bdm::emix Class Reference

Mixture of epdfs. More...

#include <emix.h>

List of all members.

Public Member Functions

emix ()

Default constructor.

void set_parameters (const vec &w, const Array< shared_ptr< epdf > > &Coms)

Set weights w and components Coms.

vec sample () const

Returns a sample, $ x $ from density $ f_x()$ .

vec mean () const

return expected value

vec variance () const

return expected variance (not covariance!)

double evallog (const vec &val) const

Compute log-probability of argument val In case the argument is out of suport return -Infinity.

vec evallog_m (const mat &Val) const

Compute log-probability of multiple values argument val.

mat evallog_M (const mat &Val) const

Auxiliary function that returns pdflog for each component.

shared_ptr< epdf > marginal (const RV &rv) const

Return marginal density on the given RV, the remainig rvs are intergrated out.

void marginal (const RV &rv, emix &target) const

Update already existing marginal density target.

shared_ptr< mpdf > condition (const RV &rv) const

Return conditional density on the given RV, the remaining rvs will be in conditioning.

vec & _w ()

returns a pointer to the internal mean value. Use with Care!

shared_ptr< epdf > _Coms (int i)

access function

void set_rv (const RV &rv)

Name its rv.

void from_setting (const Setting &set)

Load from structure with elements:.

virtual string to_string ()

This method returns a basic info about the current instance.

virtual void to_setting (Setting &set) const

This method save all the instance properties into the Setting structure.

virtual void validate ()

This method TODO.

Constructors

Construction of each epdf should support two types of constructors:

empty constructor,

copy constructor,

The following constructors should be supported for convenience:

constructor followed by calling set_parameters()

constructor accepting random variables calling set_rv()

All internal data structures are constructed as empty. Their values (including sizes) will be set by method set_parameters(). This way references can be initialized in constructors.

void set_parameters (int dim0)

Matematical Operations

virtual mat sample_m (int N) const

Returns N samples, $[x_1 , x_2 , \ldots \$ from density $ f_x(rv)$ .

virtual vec evallog_m (const Array< vec > &Avec) const

Compute log-probability of multiple values argument val.

virtual void qbounds (vec &lb, vec &ub, double percentage=0.95) const

Lower and upper bounds of percentage % quantile, returns mean-2*sigma as default.

Connection to other classes

Description of the random quantity via attribute rv is optional. For operations such as sampling rv does not need to be set. However, for marginalization and conditioning rv has to be set. NB:

bool isnamed () const

True if rv is assigned.

const RV & _rv () const

Return name (fails when isnamed is false).

Access to attributes

int dimension () const

Size of the random variable.

Protected Attributes

vec w

weights of the components

Array< shared_ptr< epdf > > Coms

Component (epdfs).

int dim

dimension of the random variable

RV rv

Description of the random variable.

Detailed Description

Mixture of epdfs.

Density function:

$f(x) = \sum_{i=1}^{n} w_{i} f_i(x), \quad \sum_{i=1}^n w_i = 1.$

where $f_i(x)$ is any density on random variable $x$ , called component,

Member Function Documentation

void bdm::epdf::from_setting ( const Setting & set ) [inline, virtual, inherited]

Load from structure with elements:.

         { rv = {class="RV", names=(...),}; // RV describing meaning of random variable
           // elements of offsprings
         }

Reimplemented from bdm::root.

Reimplemented in bdm::enorm< sq_T >, bdm::egiw, bdm::eDirich, bdm::egamma, bdm::euni, bdm::merger_base, bdm::merger_mix, bdm::enorm< ldmat >, bdm::enorm< chmat >, and bdm::enorm< fsqmat >.

References bdm::epdf::set_rv().

void bdm::emix::set_parameters	(	const vec &	w,
		const Array< shared_ptr< epdf > > &	Coms
	)

Set weights w and components Coms.

Shared pointers in Coms are kept inside this instance and shouldn't be modified after being passed to this method.

References bdm::epdf::_rv(), bdm_assert, Coms, bdm::epdf::dim, bdm::epdf::dimension(), bdm::RV::equal(), bdm::epdf::isnamed(), set_rv(), and w.

Referenced by bdm::MixEF::epredictor(), and marginal().

The documentation for this class was generated from the following files:

emix.h
emix.cpp


Public Member Functions
	emix ()
	Default constructor.
void	set_parameters (const vec &w, const Array< shared_ptr< epdf > > &Coms)
	Set weights `w` and components `Coms`.
vec	sample () const
	Returns a sample, from density .
vec	mean () const
	return expected value
vec	variance () const
	return expected variance (not covariance!)
double	evallog (const vec &val) const
	Compute log-probability of argument `val` In case the argument is out of suport return -Infinity.
vec	evallog_m (const mat &Val) const
	Compute log-probability of multiple values argument `val`.
mat	evallog_M (const mat &Val) const
	Auxiliary function that returns pdflog for each component.
shared_ptr< epdf >	marginal (const RV &rv) const
	Return marginal density on the given RV, the remainig rvs are intergrated out.
void	marginal (const RV &rv, emix &target) const
	Update already existing marginal density `target`.
shared_ptr< mpdf >	condition (const RV &rv) const
	Return conditional density on the given RV, the remaining rvs will be in conditioning.
vec &	_w ()
	returns a pointer to the internal mean value. Use with Care!
shared_ptr< epdf >	_Coms (int i)
	access function
void	set_rv (const RV &rv)
	Name its rv.
void	from_setting (const Setting &set)
	Load from structure with elements:.
virtual string	to_string ()
	This method returns a basic info about the current instance.
virtual void	to_setting (Setting &set) const
	This method save all the instance properties into the Setting structure.
virtual void	validate ()
	This method TODO.
Constructors
Construction of each epdf should support two types of constructors: empty constructor, copy constructor, The following constructors should be supported for convenience: constructor followed by calling `set_parameters()` constructor accepting random variables calling `set_rv()` All internal data structures are constructed as empty. Their values (including sizes) will be set by method `set_parameters()`. This way references can be initialized in constructors.
void	set_parameters (int dim0)
Matematical Operations
virtual mat	sample_m (int N) const
	Returns N samples, $[x_1 , x_2 , \ldots \$ from density .
virtual vec	evallog_m (const Array< vec > &Avec) const
	Compute log-probability of multiple values argument `val`.
virtual void	qbounds (vec &lb, vec &ub, double percentage=0.95) const
	Lower and upper bounds of `percentage` % quantile, returns mean-2*sigma as default.
Connection to other classes
Description of the random quantity via attribute `rv` is optional. For operations such as sampling `rv` does not need to be set. However, for `marginalization` and `conditioning` `rv` has to be set. NB:
bool	isnamed () const
	True if rv is assigned.
const RV &	_rv () const
	Return name (fails when isnamed is false).
Access to attributes
int	dimension () const
	Size of the random variable.
Protected Attributes
vec	w
	weights of the components
Array< shared_ptr< epdf > >	Coms
	Component (epdfs).
int	dim
	dimension of the random variable
RV	rv
	Description of the random variable.