Changeset 1072

Timestamp:

06/10/10 12:29:54 (15 years ago)

Author:

smidl

Message:

new merger

Location:

library

Files:

• bdm/base/datasources.h (modified) (1 diff)
• bdm/stat/merger.h (modified) (1 diff)
• tests/testsuite/datasource_test.cpp (modified) (2 diffs)
• tests/testsuite/merger_test.cpp (modified) (1 diff)

library/bdm/base/datasources.h

@@ -234 +234 @@
 */
 class PdfDS : public DS {
-protected:
+public:
     //! internal pointer to epdf from which we samplecond
     shared_ptr<pdf> ipdf;
+protected:
     //! internal storage of data sample
     vec yt;

library/bdm/stat/merger.h

@@ -23 +23 @@
 //!Merging methods
 enum MERGER_METHOD {ARITHMETIC = 1, GEOMETRIC = 2, LOGNORMAL = 3};
+
+/*!  Abstract common class for mergers
+
+It defines only common interface of access to sources and operation merge(); The result of merging is available via function epdf()
+*/
+class MergerBase: public root{
+        public:         
+                //! weights of the sources -- no restrictions
+                vec w;
+                //! get ith source
+                Array<shared_ptr<epdf> > sources;
+                //! merge 
+                void merge() NOT_IMPLEMENTED_VOID;
+                //! 
+                //! check if all epdfs are on the same support
+                void validate() {
+                        int n=sources.length();
+                        
+                        bdm_assert(n>0,"merger has no sources to merge");
+                        // check if weights are ok
+                        if (w.length()!=n) {
+                                w = ones(n)/n;
+                        }
+                        
+                        // check compatibility of sources -- no types are needed
+                        int dim0 = sources(0)->dimension();
+                        for (int i=0; i<n; i++){
+                                bdm_assert(sources(i)->dimension()==dim0, "Merger: Incompatible dimensions of sources");
+                                if (sources(i)->isnamed()){
+                                        //check if rv match
+                                }
+                        }
+                }
+                //! return the result of merging
+                virtual const epdf& merger()=0;
+};
+
+//! Merger into normal density, max entropy approximator for 2 moments (mean+variance)
+template<class sq_T>
+class ENormMerger: public MergerBase{
+        protected:
+                //!internal epdf
+                enorm<sq_T> iepdf;
+        public:
+                ENormMerger():method(GEOMETRIC){};
+                MERGER_METHOD method;
+                void merge(){
+                        int n = sources.length();
+                        int dim = sources(0)->dimension();
+                        sq_T Var(zeros(dim));
+                        vec mea=zeros(dim);
+                        // go through all sources
+                        for (int i=0; i<n; i++){
+                                sq_T Ci = sources(i)->covariance();
+                                sq_T wCi = Ci; wCi*=w(i);
+                                vec mi = sources(i)->mean();
+                                switch (method) {
+                                        case ARITHMETIC:{
+                                                Var += wCi;
+                                                Var.opupdt(mi,w(i)); // + mean * mean'
+                                                mea += w(i)*mi;
+                                                break;
+                                        }
+                                        case GEOMETRIC:{
+                                                Var += wCi;
+                                                sq_T iCi;
+                                                Ci.inv(iCi);
+                                                mea += iCi.to_mat()*w(i)*mi;
+                                                break;
+                                        }
+                                        default:
+                                                bdm_error("Method not implemneted");
+                                }
+                        }
+                        // post pocessing
+                        switch (method) {
+                                case ARITHMETIC:
+                                        iepdf._R()=Var;
+                                        iepdf._R().opupdt(mea,-1.0); // Var - mean * mean'
+                                        iepdf._mu()=mea;
+                                        break;
+                                case GEOMETRIC:
+                                        iepdf._R()=Var;
+                                        iepdf._mu() = Var.to_mat()*mea; // mean=sqrt(Var)*mea
+                                        break;
+                                default:
+                                        bdm_error("Method not implemneted");
+                        }
+                }
+                //! access function
+                const epdf& merger(){return iepdf;}
+};
 
 /*!

library/tests/testsuite/datasource_test.cpp

@@ -3 +3 @@
 #include "../mat_checks.h"
 #include "UnitTest++.h"
+#include "../bdm/stat/emix.h"
 
 using namespace bdm;
@@ -60 +61 @@
     OM->validate();
 
-    StateDS sds;
-    sds.set_parameters ( IM, OM );
-    sds.validate();
+        PdfDS pds;      
+        Array<shared_ptr<pdf> > Arr(2);
+        Arr(0) = OM;
+        Arr(1)= IM;
+        
+        shared_ptr<mprod> mp;
+        mp->set_elements(Arr);
+        
+        pds.ipdf=mp;
+        pds.validate();
 
     for ( int t = 1; t < 10; t++ ) {
-        sds.write ( vec_1 ( double ( t ) ) );
+                pds.write ( vec_1 ( double ( t ) ) );
         // TODO ZDE TO SPADNE
-        sds.step();
+                pds.step();
     }
 
     vec dt;
-    sds.getdata ( dt );
+        pds.getdata ( dt );
     CHECK_CLOSE ( vec ( "94.5, 94.5, 13.5, 9" ), dt, 1e-2 );
 }

library/tests/testsuite/merger_test.cpp

@@ -7 +7 @@
 
 using namespace bdm;
+
+TEST (ENormMerger_test){
+        ENormMerger<ldmat> m1;
+        m1.sources.set_length(2);
+        m1.sources(0) = new enorm<ldmat>(vec_2(1.0, 1.0), mat_2x2(1.0, 0.0, 0.0, 2.0));
+        m1.sources(1) = new enorm<ldmat>(vec_2(2.0, 2.0), mat_2x2(2.0, 1.0, 1.0, 2.0));
+        m1.validate();
+        m1.merge();
+        
+        cout << "mean: " << m1.merger().mean() << endl;
+        cout << "var: " << m1.merger().covariance() << endl;
+}
 
 TEST ( merger_base_test ) {