Changeset 1025 for library/bdm/estim/arx.h

Timestamp:

05/31/10 15:55:10 (14 years ago)

Author:

dedecius

Message:

Class implementing partial forgetting in ARX in a way similar to ARXfrg. The ARXpartforg::bayes() method (sh|c)ould be divided into smaller functions in the future(?)

Files:

• library/bdm/estim/arx.h (modified) (1 diff)

library/bdm/estim/arx.h

@@ -229 +229 @@
 
 
+/*!
+* \brief ARX with partial forgetting
+
+Implements partial forgetting when <tt>bayes(const vec &yt, const vec &cond=empty_vec)</tt> is called, where \c cond is a vector <em>(regressor', forg.factor')</em>.
+
+Note, that the weights have the same order as hypotheses, following this scheme:
+\li 0 means that the parameter doesn't change,
+\li 1 means that the parameter varies.
+
+The combinations of parameters are described binary:
+\f[
+  0, 0, 0\ldots \\
+  1, 0, 0\ldots \\
+  0, 1, 0\ldots \\
+  1, 1, 0\ldots \\
+  \ldots
+\f]
+where each n-th column has altering 1's and 0's in n-tuples, n = 0,...,number of params. Hence, the first forg. factor relates to the situation when no parameter changes, the second one when the first parameter changes etc.
+
+See ARX class for more information about ARX.
+*/
+class ARXpartialforg : public ARX {
+public:
+        ARXpartialforg() : ARX(1.0) {};
+        //! copy constructor
+        ARXpartialforg ( const ARXpartialforg &A0 ) : ARX ( A0 ) {};
+        virtual ARXpartialforg* _copy() const {
+                ARXpartialforg *A = new ARXpartialforg ( *this );
+                return A;
+        }
+
+    void bayes ( const vec &val, const vec &cond ); 
+        void validate() {
+                ARX::validate();
+                int philen = pow(2, est._V().cols() - 1);
+                rvc.add ( RV ( "{phi }", vec_1(philen) ) ); // pocet 2^parametru
+                dimc += philen;
+        }
+};
+UIREGISTER ( ARXpartialforg );
+
 
 ////////////////////