Changeset 1383 for library

Timestamp:

08/18/11 16:02:53 (13 years ago)

Author:

sindj

Message:

Program update, kontrola vypoctu provedena, integruje spravne v nedegenerovanem pripade. JS

Location:

library

Files:

• bdm/base/itpp/CMakeLists.txt (modified) (1 diff)
• bdm/estim/arx.h (modified) (1 diff)
• bdm/stat/exp_family.h (modified) (1 diff)
• tests/tutorial/arx_simple.cpp (modified) (1 diff)

library/bdm/base/itpp/CMakeLists.txt

@@ -13 +13 @@
 SET(itpp_math base/math/elem_math.cpp  base/math/error.cpp  base/math/integration.cpp  base/math/misc.cpp)
 
+SET(itpp_signal signal/fastica.cpp signal/filter.cpp signal/filter_design.cpp signal/freq_filt.cpp signal/poly.cpp signal/resampling.cpp signal/source.cpp signal/transforms.cpp signal/window.cpp)
+
+SET(itpp_stat stat/misc_stat.cpp stat/mog_diag.cpp stat/mog_diag_em.cpp stat/mog_diag_kmeans.cpp stat/mog_generic.cpp)
+
 # add BDMLIB compile flag
 #ADD_DEFINITIONS(-DNDEBUG)
 
 # Normal BDM library
-add_library (itpp STATIC ${itpp_base} ${itpp_algebra} ${itpp_bessel} ${itpp_math})
+add_library (itpp STATIC ${itpp_base} ${itpp_algebra} ${itpp_bessel} ${itpp_math} ${itpp_signal} ${itpp_stat})

library/bdm/estim/arx.h

@@ -311 +311 @@
         
         void bayes ( const vec &val, const vec &cond ) {
-                // fill window
-                Y.append_col(val);
-                Cond.append_col(cond);          
-                if (Y.cols()>win_length){
-                        // shift the buffer
-                        Y=Y.get_cols(1,Y.cols()-1);
-                        Cond=Cond.get_cols(1,Cond.cols()-1);
+                
+                if(cond.size()>0)
+                {
+                        // fill window
+                        Y.append_col(val);
+                        Cond.append_col(cond);          
+                        if (Y.cols()>win_length){
+                                // shift the buffer
+                                Y=Y.get_cols(1,Y.cols()-1);
+                                Cond=Cond.get_cols(1,Cond.cols()-1);
+                        }
+                        
+                        est._V()=V0;
+                        est._nu()=nu0;
+                        for ( int t = 0; t < Y.cols(); t++ ) {
+                                ARX::bayes ( Y.get_col ( t ), Cond.get_col ( t ) );
+                        }
+                }
+                else
+                {
+                        Y.append_col(val);
+
+                        if (Y.cols()>win_length){
+                                // shift the buffer
+                                Y=Y.get_cols(1,Y.cols()-1);                             
+                        }
+
+                        est._V()=V0;
+                        est._nu()=nu0;
+
+                        for ( int t = 0; t < Y.cols(); t++ ) {
+                                ARX::bayes (Y.get_col ( t ));
+                        }
                 }
                 
-                est._V()=V0;
-                est._nu()=nu0;
-                for ( int t = 0; t < Y.cols(); t++ ) {
-                        ARX::bayes ( Y.get_col ( t ), Cond.get_col ( t ) );
-                }
-                
-        }
+        }
+
         void from_setting(const Setting &set){
                 ARX::from_setting(set);

library/bdm/stat/exp_family.h

@@ -28 +28 @@
 //! Global Gamma_RNG
 extern Gamma_RNG GamRNG;
+
 
 /*!

library/tests/tutorial/arx_simple.cpp

@@ -1 +1 @@
 #include "estim/arx.h"
+#include <vector>
+#include <iostream>
+#include <fstream>
 using namespace bdm;
 
 // estimation of AR(0) model
-int main() {
+int main(){
+        //data
+        vector<vector<vector<string>>> string_lists;
+        string_lists.push_back(vector<vector<string>>());
+        string_lists.push_back(vector<vector<string>>());
+        string_lists.push_back(vector<vector<string>>());
+
+        char* file_strings[3] = {"c:\\ar_normal.txt", "c:\\ar_student.txt", "c:\\ar_cauchy.txt"};
+        
+
+        for(int i = 0;i<3;i++)
+        {       
+                ifstream myfile(file_strings[i]);
+                if (myfile.is_open())
+                {
+                        while ( myfile.good() )
+                        {
+                                string line;
+                                getline(myfile,line);
+                                
+                                vector<string> parsed_line;
+                                while(line.find(',') != string::npos)
+                                {
+                                        int loc = line.find(',');
+                                        parsed_line.push_back(line.substr(0,loc));
+                                        line.erase(0,loc+1);                                    
+                                }                               
+
+                                string_lists[i].push_back(parsed_line);
+                        }
+                        myfile.close();
+                }
+        }
+
     //prior
-    mat V0 = 0.00001 * eye ( 3 );
-    V0 ( 0, 0 ) = 0.1; //
-    ARX Ar;
-    Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
-    Ar.set_constant ( false );
-    Ar.validate();
-    // forgetting is default: 1.0
-    Ar.bayes_batch ( randn ( 1, 3400 ), randn(2,3400) );
+    mat V0 = 0.0001 * eye ( 3 );
+    //V0 ( 0, 0 ) = 0.1; //
 
-    cout << "Expected value of Theta is: " << Ar.posterior().mean() << endl;
-    cout << "NC of posterior: " << Ar.posterior().lognc() << endl;
+        for(int j = 0;j<string_lists.size();j++)
+        { 
+                
+                for(int i = 0;i<string_lists[j].size();i++)
+                {
+                        ARX Ar;
+                        Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
+                        Ar.set_constant ( false );
+                        Ar.validate();
+                        // forgetting is default: 1.0
+                        
+                        vector<vec> conditions;
+                        for(int k = 1;k<string_lists[j][i].size();k++)
+                        {
+                                vec condition;                                                          
+                                condition.ins(0,string_lists[j][i][k]);                         
+                                conditions.push_back(condition);                                
+
+                                if(conditions.size()>1)
+                                {               
+                                        conditions[k-2].ins(0,string_lists[j][i][k]);
+                                        
+                                }
+
+                                if(conditions.size()>2)
+                                {
+                                        conditions[k-3].ins(0,string_lists[j][i][k]);                                   
+
+                                        //cout << conditions[k-3] << endl;// << conditions[k-3].left(1) << conditions[k-3].right(2);
+
+                                        Ar.bayes(conditions[k-3].left(1),conditions[k-3].right(2));                             
+                                }
+                        }
+
+                        ofstream myfile;
+                        myfile.open("c:\\classic_ar1.txt",ios::app);
+                        myfile << Ar.posterior().mean()[0] << ";";
+                        myfile.close();
+
+                        myfile.open("c:\\classic_ar2.txt",ios::app);
+                        myfile << Ar.posterior().mean()[1] << ";";
+                        myfile.close();
+
+
+                        
+                }
+
+                ofstream myfile;
+                myfile.open("c:\\classic_ar1.txt",ios::app);
+                myfile << endl;
+                myfile.close();
+
+                myfile.open("c:\\classic_ar2.txt",ios::app);
+                myfile << endl;
+                myfile.close();
+        }
 }
+