1 | /*! |
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2 | \file |
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3 | \brief Mergers for combination of pdfs |
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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 MERGER_H |
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14 | #define MERGER_H |
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15 | |
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16 | |
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17 | #include "../estim/mixtures.h" |
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18 | #include "discrete.h" |
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19 | |
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20 | namespace bdm { |
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21 | using std::string; |
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22 | |
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23 | //!Merging methods |
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24 | enum MERGER_METHOD {ARITHMETIC = 1, GEOMETRIC = 2, LOGNORMAL = 3}; |
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25 | |
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26 | /*! \brief Abstract common class for mergers |
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27 | |
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28 | Merging is defined as a combination of information from \c source pdfs into a single pdf called the \c merger. |
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29 | |
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30 | \f[ |
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31 | f_{merged}(x) \leftarrow {f_1(x),f_2(x),f_3(x)} |
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32 | \f] |
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33 | |
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34 | In the basic form, the random variables of all source pdfs must be identical, e.g. \f$ x \f$ from the example above. |
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35 | |
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36 | Extension of the merger to a more demanding scenarios with fragmental sources is available in offspring bdm::merger_mix. |
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37 | |
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38 | This abstract class defines only the interface to using merger: operation merge(), and operation merger() which returns the result. |
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39 | */ |
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40 | class MergerBase: public root{ |
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41 | public: |
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42 | //! weights of the sources -- no restrictions |
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43 | vec w; |
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44 | //! source pdfs -- conditioning allowed |
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45 | Array<shared_ptr<epdf> > sources; |
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46 | //! merge |
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47 | virtual void merge() NOT_IMPLEMENTED_VOID; |
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48 | //! |
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49 | //! check if all epdfs are on the same support |
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50 | virtual void set_sources(const Array<shared_ptr<pdf> > &A) { |
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51 | int n=A.length(); |
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52 | |
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53 | bdm_assert(n>0,"merger has no sources to merge"); |
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54 | // check if weights are ok |
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55 | if (w.length()!=n) { |
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56 | w = ones(n)/n; |
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57 | } |
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58 | |
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59 | // check compatibility of sources -- no types are needed |
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60 | int dim0 = A(0)->dimension(); |
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61 | for (int i=0; i<n; i++){ |
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62 | const epdf *si=dynamic_cast<const epdf*>(A(i).get()); |
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63 | if (si){ |
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64 | sources(i) = shared_ptr<epdf>(const_cast<epdf*>(si)); |
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65 | } |
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66 | bdm_assert(sources(i)->dimension()==dim0, "Merger: Incompatible dimensions of sources"); |
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67 | if (sources(i)->isnamed()){ |
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68 | //check if rv match |
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69 | } |
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70 | } |
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71 | } |
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72 | //! return the result of merging |
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73 | virtual const epdf& merger()=0; |
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74 | }; |
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75 | |
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76 | //! \brief Merger into normal density, max entropy approximator for 2 moments (mean+variance) |
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77 | template<class sq_T> |
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78 | class ENormMerger: public MergerBase{ |
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79 | protected: |
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80 | //!internal epdf |
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81 | enorm<sq_T> iepdf; |
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82 | public: |
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83 | ENormMerger():method(GEOMETRIC){}; |
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84 | MERGER_METHOD method; |
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85 | void merge(){ |
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86 | int n = sources.length(); |
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87 | int dim = sources(0)->dimension(); |
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88 | sq_T Var(zeros(dim)); |
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89 | vec mea=zeros(dim); |
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90 | // go through all sources |
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91 | epdf * si; |
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92 | for (int i=0; i<n; i++){ |
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93 | si = dynamic_cast<epdf*>(sources(i).get()); // transform pdf into epdf |
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94 | |
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95 | if (!si) {bdm_error("Can't merger this type of pdf: " + sources(i)->to_string());} |
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96 | |
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97 | sq_T Ci = si->covariance(); |
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98 | sq_T wCi = Ci; wCi*=w(i); |
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99 | vec mi = si->mean(); |
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100 | switch (method) { |
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101 | case ARITHMETIC:{ |
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102 | Var += wCi; |
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103 | Var.opupdt(mi,w(i)); // + mean * mean' |
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104 | mea += w(i)*mi; |
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105 | break; |
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106 | } |
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107 | case GEOMETRIC:{ |
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108 | Var += wCi; |
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109 | sq_T iCi; |
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110 | Ci.inv(iCi); |
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111 | mea += iCi.to_mat()*w(i)*mi; |
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112 | break; |
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113 | } |
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114 | default: |
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115 | bdm_error("Method not implemneted"); |
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116 | } |
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117 | } |
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118 | // post pocessing |
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119 | switch (method) { |
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120 | case ARITHMETIC: |
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121 | iepdf._R()=Var; |
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122 | iepdf._R().opupdt(mea,-1.0); // Var - mean * mean' |
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123 | iepdf._mu()=mea; |
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124 | break; |
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125 | case GEOMETRIC: |
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126 | iepdf._R()=Var; |
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127 | iepdf._mu() = Var.to_mat()*mea; // mean=sqrt(Var)*mea |
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128 | break; |
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129 | default: |
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130 | bdm_error("Method not implemneted"); |
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131 | } |
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132 | } |
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133 | //! access function |
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134 | const epdf& merger(){return iepdf;} |
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135 | }; |
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136 | |
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137 | /*! |
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138 | @brief Base class (interface) for for general combination of pdfs on discrete support |
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139 | |
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140 | Mixtures of Gaussian densities are used internally. Switching to other densities should be trivial. |
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141 | |
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142 | The merged pdfs are expected to be of the form: |
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143 | \f[ f(x_i|y_i), i=1..n \f] |
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144 | where the resulting merger is a density on \f$ \cup [x_i,y_i] \f$ . |
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145 | Note that all variables will be joined. |
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146 | |
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147 | As a result of this feature, each source must be extended to common support |
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148 | \f[ f(z_i|y_i,x_i) f(x_i|y_i) f(y_i) i=1..n \f] |
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149 | where \f$ z_i \f$ accumulate variables that were not in the original source. |
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150 | These extensions are calculated on-the-fly. |
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151 | |
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152 | However, these operations can not be performed in general. Hence, this class merges only sources on common support, \f$ y_i={}, z_i={}, \forall i \f$. |
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153 | For merging of more general cases, use offsprings merger_mix and merger_grid. |
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154 | |
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155 | \TODO use sources for extensions |
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156 | */ |
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157 | class MergerDiscrete : public MergerBase { |
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158 | protected: |
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159 | //! partial sources |
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160 | Array<shared_ptr< pdf > > part_sources; |
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161 | |
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162 | //! Data link for each pdf in pdfs |
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163 | Array<datalink_m2e*> dls; |
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164 | |
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165 | //! Array of rvs that are not modelled by pdfs at all, \f$ z_i \f$ |
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166 | Array<RV> rvzs; |
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167 | |
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168 | //! Data Links for extension \f$ f(z_i|x_i,y_i) \f$ |
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169 | Array<datalink_m2e*> zdls; |
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170 | |
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171 | //! number of support points |
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172 | int Npoints; |
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173 | |
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174 | //! number of sources |
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175 | int Nsources; |
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176 | |
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177 | //! switch of the methoh used for merging |
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178 | MERGER_METHOD METHOD; |
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179 | //! Default for METHOD |
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180 | static const MERGER_METHOD DFLT_METHOD; |
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181 | |
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182 | //!Prior on the log-normal merging model |
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183 | double beta; |
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184 | //! default for beta |
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185 | static const double DFLT_beta; |
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186 | |
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187 | //! Projection to empirical density (could also be piece-wise linear) |
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188 | eEmp eSmp; |
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189 | |
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190 | //! debug or not debug |
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191 | bool DBG; |
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192 | |
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193 | //! debugging file |
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194 | it_file* dbg_file; |
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195 | public: |
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196 | //! \name Constructors |
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197 | //! @{ |
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198 | |
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199 | //! Default constructor |
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200 | MergerDiscrete () : Npoints ( 0 ), Nsources ( 0 ), DBG ( false ), dbg_file ( 0 ) { |
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201 | } |
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202 | |
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203 | //!Constructor from sources |
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204 | MergerDiscrete ( const Array<shared_ptr<pdf> > &S ); |
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205 | |
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206 | //! Function setting the main internal structures |
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207 | void set_sources ( const Array<shared_ptr<pdf> > &PartSources ); |
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208 | |
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209 | //! Set support points from rectangular grid |
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210 | void set_support ( rectangular_support &Sup ); |
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211 | |
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212 | //! Set support points from dicrete grid |
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213 | void set_support ( discrete_support &Sup ) { |
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214 | Npoints = Sup.points(); |
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215 | eSmp.set_parameters ( Sup._Spoints() ); |
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216 | eSmp.validate(); |
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217 | } |
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218 | |
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219 | |
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220 | //! set debug file |
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221 | void set_debug_file ( const string fname ) { |
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222 | if ( DBG ) delete dbg_file; |
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223 | dbg_file = new it_file ( fname ); |
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224 | DBG = ( dbg_file != 0 ); |
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225 | } |
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226 | |
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227 | //! Set internal parameters used in approximation |
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228 | void set_method ( MERGER_METHOD MTH = GEOMETRIC, double beta0 = 1.2 ) { |
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229 | METHOD = MTH; |
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230 | beta = beta0; |
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231 | } |
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232 | //! Set support points from a pdf by drawing N samples |
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233 | void set_support ( const epdf &overall, int N ) { |
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234 | eSmp.set_statistics ( overall, N ); |
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235 | Npoints = N; |
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236 | } |
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237 | |
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238 | //! Destructor |
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239 | virtual ~MergerDiscrete() { |
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240 | for ( int i = 0; i < Nsources; i++ ) { |
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241 | delete dls ( i ); |
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242 | delete zdls ( i ); |
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243 | } |
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244 | if ( DBG ) delete dbg_file; |
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245 | }; |
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246 | //!@} |
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247 | |
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248 | //! \name Mathematical operations |
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249 | //!@{ |
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250 | |
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251 | //!Merge given sources in given points |
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252 | void merge (); |
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253 | |
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254 | //! Merge log-likelihood values in points using method specified by parameter METHOD |
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255 | vec merge_points ( mat &lW ); |
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256 | |
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257 | //!@} |
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258 | |
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259 | //! \name Access to attributes |
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260 | //! @{ |
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261 | |
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262 | //! Access function |
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263 | eEmp& _Smp() { |
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264 | return eSmp; |
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265 | } |
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266 | |
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267 | eEmp & merger() {return eSmp;} |
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268 | |
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269 | /*! Create object from the following structure |
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270 | |
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271 | \code |
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272 | class = 'MergerDiscrete'; |
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273 | method = 'arithmetic' or 'geometric' or 'lognormal'; % name of the model used for merging |
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274 | --- compulsory only for lognormal merging model --- |
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275 | beta = x; % scalar prior on the log-normal merging model |
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276 | --- optional fields --- |
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277 | dbg_file = '...'; % name of the file to store debug informations |
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278 | --- inherited fields --- |
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279 | bdm::MergerBase::from_setting |
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280 | \endcode |
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281 | */ |
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282 | void from_setting ( const Setting& set ); |
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283 | |
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284 | void to_setting (Setting &set) const ; |
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285 | |
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286 | void validate() ; |
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287 | //!@} |
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288 | }; |
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289 | UIREGISTER ( MergerDiscrete ); |
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290 | SHAREDPTR ( MergerDiscrete ); |
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291 | |
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292 | //! \brief Merger using importance sampling with mixture proposal density |
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293 | class merger_mix : public MergerDiscrete { |
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294 | protected: |
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295 | //!Internal mixture of EF models |
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296 | MixEF Mix; |
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297 | //!Number of components in a mixture |
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298 | int Ncoms; |
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299 | //! coefficient of resampling [0,1] |
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300 | double effss_coef; |
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301 | //! stop after niter iterations |
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302 | int stop_niter; |
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303 | |
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304 | //! default value for Ncoms |
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305 | static const int DFLT_Ncoms; |
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306 | //! default value for efss_coef; |
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307 | static const double DFLT_effss_coef; |
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308 | |
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309 | public: |
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310 | //!\name Constructors |
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311 | //!@{ |
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312 | merger_mix () : Ncoms ( 0 ), effss_coef ( 0 ), stop_niter ( 0 ) { } |
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313 | |
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314 | merger_mix ( const Array<shared_ptr<pdf> > &S ) : |
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315 | Ncoms ( 0 ), effss_coef ( 0 ), stop_niter ( 0 ) { |
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316 | set_sources ( S ); |
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317 | } |
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318 | |
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319 | //! Set sources and prepare all internal structures |
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320 | void set_sources ( const Array<shared_ptr<pdf> > &S ) { |
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321 | MergerDiscrete::set_sources ( S ); |
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322 | //Nsources = S.length(); |
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323 | } |
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324 | |
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325 | //! Set internal parameters used in approximation |
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326 | void set_parameters ( int Ncoms0 = DFLT_Ncoms, double effss_coef0 = DFLT_effss_coef ) { |
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327 | Ncoms = Ncoms0; |
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328 | effss_coef = effss_coef0; |
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329 | } |
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330 | //!@} |
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331 | |
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332 | //! \name Mathematical operations |
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333 | //!@{ |
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334 | |
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335 | //!Merge values using mixture approximation |
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336 | void merge (); |
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337 | |
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338 | //! sample from the approximating mixture |
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339 | vec sample () const { |
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340 | return Mix.posterior().sample(); |
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341 | } |
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342 | //! loglikelihood computed on mixture models |
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343 | double evallog ( const vec &yt ) const { |
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344 | vec dtf = ones ( yt.length() + 1 ); |
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345 | dtf.set_subvector ( 0, yt ); |
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346 | return Mix.logpred ( dtf, vec(0) ); |
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347 | } |
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348 | //!@} |
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349 | |
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350 | //!\name Access functions |
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351 | //!@{ |
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352 | //! Access function |
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353 | MixEF& _Mix() { |
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354 | return Mix; |
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355 | } |
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356 | //! Access function |
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357 | emix* proposal() { |
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358 | emix* tmp = Mix.epredictor(); |
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359 | tmp->set_rv ( merger()._rv() ); |
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360 | return tmp; |
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361 | } |
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362 | /*! Create object from the following structure |
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363 | |
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364 | \code |
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365 | class = 'merger_mix'; |
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366 | --- optional fields --- |
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367 | ncoms = []; % number of components in a mixture |
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368 | effss_coef = []; % coefficient of resampling from interval [0,1] |
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369 | stop_niter = []; % number of interations |
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370 | --- inherited fields --- |
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371 | bdm::merger_base::from_setting |
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372 | \endcode |
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373 | If the optional fields are not given, they will be filled as follows: |
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374 | \code |
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375 | ncoms = 10; |
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376 | effss_coef = 0.9; |
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377 | stop_niter = 10; |
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378 | \endcode |
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379 | |
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380 | */ |
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381 | void from_setting ( const Setting& set ); |
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382 | |
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383 | void to_setting (Setting &set) const; |
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384 | void validate(); |
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385 | |
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386 | // const emix &merger(){return *Mpred;} |
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387 | //! @} |
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388 | }; |
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389 | UIREGISTER ( merger_mix ); |
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390 | SHAREDPTR ( merger_mix ); |
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391 | |
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392 | } |
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393 | |
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394 | #endif // MER_H |
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