF,logweights,logmeans,logvars,logNeff); |
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261 | |
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262 | class pf_mix: public emix_base { |
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263 | Array<BM*> &bms; |
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264 | public: |
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265 | pf_mix(vec &w0, Array<BM*> &bms0):emix_base(w0),bms(bms0) {} |
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266 | const epdf* component(const int &i)const { |
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267 | return &(bms(i)->posterior()); |
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268 | } |
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269 | int no_coms() const { |
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270 | return bms.length(); |
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271 | } |
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272 | }; |
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273 | protected: |
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274 | //!number of particles; |
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275 | int n; |
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276 | //!posterior density |
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277 | pf_mix est; |
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278 | //! weights; |
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279 | vec w; |
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280 | //! particles |
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281 | Array<BM*> particles; |
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282 | //! internal structure storing loglikelihood of predictions |
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283 | vec lls; |
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284 | |
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285 | //! which resampling method will be used |
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286 | RESAMPLING_METHOD resmethod; |
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287 | //! resampling threshold; in this case its meaning is minimum ratio of active particles |
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288 | //! For example, for 0.5 resampling is performed when the numebr of active aprticles drops belo 50%. |
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289 | double res_threshold; |
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290 | |
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291 | //! \name Options |
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292 | //!@{ |
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293 | //!@} |
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294 | |
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295 | public: |
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296 | //! \name Constructors |
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297 | //!@{ |
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298 | PF ( ) : est(w,particles) { }; |
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299 | |
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300 | void set_parameters ( int n0, double res_th0 = 0.5, RESAMPLING_METHOD rm = SYSTEMATIC ) { |
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301 | n = n0; |
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302 | res_threshold = res_th0; |
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303 | resmethod = rm; |
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304 | }; |
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305 | void set_model ( const BM *particle0, const epdf *prior) { |
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306 | if (n>0) { |
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307 | particles.set_length(n); |
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308 | for (int i=0; i<n; i++) { |
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309 | particles(i) = particle0->_copy(); |
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310 | particles(i)->set_prior(prior); |
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311 | } |
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312 | } |
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313 | // set values for posterior |
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314 | est.set_rv ( particle0->posterior()._rv() ); |
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315 | }; |
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316 | void set_statistics ( const vec w0, const epdf &epdf0 ) { |
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317 | //est.set_statistics ( w0, epdf0 ); |
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318 | }; |
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319 | /* void set_statistics ( const eEmp &epdf0 ) { |
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320 | bdm_assert_debug ( epdf0._rv().equal ( par->_rv() ), "Incompatible input" ); |
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321 | est = epdf0; |
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322 | };*/ |
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323 | //!@} |
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324 | |
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325 | //! bayes compute weights of the |
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326 | virtual void bayes_weights(); |
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327 | //! important part of particle filtering - decide if it is time to perform resampling |
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328 | virtual bool do_resampling() { |
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329 | double eff = 1.0 / ( w * w ); |
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330 | return eff < ( res_threshold*n ); |
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331 | } |
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332 | void bayes ( const vec &yt, const vec &cond ); |
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333 | //!access function |
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334 | vec& _lls() { |
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335 | return lls; |
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336 | } |
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337 | //!access function |
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338 | RESAMPLING_METHOD _resmethod() const { |
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339 | return resmethod; |
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340 | } |
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341 | //! return correctly typed posterior (covariant return) |
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342 | const pf_mix& posterior() const { |
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343 | return est; |
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344 | } |
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345 | |
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346 | /*! configuration structure for basic PF |
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347 | \code |
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348 | particle = bdm::BootstrapParticle; % one bayes rule for each point in the empirical support |
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349 | - or - = bdm::MarginalizedParticle; % (in case of Marginalized Particle filtering |
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350 | prior = epdf_class; % prior probability density on the empirical variable |
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351 | --- optional --- |
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352 | n = 10; % number of particles |
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353 | resmethod = 'systematic', or 'multinomial', or 'stratified' |
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354 | % resampling method |
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355 | res_threshold = 0.5; % resample when active particles drop below 50% |
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356 | \endcode |
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357 | */ |
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358 | void from_setting ( const Setting &set ) { |
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359 | BM::from_setting ( set ); |
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360 | UI::get ( log_level, set, "log_level", UI::optional ); |
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361 | |
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362 | shared_ptr<BM> bm0 = UI::build<BM>(set, "particle",UI::compulsory); |
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363 | |
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364 | n =0; |
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365 | UI::get(n,set,"n",UI::optional);; |
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366 | if (n>0) { |
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367 | particles.set_length(n); |
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368 | for(int i=0; i<n; i++) { |
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369 | particles(i)=bm0->_copy(); |
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370 | } |
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371 | w = ones(n)/n; |
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372 | } |
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373 | shared_ptr<epdf> pri = UI::build<epdf>(set,"prior"); |
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374 | set_prior(pri.get()); |
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375 | // set resampling method |
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376 | resmethod_from_set ( set ); |
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377 | //set drv |
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378 | |
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379 | rvc = bm0->_rvc(); |
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380 | dimc = bm0->dimensionc(); |
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381 | BM::set_rv(bm0->_rv()); |
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382 | yrv=bm0->_yrv(); |
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383 | dimy = bm0->dimensiony(); |
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384 | } |
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385 | |
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386 | void to_setting(Setting &set) const{ |
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387 | BM::to_setting(set); |
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388 | UI::save(particles, set,"particles"); |
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389 | UI::save(w,set,"w"); |
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390 | } |
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391 | |
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392 | void log_register ( bdm::logger& L, const string& prefix ) { |
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393 | BM::log_register(L,prefix); |
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394 | if (log_level[logweights]) { |
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395 | L.add_vector( log_level, logweights, RV ( particles.length()), prefix); |
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396 | } |
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397 | if (log_level[logNeff]) { |
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398 | L.add_vector( log_level, logNeff, RV ( 1), prefix); |
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399 | } |
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400 | if (log_level[logmeans]) { |
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401 | for (int i=0; i<particles.length(); i++) { |
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402 | L.add_vector( log_level, logmeans, RV ( particles(i)->dimension() ), prefix , i); |
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403 | } |
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404 | } |
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405 | if (log_level[logvars]) { |
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406 | for (int i=0; i<particles.length(); i++) { |
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407 | L.add_vector( log_level, logvars, RV ( particles(i)->dimension() ), prefix , i); |
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408 | } |
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409 | } |
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410 | }; |
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411 | void log_write ( ) const { |
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412 | BM::log_write(); |
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413 | // weigths are before resamplign -- bayes |
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414 | if (log_level[logmeans]) { |
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415 | for (int i=0; i<particles.length(); i++) { |
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416 | log_level.store( logmeans, particles(i)->posterior().mean(), i); |
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417 | } |
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418 | } |
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419 | if (log_level[logvars]) { |
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420 | for (int i=0; i<particles.length(); i++) { |
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421 | log_level.store( logvars, particles(i)->posterior().variance(), i); |
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422 | } |
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423 | } |
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424 | |
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425 | } |
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426 | |
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427 | void set_prior(const epdf *pri) { |
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428 | const emix_base *emi=dynamic_cast<const emix_base*>(pri); |
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429 | if (emi) { |
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430 | bdm_assert(particles.length()>0, "initial particle is not assigned"); |
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431 | n = emi->_w().length(); |
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432 | int old_n = particles.length(); |
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433 | if (n!=old_n) { |
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434 | particles.set_length(n,true); |
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435 | } |
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436 | for(int i=old_n; i<n; i++) { |
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437 | particles(i)=particles(0)->_copy(); |
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438 | } |
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439 | |
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440 | for (int i =0; i<n; i++) { |
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441 | particles(i)->set_prior(emi->_com(i)); |
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442 | } |
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443 | } else { |
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444 | // try to find "n" |
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445 | bdm_assert(n>0, "Field 'n' must be filled when prior is not of type emix"); |
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446 | for (int i =0; i<n; i++) { |
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447 | particles(i)->set_prior(pri); |
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448 | } |
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449 | |
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450 | } |
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451 | } |
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452 | //! auxiliary function reading parameter 'resmethod' from configuration file |
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453 | void resmethod_from_set ( const Setting &set ) { |
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454 | string resmeth; |
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455 | if ( UI::get ( resmeth, set, "resmethod", UI::optional ) ) { |
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456 | if ( resmeth == "systematic" ) { |
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457 | resmethod = SYSTEMATIC; |
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458 | } else { |
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459 | if ( resmeth == "multinomial" ) { |
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460 | resmethod = MULTINOMIAL; |
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461 | } else { |
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462 | if ( resmeth == "stratified" ) { |
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463 | resmethod = STRATIFIED; |
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464 | } else { |
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465 | bdm_error ( "Unknown resampling method" ); |
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466 | } |
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467 | } |
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468 | } |
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469 | } else { |
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470 | resmethod = SYSTEMATIC; |
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471 | }; |
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472 | if ( !UI::get ( res_threshold, set, "res_threshold", UI::optional ) ) { |
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473 | res_threshold = 0.9; |
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474 | } |
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475 | //validate(); |
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476 | } |
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477 | |
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478 | void validate() { |
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479 | BM::validate(); |
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480 | est.validate(); |
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481 | bdm_assert ( n>0, "empty particle pool" ); |
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482 | n = w.length(); |
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483 | lls = zeros ( n ); |
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484 | |
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485 | if ( particles(0)->_rv()._dsize() > 0 ) { |
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486 | bdm_assert ( particles(0)->_rv()._dsize() == est.dimension(), "MPF:: Mismatch of RV " +particles(0)->_rv().to_string() + |
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487 | " of size (" +num2str(particles(0)->_rv()._dsize())+") and dimension of posterior ("+num2str(est.dimension()) + ")" ); |
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488 | } |
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489 | } |
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490 | //! resample posterior density (from outside - see MPF) |
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491 | void resample ( ) { |
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492 | ivec ind = zeros_i ( n ); |
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493 | bdm::resample(w,ind,resmethod); |
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494 | // copy the internals according to ind |
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495 | for (int i = 0; i < n; i++ ) { |
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496 | if ( ind ( i ) != i ) { |
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497 | delete particles(i); |
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498 | particles( i ) = particles( ind ( i ) )->_copy(); |
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499 | } |
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500 | w ( i ) = 1.0 / n; |
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501 | } |
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502 | } |
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503 | //! access function |
---|
504 | Array<BM*>& _particles() { |
---|
505 | return particles; |
---|
506 | } |
---|
507 | ~PF() { |
---|
508 | for (int i=0; i<particles.length(); i++) { |
---|
509 | delete particles(i); |
---|
510 | } |
---|
511 | } |
---|
512 | |
---|
513 | }; |
---|
514 | UIREGISTER ( PF ); |
---|
515 | |
---|
516 | /*! Marginalized particle for state-space models with unknown parameters of distribuution of residues on \f$v_t\f$. |
---|
517 | |
---|
518 | \f{eqnarray*}{ |
---|
519 | x_t &=& g(x_{t-1}) + v_t,\\ |
---|
520 | y_t &\sim &fy(x_t), |
---|
521 | \f} |
---|
522 | |
---|
523 | This particle is a only a shell creating the residues calling internal estimator of their parameters. The internal estimator can be of any compatible type, e.g. ARX for Gaussian residues with unknown mean and variance. |
---|
524 | |
---|
525 | */ |
---|
526 | class NoiseParticleX : public MarginalizedParticleBase { |
---|
527 | protected: |
---|
528 | //! function transforming xt, ut -> x_t+1 |
---|
529 | shared_ptr<fnc> g; // pdf for non-linear part |
---|
530 | //! function transforming xt,ut -> yt |
---|
531 | shared_ptr<pdf> fy; // pdf for non-linear part |
---|
532 | |
---|
533 | RV rvx; |
---|
534 | RV rvxc; |
---|
535 | RV rvyc; |
---|
536 | |
---|
537 | //!link from condition to f |
---|
538 | datalink_part cond2g; |
---|
539 | //!link from condition to h |
---|
540 | datalink_part cond2fy; |
---|
541 | //!link from xt to f |
---|
542 | datalink_part x2g; |
---|
543 | //!link from xt to h |
---|
544 | datalink_part x2fy; |
---|
545 | |
---|
546 | public: |
---|
547 | BM* _copy() const { |
---|
548 | return new NoiseParticleX(*this); |
---|
549 | }; |
---|
550 | void bayes(const vec &dt, const vec &cond) { |
---|
551 | //shared_ptr<epdf> pred_v=bm->epredictor(); |
---|
552 | |
---|
553 | vec xt; |
---|
554 | vec xthat; |
---|
555 | //vec vt=pred_v->sample(); |
---|
556 | // vec vt = bm->samplepred(); |
---|
557 | if (1){ |
---|
558 | //vec vt=pred_v->sample(); |
---|
559 | int dim_x = bm->dimensiony(); |
---|
560 | int dim_y = dimensiony(); |
---|
561 | |
---|
562 | vec post_mean =bm->posterior().mean(); |
---|
563 | mat SigV; |
---|
564 | if (post_mean.length()==dim_x){ |
---|
565 | SigV=diag(vec(post_mean._data(), dim_x)); |
---|
566 | } else { |
---|
567 | SigV=mat(post_mean._data(), dim_x, dim_x); |
---|
568 | } |
---|
569 | |
---|
570 | vec &xtm=est_emp.point; |
---|
571 | vec g_args(g->dimensionc()); |
---|
572 | x2g.filldown(xtm,g_args); |
---|
573 | cond2g.filldown(cond,g_args); |
---|
574 | xthat = g->eval(g_args); |
---|
575 | |
---|
576 | mat IC = eye(dim_x+dim_y); |
---|
577 | IC.set_submatrix(0,0,eye(dim_x)); |
---|
578 | mat SigJo=eye(dim_x + dim_y); |
---|
579 | SigJo.set_submatrix(0,0,SigV); |
---|
580 | mlnorm<ldmat>* mlfy=dynamic_cast<mlnorm<ldmat>* >(fy.get()); |
---|
581 | |
---|
582 | SigJo.set_submatrix(dim_x,dim_x, mlfy->_R()); |
---|
583 | IC.set_submatrix(dim_x,0,-mlfy->_A()); |
---|
584 | |
---|
585 | mat iIC=inv(IC); |
---|
586 | enorm<chmat> Jo; |
---|
587 | Jo._mu()=iIC*concat(xthat, zeros(dim_y)); |
---|
588 | Jo._R()=iIC*SigJo*iIC.T(); |
---|
589 | Jo.set_rv(concat(bm->_yrv(),yrv)); |
---|
590 | Jo.validate(); |
---|
591 | shared_ptr<pdf> Cond=Jo.condition(bm->_yrv()); |
---|
592 | //new sample |
---|
593 | |
---|
594 | xt = Cond->samplecond(dt);// + vt; |
---|
595 | } else{ |
---|
596 | |
---|
597 | |
---|
598 | //new sample |
---|
599 | vec &xtm=est_emp.point; |
---|
600 | vec g_args(g->dimensionc()); |
---|
601 | x2g.filldown(xtm,g_args); |
---|
602 | cond2g.filldown(cond,g_args); |
---|
603 | xthat = g->eval(g_args); |
---|
604 | |
---|
605 | xt = xthat + bm->samplepred(); |
---|
606 | |
---|
607 | } |
---|
608 | est_emp.point=xt; |
---|
609 | |
---|
610 | // the vector [v_t] updates bm, |
---|
611 | bm->bayes(xt-xthat); |
---|
612 | |
---|
613 | // residue of observation |
---|
614 | vec fy_args(fy->dimensionc()); |
---|
615 | x2fy.filldown(xt,fy_args); |
---|
616 | cond2fy.filldown(cond,fy_args); |
---|
617 | |
---|
618 | ll= fy->evallogcond(dt,fy_args); |
---|
619 | } |
---|
620 | void from_setting(const Setting &set) { |
---|
621 | MarginalizedParticleBase::from_setting(set); //reads bm, yrv,rvc, bm_rv, etc... |
---|
622 | |
---|
623 | g=UI::build<fnc>(set,"g",UI::compulsory); |
---|
624 | fy=UI::build<pdf>(set,"fy",UI::compulsory); |
---|
625 | UI::get(rvx,set,"rvx",UI::compulsory); |
---|
626 | est_emp.set_rv(rvx); |
---|
627 | |
---|
628 | UI::get(rvxc,set,"rvxc",UI::compulsory); |
---|
629 | UI::get(rvyc,set,"rvyc",UI::compulsory); |
---|
630 | |
---|
631 | } |
---|
632 | void to_setting (Setting &set) const { |
---|
633 | MarginalizedParticleBase::to_setting(set); //reads bm, yrv,rvc, bm_rv, etc... |
---|
634 | UI::save(g,set,"g"); |
---|
635 | UI::save(fy,set,"fy"); |
---|
636 | UI::save(bm,set,"bm"); |
---|
637 | } |
---|
638 | void validate() { |
---|
639 | MarginalizedParticleBase::validate(); |
---|
640 | |
---|
641 | dimy = fy->dimension(); |
---|
642 | bm->set_yrv(rvx); |
---|
643 | |
---|
644 | est_emp.set_rv(rvx); |
---|
645 | est_emp.set_dim(rvx._dsize()); |
---|
646 | est.validate(); |
---|
647 | // |
---|
648 | //check dimensions |
---|
649 | rvc = rvxc.subt(rvx.copy_t(-1)); |
---|
650 | rvc.add( rvyc); |
---|
651 | rvc=rvc.subt(rvx); |
---|
652 | |
---|
653 | bdm_assert(g->dimension()==rvx._dsize(),"rvx is not described"); |
---|
654 | bdm_assert(g->dimensionc()==rvxc._dsize(),"rvxc is not described"); |
---|
655 | bdm_assert(fy->dimensionc()==rvyc._dsize(),"rvyc is not described"); |
---|
656 | |
---|
657 | bdm_assert(bm->dimensiony()==g->dimension(), |
---|
658 | "Incompatible noise estimator of dimension " + |
---|
659 | num2str(bm->dimensiony()) + " does not match dimension of g , " + |
---|
660 | num2str(g->dimension())); |
---|
661 | |
---|
662 | dimc = rvc._dsize(); |
---|
663 | |
---|
664 | //establish datalinks |
---|
665 | x2g.set_connection(rvxc, rvx.copy_t(-1)); |
---|
666 | cond2g.set_connection(rvxc, rvc); |
---|
667 | |
---|
668 | x2fy.set_connection(rvyc, rvx); |
---|
669 | cond2fy.set_connection(rvyc, rvc); |
---|
670 | } |
---|
671 | }; |
---|
672 | UIREGISTER(NoiseParticleX); |
---|
673 | |
---|
674 | |
---|
675 | /*! Marginalized particle for state-space models with unknown parameters of distribuution of residues on \f$v_t\f$ and \f$ w_t \f$. |
---|
676 | |
---|
677 | \f{eqnarray*}{ |
---|
678 | x_t &=& g(x_{t-1}) + v_t,\\ |
---|
679 | y_t &= &h(x_t)+w_t, |
---|
680 | \f} |
---|
681 | |
---|
682 | This particle is a only a shell creating the residues calling internal estimator of their parameters. The internal estimator can be of any compatible type, e.g. ARX for Gaussian residues with unknown mean and variance. |
---|
683 | |
---|
684 | */ |
---|
685 | class NoiseParticleXY : public BM { |
---|
686 | protected: |
---|
687 | //! discrte particle |
---|
688 | dirac est_emp; |
---|
689 | //! internal Bayes Model |
---|
690 | shared_ptr<BM> bmx; |
---|
691 | shared_ptr<BM> bmy; |
---|
692 | |
---|
693 | //! \brief Internal class for custom posterior - product of empirical and exact part |
---|
694 | class eprod_3:public eprod_base { |
---|
695 | protected: |
---|
696 | NoiseParticleXY ∓ |
---|
697 | public: |
---|
698 | eprod_3(NoiseParticleXY &m):mp(m) {} |
---|
699 | const epdf* factor(int i) const { |
---|
700 | if (i==0) return &mp.bmx->posterior() ; |
---|
701 | if(i==1) return &mp.bmy->posterior(); |
---|
702 | return &mp.est_emp; |
---|
703 | } |
---|
704 | const int no_factors() const { |
---|
705 | return 3; |
---|
706 | } |
---|
707 | } est; |
---|
708 | |
---|
709 | protected: |
---|
710 | //! function transforming xt, ut -> x_t+1 |
---|
711 | shared_ptr<fnc> g; // pdf for non-linear part |
---|
712 | //! function transforming xt,ut -> yt |
---|
713 | shared_ptr<fnc> h; // pdf for non-linear part |
---|
714 | |
---|
715 | RV rvx; |
---|
716 | RV rvxc; |
---|
717 | RV rvyc; |
---|
718 | |
---|
719 | //!link from condition to f |
---|
720 | datalink_part cond2g; |
---|
721 | //!link from condition to h |
---|
722 | datalink_part cond2h; |
---|
723 | //!link from xt to f |
---|
724 | datalink_part x2g; |
---|
725 | //!link from xt to h |
---|
726 | datalink_part x2h; |
---|
727 | |
---|
728 | public: |
---|
729 | NoiseParticleXY():est(*this) {}; |
---|
730 | NoiseParticleXY(const NoiseParticleXY &m2):BM(m2),est(*this),g(m2.g),h(m2.h), rvx(m2.rvx),rvxc(m2.rvxc),rvyc(m2.rvyc) { |
---|
731 | bmx = m2.bmx->_copy(); |
---|
732 | bmy = m2.bmy->_copy(); |
---|
733 | est_emp = m2.est_emp; |
---|
734 | //est.validate(); |
---|
735 | validate(); |
---|
736 | }; |
---|
737 | |
---|
738 | const eprod_3& posterior() const { |
---|
739 | return est; |
---|
740 | } |
---|
741 | |
---|
742 | void set_prior(const epdf *pdf0) { |
---|
743 | const eprod *ep=dynamic_cast<const eprod*>(pdf0); |
---|
744 | if (ep) { // full prior |
---|
745 | bdm_assert(ep->no_factors()==2,"Incompatible prod"); |
---|
746 | bmx->set_prior(ep->factor(0)); |
---|
747 | bmy->set_prior(ep->factor(1)); |
---|
748 | est_emp.set_point(ep->factor(2)->sample()); |
---|
749 | } else { |
---|
750 | // assume prior is only for emp; |
---|
751 | est_emp.set_point(pdf0->sample()); |
---|
752 | } |
---|
753 | } |
---|
754 | |
---|
755 | BM* _copy() const { |
---|
756 | return new NoiseParticleXY(*this); |
---|
757 | }; |
---|
758 | |
---|
759 | void bayes(const vec &dt, const vec &cond) { |
---|
760 | //shared_ptr<epdf> pred_v=bm->epredictor(); |
---|
761 | |
---|
762 | //vec vt=pred_v->sample(); |
---|
763 | vec vt = bmx->samplepred(); |
---|
764 | |
---|
765 | //new sample |
---|
766 | vec &xtm=est_emp.point; |
---|
767 | vec g_args(g->dimensionc()); |
---|
768 | x2g.filldown(xtm,g_args); |
---|
769 | cond2g.filldown(cond,g_args); |
---|
770 | vec xt = g->eval(g_args) + vt; |
---|
771 | est_emp.point=xt; |
---|
772 | |
---|
773 | // the vector [v_t] updates bm, |
---|
774 | bmx->bayes(vt); |
---|
775 | |
---|
776 | // residue of observation |
---|
777 | vec h_args(h->dimensionc()); |
---|
778 | x2h.filldown(xt,h_args); |
---|
779 | cond2h.filldown(cond,h_args); |
---|
780 | |
---|
781 | vec z_y =h->eval(h_args)-dt; |
---|
782 | // ARX *abm = dynamic_cast<ARX*>(bmy.get()); |
---|
783 | /* double ll2; |
---|
784 | if (abm){ //ARX |
---|
785 | shared_ptr<epdf> pr_y(abm->epredictor_student(empty_vec)); |
---|
786 | ll2=pr_y->evallog(z_y); |
---|
787 | } else{ |
---|
788 | shared_ptr<epdf> pr_y(bmy->epredictor(empty_vec)); |
---|
789 | ll2=pr_y->evallog(z_y); |
---|
790 | }*/ |
---|
791 | |
---|
792 | bmy->bayes(z_y); |
---|
793 | // test _lls |
---|
794 | ll= bmy->_ll(); |
---|
795 | } |
---|
796 | void from_setting(const Setting &set) { |
---|
797 | BM::from_setting(set); //reads bm, yrv,rvc, bm_rv, etc... |
---|
798 | bmx = UI::build<BM>(set,"bmx",UI::compulsory); |
---|
799 | |
---|
800 | bmy = UI::build<BM>(set,"bmy",UI::compulsory); |
---|
801 | g=UI::build<fnc>(set,"g",UI::compulsory); |
---|
802 | h=UI::build<fnc>(set,"h",UI::compulsory); |
---|
803 | UI::get(rvx,set,"rvx",UI::compulsory); |
---|
804 | est_emp.set_rv(rvx); |
---|
805 | |
---|
806 | UI::get(rvxc,set,"rvxc",UI::compulsory); |
---|
807 | UI::get(rvyc,set,"rvyc",UI::compulsory); |
---|
808 | |
---|
809 | } |
---|
810 | void to_setting (Setting &set) const { |
---|
811 | BM::to_setting(set); //reads bm, yrv,rvc, bm_rv, etc... |
---|
812 | UI::save(g,set,"g"); |
---|
813 | UI::save(h,set,"h"); |
---|
814 | UI::save(bmx,set,"bmx"); |
---|
815 | UI::save(bmy,set,"bmy"); |
---|
816 | } |
---|
817 | void validate() { |
---|
818 | BM::validate(); |
---|
819 | |
---|
820 | dimy = h->dimension(); |
---|
821 | // bmx->set_yrv(rvx); |
---|
822 | // bmy-> |
---|
823 | |
---|
824 | est_emp.set_rv(rvx); |
---|
825 | est_emp.set_dim(rvx._dsize()); |
---|
826 | est.validate(); |
---|
827 | // |
---|
828 | //check dimensions |
---|
829 | rvc = rvxc.subt(rvx.copy_t(-1)); |
---|
830 | rvc.add( rvyc); |
---|
831 | rvc=rvc.subt(rvx); |
---|
832 | |
---|
833 | bdm_assert(g->dimension()==rvx._dsize(),"rvx is not described"); |
---|
834 | bdm_assert(g->dimensionc()==rvxc._dsize(),"rvxc is not described"); |
---|
835 | bdm_assert(h->dimensionc()==rvyc._dsize(),"rvyc is not described"); |
---|
836 | |
---|
837 | bdm_assert(bmx->dimensiony()==g->dimension(), |
---|
838 | "Incompatible noise estimator of dimension " + |
---|
839 | num2str(bmx->dimensiony()) + " does not match dimension of g , " + |
---|
840 | num2str(g->dimension()) |
---|
841 | ); |
---|
842 | |
---|
843 | dimc = rvc._dsize(); |
---|
844 | |
---|
845 | //establish datalinks |
---|
846 | x2g.set_connection(rvxc, rvx.copy_t(-1)); |
---|
847 | cond2g.set_connection(rvxc, rvc); |
---|
848 | |
---|
849 | x2h.set_connection(rvyc, rvx); |
---|
850 | cond2h.set_connection(rvyc, rvc); |
---|
851 | } |
---|
852 | |
---|
853 | }; |
---|
854 | UIREGISTER(NoiseParticleXY); |
---|
855 | |
---|
856 | class NoiseParticleXYprop: public NoiseParticleXY{ |
---|
857 | public: |
---|
858 | BM* _copy() const { |
---|
859 | return new NoiseParticleXYprop(*this); |
---|
860 | }; |
---|
861 | void bayes(const vec &dt, const vec &cond) { |
---|
862 | int dim_x = bmx->dimensiony(); |
---|
863 | int dim_y = bmy->dimensiony(); |
---|
864 | |
---|
865 | //vec vt=pred_v->sample(); |
---|
866 | mat SigV=mat(bmx->posterior().mean()._data(), dim_x, dim_x); |
---|
867 | mat SigW=mat(bmy->posterior().mean()._data(), dim_y, dim_y); |
---|
868 | |
---|
869 | vec &xtm=est_emp.point; |
---|
870 | vec g_args(g->dimensionc()); |
---|
871 | x2g.filldown(xtm,g_args); |
---|
872 | cond2g.filldown(cond,g_args); |
---|
873 | vec xthat = g->eval(g_args); |
---|
874 | |
---|
875 | mat IC = eye(dim_x+dim_y); |
---|
876 | IC.set_submatrix(0,0,eye(dim_x)); |
---|
877 | mat SigJo=eye(dim_x + dim_y); |
---|
878 | SigJo.set_submatrix(0,0,SigV); |
---|
879 | SigJo.set_submatrix(dim_x,dim_x, 10*SigW); |
---|
880 | |
---|
881 | diffbifn* hb=dynamic_cast<bilinfn*>(h.get()); |
---|
882 | mat C=zeros(dim_y,dim_x); |
---|
883 | if (hb){ |
---|
884 | hb->dfdx_cond(xtm, cond, C,true); |
---|
885 | IC.set_submatrix(dim_x,0,-C); |
---|
886 | } |
---|
887 | |
---|
888 | mat iIC=inv(IC); |
---|
889 | enorm<chmat> Jo; |
---|
890 | Jo._mu()=iIC*concat(xthat, zeros(dim_y)); |
---|
891 | Jo._R()=iIC*SigJo*iIC.T(); |
---|
892 | Jo.set_rv(concat(bmx->_yrv(), bmy->_yrv())); |
---|
893 | Jo.validate(); |
---|
894 | shared_ptr<pdf> Cond=Jo.condition(bmx->_yrv()); |
---|
895 | //new sample |
---|
896 | |
---|
897 | vec xt = Cond->samplecond(dt);// + vt; |
---|
898 | |
---|
899 | est_emp.point=xt; |
---|
900 | |
---|
901 | // the vector [v_t] updates bm, |
---|
902 | bmx->bayes(xt-xthat); |
---|
903 | |
---|
904 | // residue of observation |
---|
905 | vec h_args(h->dimensionc()); |
---|
906 | x2h.filldown(xt,h_args); |
---|
907 | cond2h.filldown(cond,h_args); |
---|
908 | |
---|
909 | vec z_y =h->eval(h_args)-dt; |
---|
910 | // ARX *abm = dynamic_cast<ARX*>(bmy.get()); |
---|
911 | /* double ll2; |
---|
912 | i f (abm){ //ARX* |
---|
913 | shared_ptr<epdf> pr_y(abm->epredictor_student(empty_vec)); |
---|
914 | ll2=pr_y->evallog(z_y); |
---|
915 | } else{ |
---|
916 | shared_ptr<epdf> pr_y(bmy->epredictor(empty_vec)); |
---|
917 | ll2=pr_y->evallog(z_y); |
---|
918 | }*/ |
---|
919 | |
---|
920 | bmy->bayes(z_y); |
---|
921 | // test _lls |
---|
922 | ll= bmy->_ll(); |
---|
923 | } |
---|
924 | }; |
---|
925 | UIREGISTER(NoiseParticleXYprop); |
---|
926 | |
---|
927 | /*! Marginalized particle for state-space models with unknown parameters of residues distribution |
---|
928 | |
---|
929 | \f{eqnarray*}{ |
---|
930 | x_t &=& g(x_{t-1}) + v_t,\\ |
---|
931 | z_t &= &h(x_{t-1}) + w_t, |
---|
932 | \f} |
---|
933 | |
---|
934 | This particle is a only a shell creating the residues calling internal estimator of their parameters. The internal estimator can be of any compatible type, e.g. ARX for Gaussian residues with unknown mean and variance. |
---|
935 | |
---|
936 | */ |
---|
937 | class NoiseParticle : public MarginalizedParticleBase { |
---|
938 | protected: |
---|
939 | //! function transforming xt, ut -> x_t+1 |
---|
940 | shared_ptr<fnc> g; // pdf for non-linear part |
---|
941 | //! function transforming xt,ut -> yt |
---|
942 | shared_ptr<fnc> h; // pdf for non-linear part |
---|
943 | |
---|
944 | RV rvx; |
---|
945 | RV rvxc; |
---|
946 | RV rvyc; |
---|
947 | |
---|
948 | //!link from condition to f |
---|
949 | datalink_part cond2g; |
---|
950 | //!link from condition to h |
---|
951 | datalink_part cond2h; |
---|
952 | //!link from xt to f |
---|
953 | datalink_part x2g; |
---|
954 | //!link from xt to h |
---|
955 | datalink_part x2h; |
---|
956 | |
---|
957 | public: |
---|
958 | BM* _copy() const { |
---|
959 | return new NoiseParticle(*this); |
---|
960 | }; |
---|
961 | void bayes(const vec &dt, const vec &cond) { |
---|
962 | shared_ptr<epdf> pred_vw=bm->epredictor(); |
---|
963 | shared_ptr<epdf> pred_v = pred_vw->marginal(rvx); |
---|
964 | |
---|
965 | vec vt=pred_v->sample(); |
---|
966 | |
---|
967 | //new sample |
---|
968 | vec &xtm=est_emp.point; |
---|
969 | vec g_args(g->dimensionc()); |
---|
970 | x2g.filldown(xtm,g_args); |
---|
971 | cond2g.filldown(cond,g_args); |
---|
972 | vec xt = g->eval(g_args) + vt; |
---|
973 | est_emp.point=xt; |
---|
974 | |
---|
975 | // residue of observation |
---|
976 | vec h_args(h->dimensionc()); |
---|
977 | x2h.filldown(xt,h_args); |
---|
978 | cond2h.filldown(cond,h_args); |
---|
979 | vec wt = dt-h->eval(h_args); |
---|
980 | // the vector [v_t,w_t] is now complete |
---|
981 | bm->bayes(concat(vt,wt)); |
---|
982 | ll=bm->_ll(); |
---|
983 | } |
---|
984 | void from_setting(const Setting &set) { |
---|
985 | MarginalizedParticleBase::from_setting(set); //reads bm, yrv,rvc, bm_rv, etc... |
---|
986 | |
---|
987 | UI::get(g,set,"g",UI::compulsory); |
---|
988 | UI::get(h,set,"h",UI::compulsory); |
---|
989 | UI::get(rvx,set,"rvx",UI::compulsory); |
---|
990 | est_emp.set_rv(rvx); |
---|
991 | |
---|
992 | UI::get(rvxc,set,"rvxc",UI::compulsory); |
---|
993 | UI::get(rvyc,set,"rvyc",UI::compulsory); |
---|
994 | |
---|
995 | } |
---|
996 | void validate() { |
---|
997 | MarginalizedParticleBase::validate(); |
---|
998 | |
---|
999 | dimy = h->dimension(); |
---|
1000 | bm->set_yrv(concat(rvx,yrv)); |
---|
1001 | |
---|
1002 | est_emp.set_rv(rvx); |
---|
1003 | est_emp.set_dim(rvx._dsize()); |
---|
1004 | est.validate(); |
---|
1005 | // |
---|
1006 | //check dimensions |
---|
1007 | rvc = rvxc.subt(rvx.copy_t(-1)); |
---|
1008 | rvc.add( rvyc); |
---|
1009 | rvc=rvc.subt(rvx); |
---|
1010 | |
---|
1011 | bdm_assert(g->dimension()==rvx._dsize(),"rvx is not described"); |
---|
1012 | bdm_assert(g->dimensionc()==rvxc._dsize(),"rvxc is not described"); |
---|
1013 | bdm_assert(h->dimension()==rvyc._dsize(),"rvyc is not described"); |
---|
1014 | |
---|
1015 | bdm_assert(bm->dimensiony()==g->dimension()+h->dimension(), |
---|
1016 | "Incompatible noise estimator of dimension " + |
---|
1017 | num2str(bm->dimensiony()) + " does not match dimension of g and h, " + |
---|
1018 | num2str(g->dimension())+" and "+ num2str(h->dimension()) ); |
---|
1019 | |
---|
1020 | dimc = rvc._dsize(); |
---|
1021 | |
---|
1022 | //establish datalinks |
---|
1023 | x2g.set_connection(rvxc, rvx.copy_t(-1)); |
---|
1024 | cond2g.set_connection(rvxc, rvc); |
---|
1025 | |
---|
1026 | x2h.set_connection(rvyc, rvx); |
---|
1027 | cond2h.set_connection(rvyc, rvc); |
---|
1028 | } |
---|
1029 | }; |
---|
1030 | UIREGISTER(NoiseParticle); |
---|
1031 | |
---|
1032 | |
---|
1033 | } |
---|
1034 | #endif // KF_H |
---|
1035 | |
---|