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| 67 | <h1>exp_family.h</h1><a href="exp__family_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 |
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| 68 | <a name="l00013"></a>00013 <span class="preprocessor">#ifndef EF_H</span> |
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| 69 | <a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define EF_H</span> |
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| 70 | <a name="l00015"></a>00015 <span class="preprocessor"></span> |
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| 71 | <a name="l00016"></a>00016 |
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| 72 | <a name="l00017"></a>00017 <span class="preprocessor">#include "../shared_ptr.h"</span> |
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| 73 | <a name="l00018"></a>00018 <span class="preprocessor">#include "../base/bdmbase.h"</span> |
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| 74 | <a name="l00019"></a>00019 <span class="preprocessor">#include "../math/chmat.h"</span> |
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| 75 | <a name="l00020"></a>00020 |
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| 76 | <a name="l00021"></a>00021 <span class="keyword">namespace </span>bdm |
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| 77 | <a name="l00022"></a>00022 { |
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| 78 | <a name="l00023"></a>00023 |
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| 79 | <a name="l00024"></a>00024 |
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| 80 | <a name="l00026"></a>00026 <span class="keyword">extern</span> Uniform_RNG UniRNG; |
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| 81 | <a name="l00028"></a>00028 <span class="keyword">extern</span> Normal_RNG NorRNG; |
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| 82 | <a name="l00030"></a>00030 <span class="keyword">extern</span> Gamma_RNG GamRNG; |
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| 83 | <a name="l00031"></a>00031 |
|---|
| 84 | <a name="l00038"></a><a class="code" href="classbdm_1_1eEF.html">00038</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
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| 85 | <a name="l00039"></a>00039 { |
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| 86 | <a name="l00040"></a>00040 <span class="keyword">public</span>: |
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| 87 | <a name="l00041"></a>00041 <span class="comment">// eEF() :epdf() {};</span> |
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| 88 | <a name="l00043"></a><a class="code" href="classbdm_1_1eEF.html#ad5459d472d0feca7cf1fb5f65c4b9ef4">00043</a> <span class="comment"></span> <a class="code" href="classbdm_1_1eEF.html#ad5459d472d0feca7cf1fb5f65c4b9ef4" title="default constructor">eEF</a> () : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> () {}; |
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| 89 | <a name="l00045"></a>00045 <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eEF.html#acd678fc9b02007a4b8d6692e746f1bf8" title="logarithm of the normalizing constant, ">lognc</a>() <span class="keyword">const</span> = 0; |
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| 90 | <a name="l00046"></a>00046 |
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| 91 | <a name="l00048"></a><a class="code" href="classbdm_1_1eEF.html#aa4135778ecd9ab774762936c82a097c6">00048</a> <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eEF.html#aa4135778ecd9ab774762936c82a097c6" title="Evaluate normalized log-probability.">evallog_nn</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
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| 92 | <a name="l00049"></a>00049 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
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| 93 | <a name="l00050"></a>00050 <span class="keywordflow">return</span> 0.0; |
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| 94 | <a name="l00051"></a>00051 } |
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| 95 | <a name="l00052"></a>00052 |
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| 96 | <a name="l00054"></a><a class="code" href="classbdm_1_1eEF.html#aa36d06ecdd6f4c79dc122510eaccc692">00054</a> <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eEF.html#aa36d06ecdd6f4c79dc122510eaccc692" title="Evaluate normalized log-probability.">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
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| 97 | <a name="l00055"></a>00055 <span class="keywordtype">double</span> tmp; |
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| 98 | <a name="l00056"></a>00056 tmp = <a class="code" href="classbdm_1_1eEF.html#aa4135778ecd9ab774762936c82a097c6" title="Evaluate normalized log-probability.">evallog_nn</a> (val) - <a class="code" href="classbdm_1_1eEF.html#acd678fc9b02007a4b8d6692e746f1bf8" title="logarithm of the normalizing constant, ">lognc</a>(); |
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| 99 | <a name="l00057"></a>00057 <span class="keywordflow">return</span> tmp; |
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| 100 | <a name="l00058"></a>00058 } |
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| 101 | <a name="l00060"></a><a class="code" href="classbdm_1_1eEF.html#a6886c60b6b690e503913240db5de0c6f">00060</a> <span class="keyword">virtual</span> vec <a class="code" href="classbdm_1_1eEF.html#a6886c60b6b690e503913240db5de0c6f" title="Evaluate normalized log-probability for many samples.">evallog_m</a> (<span class="keyword">const</span> mat &Val)<span class="keyword"> const </span>{ |
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| 102 | <a name="l00061"></a>00061 vec x (Val.cols()); |
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| 103 | <a name="l00062"></a>00062 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < Val.cols();i++) {x (i) = <a class="code" href="classbdm_1_1eEF.html#aa4135778ecd9ab774762936c82a097c6" title="Evaluate normalized log-probability.">evallog_nn</a> (Val.get_col (i)) ;} |
|---|
| 104 | <a name="l00063"></a>00063 <span class="keywordflow">return</span> x -<a class="code" href="classbdm_1_1eEF.html#acd678fc9b02007a4b8d6692e746f1bf8" title="logarithm of the normalizing constant, ">lognc</a>(); |
|---|
| 105 | <a name="l00064"></a>00064 } |
|---|
| 106 | <a name="l00066"></a><a class="code" href="classbdm_1_1eEF.html#ad793f4fd6d0dcec5f16bff0ae45fc7d5">00066</a> <span class="keyword">virtual</span> vec <a class="code" href="classbdm_1_1eEF.html#ad793f4fd6d0dcec5f16bff0ae45fc7d5" title="Evaluate normalized log-probability for many samples.">evallog_m</a> (<span class="keyword">const</span> Array<vec> &Val)<span class="keyword"> const </span>{ |
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| 107 | <a name="l00067"></a>00067 vec x (Val.length()); |
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| 108 | <a name="l00068"></a>00068 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < Val.length();i++) {x (i) = <a class="code" href="classbdm_1_1eEF.html#aa4135778ecd9ab774762936c82a097c6" title="Evaluate normalized log-probability.">evallog_nn</a> (Val (i)) ;} |
|---|
| 109 | <a name="l00069"></a>00069 <span class="keywordflow">return</span> x -<a class="code" href="classbdm_1_1eEF.html#acd678fc9b02007a4b8d6692e746f1bf8" title="logarithm of the normalizing constant, ">lognc</a>(); |
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| 110 | <a name="l00070"></a>00070 } |
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| 111 | <a name="l00071"></a>00071 |
|---|
| 112 | <a name="l00073"></a><a class="code" href="classbdm_1_1eEF.html#acf38af29e8e3d650c640509a52396053">00073</a> <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEF.html#acf38af29e8e3d650c640509a52396053" title="Power of the density, used e.g. to flatten the density.">pow</a> (<span class="keywordtype">double</span> p) { |
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| 113 | <a name="l00074"></a>00074 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
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| 114 | <a name="l00075"></a>00075 } |
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| 115 | <a name="l00076"></a>00076 }; |
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| 116 | <a name="l00077"></a>00077 |
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| 117 | <a name="l00078"></a>00078 |
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| 118 | <a name="l00080"></a><a class="code" href="classbdm_1_1BMEF.html">00080</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> |
|---|
| 119 | <a name="l00081"></a>00081 { |
|---|
| 120 | <a name="l00082"></a>00082 <span class="keyword">protected</span>: |
|---|
| 121 | <a name="l00084"></a><a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64">00084</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>; |
|---|
| 122 | <a name="l00086"></a><a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865">00086</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>; |
|---|
| 123 | <a name="l00087"></a>00087 <span class="keyword">public</span>: |
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| 124 | <a name="l00089"></a><a class="code" href="classbdm_1_1BMEF.html#a2def512872ed8a4fc3b702371ec0be55">00089</a> <a class="code" href="classbdm_1_1BMEF.html#a2def512872ed8a4fc3b702371ec0be55" title="Default constructor (=empty constructor).">BMEF</a> (<span class="keywordtype">double</span> frg0 = 1.0) : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> (), <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> (frg0) {} |
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| 125 | <a name="l00091"></a><a class="code" href="classbdm_1_1BMEF.html#a9662379513101405e159e76717104e62">00091</a> <a class="code" href="classbdm_1_1BMEF.html#a9662379513101405e159e76717104e62" title="Copy constructor.">BMEF</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> &B) : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> (B), <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> (B.<a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>), <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> (B.<a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>) {} |
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| 126 | <a name="l00093"></a><a class="code" href="classbdm_1_1BMEF.html#ad2b528b7a41ca67163152142f5404051">00093</a> <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1BMEF.html#ad2b528b7a41ca67163152142f5404051" title="get statistics from another model">set_statistics</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* BM0) { |
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| 127 | <a name="l00094"></a>00094 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
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| 128 | <a name="l00095"></a>00095 } |
|---|
| 129 | <a name="l00096"></a>00096 |
|---|
| 130 | <a name="l00098"></a><a class="code" href="classbdm_1_1BMEF.html#abf58deb99af2a6cc674f13ff90300de6">00098</a> <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1BMEF.html#abf58deb99af2a6cc674f13ff90300de6" title="Weighted update of sufficient statistics (Bayes rule).">bayes</a> (<span class="keyword">const</span> vec &data, <span class="keyword">const</span> <span class="keywordtype">double</span> w) {}; |
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| 131 | <a name="l00099"></a>00099 <span class="comment">//original Bayes</span> |
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| 132 | <a name="l00100"></a>00100 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1BMEF.html#abf58deb99af2a6cc674f13ff90300de6" title="Weighted update of sufficient statistics (Bayes rule).">bayes</a> (<span class="keyword">const</span> vec &dt); |
|---|
| 133 | <a name="l00101"></a>00101 |
|---|
| 134 | <a name="l00103"></a><a class="code" href="classbdm_1_1BMEF.html#ab2916a2e71a958665054473124d5e749">00103</a> <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1BMEF.html#ab2916a2e71a958665054473124d5e749" title="Flatten the posterior according to the given BMEF (of the same type!).">flatten</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> * B) { |
|---|
| 135 | <a name="l00104"></a>00104 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
|---|
| 136 | <a name="l00105"></a>00105 } |
|---|
| 137 | <a name="l00106"></a>00106 |
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| 138 | <a name="l00107"></a><a class="code" href="classbdm_1_1BMEF.html#a62d2e4691bed41a1efa6b9c2e35e5c67">00107</a> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* <a class="code" href="classbdm_1_1BMEF.html#a62d2e4691bed41a1efa6b9c2e35e5c67">_copy_</a> ()<span class="keyword"> const </span>{ |
|---|
| 139 | <a name="l00108"></a>00108 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"function _copy_ not implemented for this BM"</span>); |
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| 140 | <a name="l00109"></a>00109 <span class="keywordflow">return</span> NULL; |
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| 141 | <a name="l00110"></a>00110 } |
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| 142 | <a name="l00111"></a>00111 }; |
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| 143 | <a name="l00112"></a>00112 |
|---|
| 144 | <a name="l00113"></a>00113 <span class="keyword">template</span><<span class="keyword">class</span> sq_T, <span class="keyword">template</span> <<span class="keyword">typename</span>> <span class="keyword">class </span>TEpdf> |
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| 145 | <a name="l00114"></a>00114 <span class="keyword">class </span>mlnorm; |
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| 146 | <a name="l00115"></a>00115 |
|---|
| 147 | <a name="l00121"></a>00121 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
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| 148 | <a name="l00122"></a><a class="code" href="classbdm_1_1enorm.html">00122</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> |
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| 149 | <a name="l00123"></a>00123 { |
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| 150 | <a name="l00124"></a>00124 <span class="keyword">protected</span>: |
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| 151 | <a name="l00126"></a><a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7">00126</a> vec <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>; |
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| 152 | <a name="l00128"></a><a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2">00128</a> sq_T <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>; |
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| 153 | <a name="l00129"></a>00129 <span class="keyword">public</span>: |
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| 154 | <a name="l00132"></a>00132 |
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| 155 | <a name="l00133"></a>00133 <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a> () : <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> (), <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> (), <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a> () {}; |
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| 156 | <a name="l00134"></a>00134 <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a> (<span class="keyword">const</span> vec &<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>, <span class="keyword">const</span> sq_T &<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>) {set_parameters (mu, R);} |
|---|
| 157 | <a name="l00135"></a>00135 <span class="keywordtype">void</span> set_parameters (<span class="keyword">const</span> vec &<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>, <span class="keyword">const</span> sq_T &<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>); |
|---|
| 158 | <a name="l00145"></a>00145 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6">from_setting</a> (<span class="keyword">const</span> Setting &root); |
|---|
| 159 | <a name="l00146"></a><a class="code" href="classbdm_1_1enorm.html#a38eb17ecb75d94a50b6782fcf735cfea">00146</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a38eb17ecb75d94a50b6782fcf735cfea" title="This method TODO.">validate</a>() { |
|---|
| 160 | <a name="l00147"></a>00147 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>.length() == <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.rows(), <span class="stringliteral">"mu and R parameters do not match"</span>); |
|---|
| 161 | <a name="l00148"></a>00148 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>.length(); |
|---|
| 162 | <a name="l00149"></a>00149 } |
|---|
| 163 | <a name="l00151"></a>00151 |
|---|
| 164 | <a name="l00154"></a>00154 |
|---|
| 165 | <a name="l00156"></a>00156 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2" title="dupdate in exponential form (not really handy)">dupdate</a> (mat &v, <span class="keywordtype">double</span> nu = 1.0); |
|---|
| 166 | <a name="l00157"></a>00157 |
|---|
| 167 | <a name="l00158"></a>00158 vec <a class="code" href="classbdm_1_1enorm.html#ae1a48f52351ec3a349bd443b713b1766" title="Returns a sample, from density .">sample</a>() <span class="keyword">const</span>; |
|---|
| 168 | <a name="l00159"></a>00159 |
|---|
| 169 | <a name="l00160"></a>00160 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1enorm.html#ae13aeed5b543b2179bacdc4fa2ae47a3" title="Evaluate normalized log-probability.">evallog_nn</a> (<span class="keyword">const</span> vec &val) <span class="keyword">const</span>; |
|---|
| 170 | <a name="l00161"></a>00161 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1enorm.html#a25785343aff102cc5df1cab08ba16d32" title="logarithm of the normalizing constant, ">lognc</a> () <span class="keyword">const</span>; |
|---|
| 171 | <a name="l00162"></a><a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600">00162</a> vec <a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>;} |
|---|
| 172 | <a name="l00163"></a><a class="code" href="classbdm_1_1enorm.html#a729c75ef0fa8abae03d58ad1f81e6773">00163</a> vec <a class="code" href="classbdm_1_1enorm.html#a729c75ef0fa8abae03d58ad1f81e6773" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> diag (<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.to_mat());} |
|---|
| 173 | <a name="l00164"></a>00164 <span class="comment">// mlnorm<sq_T>* condition ( const RV &rvn ) const ; <=========== fails to cmpile. Why?</span> |
|---|
| 174 | <a name="l00165"></a>00165 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> <a class="code" href="classbdm_1_1enorm.html#a40201ca12c6900f7aeb493bb7c582e20" title="Return conditional density on the given RV, the remaining rvs will be in conditioning...">condition</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn ) <span class="keyword">const</span>; |
|---|
| 175 | <a name="l00166"></a>00166 |
|---|
| 176 | <a name="l00167"></a>00167 <span class="comment">// target not typed to mlnorm<sq_T, enorm<sq_T> > &</span> |
|---|
| 177 | <a name="l00168"></a>00168 <span class="comment">// because that doesn't compile (perhaps because we</span> |
|---|
| 178 | <a name="l00169"></a>00169 <span class="comment">// haven't finished defining enorm yet), but the type</span> |
|---|
| 179 | <a name="l00170"></a>00170 <span class="comment">// is required</span> |
|---|
| 180 | <a name="l00171"></a>00171 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a40201ca12c6900f7aeb493bb7c582e20" title="Return conditional density on the given RV, the remaining rvs will be in conditioning...">condition</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling , where is random variable, rv, and...">mpdf</a> &target ) <span class="keyword">const</span>; |
|---|
| 181 | <a name="l00172"></a>00172 |
|---|
| 182 | <a name="l00173"></a>00173 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<epdf></a> <a class="code" href="classbdm_1_1enorm.html#adcb739443669ba0a8faf634196284c08" title="Return marginal density on the given RV, the remainig rvs are intergrated out.">marginal</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn ) <span class="keyword">const</span>; |
|---|
| 183 | <a name="l00174"></a>00174 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#adcb739443669ba0a8faf634196284c08" title="Return marginal density on the given RV, the remainig rvs are intergrated out.">marginal</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn, <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a> &target ) <span class="keyword">const</span>; |
|---|
| 184 | <a name="l00176"></a>00176 |
|---|
| 185 | <a name="l00179"></a>00179 |
|---|
| 186 | <a name="l00180"></a>00180 vec& _mu() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>;} |
|---|
| 187 | <a name="l00181"></a>00181 <span class="keyword">const</span> vec& _mu()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>;} |
|---|
| 188 | <a name="l00182"></a>00182 <span class="keywordtype">void</span> set_mu (<span class="keyword">const</span> vec mu0) { <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> = mu0;} |
|---|
| 189 | <a name="l00183"></a>00183 sq_T& _R() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>;} |
|---|
| 190 | <a name="l00184"></a>00184 <span class="keyword">const</span> sq_T& _R()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>;} |
|---|
| 191 | <a name="l00186"></a>00186 |
|---|
| 192 | <a name="l00187"></a>00187 }; |
|---|
| 193 | <a name="l00188"></a>00188 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (enorm, chmat); |
|---|
| 194 | <a name="l00189"></a>00189 SHAREDPTR2 ( enorm, chmat ); |
|---|
| 195 | <a name="l00190"></a>00190 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (enorm, ldmat); |
|---|
| 196 | <a name="l00191"></a>00191 SHAREDPTR2 ( enorm, ldmat ); |
|---|
| 197 | <a name="l00192"></a>00192 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (enorm, fsqmat); |
|---|
| 198 | <a name="l00193"></a>00193 SHAREDPTR2 ( enorm, fsqmat ); |
|---|
| 199 | <a name="l00194"></a>00194 |
|---|
| 200 | <a name="l00195"></a>00195 |
|---|
| 201 | <a name="l00202"></a><a class="code" href="classbdm_1_1egiw.html">00202</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> |
|---|
| 202 | <a name="l00203"></a>00203 { |
|---|
| 203 | <a name="l00204"></a>00204 <span class="keyword">protected</span>: |
|---|
| 204 | <a name="l00206"></a><a class="code" href="classbdm_1_1egiw.html#aae56852845c6af176fd9017dbebbbd52">00206</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1egiw.html#aae56852845c6af176fd9017dbebbbd52" title="Extended information matrix of sufficient statistics.">V</a>; |
|---|
| 205 | <a name="l00208"></a><a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4">00208</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a>; |
|---|
| 206 | <a name="l00210"></a><a class="code" href="classbdm_1_1egiw.html#a23e4d78bea7e98840f3da30e76a2b57a">00210</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1egiw.html#a23e4d78bea7e98840f3da30e76a2b57a" title="Dimension of the output.">dimx</a>; |
|---|
| 207 | <a name="l00212"></a><a class="code" href="classbdm_1_1egiw.html#a322414c32d9a21a006a5aab0311f64fd">00212</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1egiw.html#a322414c32d9a21a006a5aab0311f64fd" title="Dimension of the regressor.">nPsi</a>; |
|---|
| 208 | <a name="l00213"></a>00213 <span class="keyword">public</span>: |
|---|
| 209 | <a name="l00216"></a>00216 <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a>() : <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a>() {}; |
|---|
| 210 | <a name="l00217"></a>00217 <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> (<span class="keywordtype">int</span> dimx0, <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> V0, <span class="keywordtype">double</span> nu0 = -1.0) : <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a>() {set_parameters (dimx0, V0, nu0);}; |
|---|
| 211 | <a name="l00218"></a>00218 |
|---|
| 212 | <a name="l00219"></a>00219 <span class="keywordtype">void</span> set_parameters (<span class="keywordtype">int</span> dimx0, ldmat V0, <span class="keywordtype">double</span> nu0 = -1.0); |
|---|
| 213 | <a name="l00221"></a>00221 |
|---|
| 214 | <a name="l00222"></a>00222 vec <a class="code" href="classbdm_1_1egiw.html#a920f21548b7a3723923dd108fe514c61" title="Returns a sample, from density .">sample</a>() <span class="keyword">const</span>; |
|---|
| 215 | <a name="l00223"></a>00223 vec <a class="code" href="classbdm_1_1egiw.html#adf70c05f918c3a6f86d60f10c1fd6ba2" title="return expected value">mean</a>() <span class="keyword">const</span>; |
|---|
| 216 | <a name="l00224"></a>00224 vec <a class="code" href="classbdm_1_1egiw.html#ac1ecc406613cc2341225dc10c3d3b46a" title="return expected variance (not covariance!)">variance</a>() <span class="keyword">const</span>; |
|---|
| 217 | <a name="l00225"></a>00225 |
|---|
| 218 | <a name="l00227"></a>00227 vec <a class="code" href="classbdm_1_1egiw.html#a66d2ba9295c306012b309efcc9e516f0" title="LS estimate of .">est_theta</a>() <span class="keyword">const</span>; |
|---|
| 219 | <a name="l00228"></a>00228 |
|---|
| 220 | <a name="l00230"></a>00230 ldmat <a class="code" href="classbdm_1_1egiw.html#a88c321a2051d1afdbb31a098896a717b" title="Covariance of the LS estimate.">est_theta_cov</a>() <span class="keyword">const</span>; |
|---|
| 221 | <a name="l00231"></a>00231 |
|---|
| 222 | <a name="l00233"></a>00233 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1egiw.html#ad2075aa2306648b3e4fe40bb86628d5c" title="expected values of the linear coefficient and the covariance matrix are written to...">mean_mat</a> (mat &M, mat&R) <span class="keyword">const</span>; |
|---|
| 223 | <a name="l00235"></a>00235 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1egiw.html#abfb8e7c619b34ad804a73bff71742b5e" title="In this instance, val= [theta, r]. For multivariate instances, it is stored columnwise...">evallog_nn</a> (<span class="keyword">const</span> vec &val) <span class="keyword">const</span>; |
|---|
| 224 | <a name="l00236"></a>00236 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1egiw.html#a41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a> () <span class="keyword">const</span>; |
|---|
| 225 | <a name="l00237"></a><a class="code" href="classbdm_1_1egiw.html#a8e610e95401a11baf34f65e16ecd87be">00237</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1egiw.html#a8e610e95401a11baf34f65e16ecd87be" title="Power of the density, used e.g. to flatten the density.">pow</a> (<span class="keywordtype">double</span> p) {<a class="code" href="classbdm_1_1egiw.html#aae56852845c6af176fd9017dbebbbd52" title="Extended information matrix of sufficient statistics.">V</a> *= p;<a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a> *= p;}; |
|---|
| 226 | <a name="l00238"></a>00238 |
|---|
| 227 | <a name="l00241"></a>00241 |
|---|
| 228 | <a name="l00242"></a>00242 <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>& _V() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1egiw.html#aae56852845c6af176fd9017dbebbbd52" title="Extended information matrix of sufficient statistics.">V</a>;} |
|---|
| 229 | <a name="l00243"></a>00243 <span class="keyword">const</span> ldmat& _V()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1egiw.html#aae56852845c6af176fd9017dbebbbd52" title="Extended information matrix of sufficient statistics.">V</a>;} |
|---|
| 230 | <a name="l00244"></a>00244 <span class="keywordtype">double</span>& _nu() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a>;} |
|---|
| 231 | <a name="l00245"></a>00245 <span class="keyword">const</span> <span class="keywordtype">double</span>& _nu()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a>;} |
|---|
| 232 | <a name="l00260"></a><a class="code" href="classbdm_1_1egiw.html#a55b76ec75bd2df5ef9cab3be20a33bbb">00260</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1egiw.html#a55b76ec75bd2df5ef9cab3be20a33bbb">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 233 | <a name="l00261"></a>00261 <a class="code" href="classbdm_1_1egiw.html#a55b76ec75bd2df5ef9cab3be20a33bbb">epdf::from_setting</a>(<span class="keyword">set</span>); |
|---|
| 234 | <a name="l00262"></a>00262 <span class="keywordflow">if</span> (!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a>, <span class="keyword">set</span>, <span class="stringliteral">"nu"</span>, UI::compulsory)) {<a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a>=-1;} |
|---|
| 235 | <a name="l00263"></a>00263 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1egiw.html#a23e4d78bea7e98840f3da30e76a2b57a" title="Dimension of the output.">dimx</a>, <span class="keyword">set</span>, <span class="stringliteral">"dimx"</span>, UI::compulsory); |
|---|
| 236 | <a name="l00264"></a>00264 mat <a class="code" href="classbdm_1_1egiw.html#aae56852845c6af176fd9017dbebbbd52" title="Extended information matrix of sufficient statistics.">V</a>; |
|---|
| 237 | <a name="l00265"></a>00265 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (V, <span class="keyword">set</span>, <span class="stringliteral">"V"</span>, UI::compulsory); |
|---|
| 238 | <a name="l00266"></a>00266 set_parameters (<a class="code" href="classbdm_1_1egiw.html#a23e4d78bea7e98840f3da30e76a2b57a" title="Dimension of the output.">dimx</a>, V, <a class="code" href="classbdm_1_1egiw.html#a447eacf19d4f4083872686f044814dc4" title="Number of data records (degrees of freedom) of sufficient statistics.">nu</a>); |
|---|
| 239 | <a name="l00267"></a>00267 } |
|---|
| 240 | <a name="l00269"></a>00269 }; |
|---|
| 241 | <a name="l00270"></a>00270 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> ( egiw ); |
|---|
| 242 | <a name="l00271"></a>00271 SHAREDPTR ( egiw ); |
|---|
| 243 | <a name="l00272"></a>00272 |
|---|
| 244 | <a name="l00281"></a><a class="code" href="classbdm_1_1eDirich.html">00281</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> |
|---|
| 245 | <a name="l00282"></a>00282 { |
|---|
| 246 | <a name="l00283"></a>00283 <span class="keyword">protected</span>: |
|---|
| 247 | <a name="l00285"></a><a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2">00285</a> vec <a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>; |
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| 248 | <a name="l00286"></a>00286 <span class="keyword">public</span>: |
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| 249 | <a name="l00289"></a>00289 |
|---|
| 250 | <a name="l00290"></a>00290 <a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a> () : <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> () {}; |
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| 251 | <a name="l00291"></a>00291 <a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a> &D0) : <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> () {set_parameters (D0.<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>);}; |
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| 252 | <a name="l00292"></a>00292 eDirich (<span class="keyword">const</span> vec &beta0) {set_parameters (beta0);}; |
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| 253 | <a name="l00293"></a>00293 <span class="keywordtype">void</span> set_parameters (<span class="keyword">const</span> vec &beta0) { |
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| 254 | <a name="l00294"></a>00294 <a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a> = beta0; |
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| 255 | <a name="l00295"></a>00295 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>.length(); |
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| 256 | <a name="l00296"></a>00296 } |
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| 257 | <a name="l00298"></a>00298 |
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| 258 | <a name="l00299"></a><a class="code" href="classbdm_1_1eDirich.html#a3290613d31d58daa8a45a54b003871fc">00299</a> vec <a class="code" href="classbdm_1_1eDirich.html#a3290613d31d58daa8a45a54b003871fc" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{ |
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| 259 | <a name="l00300"></a>00300 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
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| 260 | <a name="l00301"></a>00301 <span class="keywordflow">return</span> vec(); |
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| 261 | <a name="l00302"></a>00302 } |
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| 262 | <a name="l00303"></a>00303 |
|---|
| 263 | <a name="l00304"></a><a class="code" href="classbdm_1_1eDirich.html#acb343355ec791298bb5a3404cd482fb6">00304</a> vec <a class="code" href="classbdm_1_1eDirich.html#acb343355ec791298bb5a3404cd482fb6" title="return expected value">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a> / sum (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>);}; |
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| 264 | <a name="l00305"></a><a class="code" href="classbdm_1_1eDirich.html#a43c547a2507e233706f92712d8c2aacc">00305</a> vec <a class="code" href="classbdm_1_1eDirich.html#a43c547a2507e233706f92712d8c2aacc" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{<span class="keywordtype">double</span> gamma = sum (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>); <span class="keywordflow">return</span> elem_mult (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>, (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a> + 1)) / (gamma* (gamma + 1));} |
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| 265 | <a name="l00307"></a><a class="code" href="classbdm_1_1eDirich.html#ae09a24938e80c3d94b0ee842d1552318">00307</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eDirich.html#ae09a24938e80c3d94b0ee842d1552318" title="In this instance, val is ...">evallog_nn</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
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| 266 | <a name="l00308"></a>00308 <span class="keywordtype">double</span> tmp; tmp = (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a> - 1) * log (val); |
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| 267 | <a name="l00309"></a>00309 <span class="keywordflow">return</span> tmp; |
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| 268 | <a name="l00310"></a>00310 } |
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| 269 | <a name="l00311"></a>00311 |
|---|
| 270 | <a name="l00312"></a><a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2">00312</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a> ()<span class="keyword"> const </span>{ |
|---|
| 271 | <a name="l00313"></a>00313 <span class="keywordtype">double</span> tmp; |
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| 272 | <a name="l00314"></a>00314 <span class="keywordtype">double</span> gam = sum (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>); |
|---|
| 273 | <a name="l00315"></a>00315 <span class="keywordtype">double</span> lgb = 0.0; |
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| 274 | <a name="l00316"></a>00316 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>.length();i++) {lgb += lgamma (<a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a> (i));} |
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| 275 | <a name="l00317"></a>00317 tmp = lgb - lgamma (gam); |
|---|
| 276 | <a name="l00318"></a>00318 <span class="keywordflow">return</span> tmp; |
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| 277 | <a name="l00319"></a>00319 } |
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| 278 | <a name="l00320"></a>00320 |
|---|
| 279 | <a name="l00322"></a><a class="code" href="classbdm_1_1eDirich.html#a175e0add26d2105c28d8121eefb9e324">00322</a> vec& <a class="code" href="classbdm_1_1eDirich.html#a175e0add26d2105c28d8121eefb9e324" title="access function">_beta</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eDirich.html#af25886a49b4667af61245de81c83b5d2" title="sufficient statistics">beta</a>;} |
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| 280 | <a name="l00324"></a>00324 }; |
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| 281 | <a name="l00325"></a>00325 |
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| 282 | <a name="l00327"></a><a class="code" href="classbdm_1_1multiBM.html">00327</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1multiBM.html" title="Estimator for Multinomial density.">multiBM</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> |
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| 283 | <a name="l00328"></a>00328 { |
|---|
| 284 | <a name="l00329"></a>00329 <span class="keyword">protected</span>: |
|---|
| 285 | <a name="l00331"></a><a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a">00331</a> <a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a> <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>; |
|---|
| 286 | <a name="l00333"></a><a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25">00333</a> vec &<a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a>; |
|---|
| 287 | <a name="l00334"></a>00334 <span class="keyword">public</span>: |
|---|
| 288 | <a name="l00336"></a><a class="code" href="classbdm_1_1multiBM.html#ac4dd6d9522a8a605776d21bac9bd9daf">00336</a> <a class="code" href="classbdm_1_1multiBM.html#ac4dd6d9522a8a605776d21bac9bd9daf" title="Default constructor.">multiBM</a> () : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (), <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a> (), <a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> (<a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>._beta()) { |
|---|
| 289 | <a name="l00337"></a>00337 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a>.length() > 0) {<a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>();} |
|---|
| 290 | <a name="l00338"></a>00338 <span class="keywordflow">else</span>{<a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = 0.0;} |
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| 291 | <a name="l00339"></a>00339 } |
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| 292 | <a name="l00341"></a><a class="code" href="classbdm_1_1multiBM.html#ac4378cf8037f6bed29c74eea63344b31">00341</a> <a class="code" href="classbdm_1_1multiBM.html#ac4378cf8037f6bed29c74eea63344b31" title="Copy constructor.">multiBM</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1multiBM.html" title="Estimator for Multinomial density.">multiBM</a> &B) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (B), <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a> (B.<a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>), <a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> (<a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>._beta()) {} |
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| 293 | <a name="l00343"></a><a class="code" href="classbdm_1_1multiBM.html#adbe6b90d410dc062a233d1dc09eeba52">00343</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1multiBM.html#adbe6b90d410dc062a233d1dc09eeba52" title="Sets sufficient statistics to match that of givefrom mB0.">set_statistics</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* mB0) {<span class="keyword">const</span> <a class="code" href="classbdm_1_1multiBM.html" title="Estimator for Multinomial density.">multiBM</a>* mB = <span class="keyword">dynamic_cast<</span><span class="keyword">const </span><a class="code" href="classbdm_1_1multiBM.html" title="Estimator for Multinomial density.">multiBM</a>*<span class="keyword">></span> (mB0); <a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> = mB-><a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a>;} |
|---|
| 294 | <a name="l00344"></a><a class="code" href="classbdm_1_1multiBM.html#a1e4bf41b61937fd80f34049742e23f95">00344</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1multiBM.html#a1e4bf41b61937fd80f34049742e23f95" title="Incremental Bayes rule.">bayes</a> (<span class="keyword">const</span> vec &dt) { |
|---|
| 295 | <a name="l00345"></a>00345 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> < 1.0) {<a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> *= <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>;<a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>();} |
|---|
| 296 | <a name="l00346"></a>00346 <a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> += dt; |
|---|
| 297 | <a name="l00347"></a>00347 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>) {<a class="code" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a" title="Logarithm of marginalized data likelihood.">ll</a> = <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>() - <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>;} |
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| 298 | <a name="l00348"></a>00348 } |
|---|
| 299 | <a name="l00349"></a><a class="code" href="classbdm_1_1multiBM.html#ae157b607c1e3fa91d42aeea44458e2bf">00349</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1multiBM.html#ae157b607c1e3fa91d42aeea44458e2bf">logpred</a> (<span class="keyword">const</span> vec &dt)<span class="keyword"> const </span>{ |
|---|
| 300 | <a name="l00350"></a>00350 <a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a> pred (<a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>); |
|---|
| 301 | <a name="l00351"></a>00351 vec &<a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> = pred.<a class="code" href="classbdm_1_1eDirich.html#a175e0add26d2105c28d8121eefb9e324" title="access function">_beta</a>(); |
|---|
| 302 | <a name="l00352"></a>00352 |
|---|
| 303 | <a name="l00353"></a>00353 <span class="keywordtype">double</span> lll; |
|---|
| 304 | <a name="l00354"></a>00354 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> < 1.0) |
|---|
| 305 | <a name="l00355"></a>00355 {beta *= <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>;lll = pred.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>();} |
|---|
| 306 | <a name="l00356"></a>00356 <span class="keywordflow">else</span> |
|---|
| 307 | <a name="l00357"></a>00357 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>) {lll = <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>;} |
|---|
| 308 | <a name="l00358"></a>00358 <span class="keywordflow">else</span>{lll = pred.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>();} |
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| 309 | <a name="l00359"></a>00359 |
|---|
| 310 | <a name="l00360"></a>00360 beta += dt; |
|---|
| 311 | <a name="l00361"></a>00361 <span class="keywordflow">return</span> pred.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>() - lll; |
|---|
| 312 | <a name="l00362"></a>00362 } |
|---|
| 313 | <a name="l00363"></a>00363 <span class="keywordtype">void</span> flatten (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* B) { |
|---|
| 314 | <a name="l00364"></a>00364 <span class="keyword">const</span> <a class="code" href="classbdm_1_1multiBM.html" title="Estimator for Multinomial density.">multiBM</a>* E = <span class="keyword">dynamic_cast<</span><span class="keyword">const </span><a class="code" href="classbdm_1_1multiBM.html" title="Estimator for Multinomial density.">multiBM</a>*<span class="keyword">></span> (B); |
|---|
| 315 | <a name="l00365"></a>00365 <span class="comment">// sum(beta) should be equal to sum(B.beta)</span> |
|---|
| 316 | <a name="l00366"></a>00366 <span class="keyword">const</span> vec &Eb = E-><a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a>;<span class="comment">//const_cast<multiBM*> ( E )->_beta();</span> |
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| 317 | <a name="l00367"></a>00367 <a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a> *= (sum (Eb) / sum (<a class="code" href="classbdm_1_1multiBM.html#a044263356944c92209eecd39a5187d25" title="Pointer inside est to sufficient statistics.">beta</a>)); |
|---|
| 318 | <a name="l00368"></a>00368 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>) {<a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>();} |
|---|
| 319 | <a name="l00369"></a>00369 } |
|---|
| 320 | <a name="l00371"></a><a class="code" href="classbdm_1_1multiBM.html#a31ff93f89473f099e489b9e1dc8d9513">00371</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1eDirich.html" title="Dirichlet posterior density.">eDirich</a>& <a class="code" href="classbdm_1_1multiBM.html#a31ff93f89473f099e489b9e1dc8d9513" title="reimplemnetation of BM::posterior()">posterior</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>;}; |
|---|
| 321 | <a name="l00373"></a><a class="code" href="classbdm_1_1multiBM.html#a7a480eace4446661bacca94c57499f01">00373</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1multiBM.html#a7a480eace4446661bacca94c57499f01" title="constructor function">set_parameters</a> (<span class="keyword">const</span> vec &beta0) { |
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| 322 | <a name="l00374"></a>00374 <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>.set_parameters (beta0); |
|---|
| 323 | <a name="l00375"></a>00375 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>) {<a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1multiBM.html#a9ecc6878abbd20eb8d8e43b6ab3f941a" title="Conjugate prior and posterior.">est</a>.<a class="code" href="classbdm_1_1eDirich.html#a279a99f6266c82fe2273e83841f19eb2" title="logarithm of the normalizing constant, ">lognc</a>();} |
|---|
| 324 | <a name="l00376"></a>00376 } |
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| 325 | <a name="l00377"></a>00377 }; |
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| 326 | <a name="l00378"></a>00378 |
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| 327 | <a name="l00388"></a><a class="code" href="classbdm_1_1egamma.html">00388</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> |
|---|
| 328 | <a name="l00389"></a>00389 { |
|---|
| 329 | <a name="l00390"></a>00390 <span class="keyword">protected</span>: |
|---|
| 330 | <a name="l00392"></a><a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa">00392</a> vec <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>; |
|---|
| 331 | <a name="l00394"></a><a class="code" href="classbdm_1_1egamma.html#a457bfb1ccb2057df85073e519a15ccc1">00394</a> vec <a class="code" href="classbdm_1_1egamma.html#a457bfb1ccb2057df85073e519a15ccc1" title="Vector .">beta</a>; |
|---|
| 332 | <a name="l00395"></a>00395 <span class="keyword">public</span> : |
|---|
| 333 | <a name="l00398"></a>00398 <a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a> () : <a class="code" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density.">eEF</a> (), <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a> (0), <a class="code" href="classbdm_1_1egamma.html#a457bfb1ccb2057df85073e519a15ccc1" title="Vector .">beta</a> (0) {}; |
|---|
| 334 | <a name="l00399"></a>00399 <a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a> (<span class="keyword">const</span> vec &a, <span class="keyword">const</span> vec &b) {set_parameters (a, b);}; |
|---|
| 335 | <a name="l00400"></a>00400 <span class="keywordtype">void</span> set_parameters (<span class="keyword">const</span> vec &a, <span class="keyword">const</span> vec &b) {<a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a> = a, <a class="code" href="classbdm_1_1egamma.html#a457bfb1ccb2057df85073e519a15ccc1" title="Vector .">beta</a> = b;<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>.length();}; |
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| 336 | <a name="l00402"></a>00402 |
|---|
| 337 | <a name="l00403"></a>00403 vec <a class="code" href="classbdm_1_1egamma.html#a6ed82f0fd05f6002487256d8e75a0bbd" title="Returns a sample, from density .">sample</a>() <span class="keyword">const</span>; |
|---|
| 338 | <a name="l00404"></a>00404 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1egamma.html#aa8e11e5a580ff42a1b205974c60768c6" title="Evaluate normalized log-probability.">evallog</a> (<span class="keyword">const</span> vec &val) <span class="keyword">const</span>; |
|---|
| 339 | <a name="l00405"></a>00405 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1egamma.html#a9a66cbd100e8520c769ccb3c451f86f8" title="logarithm of the normalizing constant, ">lognc</a> () <span class="keyword">const</span>; |
|---|
| 340 | <a name="l00407"></a><a class="code" href="classbdm_1_1egamma.html#a0865cb3d6339fdc7410806cf70a329ed">00407</a> vec& <a class="code" href="classbdm_1_1egamma.html#a0865cb3d6339fdc7410806cf70a329ed" title="Returns pointer to internal alpha. Potentially dengerous: use with care!">_alpha</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>;} |
|---|
| 341 | <a name="l00409"></a><a class="code" href="classbdm_1_1egamma.html#ac42cadd9cbd344caaa69b0b433cd16ca">00409</a> vec& <a class="code" href="classbdm_1_1egamma.html#ac42cadd9cbd344caaa69b0b433cd16ca" title="Returns pointer to internal beta. Potentially dengerous: use with care!">_beta</a>() {<span class="keywordflow">return</span> beta;} |
|---|
| 342 | <a name="l00410"></a><a class="code" href="classbdm_1_1egamma.html#a49d256c42cce14c6faa56ec242b57e85">00410</a> vec <a class="code" href="classbdm_1_1egamma.html#a49d256c42cce14c6faa56ec242b57e85" title="return expected value">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> elem_div (<a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>, beta);} |
|---|
| 343 | <a name="l00411"></a><a class="code" href="classbdm_1_1egamma.html#a36986cc01917cd0796fadc17125bdec1">00411</a> vec <a class="code" href="classbdm_1_1egamma.html#a36986cc01917cd0796fadc17125bdec1" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> elem_div (<a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>, elem_mult (beta, beta)); } |
|---|
| 344 | <a name="l00412"></a>00412 |
|---|
| 345 | <a name="l00423"></a><a class="code" href="classbdm_1_1egamma.html#a8a6fd1a1c0190f3e0d95a2a1f99aafc1">00423</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1egamma.html#a8a6fd1a1c0190f3e0d95a2a1f99aafc1">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 346 | <a name="l00424"></a>00424 <a class="code" href="classbdm_1_1egamma.html#a8a6fd1a1c0190f3e0d95a2a1f99aafc1">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv</span> |
|---|
| 347 | <a name="l00425"></a>00425 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>, <span class="keyword">set</span>, <span class="stringliteral">"alpha"</span>, UI::compulsory); |
|---|
| 348 | <a name="l00426"></a>00426 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (beta, <span class="keyword">set</span>, <span class="stringliteral">"beta"</span>, UI::compulsory); |
|---|
| 349 | <a name="l00427"></a>00427 <a class="code" href="classbdm_1_1egamma.html#ac3a8d8ae8ba79d0fb35036711fa7d127" title="This method TODO.">validate</a>(); |
|---|
| 350 | <a name="l00428"></a>00428 } |
|---|
| 351 | <a name="l00429"></a><a class="code" href="classbdm_1_1egamma.html#ac3a8d8ae8ba79d0fb35036711fa7d127">00429</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1egamma.html#ac3a8d8ae8ba79d0fb35036711fa7d127" title="This method TODO.">validate</a>() { |
|---|
| 352 | <a name="l00430"></a>00430 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>.length() == beta.length(), <span class="stringliteral">"parameters do not match"</span>); |
|---|
| 353 | <a name="l00431"></a>00431 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a>.length(); |
|---|
| 354 | <a name="l00432"></a>00432 } |
|---|
| 355 | <a name="l00433"></a>00433 }; |
|---|
| 356 | <a name="l00434"></a>00434 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (egamma); |
|---|
| 357 | <a name="l00435"></a>00435 SHAREDPTR ( egamma ); |
|---|
| 358 | <a name="l00436"></a>00436 |
|---|
| 359 | <a name="l00453"></a><a class="code" href="classbdm_1_1eigamma.html">00453</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a> |
|---|
| 360 | <a name="l00454"></a>00454 { |
|---|
| 361 | <a name="l00455"></a>00455 <span class="keyword">protected</span>: |
|---|
| 362 | <a name="l00456"></a>00456 <span class="keyword">public</span> : |
|---|
| 363 | <a name="l00461"></a>00461 |
|---|
| 364 | <a name="l00462"></a><a class="code" href="classbdm_1_1eigamma.html#a3aff7bf25ddac27731c60826fcfd878f">00462</a> vec <a class="code" href="classbdm_1_1eigamma.html#a3aff7bf25ddac27731c60826fcfd878f" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> 1.0 / <a class="code" href="classbdm_1_1eigamma.html#a3aff7bf25ddac27731c60826fcfd878f" title="Returns a sample, from density .">egamma::sample</a>();}; |
|---|
| 365 | <a name="l00464"></a><a class="code" href="classbdm_1_1eigamma.html#a46cecb295edbabd28120cb0f6f572bcb">00464</a> vec <a class="code" href="classbdm_1_1eigamma.html#a46cecb295edbabd28120cb0f6f572bcb" title="Returns poiter to alpha and beta. Potentially dangerous: use with care!">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> elem_div (<a class="code" href="classbdm_1_1egamma.html#a457bfb1ccb2057df85073e519a15ccc1" title="Vector .">beta</a>, <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a> - 1);} |
|---|
| 366 | <a name="l00465"></a><a class="code" href="classbdm_1_1eigamma.html#ac2c696f8c668e9f65392c9449f6a5133">00465</a> vec <a class="code" href="classbdm_1_1eigamma.html#ac2c696f8c668e9f65392c9449f6a5133" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{vec mea = <a class="code" href="classbdm_1_1eigamma.html#a46cecb295edbabd28120cb0f6f572bcb" title="Returns poiter to alpha and beta. Potentially dangerous: use with care!">mean</a>(); <span class="keywordflow">return</span> elem_div (elem_mult (mea, mea), <a class="code" href="classbdm_1_1egamma.html#a0901ec983e66b8337aaa506e13b122fa" title="Vector .">alpha</a> - 2);} |
|---|
| 367 | <a name="l00466"></a>00466 }; |
|---|
| 368 | <a name="l00467"></a>00467 <span class="comment">/*</span> |
|---|
| 369 | <a name="l00469"></a>00469 <span class="comment">class emix : public epdf {</span> |
|---|
| 370 | <a name="l00470"></a>00470 <span class="comment">protected:</span> |
|---|
| 371 | <a name="l00471"></a>00471 <span class="comment"> int n;</span> |
|---|
| 372 | <a name="l00472"></a>00472 <span class="comment"> vec &w;</span> |
|---|
| 373 | <a name="l00473"></a>00473 <span class="comment"> Array<epdf*> Coms;</span> |
|---|
| 374 | <a name="l00474"></a>00474 <span class="comment">public:</span> |
|---|
| 375 | <a name="l00476"></a>00476 <span class="comment"> emix ( const RV &rv, vec &w0): epdf(rv), n(w0.length()), w(w0), Coms(n) {};</span> |
|---|
| 376 | <a name="l00477"></a>00477 <span class="comment"> void set_parameters( int &i, double wi, epdf* ep){w(i)=wi;Coms(i)=ep;}</span> |
|---|
| 377 | <a name="l00478"></a>00478 <span class="comment"> vec mean(){vec pom; for(int i=0;i<n;i++){pom+=Coms(i)->mean()*w(i);} return pom;};</span> |
|---|
| 378 | <a name="l00479"></a>00479 <span class="comment">};</span> |
|---|
| 379 | <a name="l00480"></a>00480 <span class="comment">*/</span> |
|---|
| 380 | <a name="l00481"></a>00481 |
|---|
| 381 | <a name="l00483"></a>00483 |
|---|
| 382 | <a name="l00484"></a><a class="code" href="classbdm_1_1euni.html">00484</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1euni.html" title="Uniform distributed density on a rectangular support.">euni</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
|---|
| 383 | <a name="l00485"></a>00485 { |
|---|
| 384 | <a name="l00486"></a>00486 <span class="keyword">protected</span>: |
|---|
| 385 | <a name="l00488"></a><a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32">00488</a> vec <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>; |
|---|
| 386 | <a name="l00490"></a><a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1">00490</a> vec <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>; |
|---|
| 387 | <a name="l00492"></a><a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c">00492</a> vec <a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>; |
|---|
| 388 | <a name="l00494"></a><a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20">00494</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a>; |
|---|
| 389 | <a name="l00496"></a><a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476">00496</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a>; |
|---|
| 390 | <a name="l00497"></a>00497 <span class="keyword">public</span>: |
|---|
| 391 | <a name="l00500"></a>00500 <a class="code" href="classbdm_1_1euni.html" title="Uniform distributed density on a rectangular support.">euni</a> () : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> () {} |
|---|
| 392 | <a name="l00501"></a>00501 <a class="code" href="classbdm_1_1euni.html" title="Uniform distributed density on a rectangular support.">euni</a> (<span class="keyword">const</span> vec &low0, <span class="keyword">const</span> vec &high0) {set_parameters (low0, high0);} |
|---|
| 393 | <a name="l00502"></a>00502 <span class="keywordtype">void</span> set_parameters (<span class="keyword">const</span> vec &low0, <span class="keyword">const</span> vec &high0) { |
|---|
| 394 | <a name="l00503"></a>00503 <a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a> = high0 - low0; |
|---|
| 395 | <a name="l00504"></a>00504 <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a> = low0; |
|---|
| 396 | <a name="l00505"></a>00505 <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a> = high0; |
|---|
| 397 | <a name="l00506"></a>00506 <a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a> = prod (1.0 / <a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>); |
|---|
| 398 | <a name="l00507"></a>00507 <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a> = log (<a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a>); |
|---|
| 399 | <a name="l00508"></a>00508 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>.length(); |
|---|
| 400 | <a name="l00509"></a>00509 } |
|---|
| 401 | <a name="l00511"></a>00511 |
|---|
| 402 | <a name="l00512"></a><a class="code" href="classbdm_1_1euni.html#acaa07b8307bd793d5339d6583e0aba81">00512</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1euni.html#acaa07b8307bd793d5339d6583e0aba81" title="Compute log-probability of argument val In case the argument is out of suport return...">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
|---|
| 403 | <a name="l00513"></a>00513 <span class="keywordflow">if</span> (any (val < <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>) && any (val > <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>)) {<span class="keywordflow">return</span> inf;} |
|---|
| 404 | <a name="l00514"></a>00514 <span class="keywordflow">else</span> <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a>; |
|---|
| 405 | <a name="l00515"></a>00515 } |
|---|
| 406 | <a name="l00516"></a><a class="code" href="classbdm_1_1euni.html#afc5df80359ead2918384b2004ce67194">00516</a> vec <a class="code" href="classbdm_1_1euni.html#afc5df80359ead2918384b2004ce67194" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{ |
|---|
| 407 | <a name="l00517"></a>00517 vec smp (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
|---|
| 408 | <a name="l00518"></a>00518 <span class="preprocessor">#pragma omp critical</span> |
|---|
| 409 | <a name="l00519"></a>00519 <span class="preprocessor"></span> UniRNG.sample_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> , smp); |
|---|
| 410 | <a name="l00520"></a>00520 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a> + elem_mult (<a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>, smp); |
|---|
| 411 | <a name="l00521"></a>00521 } |
|---|
| 412 | <a name="l00523"></a><a class="code" href="classbdm_1_1euni.html#a46caa8c13aba2e6228f964208918b226">00523</a> vec <a class="code" href="classbdm_1_1euni.html#a46caa8c13aba2e6228f964208918b226" title="set values of low and high ">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a> -<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>) / 2.0;} |
|---|
| 413 | <a name="l00524"></a><a class="code" href="classbdm_1_1euni.html#a951f932155111f6053c980f672b4c22c">00524</a> vec <a class="code" href="classbdm_1_1euni.html#a951f932155111f6053c980f672b4c22c" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> (pow (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, 2) + pow (<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>, 2) + elem_mult (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>)) / 3.0;} |
|---|
| 414 | <a name="l00535"></a><a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">00535</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 415 | <a name="l00536"></a>00536 <a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv and rvc</span> |
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| 416 | <a name="l00537"></a>00537 |
|---|
| 417 | <a name="l00538"></a>00538 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, <span class="keyword">set</span>, <span class="stringliteral">"high"</span>, UI::compulsory); |
|---|
| 418 | <a name="l00539"></a>00539 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>, <span class="keyword">set</span>, <span class="stringliteral">"low"</span>, UI::compulsory); |
|---|
| 419 | <a name="l00540"></a>00540 set_parameters(<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>,<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>); |
|---|
| 420 | <a name="l00541"></a>00541 <a class="code" href="classbdm_1_1euni.html#a70c5a7dcf7cb0f7ea83b9165f31868e9" title="This method TODO.">validate</a>(); |
|---|
| 421 | <a name="l00542"></a>00542 } |
|---|
| 422 | <a name="l00543"></a><a class="code" href="classbdm_1_1euni.html#a70c5a7dcf7cb0f7ea83b9165f31868e9">00543</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1euni.html#a70c5a7dcf7cb0f7ea83b9165f31868e9" title="This method TODO.">validate</a>() { |
|---|
| 423 | <a name="l00544"></a>00544 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>.length()==<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>.length(), <span class="stringliteral">"Incompatible high and low vectors"</span>); |
|---|
| 424 | <a name="l00545"></a>00545 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>.length(); |
|---|
| 425 | <a name="l00546"></a>00546 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (min (<a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>) > 0.0, <span class="stringliteral">"bad support"</span>); |
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| 426 | <a name="l00547"></a>00547 } |
|---|
| 427 | <a name="l00548"></a>00548 }; |
|---|
| 428 | <a name="l00549"></a>00549 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(euni); |
|---|
| 429 | <a name="l00550"></a>00550 |
|---|
| 430 | <a name="l00556"></a>00556 <span class="keyword">template</span> < <span class="keyword">class</span> sq_T, <span class="keyword">template</span> <<span class="keyword">typename</span>> <span class="keyword">class </span>TEpdf = enorm > |
|---|
| 431 | <a name="l00557"></a><a class="code" href="classbdm_1_1mlnorm.html">00557</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> > |
|---|
| 432 | <a name="l00558"></a>00558 { |
|---|
| 433 | <a name="l00559"></a>00559 <span class="keyword">protected</span>: |
|---|
| 434 | <a name="l00561"></a><a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42">00561</a> mat <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>; |
|---|
| 435 | <a name="l00563"></a><a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6">00563</a> vec <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
|---|
| 436 | <a name="l00564"></a>00564 <span class="comment">// vec& _mu; //cached epdf.mu; !!!!!! WHY NOT?</span> |
|---|
| 437 | <a name="l00565"></a>00565 <span class="keyword">public</span>: |
|---|
| 438 | <a name="l00568"></a>00568 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> >() {}; |
|---|
| 439 | <a name="l00569"></a>00569 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a> (<span class="keyword">const</span> mat &<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R) : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> >() { |
|---|
| 440 | <a name="l00570"></a>00570 <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (A, mu0, R); |
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| 441 | <a name="l00571"></a>00571 } |
|---|
| 442 | <a name="l00572"></a>00572 |
|---|
| 443 | <a name="l00574"></a><a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5">00574</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R0) { |
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| 444 | <a name="l00575"></a>00575 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (A0.rows()), R0); |
|---|
| 445 | <a name="l00576"></a>00576 <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> = A0; |
|---|
| 446 | <a name="l00577"></a>00577 <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a> = mu0; |
|---|
| 447 | <a name="l00578"></a>00578 this-><a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = A0.cols(); |
|---|
| 448 | <a name="l00579"></a>00579 } |
|---|
| 449 | <a name="l00582"></a><a class="code" href="classbdm_1_1mlnorm.html#ac2895ae549ee76d961be98d7061bd110">00582</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#ac2895ae549ee76d961be98d7061bd110">condition</a> (<span class="keyword">const</span> vec &cond) { |
|---|
| 450 | <a name="l00583"></a>00583 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> * cond + <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
|---|
| 451 | <a name="l00584"></a>00584 <span class="comment">//R is already assigned;</span> |
|---|
| 452 | <a name="l00585"></a>00585 } |
|---|
| 453 | <a name="l00586"></a>00586 |
|---|
| 454 | <a name="l00588"></a><a class="code" href="classbdm_1_1mlnorm.html#af6b0b4b0b17271525ad02660a4087cf7">00588</a> <span class="keyword">const</span> vec& <a class="code" href="classbdm_1_1mlnorm.html#af6b0b4b0b17271525ad02660a4087cf7" title="access function">_mu_const</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>;} |
|---|
| 455 | <a name="l00590"></a><a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23">00590</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23" title="access function">_A</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>;} |
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| 456 | <a name="l00592"></a><a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43">00592</a> mat <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>()<span class="keyword"> const </span>{ <span class="keywordflow">return</span> this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._R().to_mat(); } |
|---|
| 457 | <a name="l00593"></a>00593 |
|---|
| 458 | <a name="l00595"></a>00595 <span class="keyword">template</span><<span class="keyword">typename</span> sq_M> |
|---|
| 459 | <a name="l00596"></a>00596 <span class="keyword">friend</span> std::ostream &operator<< (std::ostream &os, mlnorm<sq_M, enorm> &ml); |
|---|
| 460 | <a name="l00597"></a>00597 |
|---|
| 461 | <a name="l00608"></a><a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564">00608</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 462 | <a name="l00609"></a>00609 <a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564">mpdf::from_setting</a> (<span class="keyword">set</span>); |
|---|
| 463 | <a name="l00610"></a>00610 |
|---|
| 464 | <a name="l00611"></a>00611 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">"A"</span>, UI::compulsory); |
|---|
| 465 | <a name="l00612"></a>00612 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>, <span class="keyword">set</span>, <span class="stringliteral">"const"</span>, UI::compulsory); |
|---|
| 466 | <a name="l00613"></a>00613 mat R0; |
|---|
| 467 | <a name="l00614"></a>00614 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (R0, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
|---|
| 468 | <a name="l00615"></a>00615 <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>, R0); |
|---|
| 469 | <a name="l00616"></a>00616 <a class="code" href="classbdm_1_1mlnorm.html#acafcb3fb9bad8ff5fd51897f6eb10924" title="This method TODO.">validate</a>(); |
|---|
| 470 | <a name="l00617"></a>00617 }; |
|---|
| 471 | <a name="l00618"></a><a class="code" href="classbdm_1_1mlnorm.html#acafcb3fb9bad8ff5fd51897f6eb10924">00618</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#acafcb3fb9bad8ff5fd51897f6eb10924" title="This method TODO.">validate</a>() { |
|---|
| 472 | <a name="l00619"></a>00619 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>.rows() == <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>.length(), <span class="stringliteral">"mlnorm: A vs. mu mismatch"</span>); |
|---|
| 473 | <a name="l00620"></a>00620 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>.rows() == <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>().rows(), <span class="stringliteral">"mlnorm: A vs. R mismatch"</span>); |
|---|
| 474 | <a name="l00621"></a>00621 |
|---|
| 475 | <a name="l00622"></a>00622 } |
|---|
| 476 | <a name="l00623"></a>00623 }; |
|---|
| 477 | <a name="l00624"></a>00624 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm,ldmat); |
|---|
| 478 | <a name="l00625"></a>00625 SHAREDPTR2 ( mlnorm, ldmat ); |
|---|
| 479 | <a name="l00626"></a>00626 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm,fsqmat); |
|---|
| 480 | <a name="l00627"></a>00627 SHAREDPTR2 ( mlnorm, fsqmat ); |
|---|
| 481 | <a name="l00628"></a>00628 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm, chmat); |
|---|
| 482 | <a name="l00629"></a>00629 SHAREDPTR2 ( mlnorm, chmat ); |
|---|
| 483 | <a name="l00630"></a>00630 |
|---|
| 484 | <a name="l00632"></a>00632 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 485 | <a name="l00633"></a><a class="code" href="classbdm_1_1mgnorm.html">00633</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgnorm.html" title="Mpdf with general function for mean value.">mgnorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< enorm< sq_T > > |
|---|
| 486 | <a name="l00634"></a>00634 { |
|---|
| 487 | <a name="l00635"></a>00635 <span class="keyword">private</span>: |
|---|
| 488 | <a name="l00636"></a>00636 <span class="comment">// vec &mu; WHY NOT?</span> |
|---|
| 489 | <a name="l00637"></a>00637 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> g; |
|---|
| 490 | <a name="l00638"></a>00638 |
|---|
| 491 | <a name="l00639"></a>00639 <span class="keyword">public</span>: |
|---|
| 492 | <a name="l00641"></a><a class="code" href="classbdm_1_1mgnorm.html#a1b014915d74470d3efab74e07cacb97d">00641</a> <a class="code" href="classbdm_1_1mgnorm.html#a1b014915d74470d3efab74e07cacb97d" title="default constructor">mgnorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><sq_T> >() { } |
|---|
| 493 | <a name="l00643"></a>00643 <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> &g0, <span class="keyword">const</span> sq_T &R0); |
|---|
| 494 | <a name="l00644"></a>00644 <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab31d63472cf6a1030cd8dbd8094c1f6d" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &cond); |
|---|
| 495 | <a name="l00645"></a>00645 |
|---|
| 496 | <a name="l00646"></a>00646 |
|---|
| 497 | <a name="l00665"></a><a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">00665</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 498 | <a name="l00666"></a>00666 <a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">mpdf::from_setting</a>(<span class="keyword">set</span>); |
|---|
| 499 | <a name="l00667"></a>00667 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> g = UI::build<fnc> (<span class="keyword">set</span>, <span class="stringliteral">"g"</span>, UI::compulsory); |
|---|
| 500 | <a name="l00668"></a>00668 |
|---|
| 501 | <a name="l00669"></a>00669 mat R; |
|---|
| 502 | <a name="l00670"></a>00670 vec dR; |
|---|
| 503 | <a name="l00671"></a>00671 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (dR, <span class="keyword">set</span>, <span class="stringliteral">"dR"</span>)) |
|---|
| 504 | <a name="l00672"></a>00672 R = diag (dR); |
|---|
| 505 | <a name="l00673"></a>00673 <span class="keywordflow">else</span> |
|---|
| 506 | <a name="l00674"></a>00674 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (R, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
|---|
| 507 | <a name="l00675"></a>00675 |
|---|
| 508 | <a name="l00676"></a>00676 <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">set_parameters</a> (g, R); |
|---|
| 509 | <a name="l00677"></a>00677 <a class="code" href="classbdm_1_1mgnorm.html#aa5cbae3b521d010016af26a3a3124158" title="This method TODO.">validate</a>(); |
|---|
| 510 | <a name="l00678"></a>00678 } |
|---|
| 511 | <a name="l00679"></a><a class="code" href="classbdm_1_1mgnorm.html#aa5cbae3b521d010016af26a3a3124158">00679</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#aa5cbae3b521d010016af26a3a3124158" title="This method TODO.">validate</a>() { |
|---|
| 512 | <a name="l00680"></a>00680 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(g->dimension()==this->dimension(),<span class="stringliteral">"incompatible function"</span>); |
|---|
| 513 | <a name="l00681"></a>00681 } |
|---|
| 514 | <a name="l00682"></a>00682 }; |
|---|
| 515 | <a name="l00683"></a>00683 |
|---|
| 516 | <a name="l00684"></a>00684 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mgnorm, chmat); |
|---|
| 517 | <a name="l00685"></a>00685 SHAREDPTR2 ( mgnorm, chmat ); |
|---|
| 518 | <a name="l00686"></a>00686 |
|---|
| 519 | <a name="l00687"></a>00687 |
|---|
| 520 | <a name="l00695"></a><a class="code" href="classbdm_1_1mlstudent.html">00695</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a><ldmat, enorm> |
|---|
| 521 | <a name="l00696"></a>00696 { |
|---|
| 522 | <a name="l00697"></a>00697 <span class="keyword">protected</span>: |
|---|
| 523 | <a name="l00699"></a><a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657">00699</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>; |
|---|
| 524 | <a name="l00701"></a><a class="code" href="classbdm_1_1mlstudent.html#a72e9bda4d6684e07faafc4b2192daf39">00701</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>; |
|---|
| 525 | <a name="l00703"></a><a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8">00703</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a>; |
|---|
| 526 | <a name="l00704"></a>00704 <span class="keyword">public</span>: |
|---|
| 527 | <a name="l00705"></a>00705 <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a> () : <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a><<a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>, <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a>> (), |
|---|
| 528 | <a name="l00706"></a>00706 <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a> (), <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>()) {} |
|---|
| 529 | <a name="l00708"></a><a class="code" href="classbdm_1_1mlstudent.html#a4cdf79aac1b2165c0290e73810a0e4a3">00708</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#a4cdf79aac1b2165c0290e73810a0e4a3" title="constructor function">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &R0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>& Lambda0) { |
|---|
| 530 | <a name="l00709"></a>00709 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (mu0, R0);<span class="comment">// was Lambda, why?</span> |
|---|
| 531 | <a name="l00710"></a>00710 <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> = A0; |
|---|
| 532 | <a name="l00711"></a>00711 <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a> = mu0; |
|---|
| 533 | <a name="l00712"></a>00712 <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a> = R0; |
|---|
| 534 | <a name="l00713"></a>00713 <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a> = Lambda0; |
|---|
| 535 | <a name="l00714"></a>00714 } |
|---|
| 536 | <a name="l00715"></a><a class="code" href="classbdm_1_1mlstudent.html#aefd37560585c8613897f30d3c2f58d0d">00715</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#aefd37560585c8613897f30d3c2f58d0d">condition</a> (<span class="keyword">const</span> vec &cond) { |
|---|
| 537 | <a name="l00716"></a>00716 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> * cond + <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
|---|
| 538 | <a name="l00717"></a>00717 <span class="keywordtype">double</span> zeta; |
|---|
| 539 | <a name="l00718"></a>00718 <span class="comment">//ugly hack!</span> |
|---|
| 540 | <a name="l00719"></a>00719 <span class="keywordflow">if</span> ( (cond.length() + 1) == <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>()) { |
|---|
| 541 | <a name="l00720"></a>00720 zeta = <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1ldmat.html#af743de194aadb8515cf18226fadf365f" title="Evaluates quadratic form ;.">invqform</a> (concat (cond, vec_1 (1.0))); |
|---|
| 542 | <a name="l00721"></a>00721 } <span class="keywordflow">else</span> { |
|---|
| 543 | <a name="l00722"></a>00722 zeta = <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1ldmat.html#af743de194aadb8515cf18226fadf365f" title="Evaluates quadratic form ;.">invqform</a> (cond); |
|---|
| 544 | <a name="l00723"></a>00723 } |
|---|
| 545 | <a name="l00724"></a>00724 <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> = <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a>; |
|---|
| 546 | <a name="l00725"></a>00725 <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> *= (1 + zeta);<span class="comment">// / ( nu ); << nu is in Re!!!!!!</span> |
|---|
| 547 | <a name="l00726"></a>00726 }; |
|---|
| 548 | <a name="l00727"></a>00727 |
|---|
| 549 | <a name="l00728"></a><a class="code" href="classbdm_1_1mlstudent.html#a55869e091bca0e2af1c3667c05ba6261">00728</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#a55869e091bca0e2af1c3667c05ba6261" title="This method TODO.">validate</a>() { |
|---|
| 550 | <a name="l00729"></a>00729 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>.rows() == <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>.length(), <span class="stringliteral">"mlstudent: A vs. mu mismatch"</span>); |
|---|
| 551 | <a name="l00730"></a>00730 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>.rows() == <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>.rows(), <span class="stringliteral">"mlstudent: A vs. R mismatch"</span>); |
|---|
| 552 | <a name="l00731"></a>00731 |
|---|
| 553 | <a name="l00732"></a>00732 } |
|---|
| 554 | <a name="l00733"></a>00733 }; |
|---|
| 555 | <a name="l00743"></a><a class="code" href="classbdm_1_1mgamma.html">00743</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><egamma> |
|---|
| 556 | <a name="l00744"></a>00744 { |
|---|
| 557 | <a name="l00745"></a>00745 <span class="keyword">protected</span>: |
|---|
| 558 | <a name="l00746"></a>00746 |
|---|
| 559 | <a name="l00748"></a><a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09">00748</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>; |
|---|
| 560 | <a name="l00749"></a>00749 |
|---|
| 561 | <a name="l00751"></a><a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312">00751</a> vec &<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a>; |
|---|
| 562 | <a name="l00752"></a>00752 |
|---|
| 563 | <a name="l00753"></a>00753 <span class="keyword">public</span>: |
|---|
| 564 | <a name="l00755"></a><a class="code" href="classbdm_1_1mgamma.html#a1a9dc8661e5b214a8185d6e6b9956eb1">00755</a> <a class="code" href="classbdm_1_1mgamma.html#a1a9dc8661e5b214a8185d6e6b9956eb1" title="Constructor.">mgamma</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a>>(), <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> (0), |
|---|
| 565 | <a name="l00756"></a>00756 <a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a>()) { |
|---|
| 566 | <a name="l00757"></a>00757 } |
|---|
| 567 | <a name="l00758"></a>00758 |
|---|
| 568 | <a name="l00760"></a>00760 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#aa0f21c2557b233a85838b497d040ab14" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, <span class="keyword">const</span> vec &beta0); |
|---|
| 569 | <a name="l00761"></a>00761 |
|---|
| 570 | <a name="l00762"></a><a class="code" href="classbdm_1_1mgamma.html#a8996500f1885e39cde30221b20900bff">00762</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#a8996500f1885e39cde30221b20900bff" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) {<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> = <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> / val;}; |
|---|
| 571 | <a name="l00774"></a><a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">00774</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 572 | <a name="l00775"></a>00775 <a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">mpdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv and rvc</span> |
|---|
| 573 | <a name="l00776"></a>00776 vec betatmp; <span class="comment">// ugly but necessary</span> |
|---|
| 574 | <a name="l00777"></a>00777 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (betatmp, <span class="keyword">set</span>, <span class="stringliteral">"beta"</span>, UI::compulsory); |
|---|
| 575 | <a name="l00778"></a>00778 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, <span class="keyword">set</span>, <span class="stringliteral">"k"</span>, UI::compulsory); |
|---|
| 576 | <a name="l00779"></a>00779 <a class="code" href="classbdm_1_1mgamma.html#aa0f21c2557b233a85838b497d040ab14" title="Set value of k.">set_parameters</a> (<a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, betatmp); |
|---|
| 577 | <a name="l00780"></a>00780 } |
|---|
| 578 | <a name="l00781"></a>00781 }; |
|---|
| 579 | <a name="l00782"></a>00782 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (mgamma); |
|---|
| 580 | <a name="l00783"></a>00783 SHAREDPTR (mgamma); |
|---|
| 581 | <a name="l00784"></a>00784 |
|---|
| 582 | <a name="l00794"></a><a class="code" href="classbdm_1_1migamma.html">00794</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><eigamma> |
|---|
| 583 | <a name="l00795"></a>00795 { |
|---|
| 584 | <a name="l00796"></a>00796 <span class="keyword">protected</span>: |
|---|
| 585 | <a name="l00798"></a><a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c">00798</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>; |
|---|
| 586 | <a name="l00799"></a>00799 |
|---|
| 587 | <a name="l00801"></a><a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc">00801</a> vec &<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>; |
|---|
| 588 | <a name="l00802"></a>00802 |
|---|
| 589 | <a name="l00804"></a><a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5">00804</a> vec &<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>; |
|---|
| 590 | <a name="l00805"></a>00805 |
|---|
| 591 | <a name="l00806"></a>00806 <span class="keyword">public</span>: |
|---|
| 592 | <a name="l00809"></a>00809 <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a>>(), |
|---|
| 593 | <a name="l00810"></a>00810 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> (0), |
|---|
| 594 | <a name="l00811"></a>00811 <a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>()), |
|---|
| 595 | <a name="l00812"></a>00812 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>()) { |
|---|
| 596 | <a name="l00813"></a>00813 } |
|---|
| 597 | <a name="l00814"></a>00814 |
|---|
| 598 | <a name="l00815"></a>00815 <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> &m) : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a>>(), |
|---|
| 599 | <a name="l00816"></a>00816 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> (0), |
|---|
| 600 | <a name="l00817"></a>00817 <a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>()), |
|---|
| 601 | <a name="l00818"></a>00818 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>()) { |
|---|
| 602 | <a name="l00819"></a>00819 } |
|---|
| 603 | <a name="l00821"></a>00821 |
|---|
| 604 | <a name="l00823"></a><a class="code" href="classbdm_1_1migamma.html#a8b10ab922e2a7bae2fb6bb3efc7b6151">00823</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma.html#a8b10ab922e2a7bae2fb6bb3efc7b6151" title="Set value of k.">set_parameters</a> (<span class="keywordtype">int</span> len, <span class="keywordtype">double</span> k0) { |
|---|
| 605 | <a name="l00824"></a>00824 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> = k0; |
|---|
| 606 | <a name="l00825"></a>00825 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters ( (1.0 / (<a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>*<a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>) + 2.0) *ones (len) <span class="comment">/*alpha*/</span>, ones (len) <span class="comment">/*beta*/</span>); |
|---|
| 607 | <a name="l00826"></a>00826 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
|---|
| 608 | <a name="l00827"></a>00827 }; |
|---|
| 609 | <a name="l00828"></a><a class="code" href="classbdm_1_1migamma.html#a7a34b1e2e3aa2250d7c0ed7df1665b8c">00828</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma.html#a7a34b1e2e3aa2250d7c0ed7df1665b8c" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
|---|
| 610 | <a name="l00829"></a>00829 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> = elem_mult (val, (<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> - 1.0)); |
|---|
| 611 | <a name="l00830"></a>00830 }; |
|---|
| 612 | <a name="l00831"></a>00831 }; |
|---|
| 613 | <a name="l00832"></a>00832 |
|---|
| 614 | <a name="l00833"></a>00833 |
|---|
| 615 | <a name="l00845"></a><a class="code" href="classbdm_1_1mgamma__fix.html">00845</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgamma__fix.html" title="Gamma random walk around a fixed point.">mgamma_fix</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> |
|---|
| 616 | <a name="l00846"></a>00846 { |
|---|
| 617 | <a name="l00847"></a>00847 <span class="keyword">protected</span>: |
|---|
| 618 | <a name="l00849"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa">00849</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a>; |
|---|
| 619 | <a name="l00851"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2">00851</a> vec <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a>; |
|---|
| 620 | <a name="l00852"></a>00852 <span class="keyword">public</span>: |
|---|
| 621 | <a name="l00854"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a9a31bc9b4b60188a18a2a6b588dc4b2d">00854</a> <a class="code" href="classbdm_1_1mgamma__fix.html#a9a31bc9b4b60188a18a2a6b588dc4b2d" title="Constructor.">mgamma_fix</a> () : <a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> (), <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a> () {}; |
|---|
| 622 | <a name="l00856"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2">00856</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> k0 , vec ref0, <span class="keywordtype">double</span> l0) { |
|---|
| 623 | <a name="l00857"></a>00857 <a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2" title="Set value of k.">mgamma::set_parameters</a> (k0, ref0); |
|---|
| 624 | <a name="l00858"></a>00858 <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a> = pow (ref0, 1.0 - l0);<a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a> = l0; |
|---|
| 625 | <a name="l00859"></a>00859 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
|---|
| 626 | <a name="l00860"></a>00860 }; |
|---|
| 627 | <a name="l00861"></a>00861 |
|---|
| 628 | <a name="l00862"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1d539591deb7a38bb3403c2b396c8ff7">00862</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1d539591deb7a38bb3403c2b396c8ff7" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) {vec mean = elem_mult (<a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a>, pow (val, <a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a>)); <a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> = <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> / mean;}; |
|---|
| 629 | <a name="l00863"></a>00863 }; |
|---|
| 630 | <a name="l00864"></a>00864 |
|---|
| 631 | <a name="l00865"></a>00865 |
|---|
| 632 | <a name="l00878"></a><a class="code" href="classbdm_1_1migamma__ref.html">00878</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1migamma__ref.html" title="Inverse-Gamma random walk around a fixed point.">migamma_ref</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> |
|---|
| 633 | <a name="l00879"></a>00879 { |
|---|
| 634 | <a name="l00880"></a>00880 <span class="keyword">protected</span>: |
|---|
| 635 | <a name="l00882"></a><a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d">00882</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a>; |
|---|
| 636 | <a name="l00884"></a><a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6">00884</a> vec <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a>; |
|---|
| 637 | <a name="l00885"></a>00885 <span class="keyword">public</span>: |
|---|
| 638 | <a name="l00887"></a><a class="code" href="classbdm_1_1migamma__ref.html#af45b15a10f084991ba6b48295f10421f">00887</a> <a class="code" href="classbdm_1_1migamma__ref.html#af45b15a10f084991ba6b48295f10421f" title="Constructor.">migamma_ref</a> () : <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> (), <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a> () {}; |
|---|
| 639 | <a name="l00889"></a><a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800">00889</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> k0 , vec ref0, <span class="keywordtype">double</span> l0) { |
|---|
| 640 | <a name="l00890"></a>00890 <a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800" title="Set value of k.">migamma::set_parameters</a> (ref0.length(), k0); |
|---|
| 641 | <a name="l00891"></a>00891 <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a> = pow (ref0, 1.0 - l0); |
|---|
| 642 | <a name="l00892"></a>00892 <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a> = l0; |
|---|
| 643 | <a name="l00893"></a>00893 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
|---|
| 644 | <a name="l00894"></a>00894 }; |
|---|
| 645 | <a name="l00895"></a>00895 |
|---|
| 646 | <a name="l00896"></a><a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a">00896</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
|---|
| 647 | <a name="l00897"></a>00897 vec mean = elem_mult (<a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a>, pow (val, <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a>)); |
|---|
| 648 | <a name="l00898"></a>00898 <a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">migamma::condition</a> (mean); |
|---|
| 649 | <a name="l00899"></a>00899 }; |
|---|
| 650 | <a name="l00900"></a>00900 |
|---|
| 651 | <a name="l00901"></a>00901 |
|---|
| 652 | <a name="l00914"></a>00914 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#a9e7e0f7d2aa9ecca8ec1af8cbcb5ef1d">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
|---|
| 653 | <a name="l00915"></a>00915 |
|---|
| 654 | <a name="l00916"></a>00916 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
|---|
| 655 | <a name="l00917"></a>00917 }; |
|---|
| 656 | <a name="l00918"></a>00918 |
|---|
| 657 | <a name="l00919"></a>00919 |
|---|
| 658 | <a name="l00920"></a>00920 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (migamma_ref); |
|---|
| 659 | <a name="l00921"></a>00921 SHAREDPTR (migamma_ref); |
|---|
| 660 | <a name="l00922"></a>00922 |
|---|
| 661 | <a name="l00933"></a><a class="code" href="classbdm_1_1elognorm.html">00933</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1elognorm.html">elognorm</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><ldmat> |
|---|
| 662 | <a name="l00934"></a>00934 { |
|---|
| 663 | <a name="l00935"></a>00935 <span class="keyword">public</span>: |
|---|
| 664 | <a name="l00936"></a><a class="code" href="classbdm_1_1elognorm.html#a8b948e2bce1253765a2542199913aaba">00936</a> vec <a class="code" href="classbdm_1_1elognorm.html#a8b948e2bce1253765a2542199913aaba" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> exp (<a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<ldmat>::sample</a>());}; |
|---|
| 665 | <a name="l00937"></a><a class="code" href="classbdm_1_1elognorm.html#aadb41e4f4d6600dec6f8c1dbc5ed9eea">00937</a> vec <a class="code" href="classbdm_1_1elognorm.html#aadb41e4f4d6600dec6f8c1dbc5ed9eea" title="return expected value">mean</a>()<span class="keyword"> const </span>{vec var = <a class="code" href="classbdm_1_1enorm.html#a729c75ef0fa8abae03d58ad1f81e6773" title="return expected variance (not covariance!)">enorm<ldmat>::variance</a>();<span class="keywordflow">return</span> exp (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> - 0.5*var);}; |
|---|
| 666 | <a name="l00938"></a>00938 |
|---|
| 667 | <a name="l00939"></a>00939 }; |
|---|
| 668 | <a name="l00940"></a>00940 |
|---|
| 669 | <a name="l00947"></a><a class="code" href="classbdm_1_1mlognorm.html">00947</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlognorm.html" title="Log-Normal random walk.">mlognorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><elognorm> |
|---|
| 670 | <a name="l00948"></a>00948 { |
|---|
| 671 | <a name="l00949"></a>00949 <span class="keyword">protected</span>: |
|---|
| 672 | <a name="l00951"></a><a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a">00951</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>; |
|---|
| 673 | <a name="l00952"></a>00952 |
|---|
| 674 | <a name="l00954"></a><a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2">00954</a> vec &<a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a>; |
|---|
| 675 | <a name="l00955"></a>00955 <span class="keyword">public</span>: |
|---|
| 676 | <a name="l00957"></a><a class="code" href="classbdm_1_1mlognorm.html#aa5d6eb2688d02e0348b96c4fbd7bde41">00957</a> <a class="code" href="classbdm_1_1mlognorm.html#aa5d6eb2688d02e0348b96c4fbd7bde41" title="Constructor.">mlognorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1elognorm.html">elognorm</a>>(), |
|---|
| 677 | <a name="l00958"></a>00958 <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a> (0), |
|---|
| 678 | <a name="l00959"></a>00959 <a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu()) { |
|---|
| 679 | <a name="l00960"></a>00960 } |
|---|
| 680 | <a name="l00961"></a>00961 |
|---|
| 681 | <a name="l00963"></a><a class="code" href="classbdm_1_1mlognorm.html#a604cab0e8a76f9041dc3c606043bb39f">00963</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a604cab0e8a76f9041dc3c606043bb39f" title="Set value of k.">set_parameters</a> (<span class="keywordtype">int</span> size, <span class="keywordtype">double</span> k) { |
|---|
| 682 | <a name="l00964"></a>00964 <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a> = 0.5 * log (k * k + 1); |
|---|
| 683 | <a name="l00965"></a>00965 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (size), 2*<a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>*eye (size)); |
|---|
| 684 | <a name="l00966"></a>00966 |
|---|
| 685 | <a name="l00967"></a>00967 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = size; |
|---|
| 686 | <a name="l00968"></a>00968 }; |
|---|
| 687 | <a name="l00969"></a>00969 |
|---|
| 688 | <a name="l00970"></a><a class="code" href="classbdm_1_1mlognorm.html#a9106d8fd8bdf2b6be675ffd8f3ca584e">00970</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a9106d8fd8bdf2b6be675ffd8f3ca584e" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
|---|
| 689 | <a name="l00971"></a>00971 <a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a> = log (val) - <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>;<span class="comment">//elem_mult ( refl,pow ( val,l ) );</span> |
|---|
| 690 | <a name="l00972"></a>00972 }; |
|---|
| 691 | <a name="l00973"></a>00973 |
|---|
| 692 | <a name="l00985"></a>00985 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a49e45ea13a869da607ef9be7a229128a">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
|---|
| 693 | <a name="l00986"></a>00986 |
|---|
| 694 | <a name="l00987"></a>00987 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
|---|
| 695 | <a name="l00988"></a>00988 |
|---|
| 696 | <a name="l00989"></a>00989 }; |
|---|
| 697 | <a name="l00990"></a>00990 |
|---|
| 698 | <a name="l00991"></a>00991 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (mlognorm); |
|---|
| 699 | <a name="l00992"></a>00992 SHAREDPTR (mlognorm); |
|---|
| 700 | <a name="l00993"></a>00993 |
|---|
| 701 | <a name="l00997"></a><a class="code" href="classbdm_1_1eWishartCh.html">00997</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eWishartCh.html">eWishartCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
|---|
| 702 | <a name="l00998"></a>00998 { |
|---|
| 703 | <a name="l00999"></a>00999 <span class="keyword">protected</span>: |
|---|
| 704 | <a name="l01001"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490">01001</a> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>; |
|---|
| 705 | <a name="l01003"></a><a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f">01003</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>; |
|---|
| 706 | <a name="l01005"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3">01005</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a>; |
|---|
| 707 | <a name="l01006"></a>01006 <span class="keyword">public</span>: |
|---|
| 708 | <a name="l01008"></a><a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0">01008</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0" title="Set internal structures.">set_parameters</a> (<span class="keyword">const</span> mat &Y0, <span class="keyword">const</span> <span class="keywordtype">double</span> delta0) {<a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a> = <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> (Y0);<a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a> = delta0; <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a> = <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>(); <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a> * <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>; } |
|---|
| 709 | <a name="l01010"></a><a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339">01010</a> mat <a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()<span class="keyword"> const </span>{ |
|---|
| 710 | <a name="l01011"></a>01011 mat X = zeros (<a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>, <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>); |
|---|
| 711 | <a name="l01012"></a>01012 |
|---|
| 712 | <a name="l01013"></a>01013 <span class="comment">//sample diagonal</span> |
|---|
| 713 | <a name="l01014"></a>01014 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>;i++) { |
|---|
| 714 | <a name="l01015"></a>01015 GamRNG.setup (0.5* (<a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a> - i) , 0.5); <span class="comment">// no +1 !! index if from 0</span> |
|---|
| 715 | <a name="l01016"></a>01016 <span class="preprocessor">#pragma omp critical</span> |
|---|
| 716 | <a name="l01017"></a>01017 <span class="preprocessor"></span> X (i, i) = sqrt (GamRNG()); |
|---|
| 717 | <a name="l01018"></a>01018 } |
|---|
| 718 | <a name="l01019"></a>01019 <span class="comment">//do the rest</span> |
|---|
| 719 | <a name="l01020"></a>01020 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < p;i++) { |
|---|
| 720 | <a name="l01021"></a>01021 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j = i + 1;j < p;j++) { |
|---|
| 721 | <a name="l01022"></a>01022 <span class="preprocessor">#pragma omp critical</span> |
|---|
| 722 | <a name="l01023"></a>01023 <span class="preprocessor"></span> X (i, j) = NorRNG.sample(); |
|---|
| 723 | <a name="l01024"></a>01024 } |
|---|
| 724 | <a name="l01025"></a>01025 } |
|---|
| 725 | <a name="l01026"></a>01026 <span class="keywordflow">return</span> X*<a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>();<span class="comment">// return upper triangular part of the decomposition</span> |
|---|
| 726 | <a name="l01027"></a>01027 } |
|---|
| 727 | <a name="l01028"></a><a class="code" href="classbdm_1_1eWishartCh.html#a8f2154b8b5be8f4c5788f261b6d57b9a">01028</a> vec <a class="code" href="classbdm_1_1eWishartCh.html#a8f2154b8b5be8f4c5788f261b6d57b9a" title="Returns a sample, from density .">sample</a> ()<span class="keyword"> const </span>{ |
|---|
| 728 | <a name="l01029"></a>01029 <span class="keywordflow">return</span> vec (<a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()._data(), <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>*<a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>); |
|---|
| 729 | <a name="l01030"></a>01030 } |
|---|
| 730 | <a name="l01032"></a><a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981">01032</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981" title="fast access function y0 will be copied into Y.Ch.">setY</a> (<span class="keyword">const</span> mat &Ch0) {copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, Ch0._data(), <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data());} |
|---|
| 731 | <a name="l01034"></a><a class="code" href="classbdm_1_1eWishartCh.html#a7eac414ec10b85aa5536b0092c57bc4a">01034</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a7eac414ec10b85aa5536b0092c57bc4a" title="fast access function y0 will be copied into Y.Ch.">_setY</a> (<span class="keyword">const</span> vec &ch0) {copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, ch0._data(), <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data()); } |
|---|
| 732 | <a name="l01036"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e">01036</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>& <a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e" title="access function">getY</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>;} |
|---|
| 733 | <a name="l01037"></a>01037 }; |
|---|
| 734 | <a name="l01038"></a>01038 |
|---|
| 735 | <a name="l01040"></a>01040 |
|---|
| 736 | <a name="l01042"></a><a class="code" href="classbdm_1_1eiWishartCh.html">01042</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eiWishartCh.html" title="Inverse Wishart on Choleski decomposition.">eiWishartCh</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
|---|
| 737 | <a name="l01043"></a>01043 { |
|---|
| 738 | <a name="l01044"></a>01044 <span class="keyword">protected</span>: |
|---|
| 739 | <a name="l01046"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a">01046</a> <a class="code" href="classbdm_1_1eWishartCh.html">eWishartCh</a> <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>; |
|---|
| 740 | <a name="l01048"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd">01048</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>; |
|---|
| 741 | <a name="l01050"></a><a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464">01050</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a>; |
|---|
| 742 | <a name="l01051"></a>01051 <span class="keyword">public</span>: |
|---|
| 743 | <a name="l01053"></a><a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3">01053</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3" title="constructor function">set_parameters</a> (<span class="keyword">const</span> mat &Y0, <span class="keyword">const</span> <span class="keywordtype">double</span> delta0) { |
|---|
| 744 | <a name="l01054"></a>01054 <a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a> = delta0; |
|---|
| 745 | <a name="l01055"></a>01055 <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0" title="Set internal structures.">set_parameters</a> (inv (Y0), delta0); |
|---|
| 746 | <a name="l01056"></a>01056 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(); <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a> = Y0.rows(); |
|---|
| 747 | <a name="l01057"></a>01057 } |
|---|
| 748 | <a name="l01058"></a><a class="code" href="classbdm_1_1eiWishartCh.html#a2f668192cc9c2e3a5b7e608164685a3e">01058</a> vec <a class="code" href="classbdm_1_1eiWishartCh.html#a2f668192cc9c2e3a5b7e608164685a3e" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{mat iCh; iCh = inv (<a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()); <span class="keywordflow">return</span> vec (iCh._data(), <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>);} |
|---|
| 749 | <a name="l01060"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5">01060</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5" title="access function">_setY</a> (<span class="keyword">const</span> vec &y0) { |
|---|
| 750 | <a name="l01061"></a>01061 mat Ch (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
|---|
| 751 | <a name="l01062"></a>01062 mat iCh (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
|---|
| 752 | <a name="l01063"></a>01063 copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, y0._data(), Ch._data()); |
|---|
| 753 | <a name="l01064"></a>01064 |
|---|
| 754 | <a name="l01065"></a>01065 iCh = inv (Ch); |
|---|
| 755 | <a name="l01066"></a>01066 <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981" title="fast access function y0 will be copied into Y.Ch.">setY</a> (iCh); |
|---|
| 756 | <a name="l01067"></a>01067 } |
|---|
| 757 | <a name="l01068"></a><a class="code" href="classbdm_1_1eiWishartCh.html#aa6ddbd815b8b666dd542e97f009f89bb">01068</a> <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eiWishartCh.html#aa6ddbd815b8b666dd542e97f009f89bb" title="Compute log-probability of argument val In case the argument is out of suport return...">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
|---|
| 758 | <a name="l01069"></a>01069 <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> X (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
|---|
| 759 | <a name="l01070"></a>01070 <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>& Y = <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e" title="access function">getY</a>(); |
|---|
| 760 | <a name="l01071"></a>01071 |
|---|
| 761 | <a name="l01072"></a>01072 copy_vector (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>*<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, val._data(), X.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data()); |
|---|
| 762 | <a name="l01073"></a>01073 <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> iX (p);X.<a class="code" href="classbdm_1_1chmat.html#acbf3389db96dff41fb2e9532d59b13c0" title="Inversion in the same form, i.e. cholesky.">inv</a> (iX); |
|---|
| 763 | <a name="l01074"></a>01074 <span class="comment">// compute</span> |
|---|
| 764 | <a name="l01075"></a>01075 <span class="comment">// \frac{ |\Psi|^{m/2}|X|^{-(m+p+1)/2}e^{-tr(\Psi X^{-1})/2} }{ 2^{mp/2}\Gamma_p(m/2)},</span> |
|---|
| 765 | <a name="l01076"></a>01076 mat M = Y.<a class="code" href="classbdm_1_1chmat.html#a4b4c5d4dbb8a3d585b68d936cb6df31b" title="Conversion to full matrix.">to_mat</a>() * iX.to_mat(); |
|---|
| 766 | <a name="l01077"></a>01077 |
|---|
| 767 | <a name="l01078"></a>01078 <span class="keywordtype">double</span> log1 = 0.5 * p * (2 * Y.<a class="code" href="classbdm_1_1chmat.html#a949ccd174ed19f9cfe36366cbd5c56a4" title="Logarithm of a determinant.">logdet</a>()) - 0.5 * (<a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a> + p + 1) * (2 * X.<a class="code" href="classbdm_1_1chmat.html#a949ccd174ed19f9cfe36366cbd5c56a4" title="Logarithm of a determinant.">logdet</a>()) - 0.5 * trace (M); |
|---|
| 768 | <a name="l01079"></a>01079 <span class="comment">//Fixme! Multivariate gamma omitted!! it is ok for sampling, but not otherwise!!</span> |
|---|
| 769 | <a name="l01080"></a>01080 |
|---|
| 770 | <a name="l01081"></a>01081 <span class="comment">/* if (0) {</span> |
|---|
| 771 | <a name="l01082"></a>01082 <span class="comment"> mat XX=X.to_mat();</span> |
|---|
| 772 | <a name="l01083"></a>01083 <span class="comment"> mat YY=Y.to_mat();</span> |
|---|
| 773 | <a name="l01084"></a>01084 <span class="comment"></span> |
|---|
| 774 | <a name="l01085"></a>01085 <span class="comment"> double log2 = 0.5*p*log(det(YY))-0.5*(delta+p+1)*log(det(XX))-0.5*trace(YY*inv(XX));</span> |
|---|
| 775 | <a name="l01086"></a>01086 <span class="comment"> cout << log1 << "," << log2 << endl;</span> |
|---|
| 776 | <a name="l01087"></a>01087 <span class="comment"> }*/</span> |
|---|
| 777 | <a name="l01088"></a>01088 <span class="keywordflow">return</span> log1; |
|---|
| 778 | <a name="l01089"></a>01089 }; |
|---|
| 779 | <a name="l01090"></a>01090 |
|---|
| 780 | <a name="l01091"></a>01091 }; |
|---|
| 781 | <a name="l01092"></a>01092 |
|---|
| 782 | <a name="l01094"></a><a class="code" href="classbdm_1_1rwiWishartCh.html">01094</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1rwiWishartCh.html" title="Random Walk on inverse Wishart.">rwiWishartCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><eiWishartCh> |
|---|
| 783 | <a name="l01095"></a>01095 { |
|---|
| 784 | <a name="l01096"></a>01096 <span class="keyword">protected</span>: |
|---|
| 785 | <a name="l01098"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb">01098</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a>; |
|---|
| 786 | <a name="l01100"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a">01100</a> vec <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a>; |
|---|
| 787 | <a name="l01102"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861">01102</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>; |
|---|
| 788 | <a name="l01104"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663">01104</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>; |
|---|
| 789 | <a name="l01105"></a>01105 |
|---|
| 790 | <a name="l01106"></a>01106 <span class="keyword">public</span>: |
|---|
| 791 | <a name="l01107"></a>01107 <a class="code" href="classbdm_1_1rwiWishartCh.html" title="Random Walk on inverse Wishart.">rwiWishartCh</a>() : <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a> (0), <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a> (0), <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> (0) {} |
|---|
| 792 | <a name="l01109"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a28549ee3ce1ff8509360171ea3cf717c">01109</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a28549ee3ce1ff8509360171ea3cf717c" title="constructor function">set_parameters</a> (<span class="keywordtype">int</span> p0, <span class="keywordtype">double</span> k, vec ref0, <span class="keywordtype">double</span> l0) { |
|---|
| 793 | <a name="l01110"></a>01110 <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> = p0; |
|---|
| 794 | <a name="l01111"></a>01111 <span class="keywordtype">double</span> delta = 2 / (k * k) + <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> + 3; |
|---|
| 795 | <a name="l01112"></a>01112 <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a> = sqrt (delta - <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> - 1); |
|---|
| 796 | <a name="l01113"></a>01113 <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a> = l0; |
|---|
| 797 | <a name="l01114"></a>01114 <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a> = pow (ref0, 1 - <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>); |
|---|
| 798 | <a name="l01115"></a>01115 |
|---|
| 799 | <a name="l01116"></a>01116 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3" title="constructor function">set_parameters</a> (eye (<a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>), delta); |
|---|
| 800 | <a name="l01117"></a>01117 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(); |
|---|
| 801 | <a name="l01118"></a>01118 } |
|---|
| 802 | <a name="l01119"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#aac087ba6c885d3faeda9171229f9b4e6">01119</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#aac087ba6c885d3faeda9171229f9b4e6" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &c) { |
|---|
| 803 | <a name="l01120"></a>01120 vec z = c; |
|---|
| 804 | <a name="l01121"></a>01121 <span class="keywordtype">int</span> ri = 0; |
|---|
| 805 | <a name="l01122"></a>01122 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>*<a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>;i += (p + 1)) {<span class="comment">//trace diagonal element</span> |
|---|
| 806 | <a name="l01123"></a>01123 z (i) = pow (z (i), <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>) * <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a> (ri); |
|---|
| 807 | <a name="l01124"></a>01124 ri++; |
|---|
| 808 | <a name="l01125"></a>01125 } |
|---|
| 809 | <a name="l01126"></a>01126 |
|---|
| 810 | <a name="l01127"></a>01127 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5" title="access function">_setY</a> (<a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a>*z); |
|---|
| 811 | <a name="l01128"></a>01128 } |
|---|
| 812 | <a name="l01129"></a>01129 }; |
|---|
| 813 | <a name="l01130"></a>01130 |
|---|
| 814 | <a name="l01132"></a>01132 <span class="keyword">enum</span> RESAMPLING_METHOD { MULTINOMIAL = 0, STRATIFIED = 1, SYSTEMATIC = 3 }; |
|---|
| 815 | <a name="l01138"></a><a class="code" href="classbdm_1_1eEmp.html">01138</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
|---|
| 816 | <a name="l01139"></a>01139 { |
|---|
| 817 | <a name="l01140"></a>01140 <span class="keyword">protected</span> : |
|---|
| 818 | <a name="l01142"></a><a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031">01142</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>; |
|---|
| 819 | <a name="l01144"></a><a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d">01144</a> vec <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>; |
|---|
| 820 | <a name="l01146"></a><a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3">01146</a> Array<vec> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>; |
|---|
| 821 | <a name="l01147"></a>01147 <span class="keyword">public</span>: |
|---|
| 822 | <a name="l01150"></a>01150 <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> () : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> (), <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (), <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> () {}; |
|---|
| 823 | <a name="l01152"></a><a class="code" href="classbdm_1_1eEmp.html#aa3daf6363455af099921715e1233c076">01152</a> <a class="code" href="classbdm_1_1eEmp.html#aa3daf6363455af099921715e1233c076" title="copy constructor">eEmp</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &e) : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> (e), <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (e.<a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>), <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (e.<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>) {}; |
|---|
| 824 | <a name="l01154"></a>01154 |
|---|
| 825 | <a name="l01156"></a>01156 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ae7f8f98310c1de51bd5c8a1c87528f72" title="Set samples and weights.">set_statistics</a> (<span class="keyword">const</span> vec &w0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &pdf0); |
|---|
| 826 | <a name="l01158"></a><a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95">01158</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95" title="Set samples and weights.">set_statistics</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &pdf0 , <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>) {<a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95" title="Set samples and weights.">set_statistics</a> (ones (n) / n, pdf0);}; |
|---|
| 827 | <a name="l01160"></a>01160 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ab62d802b8ef39f7c4dcbeb366c90951a" title="Set sample.">set_samples</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* pdf0); |
|---|
| 828 | <a name="l01162"></a><a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1">01162</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1" title="Set sample.">set_parameters</a> (<span class="keywordtype">int</span> n0, <span class="keywordtype">bool</span> copy = <span class="keyword">true</span>) {<a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a> = n0; <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>.set_size (n0, copy);<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>.set_size (n0, copy);}; |
|---|
| 829 | <a name="l01164"></a><a class="code" href="classbdm_1_1eEmp.html#a37937007a3a676cf653a7de412674481">01164</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#a37937007a3a676cf653a7de412674481" title="Set samples.">set_parameters</a> (<span class="keyword">const</span> Array<vec> &Av) { |
|---|
| 830 | <a name="l01165"></a>01165 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(Av.size()>0,<span class="stringliteral">"Empty samples"</span>); |
|---|
| 831 | <a name="l01166"></a>01166 <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a> = Av.size(); |
|---|
| 832 | <a name="l01167"></a>01167 <a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1" title="Set sample.">epdf::set_parameters</a>(Av(0).length()); |
|---|
| 833 | <a name="l01168"></a>01168 <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>=1/n*ones(n); |
|---|
| 834 | <a name="l01169"></a>01169 <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>=Av; |
|---|
| 835 | <a name="l01170"></a>01170 }; |
|---|
| 836 | <a name="l01172"></a><a class="code" href="classbdm_1_1eEmp.html#ad7f83cc0415cd44ae7cc8b4bdad93aef">01172</a> vec& <a class="code" href="classbdm_1_1eEmp.html#ad7f83cc0415cd44ae7cc8b4bdad93aef" title="Potentially dangerous, use with care.">_w</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>;}; |
|---|
| 837 | <a name="l01174"></a><a class="code" href="classbdm_1_1eEmp.html#ab7d7106f486e3fad38590914a693d714">01174</a> <span class="keyword">const</span> vec& <a class="code" href="classbdm_1_1eEmp.html#ab7d7106f486e3fad38590914a693d714" title="Potentially dangerous, use with care.">_w</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>;}; |
|---|
| 838 | <a name="l01176"></a><a class="code" href="classbdm_1_1eEmp.html#ac24966b0aaeb767bc8a6b4fd60931be2">01176</a> Array<vec>& <a class="code" href="classbdm_1_1eEmp.html#ac24966b0aaeb767bc8a6b4fd60931be2" title="access function">_samples</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>;}; |
|---|
| 839 | <a name="l01178"></a><a class="code" href="classbdm_1_1eEmp.html#ab59af0efdb009d98ea8ebfa965e74ae2">01178</a> <span class="keyword">const</span> Array<vec>& <a class="code" href="classbdm_1_1eEmp.html#ab59af0efdb009d98ea8ebfa965e74ae2" title="access function">_samples</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>;}; |
|---|
| 840 | <a name="l01180"></a>01180 ivec <a class="code" href="classbdm_1_1eEmp.html#af06ce255de5dbb2313f52ee51f82ba3d" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a> (RESAMPLING_METHOD method = SYSTEMATIC); |
|---|
| 841 | <a name="l01181"></a>01181 |
|---|
| 842 | <a name="l01183"></a><a class="code" href="classbdm_1_1eEmp.html#a97f1e07b5ae6eebc91c7365f0f88d270">01183</a> vec <a class="code" href="classbdm_1_1eEmp.html#a97f1e07b5ae6eebc91c7365f0f88d270" title="inherited operation : NOT implemented">sample</a>()<span class="keyword"> const </span>{ |
|---|
| 843 | <a name="l01184"></a>01184 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
|---|
| 844 | <a name="l01185"></a>01185 <span class="keywordflow">return</span> vec(); |
|---|
| 845 | <a name="l01186"></a>01186 } |
|---|
| 846 | <a name="l01187"></a>01187 |
|---|
| 847 | <a name="l01189"></a><a class="code" href="classbdm_1_1eEmp.html#a01654c014d3aa068f8d4ecba4be86d09">01189</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eEmp.html#a01654c014d3aa068f8d4ecba4be86d09" title="inherited operation : NOT implemented">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
|---|
| 848 | <a name="l01190"></a>01190 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
|---|
| 849 | <a name="l01191"></a>01191 <span class="keywordflow">return</span> 0.0; |
|---|
| 850 | <a name="l01192"></a>01192 } |
|---|
| 851 | <a name="l01193"></a>01193 |
|---|
| 852 | <a name="l01194"></a><a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9">01194</a> vec <a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9" title="return expected value">mean</a>()<span class="keyword"> const </span>{ |
|---|
| 853 | <a name="l01195"></a>01195 vec pom = zeros (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
|---|
| 854 | <a name="l01196"></a>01196 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) {pom += <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) * <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (i);} |
|---|
| 855 | <a name="l01197"></a>01197 <span class="keywordflow">return</span> pom; |
|---|
| 856 | <a name="l01198"></a>01198 } |
|---|
| 857 | <a name="l01199"></a><a class="code" href="classbdm_1_1eEmp.html#a05e9ebf467ede737cb6a3621d7fd3c87">01199</a> vec <a class="code" href="classbdm_1_1eEmp.html#a05e9ebf467ede737cb6a3621d7fd3c87" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{ |
|---|
| 858 | <a name="l01200"></a>01200 vec pom = zeros (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
|---|
| 859 | <a name="l01201"></a>01201 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) {pom += pow (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i), 2) * <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (i);} |
|---|
| 860 | <a name="l01202"></a>01202 <span class="keywordflow">return</span> pom -pow (<a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9" title="return expected value">mean</a>(), 2); |
|---|
| 861 | <a name="l01203"></a>01203 } |
|---|
| 862 | <a name="l01205"></a><a class="code" href="classbdm_1_1eEmp.html#ab1c9df656144edf79ba2d885613f661f">01205</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ab1c9df656144edf79ba2d885613f661f" title="For this class, qbounds are minimum and maximum value of the population!">qbounds</a> (vec &lb, vec &ub, <span class="keywordtype">double</span> perc = 0.95)<span class="keyword"> const </span>{ |
|---|
| 863 | <a name="l01206"></a>01206 <span class="comment">// lb in inf so than it will be pushed below;</span> |
|---|
| 864 | <a name="l01207"></a>01207 lb.set_size (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
|---|
| 865 | <a name="l01208"></a>01208 ub.set_size (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
|---|
| 866 | <a name="l01209"></a>01209 lb = std::numeric_limits<double>::infinity(); |
|---|
| 867 | <a name="l01210"></a>01210 ub = -std::numeric_limits<double>::infinity(); |
|---|
| 868 | <a name="l01211"></a>01211 <span class="keywordtype">int</span> j; |
|---|
| 869 | <a name="l01212"></a>01212 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) { |
|---|
| 870 | <a name="l01213"></a>01213 <span class="keywordflow">for</span> (j = 0;j < <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>; j++) { |
|---|
| 871 | <a name="l01214"></a>01214 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j) < lb (j)) {lb (j) = <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j);} |
|---|
| 872 | <a name="l01215"></a>01215 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j) > ub (j)) {ub (j) = <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j);} |
|---|
| 873 | <a name="l01216"></a>01216 } |
|---|
| 874 | <a name="l01217"></a>01217 } |
|---|
| 875 | <a name="l01218"></a>01218 } |
|---|
| 876 | <a name="l01219"></a>01219 }; |
|---|
| 877 | <a name="l01220"></a>01220 |
|---|
| 878 | <a name="l01221"></a>01221 |
|---|
| 879 | <a name="l01223"></a>01223 |
|---|
| 880 | <a name="l01224"></a>01224 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 881 | <a name="l01225"></a>01225 <span class="keywordtype">void</span> enorm<sq_T>::set_parameters (<span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R0) |
|---|
| 882 | <a name="l01226"></a>01226 { |
|---|
| 883 | <a name="l01227"></a>01227 <span class="comment">//Fixme test dimensions of mu0 and R0;</span> |
|---|
| 884 | <a name="l01228"></a>01228 mu = mu0; |
|---|
| 885 | <a name="l01229"></a>01229 R = R0; |
|---|
| 886 | <a name="l01230"></a>01230 <a class="code" href="classbdm_1_1root.html#a1c314bd6d6dacb8ba78ea5eb88fd9516" title="This method TODO.">validate</a>(); |
|---|
| 887 | <a name="l01231"></a>01231 }; |
|---|
| 888 | <a name="l01232"></a>01232 |
|---|
| 889 | <a name="l01233"></a>01233 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 890 | <a name="l01234"></a><a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6">01234</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6">enorm<sq_T>::from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) |
|---|
| 891 | <a name="l01235"></a>01235 { |
|---|
| 892 | <a name="l01236"></a>01236 <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">//reads rv</span> |
|---|
| 893 | <a name="l01237"></a>01237 |
|---|
| 894 | <a name="l01238"></a>01238 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>, <span class="keyword">set</span>, <span class="stringliteral">"mu"</span>, UI::compulsory); |
|---|
| 895 | <a name="l01239"></a>01239 mat Rtmp;<span class="comment">// necessary for conversion</span> |
|---|
| 896 | <a name="l01240"></a>01240 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (Rtmp, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
|---|
| 897 | <a name="l01241"></a>01241 <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a> = Rtmp; <span class="comment">// conversion</span> |
|---|
| 898 | <a name="l01242"></a>01242 <a class="code" href="classbdm_1_1enorm.html#a38eb17ecb75d94a50b6782fcf735cfea" title="This method TODO.">validate</a>(); |
|---|
| 899 | <a name="l01243"></a>01243 } |
|---|
| 900 | <a name="l01244"></a>01244 |
|---|
| 901 | <a name="l01245"></a>01245 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 902 | <a name="l01246"></a><a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2">01246</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2" title="dupdate in exponential form (not really handy)">enorm<sq_T>::dupdate</a> (mat &v, <span class="keywordtype">double</span> nu) |
|---|
| 903 | <a name="l01247"></a>01247 { |
|---|
| 904 | <a name="l01248"></a>01248 <span class="comment">//</span> |
|---|
| 905 | <a name="l01249"></a>01249 }; |
|---|
| 906 | <a name="l01250"></a>01250 |
|---|
| 907 | <a name="l01251"></a>01251 <span class="comment">// template<class sq_T></span> |
|---|
| 908 | <a name="l01252"></a>01252 <span class="comment">// void enorm<sq_T>::tupdate ( double phi, mat &vbar, double nubar ) {</span> |
|---|
| 909 | <a name="l01253"></a>01253 <span class="comment">// //</span> |
|---|
| 910 | <a name="l01254"></a>01254 <span class="comment">// };</span> |
|---|
| 911 | <a name="l01255"></a>01255 |
|---|
| 912 | <a name="l01256"></a>01256 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 913 | <a name="l01257"></a><a class="code" href="classbdm_1_1enorm.html#ae1a48f52351ec3a349bd443b713b1766">01257</a> vec <a class="code" href="classbdm_1_1enorm.html#ae1a48f52351ec3a349bd443b713b1766" title="Returns a sample, from density .">enorm<sq_T>::sample</a>()<span class="keyword"> const</span> |
|---|
| 914 | <a name="l01258"></a>01258 <span class="keyword"></span>{ |
|---|
| 915 | <a name="l01259"></a>01259 vec x (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
|---|
| 916 | <a name="l01260"></a>01260 <span class="preprocessor">#pragma omp critical</span> |
|---|
| 917 | <a name="l01261"></a>01261 <span class="preprocessor"></span> NorRNG.sample_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, x); |
|---|
| 918 | <a name="l01262"></a>01262 vec smp = <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.sqrt_mult (x); |
|---|
| 919 | <a name="l01263"></a>01263 |
|---|
| 920 | <a name="l01264"></a>01264 smp += <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>; |
|---|
| 921 | <a name="l01265"></a>01265 <span class="keywordflow">return</span> smp; |
|---|
| 922 | <a name="l01266"></a>01266 }; |
|---|
| 923 | <a name="l01267"></a>01267 |
|---|
| 924 | <a name="l01268"></a>01268 <span class="comment">// template<class sq_T></span> |
|---|
| 925 | <a name="l01269"></a>01269 <span class="comment">// double enorm<sq_T>::eval ( const vec &val ) const {</span> |
|---|
| 926 | <a name="l01270"></a>01270 <span class="comment">// double pdfl,e;</span> |
|---|
| 927 | <a name="l01271"></a>01271 <span class="comment">// pdfl = evallog ( val );</span> |
|---|
| 928 | <a name="l01272"></a>01272 <span class="comment">// e = exp ( pdfl );</span> |
|---|
| 929 | <a name="l01273"></a>01273 <span class="comment">// return e;</span> |
|---|
| 930 | <a name="l01274"></a>01274 <span class="comment">// };</span> |
|---|
| 931 | <a name="l01275"></a>01275 |
|---|
| 932 | <a name="l01276"></a>01276 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 933 | <a name="l01277"></a><a class="code" href="classbdm_1_1enorm.html#ae13aeed5b543b2179bacdc4fa2ae47a3">01277</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1enorm.html#ae13aeed5b543b2179bacdc4fa2ae47a3" title="Evaluate normalized log-probability.">enorm<sq_T>::evallog_nn</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const</span> |
|---|
| 934 | <a name="l01278"></a>01278 <span class="keyword"></span>{ |
|---|
| 935 | <a name="l01279"></a>01279 <span class="comment">// 1.83787706640935 = log(2pi)</span> |
|---|
| 936 | <a name="l01280"></a>01280 <span class="keywordtype">double</span> tmp = -0.5 * (<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.invqform (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> - val));<span class="comment">// - lognc();</span> |
|---|
| 937 | <a name="l01281"></a>01281 <span class="keywordflow">return</span> tmp; |
|---|
| 938 | <a name="l01282"></a>01282 }; |
|---|
| 939 | <a name="l01283"></a>01283 |
|---|
| 940 | <a name="l01284"></a>01284 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 941 | <a name="l01285"></a><a class="code" href="classbdm_1_1enorm.html#a25785343aff102cc5df1cab08ba16d32">01285</a> <span class="keyword">inline</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1enorm.html#a25785343aff102cc5df1cab08ba16d32" title="logarithm of the normalizing constant, ">enorm<sq_T>::lognc</a> ()<span class="keyword"> const</span> |
|---|
| 942 | <a name="l01286"></a>01286 <span class="keyword"></span>{ |
|---|
| 943 | <a name="l01287"></a>01287 <span class="comment">// 1.83787706640935 = log(2pi)</span> |
|---|
| 944 | <a name="l01288"></a>01288 <span class="keywordtype">double</span> tmp = 0.5 * (<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.cols() * 1.83787706640935 + <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.logdet()); |
|---|
| 945 | <a name="l01289"></a>01289 <span class="keywordflow">return</span> tmp; |
|---|
| 946 | <a name="l01290"></a>01290 }; |
|---|
| 947 | <a name="l01291"></a>01291 |
|---|
| 948 | <a name="l01292"></a>01292 |
|---|
| 949 | <a name="l01293"></a>01293 <span class="comment">// template<class sq_T></span> |
|---|
| 950 | <a name="l01294"></a>01294 <span class="comment">// vec mlnorm<sq_T>::samplecond (const vec &cond, double &lik ) {</span> |
|---|
| 951 | <a name="l01295"></a>01295 <span class="comment">// this->condition ( cond );</span> |
|---|
| 952 | <a name="l01296"></a>01296 <span class="comment">// vec smp = epdf.sample();</span> |
|---|
| 953 | <a name="l01297"></a>01297 <span class="comment">// lik = epdf.eval ( smp );</span> |
|---|
| 954 | <a name="l01298"></a>01298 <span class="comment">// return smp;</span> |
|---|
| 955 | <a name="l01299"></a>01299 <span class="comment">// }</span> |
|---|
| 956 | <a name="l01300"></a>01300 |
|---|
| 957 | <a name="l01301"></a>01301 <span class="comment">// template<class sq_T></span> |
|---|
| 958 | <a name="l01302"></a>01302 <span class="comment">// mat mlnorm<sq_T>::samplecond (const vec &cond, vec &lik, int n ) {</span> |
|---|
| 959 | <a name="l01303"></a>01303 <span class="comment">// int i;</span> |
|---|
| 960 | <a name="l01304"></a>01304 <span class="comment">// int dim = rv.count();</span> |
|---|
| 961 | <a name="l01305"></a>01305 <span class="comment">// mat Smp ( dim,n );</span> |
|---|
| 962 | <a name="l01306"></a>01306 <span class="comment">// vec smp ( dim );</span> |
|---|
| 963 | <a name="l01307"></a>01307 <span class="comment">// this->condition ( cond );</span> |
|---|
| 964 | <a name="l01308"></a>01308 <span class="comment">//</span> |
|---|
| 965 | <a name="l01309"></a>01309 <span class="comment">// for ( i=0; i<n; i++ ) {</span> |
|---|
| 966 | <a name="l01310"></a>01310 <span class="comment">// smp = epdf.sample();</span> |
|---|
| 967 | <a name="l01311"></a>01311 <span class="comment">// lik ( i ) = epdf.eval ( smp );</span> |
|---|
| 968 | <a name="l01312"></a>01312 <span class="comment">// Smp.set_col ( i ,smp );</span> |
|---|
| 969 | <a name="l01313"></a>01313 <span class="comment">// }</span> |
|---|
| 970 | <a name="l01314"></a>01314 <span class="comment">//</span> |
|---|
| 971 | <a name="l01315"></a>01315 <span class="comment">// return Smp;</span> |
|---|
| 972 | <a name="l01316"></a>01316 <span class="comment">// }</span> |
|---|
| 973 | <a name="l01317"></a>01317 |
|---|
| 974 | <a name="l01318"></a>01318 |
|---|
| 975 | <a name="l01319"></a>01319 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 976 | <a name="l01320"></a><a class="code" href="classbdm_1_1enorm.html#adcb739443669ba0a8faf634196284c08">01320</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<epdf></a> <a class="code" href="classbdm_1_1enorm.html#adcb739443669ba0a8faf634196284c08" title="Return marginal density on the given RV, the remainig rvs are intergrated out.">enorm<sq_T>::marginal</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn )<span class="keyword"> const</span> |
|---|
| 977 | <a name="l01321"></a>01321 <span class="keyword"></span>{ |
|---|
| 978 | <a name="l01322"></a>01322 <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a> *tmp = <span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a> (); |
|---|
| 979 | <a name="l01323"></a>01323 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<epdf></a> narrow(tmp); |
|---|
| 980 | <a name="l01324"></a>01324 <a class="code" href="classbdm_1_1enorm.html#adcb739443669ba0a8faf634196284c08" title="Return marginal density on the given RV, the remainig rvs are intergrated out.">marginal</a> ( rvn, *tmp ); |
|---|
| 981 | <a name="l01325"></a>01325 <span class="keywordflow">return</span> narrow; |
|---|
| 982 | <a name="l01326"></a>01326 } |
|---|
| 983 | <a name="l01327"></a>01327 |
|---|
| 984 | <a name="l01328"></a>01328 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 985 | <a name="l01329"></a>01329 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#adcb739443669ba0a8faf634196284c08" title="Return marginal density on the given RV, the remainig rvs are intergrated out.">enorm<sq_T>::marginal</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn, <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a> &target )<span class="keyword"> const</span> |
|---|
| 986 | <a name="l01330"></a>01330 <span class="keyword"></span>{ |
|---|
| 987 | <a name="l01331"></a>01331 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1epdf.html#ac4b863ff84c7a4882fb3ad18556027f9" title="True if rv is assigned.">isnamed</a>(), <span class="stringliteral">"rv description is not assigned"</span>); |
|---|
| 988 | <a name="l01332"></a>01332 ivec irvn = rvn.<a class="code" href="classbdm_1_1RV.html#acbebdb5e0d30101a6eb63550ef701c55" title="when this rv is a part of bigger rv, this function returns indices of self in the...">dataind</a> (<a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a>); |
|---|
| 989 | <a name="l01333"></a>01333 |
|---|
| 990 | <a name="l01334"></a>01334 sq_T Rn (<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>, irvn); <span class="comment">// select rows and columns of R</span> |
|---|
| 991 | <a name="l01335"></a>01335 |
|---|
| 992 | <a name="l01336"></a>01336 target.<a class="code" href="classbdm_1_1epdf.html#af423e28448dbb69ef4905295ec8de8ff" title="Name its rv.">set_rv</a> ( rvn ); |
|---|
| 993 | <a name="l01337"></a>01337 target.set_parameters (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> (irvn), Rn); |
|---|
| 994 | <a name="l01338"></a>01338 } |
|---|
| 995 | <a name="l01339"></a>01339 |
|---|
| 996 | <a name="l01340"></a>01340 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 997 | <a name="l01341"></a><a class="code" href="classbdm_1_1enorm.html#a40201ca12c6900f7aeb493bb7c582e20">01341</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> <a class="code" href="classbdm_1_1enorm.html#a40201ca12c6900f7aeb493bb7c582e20" title="Return conditional density on the given RV, the remaining rvs will be in conditioning...">enorm<sq_T>::condition</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn )<span class="keyword"> const</span> |
|---|
| 998 | <a name="l01342"></a>01342 <span class="keyword"></span>{ |
|---|
| 999 | <a name="l01343"></a>01343 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<sq_T></a> *tmp = <span class="keyword">new</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<sq_T></a> (); |
|---|
| 1000 | <a name="l01344"></a>01344 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> narrow(tmp); |
|---|
| 1001 | <a name="l01345"></a>01345 <a class="code" href="classbdm_1_1enorm.html#a40201ca12c6900f7aeb493bb7c582e20" title="Return conditional density on the given RV, the remaining rvs will be in conditioning...">condition</a> ( rvn, *tmp ); |
|---|
| 1002 | <a name="l01346"></a>01346 <span class="keywordflow">return</span> narrow; |
|---|
| 1003 | <a name="l01347"></a>01347 } |
|---|
| 1004 | <a name="l01348"></a>01348 |
|---|
| 1005 | <a name="l01349"></a>01349 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 1006 | <a name="l01350"></a>01350 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a40201ca12c6900f7aeb493bb7c582e20" title="Return conditional density on the given RV, the remaining rvs will be in conditioning...">enorm<sq_T>::condition</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvn, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling , where is random variable, rv, and...">mpdf</a> &target )<span class="keyword"> const</span> |
|---|
| 1007 | <a name="l01351"></a>01351 <span class="keyword"></span>{ |
|---|
| 1008 | <a name="l01352"></a>01352 <span class="keyword">typedef</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<sq_T></a> TMlnorm; |
|---|
| 1009 | <a name="l01353"></a>01353 |
|---|
| 1010 | <a name="l01354"></a>01354 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1epdf.html#ac4b863ff84c7a4882fb3ad18556027f9" title="True if rv is assigned.">isnamed</a>(), <span class="stringliteral">"rvs are not assigned"</span>); |
|---|
| 1011 | <a name="l01355"></a>01355 TMlnorm &uptarget = <span class="keyword">dynamic_cast<</span>TMlnorm &<span class="keyword">></span>(target); |
|---|
| 1012 | <a name="l01356"></a>01356 |
|---|
| 1013 | <a name="l01357"></a>01357 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rvc = <a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a>.<a class="code" href="classbdm_1_1RV.html#aaec44dabdf0a6d90fbae95e1356eda39" title="Subtract another variable from the current one.">subt</a> (rvn); |
|---|
| 1014 | <a name="l01358"></a>01358 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (rvc.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>() + rvn.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>() == <a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a>.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()), <span class="stringliteral">"wrong rvn"</span>); |
|---|
| 1015 | <a name="l01359"></a>01359 <span class="comment">//Permutation vector of the new R</span> |
|---|
| 1016 | <a name="l01360"></a>01360 ivec irvn = rvn.<a class="code" href="classbdm_1_1RV.html#acbebdb5e0d30101a6eb63550ef701c55" title="when this rv is a part of bigger rv, this function returns indices of self in the...">dataind</a> (<a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a>); |
|---|
| 1017 | <a name="l01361"></a>01361 ivec irvc = rvc.<a class="code" href="classbdm_1_1RV.html#acbebdb5e0d30101a6eb63550ef701c55" title="when this rv is a part of bigger rv, this function returns indices of self in the...">dataind</a> (<a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a>); |
|---|
| 1018 | <a name="l01362"></a>01362 ivec perm = concat (irvn , irvc); |
|---|
| 1019 | <a name="l01363"></a>01363 sq_T Rn (<a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>, perm); |
|---|
| 1020 | <a name="l01364"></a>01364 |
|---|
| 1021 | <a name="l01365"></a>01365 <span class="comment">//fixme - could this be done in general for all sq_T?</span> |
|---|
| 1022 | <a name="l01366"></a>01366 mat S = Rn.to_mat(); |
|---|
| 1023 | <a name="l01367"></a>01367 <span class="comment">//fixme</span> |
|---|
| 1024 | <a name="l01368"></a>01368 <span class="keywordtype">int</span> n = rvn.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>() - 1; |
|---|
| 1025 | <a name="l01369"></a>01369 <span class="keywordtype">int</span> end = <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.rows() - 1; |
|---|
| 1026 | <a name="l01370"></a>01370 mat S11 = S.get (0, n, 0, n); |
|---|
| 1027 | <a name="l01371"></a>01371 mat S12 = S.get (0, n , rvn.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(), end); |
|---|
| 1028 | <a name="l01372"></a>01372 mat S22 = S.get (rvn.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(), end, rvn.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(), end); |
|---|
| 1029 | <a name="l01373"></a>01373 |
|---|
| 1030 | <a name="l01374"></a>01374 vec mu1 = <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> (irvn); |
|---|
| 1031 | <a name="l01375"></a>01375 vec mu2 = <a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> (irvc); |
|---|
| 1032 | <a name="l01376"></a>01376 mat A = S12 * inv (S22); |
|---|
| 1033 | <a name="l01377"></a>01377 sq_T R_n (S11 - A *S12.T()); |
|---|
| 1034 | <a name="l01378"></a>01378 |
|---|
| 1035 | <a name="l01379"></a>01379 uptarget.set_rv (rvn); |
|---|
| 1036 | <a name="l01380"></a>01380 uptarget.set_rvc (rvc); |
|---|
| 1037 | <a name="l01381"></a>01381 uptarget.set_parameters (A, mu1 - A*mu2, R_n); |
|---|
| 1038 | <a name="l01382"></a>01382 } |
|---|
| 1039 | <a name="l01383"></a>01383 |
|---|
| 1040 | <a name="l01386"></a>01386 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 1041 | <a name="l01387"></a><a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339">01387</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">mgnorm<sq_T >::set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> &g0, <span class="keyword">const</span> sq_T &R0) { |
|---|
| 1042 | <a name="l01388"></a>01388 g = g0; |
|---|
| 1043 | <a name="l01389"></a>01389 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (g->dimension()), R0); |
|---|
| 1044 | <a name="l01390"></a>01390 } |
|---|
| 1045 | <a name="l01391"></a>01391 |
|---|
| 1046 | <a name="l01392"></a>01392 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 1047 | <a name="l01393"></a><a class="code" href="classbdm_1_1mgnorm.html#ab31d63472cf6a1030cd8dbd8094c1f6d">01393</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab31d63472cf6a1030cd8dbd8094c1f6d" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">mgnorm<sq_T >::condition</a> (<span class="keyword">const</span> vec &cond) {this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = g->eval (cond);}; |
|---|
| 1048 | <a name="l01394"></a>01394 |
|---|
| 1049 | <a name="l01396"></a>01396 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 1050 | <a name="l01397"></a>01397 std::ostream &operator<< (std::ostream &os, mlnorm<sq_T> &ml) |
|---|
| 1051 | <a name="l01398"></a>01398 { |
|---|
| 1052 | <a name="l01399"></a>01399 os << <span class="stringliteral">"A:"</span> << ml.A << endl; |
|---|
| 1053 | <a name="l01400"></a>01400 os << <span class="stringliteral">"mu:"</span> << ml.mu_const << endl; |
|---|
| 1054 | <a name="l01401"></a>01401 os << <span class="stringliteral">"R:"</span> << ml._R() << endl; |
|---|
| 1055 | <a name="l01402"></a>01402 <span class="keywordflow">return</span> os; |
|---|
| 1056 | <a name="l01403"></a>01403 }; |
|---|
| 1057 | <a name="l01404"></a>01404 |
|---|
| 1058 | <a name="l01405"></a>01405 } |
|---|
| 1059 | <a name="l01406"></a>01406 <span class="preprocessor">#endif //EF_H</span> |
|---|
| 1060 | </pre></div></div> |
|---|
| 1061 | <hr size="1"/><address style="text-align: right;"><small>Generated on Fri Sep 18 00:12:03 2009 for mixpp by |
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| 1062 | <a href="http://www.doxygen.org/index.html"> |
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| 1063 | <img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address> |
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| 1064 | </body> |
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| 1065 | </html> |
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