1 | |
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2 | #include "merger.h" |
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3 | #include "../estim/arx.h" |
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4 | |
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5 | namespace bdm { |
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6 | |
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7 | merger_base::merger_base ( const Array<shared_ptr<mpdf> > &S ): |
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8 | Npoints(0), DBG(false), dbg_file(0) { |
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9 | set_sources ( S ); |
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10 | } |
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11 | |
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12 | vec merger_base::merge_points ( mat &lW ) { |
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13 | int nu = lW.rows(); |
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14 | vec result; |
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15 | ivec indW; |
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16 | bool infexist = false; |
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17 | switch ( METHOD ) { |
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18 | case ARITHMETIC: |
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19 | result = log ( sum ( exp ( lW ) ) ); //ugly! |
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20 | break; |
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21 | case GEOMETRIC: |
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22 | result = sum ( lW ) / nu; |
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23 | break; |
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24 | case LOGNORMAL: |
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25 | vec sumlW = sum ( lW ) ; |
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26 | indW = find ( ( sumlW < inf ) & ( sumlW > -inf ) ); |
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27 | infexist = ( indW.size() < lW.cols() ); |
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28 | vec mu; |
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29 | vec lam; |
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30 | if ( infexist ) { |
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31 | mu = sumlW ( indW ) / nu; //mean of logs |
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32 | // |
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33 | mat validlW = lW.get_cols ( indW ); |
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34 | lam = sum ( pow ( validlW - outer_product ( ones ( validlW.rows() ), mu ), 2 ) ); |
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35 | } else { |
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36 | mu = sum ( lW ) / nu; //mean of logs |
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37 | lam = sum ( pow ( lW - outer_product ( ones ( lW.rows() ), mu ), 2 ) ); |
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38 | } |
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39 | // |
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40 | double coef = 0.0; |
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41 | vec sq2bl = sqrt ( 2 * beta * lam ); //this term is everywhere |
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42 | switch ( nu ) { |
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43 | case 2: |
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44 | coef = ( 1 - 0.5 * sqrt ( ( 4.0 * beta - 3.0 ) / beta ) ); |
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45 | result = coef * sq2bl + mu ; |
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46 | break; |
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47 | // case 4: == can be done similar to case 2 - is it worth it??? |
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48 | default: // see accompanying document merge_lognorm_derivation.lyx |
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49 | coef = sqrt ( 1 - ( nu + 1 ) / ( 2 * beta * nu ) ); |
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50 | result = log ( besselk ( ( nu - 3 ) / 2, sq2bl * coef ) ) - log ( besselk ( ( nu - 3 ) / 2, sq2bl ) ) + mu; |
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51 | break; |
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52 | } |
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53 | break; |
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54 | } |
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55 | if ( infexist ) { |
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56 | vec tmp = -inf * ones ( lW.cols() ); |
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57 | set_subvector ( tmp, indW, result ); |
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58 | return tmp; |
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59 | } else { |
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60 | return result; |
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61 | } |
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62 | } |
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63 | |
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64 | void merger_mix::merge ( ) { |
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65 | Array<vec> &Smp = eSmp._samples(); //aux |
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66 | vec &w = eSmp._w(); //aux |
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67 | |
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68 | mat Smp_ex = ones ( dim + 1, Npoints ); // Extended samples for the ARX model - the last row is ones |
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69 | for ( int i = 0; i < Npoints; i++ ) { |
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70 | set_col_part ( Smp_ex, i, Smp ( i ) ); |
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71 | } |
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72 | |
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73 | if ( DBG ) *dbg_file << Name ( "Smp_0" ) << Smp_ex; |
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74 | |
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75 | // Stuff for merging |
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76 | vec lw_src ( Npoints ); // weights of the ith source |
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77 | vec lw_mix ( Npoints ); // weights of the approximating mixture |
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78 | vec lw ( Npoints ); // tmp |
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79 | mat lW = zeros ( Nsources, Npoints ); // array of weights of all sources |
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80 | vec vec0 ( 0 ); |
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81 | |
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82 | //initialize importance weights |
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83 | lw_mix = 1.0; // assuming uniform grid density -- otherwise |
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84 | |
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85 | // Initial component in the mixture model |
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86 | mat V0 = 1e-8 * eye ( dim + 1 ); |
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87 | ARX A0; |
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88 | A0.set_statistics ( dim, V0 ); //initial guess of Mix: |
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89 | |
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90 | Mix.init ( &A0, Smp_ex, Ncoms ); |
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91 | //Preserve initial mixture for repetitive estimation via flattening |
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92 | MixEF Mix_init ( Mix ); |
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93 | |
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94 | // ============= MAIN LOOP ================== |
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95 | bool converged = false; |
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96 | int niter = 0; |
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97 | char dbg_str[100]; |
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98 | |
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99 | emix* Mpred = Mix.epredictor ( ); |
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100 | vec Mix_pdf ( Npoints ); |
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101 | while ( !converged ) { |
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102 | //Re-estimate Mix |
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103 | //Re-Initialize Mixture model |
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104 | Mix.flatten ( &Mix_init ); |
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105 | Mix.bayesB ( Smp_ex, w*Npoints ); |
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106 | delete Mpred; |
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107 | Mpred = Mix.epredictor ( ); // Allocation => must be deleted at the end!! |
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108 | Mpred->set_rv ( rv ); //the predictor predicts rv of this merger |
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109 | |
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110 | // This will be active only later in iterations!!! |
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111 | if ( 1. / sum_sqr ( w ) < effss_coef*Npoints ) { |
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112 | // Generate new samples |
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113 | eSmp.set_samples ( Mpred ); |
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114 | for ( int i = 0; i < Npoints; i++ ) { |
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115 | //////////// !!!!!!!!!!!!! |
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116 | //if ( Smp ( i ) ( 2 ) <0 ) {Smp ( i ) ( 2 ) = 0.01; } |
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117 | set_col_part ( Smp_ex, i, Smp ( i ) ); |
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118 | //Importance of the mixture |
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119 | //lw_mix ( i ) =Mix.logpred (Smp_ex.get_col(i) ); |
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120 | lw_mix ( i ) = Mpred->evallog ( Smp ( i ) ); |
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121 | } |
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122 | if ( DBG ) { |
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123 | cout << "Resampling =" << 1. / sum_sqr ( w ) << endl; |
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124 | cout << Mix.posterior().mean() << endl; |
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125 | cout << sum ( Smp_ex, 2 ) / Npoints << endl; |
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126 | cout << Smp_ex*Smp_ex.T() / Npoints << endl; |
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127 | } |
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128 | } |
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129 | if ( DBG ) { |
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130 | sprintf ( dbg_str, "Mpred_mean%d", niter ); |
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131 | *dbg_file << Name ( dbg_str ) << Mpred->mean(); |
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132 | sprintf ( dbg_str, "Mpred_var%d", niter ); |
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133 | *dbg_file << Name ( dbg_str ) << Mpred->variance(); |
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134 | |
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135 | |
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136 | sprintf ( dbg_str, "Mpdf%d", niter ); |
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137 | for ( int i = 0; i < Npoints; i++ ) { |
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138 | Mix_pdf ( i ) = Mix.logpred ( Smp_ex.get_col ( i ) ); |
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139 | } |
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140 | *dbg_file << Name ( dbg_str ) << Mix_pdf; |
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141 | |
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142 | sprintf ( dbg_str, "Smp%d", niter ); |
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143 | *dbg_file << Name ( dbg_str ) << Smp_ex; |
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144 | |
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145 | } |
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146 | //Importace weighting |
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147 | for ( int i = 0; i < mpdfs.length(); i++ ) { |
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148 | lw_src = 0.0; |
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149 | //======== Same RVs =========== |
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150 | //Split according to dependency in rvs |
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151 | if ( mpdfs ( i )->dimension() == dim ) { |
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152 | // no need for conditioning or marginalization |
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153 | lw_src = mpdfs ( i )->evallogcond_m ( Smp , vec(0)); |
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154 | } else { |
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155 | // compute likelihood of marginal on the conditional variable |
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156 | if ( mpdfs ( i )->dimensionc() > 0 ) { |
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157 | // Make marginal on rvc_i |
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158 | shared_ptr<epdf> tmp_marg = Mpred->marginal ( mpdfs ( i )->_rvc() ); |
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159 | //compute vector of lw_src |
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160 | for ( int k = 0; k < Npoints; k++ ) { |
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161 | // Here val of tmp_marg = cond of mpdfs(i) ==> calling dls->get_cond |
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162 | lw_src ( k ) += tmp_marg->evallog ( dls ( i )->get_cond ( Smp ( k ) ) ); |
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163 | } |
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164 | |
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165 | // sprintf ( str,"marg%d",niter ); |
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166 | // *dbg << Name ( str ) << lw_src; |
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167 | |
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168 | } |
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169 | // Compute likelihood of the missing variable |
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170 | if ( dim > ( mpdfs ( i )->dimension() + mpdfs ( i )->dimensionc() ) ) { |
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171 | /////////////// |
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172 | // There are variales unknown to mpdfs(i) : rvzs |
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173 | shared_ptr<mpdf> tmp_cond = Mpred->condition ( rvzs ( i ) ); |
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174 | // Compute likelihood |
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175 | vec lw_dbg = lw_src; |
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176 | for ( int k = 0; k < Npoints; k++ ) { |
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177 | lw_src ( k ) += log ( |
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178 | tmp_cond->evallogcond ( |
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179 | zdls ( i )->pushdown ( Smp ( k ) ), |
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180 | zdls ( i )->get_cond ( Smp ( k ) ) ) ); |
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181 | if ( !std::isfinite ( lw_src ( k ) ) ) { |
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182 | lw_src ( k ) = -1e16; |
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183 | cout << "!"; |
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184 | } |
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185 | } |
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186 | } |
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187 | // Compute likelihood of the partial source |
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188 | for ( int k = 0; k < Npoints; k++ ) { |
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189 | lw_src ( k ) += mpdfs ( i )->evallogcond ( dls ( i )->pushdown ( Smp ( k ) ), |
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190 | dls ( i )->get_cond ( Smp ( k ) )); |
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191 | } |
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192 | |
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193 | } |
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194 | |
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195 | lW.set_row ( i, lw_src ); // do not divide by mix |
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196 | } |
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197 | lw = merger_base::merge_points ( lW ); //merge |
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198 | |
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199 | //Importance weighting |
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200 | lw -= lw_mix; // hoping that it is not numerically sensitive... |
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201 | w = exp ( lw - max ( lw ) ); |
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202 | |
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203 | //renormalize |
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204 | double sumw = sum ( w ); |
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205 | if ( std::isfinite ( sumw ) ) { |
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206 | w = w / sumw; |
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207 | } else { |
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208 | it_file itf ( "merg_err.it" ); |
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209 | itf << Name ( "w" ) << w; |
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210 | } |
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211 | |
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212 | if ( DBG ) { |
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213 | sprintf ( dbg_str, "lW%d", niter ); |
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214 | *dbg_file << Name ( dbg_str ) << lW; |
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215 | sprintf ( dbg_str, "w%d", niter ); |
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216 | *dbg_file << Name ( dbg_str ) << w; |
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217 | sprintf ( dbg_str, "lw_m%d", niter ); |
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218 | *dbg_file << Name ( dbg_str ) << lw_mix; |
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219 | } |
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220 | // ==== stopping rule === |
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221 | niter++; |
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222 | converged = ( niter > stop_niter ); |
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223 | } |
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224 | delete Mpred; |
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225 | // cout << endl; |
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226 | |
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227 | } |
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228 | |
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229 | // DEFAULTS FOR MERGER_BASE |
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230 | const MERGER_METHOD merger_base::DFLT_METHOD = LOGNORMAL; |
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231 | const double merger_base::DFLT_beta = 1.2; |
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232 | // DEFAULTS FOR MERGER_MIX |
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233 | const int merger_mix::DFLT_Ncoms = 10; |
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234 | const double merger_mix::DFLT_effss_coef = 0.5; |
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235 | |
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236 | } |
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