Changeset 1343 for applications/robust/main.cpp

Timestamp:

04/29/11 13:26:04 (13 years ago)

Author:

sindj

Message:

Importance sampling. JS

Files:

• applications/robust/main.cpp (modified) (7 diffs)

applications/robust/main.cpp

@@ -18 +18 @@
 
 const int emlig_size = 2;
+const int utility_constant = 2;
 
 
@@ -138 +139 @@
         vector<vector<string>> strings;
 
-        char* file_strings[3] = {"c:\\dataCDClosePercDiff", "c:\\ar_student_single","c:\\ar_cauchy_single"};
+        char* file_strings[3] = {"c:\\dataADClosePercDiff","c:\\ar_student_single","c:\\ar_cauchy_single"};
 
         for(int i = 0;i<3;i++)
@@ -170 +171 @@
                 vector<vec> conditions;
                 //emlig* emliga = new emlig(2);
-                RARX* my_rarx = new RARX(2,30,false);
+                RARX* my_rarx = new RARX(3,30,true);
                 
                 
@@ -199 +200 @@
                                 conditions[k-3].ins(0,strings[j][k]);
 
-                                //cout << "Condition:" << conditions[k-3] << endl;
+                                cout << "Condition:" << conditions[k-3] << endl;
 
                                 my_rarx->bayes(conditions[k-3]);
@@ -210 +211 @@
                                         
                                 
-                                if(k>8)
+                                if(k>10)
                                 {
                                         //my_rarx->posterior->step_me(0);
 
-                                        mat samples = my_rarx->posterior->sample_mat(50);
+                                        mat samples = my_rarx->posterior->sample_mat(10);
+
+                                        pair<vec,mat> imp_samples = my_rarx->posterior->importance_sample(20);
+
+                                        cout << imp_samples.first << endl;
                                         
                                         vec sample_prediction;
-                                        for(int t = 0;t<50;t++)
+                                        for(int t = 0;t<samples.cols();t++)
                                         {
                                                 vec lap_sample = conditions[k-3].left(2);
-                                                //lap_sample.ins(lap_sample.size(),1.0);
+                                                lap_sample.ins(lap_sample.size(),1.0);
                                                 
                                                 lap_sample.ins(0,LapRNG());
@@ -229 +234 @@
                                         
                                         vec sample_pow = sample_prediction;
+                                        
+                                        // cout << sample_prediction << endl;
                                         vec poly_coefs;
                                         bool stop_iteration = false;
-                                        int en = 0;
+                                        int en = 1;
                                         do
                                         {
                                                 double poly_coef = ones(sample_pow.size())*sample_pow/sample_pow.size();
+
+                                                poly_coef = poly_coef*en*fact(utility_constant-2+en)/fact(utility_constant-2);
 
                                                 if(abs(poly_coef)>numeric_limits<double>::epsilon())
                                                 {
                                                         sample_pow = elem_mult(sample_pow,sample_prediction);
-                                                        poly_coefs.ins(poly_coefs.size(),((-1)^en)*poly_coef);
+                                                        poly_coefs.ins(0,pow(-1.0,en+1)*poly_coef);
                                                 }
                                                 else
@@ -247 +256 @@
                                                 
                                                 en++;
+
+                                                if(en>20)
+                                                {
+                                                        stop_iteration = true;
+                                                }
                                         }
                                         while(!stop_iteration);
+
+                                        /*
+                                        ofstream myfile_coef;                                           
+
+                                        myfile_coef.open("c:\\coefs.txt",ios::app);
+                                        
+                                        for(int t = 0;t<poly_coefs.size();t++)
+                                        {
+                                                myfile_coef << poly_coefs[t] << ",";                                    
+                                        }
+
+                                        myfile_coef << endl;
+                                        myfile_coef.close();
+                                        */
 
                                         // cout << "Coefficients: " << poly_coefs << endl;
                                                                                 
+                                        /*
+                                        vec bas_coef = vec("1.0 2.0 -8.0");
+                                        cout << "Coefs: " << bas_coef << endl;
+                                        cvec actions2 = roots(bas_coef);
+                                        cout << "Roots: " << actions2 << endl;
+                                        */
+                                        
                                         cvec actions = roots(poly_coefs);
+                                        
+
                                         bool is_max = false;
                                         for(int t = 0;t<actions.size();t++)
                                         {
-                                                if(actions[t].imag() == 0 && actions[t].real()>-1 && actions[t].real()<1)
+                                                if(actions[t].imag() == 0)
                                                 {
-                                                        cout << "Action:" << actions[t].real() << endl;
-                                                        is_max = true;
+                                                        
+
+                                                        double second_derivative = 0;
+                                                        for(int q = 1;q<poly_coefs.size();q++)
+                                                        {
+                                                                second_derivative+=poly_coefs[q]*pow(actions[t].real(),q-1)*q;
+                                                        }
+
+                                                        if(second_derivative<0)
+                                                        {
+                                                                cout << "Action:" << actions[t].real() << endl;
+
+                                                                is_max = true;
+                                                        }
                                                 }
                                         }