[394] | 1 | #include "emix.h" |
---|
[107] | 2 | |
---|
[477] | 3 | namespace bdm { |
---|
[107] | 4 | |
---|
[504] | 5 | void emix::set_parameters ( const vec &w0, const Array<shared_ptr<epdf> > &Coms0 ) { |
---|
[477] | 6 | w = w0 / sum ( w0 ); |
---|
| 7 | dim = Coms0 ( 0 )->dimension(); |
---|
| 8 | bool isnamed = Coms0 ( 0 )->isnamed(); |
---|
[107] | 9 | int i; |
---|
[464] | 10 | RV tmp_rv; |
---|
[477] | 11 | if ( isnamed ) tmp_rv = Coms0 ( 0 )->_rv(); |
---|
| 12 | |
---|
| 13 | for ( i = 0; i < w.length(); i++ ) { |
---|
[620] | 14 | bdm_assert ( dim == ( Coms0 ( i )->dimension() ), "Component sizes do not match!" ); |
---|
| 15 | bdm_assert ( !isnamed || tmp_rv.equal ( Coms0 ( i )->_rv() ), "Component RVs do not match!" ); |
---|
[124] | 16 | } |
---|
[504] | 17 | |
---|
| 18 | Coms = Coms0; |
---|
| 19 | |
---|
[477] | 20 | if ( isnamed ) epdf::set_rv ( tmp_rv ); //coms aer already OK, no need for set_rv |
---|
[107] | 21 | } |
---|
| 22 | |
---|
[124] | 23 | vec emix::sample() const { |
---|
| 24 | //Sample which component |
---|
[107] | 25 | vec cumDist = cumsum ( w ); |
---|
[235] | 26 | double u0; |
---|
[477] | 27 | #pragma omp critical |
---|
[235] | 28 | u0 = UniRNG.sample(); |
---|
[107] | 29 | |
---|
[477] | 30 | int i = 0; |
---|
| 31 | while ( ( cumDist ( i ) < u0 ) && ( i < ( w.length() - 1 ) ) ) { |
---|
| 32 | i++; |
---|
| 33 | } |
---|
[124] | 34 | |
---|
| 35 | return Coms ( i )->sample(); |
---|
[107] | 36 | } |
---|
[165] | 37 | |
---|
[504] | 38 | shared_ptr<epdf> emix::marginal ( const RV &rv ) const { |
---|
| 39 | emix *tmp = new emix(); |
---|
| 40 | shared_ptr<epdf> narrow(tmp); |
---|
| 41 | marginal ( rv, *tmp ); |
---|
| 42 | return narrow; |
---|
| 43 | } |
---|
| 44 | |
---|
| 45 | void emix::marginal ( const RV &rv, emix &target ) const { |
---|
[620] | 46 | bdm_assert ( isnamed(), "rvs are not assigned" ); |
---|
[477] | 47 | |
---|
[504] | 48 | Array<shared_ptr<epdf> > Cn ( Coms.length() ); |
---|
[477] | 49 | for ( int i = 0; i < Coms.length(); i++ ) { |
---|
| 50 | Cn ( i ) = Coms ( i )->marginal ( rv ); |
---|
| 51 | } |
---|
[504] | 52 | |
---|
| 53 | target.set_parameters ( w, Cn ); |
---|
[182] | 54 | } |
---|
| 55 | |
---|
[504] | 56 | shared_ptr<mpdf> emix::condition ( const RV &rv ) const { |
---|
[620] | 57 | bdm_assert ( isnamed(), "rvs are not assigned" ); |
---|
[504] | 58 | mratio *tmp = new mratio ( this, rv ); |
---|
| 59 | return shared_ptr<mpdf>(tmp); |
---|
| 60 | } |
---|
[182] | 61 | |
---|
[333] | 62 | void egiwmix::set_parameters ( const vec &w0, const Array<egiw*> &Coms0, bool copy ) { |
---|
[477] | 63 | w = w0 / sum ( w0 ); |
---|
| 64 | dim = Coms0 ( 0 )->dimension(); |
---|
[333] | 65 | int i; |
---|
[477] | 66 | for ( i = 0; i < w.length(); i++ ) { |
---|
[565] | 67 | bdm_assert_debug ( dim == ( Coms0 ( i )->dimension() ), "Component sizes do not match!" ); |
---|
[333] | 68 | } |
---|
| 69 | if ( copy ) { |
---|
[477] | 70 | Coms.set_length ( Coms0.length() ); |
---|
| 71 | for ( i = 0; i < w.length(); i++ ) { |
---|
[565] | 72 | bdm_error ( "Not implemented" ); |
---|
| 73 | // *Coms ( i ) = *Coms0 ( i ); |
---|
[477] | 74 | } |
---|
| 75 | destroyComs = true; |
---|
| 76 | } else { |
---|
[333] | 77 | Coms = Coms0; |
---|
[477] | 78 | destroyComs = false; |
---|
[333] | 79 | } |
---|
[254] | 80 | } |
---|
[333] | 81 | |
---|
| 82 | vec egiwmix::sample() const { |
---|
| 83 | //Sample which component |
---|
| 84 | vec cumDist = cumsum ( w ); |
---|
| 85 | double u0; |
---|
[477] | 86 | #pragma omp critical |
---|
[333] | 87 | u0 = UniRNG.sample(); |
---|
| 88 | |
---|
[477] | 89 | int i = 0; |
---|
| 90 | while ( ( cumDist ( i ) < u0 ) && ( i < ( w.length() - 1 ) ) ) { |
---|
| 91 | i++; |
---|
| 92 | } |
---|
[333] | 93 | |
---|
| 94 | return Coms ( i )->sample(); |
---|
| 95 | } |
---|
| 96 | |
---|
| 97 | vec egiwmix::mean() const { |
---|
[477] | 98 | int i; |
---|
| 99 | vec mu = zeros ( dim ); |
---|
| 100 | for ( i = 0; i < w.length(); i++ ) { |
---|
| 101 | mu += w ( i ) * Coms ( i )->mean(); |
---|
| 102 | } |
---|
[333] | 103 | return mu; |
---|
| 104 | } |
---|
| 105 | |
---|
| 106 | vec egiwmix::variance() const { |
---|
| 107 | // non-central moment |
---|
| 108 | vec mom2 = zeros ( dim ); |
---|
[477] | 109 | for ( int i = 0; i < w.length(); i++ ) { |
---|
[333] | 110 | // pow is overloaded, we have to use another approach |
---|
[477] | 111 | mom2 += w ( i ) * ( Coms ( i )->variance() + elem_mult ( Coms ( i )->mean(), Coms ( i )->mean() ) ); |
---|
[333] | 112 | } |
---|
| 113 | // central moment |
---|
| 114 | // pow is overloaded, we have to use another approach |
---|
[477] | 115 | return mom2 - elem_mult ( mean(), mean() ); |
---|
[333] | 116 | } |
---|
| 117 | |
---|
[504] | 118 | shared_ptr<epdf> egiwmix::marginal ( const RV &rv ) const { |
---|
| 119 | emix *tmp = new emix(); |
---|
| 120 | shared_ptr<epdf> narrow(tmp); |
---|
| 121 | marginal ( rv, *tmp ); |
---|
| 122 | return narrow; |
---|
| 123 | } |
---|
| 124 | |
---|
| 125 | void egiwmix::marginal ( const RV &rv, emix &target ) const { |
---|
[565] | 126 | bdm_assert_debug ( isnamed(), "rvs are not assigned" ); |
---|
[477] | 127 | |
---|
[504] | 128 | Array<shared_ptr<epdf> > Cn ( Coms.length() ); |
---|
[477] | 129 | for ( int i = 0; i < Coms.length(); i++ ) { |
---|
| 130 | Cn ( i ) = Coms ( i )->marginal ( rv ); |
---|
| 131 | } |
---|
[504] | 132 | |
---|
| 133 | target.set_parameters ( w, Cn ); |
---|
[333] | 134 | } |
---|
| 135 | |
---|
| 136 | egiw* egiwmix::approx() { |
---|
| 137 | // NB: dimx == 1 !!! |
---|
| 138 | // The following code might look a bit spaghetti-like, |
---|
| 139 | // consult Dedecius, K. et al.: Partial forgetting in AR models. |
---|
| 140 | |
---|
| 141 | double sumVecCommon; // common part for many terms in eq. |
---|
[477] | 142 | int len = w.length(); // no. of mix components |
---|
| 143 | int dimLS = Coms ( 1 )->_V()._D().length() - 1; // dim of LS |
---|
| 144 | vec vecNu ( len ); // vector of dfms of components |
---|
| 145 | vec vecD ( len ); // vector of LS reminders of comps. |
---|
| 146 | vec vecCommon ( len ); // vector of common parts |
---|
[333] | 147 | mat matVecsTheta; // matrix which rows are theta vects. |
---|
| 148 | |
---|
| 149 | // fill in the vectors vecNu, vecD and matVecsTheta |
---|
[477] | 150 | for ( int i = 0; i < len; i++ ) { |
---|
| 151 | vecNu.shift_left ( Coms ( i )->_nu() ); |
---|
| 152 | vecD.shift_left ( Coms ( i )->_V()._D() ( 0 ) ); |
---|
| 153 | matVecsTheta.append_row ( Coms ( i )->est_theta() ); |
---|
[333] | 154 | } |
---|
| 155 | |
---|
| 156 | // calculate the common parts and their sum |
---|
[477] | 157 | vecCommon = elem_mult ( w, elem_div ( vecNu, vecD ) ); |
---|
| 158 | sumVecCommon = sum ( vecCommon ); |
---|
[333] | 159 | |
---|
| 160 | // LS estimator of theta |
---|
[477] | 161 | vec aprEstTheta ( dimLS ); |
---|
| 162 | aprEstTheta.zeros(); |
---|
| 163 | for ( int i = 0; i < len; i++ ) { |
---|
| 164 | aprEstTheta += matVecsTheta.get_row ( i ) * vecCommon ( i ); |
---|
[333] | 165 | } |
---|
| 166 | aprEstTheta /= sumVecCommon; |
---|
[477] | 167 | |
---|
| 168 | |
---|
[333] | 169 | // LS estimator of dfm |
---|
| 170 | double aprNu; |
---|
[477] | 171 | double A = log ( sumVecCommon ); // Term 'A' in equation |
---|
[333] | 172 | |
---|
[477] | 173 | for ( int i = 0; i < len; i++ ) { |
---|
| 174 | A += w ( i ) * ( log ( vecD ( i ) ) - psi ( 0.5 * vecNu ( i ) ) ); |
---|
[333] | 175 | } |
---|
| 176 | |
---|
[477] | 177 | aprNu = ( 1 + sqrt ( 1 + 2 * ( A - LOG2 ) / 3 ) ) / ( 2 * ( A - LOG2 ) ); |
---|
[333] | 178 | |
---|
| 179 | |
---|
| 180 | // LS reminder (term D(0,0) in C-syntax) |
---|
| 181 | double aprD = aprNu / sumVecCommon; |
---|
| 182 | |
---|
| 183 | // Aproximation of cov |
---|
| 184 | // the following code is very numerically sensitive, thus |
---|
| 185 | // we have to eliminate decompositions etc. as much as possible |
---|
[477] | 186 | mat aprC = zeros ( dimLS, dimLS ); |
---|
| 187 | for ( int i = 0; i < len; i++ ) { |
---|
| 188 | aprC += Coms ( i )->est_theta_cov().to_mat() * w ( i ); |
---|
| 189 | vec tmp = ( matVecsTheta.get_row ( i ) - aprEstTheta ); |
---|
| 190 | aprC += vecCommon ( i ) * outer_product ( tmp, tmp ); |
---|
[333] | 191 | } |
---|
| 192 | |
---|
| 193 | // Construct GiW pdf :: BEGIN |
---|
[477] | 194 | ldmat aprCinv ( inv ( aprC ) ); |
---|
| 195 | vec D = concat ( aprD, aprCinv._D() ); |
---|
| 196 | mat L = eye ( dimLS + 1 ); |
---|
| 197 | L.set_submatrix ( 1, 0, aprCinv._L() * aprEstTheta ); |
---|
| 198 | L.set_submatrix ( 1, 1, aprCinv._L() ); |
---|
| 199 | ldmat aprLD ( L, D ); |
---|
[333] | 200 | |
---|
[477] | 201 | egiw* aprgiw = new egiw ( 1, aprLD, aprNu ); |
---|
[333] | 202 | return aprgiw; |
---|
| 203 | }; |
---|
| 204 | |
---|
[507] | 205 | void mprod::set_elements (const Array<shared_ptr<mpdf> > &mFacs ) { |
---|
| 206 | mpdfs = mFacs; |
---|
| 207 | dls.set_size ( mFacs.length() ); |
---|
| 208 | |
---|
| 209 | set_ep ( iepdf); |
---|
| 210 | RV rv = get_composite_rv ( mpdfs, true ); |
---|
| 211 | set_rv ( rv ); |
---|
| 212 | iepdf.set_parameters ( rv._dsize() ); |
---|
| 213 | |
---|
| 214 | for ( int i = 0; i < mpdfs.length(); i++ ) { |
---|
| 215 | RV rvx = mpdfs ( i )->_rvc().subt ( rv ); |
---|
| 216 | rvc.add ( rvx ); // add rv to common rvc |
---|
| 217 | } |
---|
[601] | 218 | dimc=rvc._dsize(); |
---|
[507] | 219 | |
---|
| 220 | // rv and rvc established = > we can link them with mpdfs |
---|
| 221 | for ( int i = 0; i < mpdfs.length(); i++ ) { |
---|
| 222 | dls ( i ) = new datalink_m2m; |
---|
| 223 | dls ( i )->set_connection ( mpdfs ( i )->_rv(), mpdfs ( i )->_rvc(), _rv(), _rvc() ); |
---|
| 224 | } |
---|
| 225 | } |
---|
| 226 | |
---|
[488] | 227 | vec mmix::samplecond(const vec &cond) { |
---|
| 228 | //Sample which component |
---|
| 229 | vec cumDist = cumsum ( w ); |
---|
| 230 | double u0; |
---|
| 231 | #pragma omp critical |
---|
| 232 | u0 = UniRNG.sample(); |
---|
| 233 | |
---|
| 234 | int i = 0; |
---|
| 235 | while ( ( cumDist ( i ) < u0 ) && ( i < ( w.length() - 1 ) ) ) { |
---|
| 236 | i++; |
---|
| 237 | } |
---|
| 238 | |
---|
| 239 | return Coms ( i )->samplecond(cond); |
---|
[333] | 240 | } |
---|
[488] | 241 | |
---|
| 242 | } |
---|
[182] | 243 | // mprod::mprod ( Array<mpdf*> mFacs, bool overlap) : mpdf ( RV(), RV() ), n ( mFacs.length() ), epdfs ( n ), mpdfs ( mFacs ), rvinds ( n ), rvcinrv ( n ), irvcs_rvc ( n ) { |
---|
[175] | 244 | // int i; |
---|
| 245 | // bool rvaddok; |
---|
| 246 | // // Create rv |
---|
| 247 | // for ( i = 0;i < n;i++ ) { |
---|
| 248 | // rvaddok=rv.add ( mpdfs ( i )->_rv() ); //add rv to common rvs. |
---|
| 249 | // // If rvaddok==false, mpdfs overlap => assert error. |
---|
[271] | 250 | // epdfs ( i ) = & ( mpdfs ( i )->posterior() ); // add pointer to epdf |
---|
[175] | 251 | // }; |
---|
| 252 | // // Create rvc |
---|
| 253 | // for ( i = 0;i < n;i++ ) { |
---|
| 254 | // rvc.add ( mpdfs ( i )->_rvc().subt ( rv ) ); //add rv to common rvs. |
---|
| 255 | // }; |
---|
[178] | 256 | // |
---|
[175] | 257 | // // independent = true; |
---|
| 258 | // //test rvc of mpdfs and fill rvinds |
---|
| 259 | // for ( i = 0;i < n;i++ ) { |
---|
| 260 | // // find ith rv in common rv |
---|
| 261 | // rvsinrv ( i ) = mpdfs ( i )->_rv().dataind ( rv ); |
---|
| 262 | // // find ith rvc in common rv |
---|
| 263 | // rvcinrv ( i ) = mpdfs ( i )->_rvc().dataind ( rv ); |
---|
| 264 | // // find ith rvc in common rv |
---|
[182] | 265 | // irvcs_rvc ( i ) = mpdfs ( i )->_rvc().dataind ( rvc ); |
---|
[175] | 266 | // // |
---|
| 267 | // /* if ( rvcinrv ( i ).length() >0 ) {independent = false;} |
---|
[182] | 268 | // if ( irvcs_rvc ( i ).length() >0 ) {independent = false;}*/ |
---|
[175] | 269 | // } |
---|
| 270 | // }; |
---|