Changeset 1396 for applications/robust/main.cpp

Timestamp:

09/29/11 16:28:33 (13 years ago)

Author:

sindj

Message:

Sampling finished. First experiments set up properly - sampling from posterior on parameters. JS

Files:

• applications/robust/main.cpp (modified) (10 diffs)

applications/robust/main.cpp

@@ -29 +29 @@
 const int max_model_order = 1;
 const double apriorno     = 0.01;
+const int max_window_size = 121;
 
 /*
@@ -148 +149 @@
                                 
                                 V0  = apriorno * eye(ar_components.size()+1);//menit konstantu
-                                //V0(0,0) = 0;
+                                //V0(0,1) = -0.01;
+                                //V0(1,0) = -0.01;
                                 my_arx->set_constant(false);                            
                                 
@@ -156 +158 @@
                         my_arx->set_parameters(window_size);
                         my_arx->validate();
+
+                        vec mean = my_arx->posterior().mean();
+                        cout << mean << endl;
                 }
         }
@@ -190 +195 @@
                 if(my_rarx!=NULL)
                 {
-                        pair<vec,mat> imp_samples = my_rarx->posterior->importance_sample(sample_size);
+                        pair<vec,mat> imp_samples = my_rarx->posterior->sample(sample_size,false);
 
                         //cout << imp_samples.first << endl;                    
@@ -298 +303 @@
         vector<vector<string>> strings;
 
-        char* file_string =  "C:\\ar_student_single"; // "C:\\dataADClosePercDiff"; //  
+        char* file_string =  "C:\\results\\cauchy"; // "C:\\dataADClosePercDiff"; //  
 
         char dfstring[80];
@@ -338 +343 @@
         for(set<set<pair<int,int>>>::iterator model_type = model_types.begin();model_type!=model_types.end();model_type++)
         {// prechadza rozne typy kanalov, a poctu regresorov
-                for(int window_size = 50;window_size < 51;window_size++)
-                {
-                        models.push_back(new model((*model_type),true,true,window_size,0,&data_matrix));   // to su len konstruktory, len inicializujeme rozne typy
-                        models.push_back(new model((*model_type),false,true,window_size,0,&data_matrix));
+                for(int window_size = max_window_size-1;window_size < max_window_size;window_size++)
+                {
+                        //models.push_back(new model((*model_type),true,true,window_size,0,&data_matrix));   // to su len konstruktory, len inicializujeme rozne typy
+                        //models.push_back(new model((*model_type),false,true,window_size,0,&data_matrix));
                         models.push_back(new model((*model_type),true,false,window_size,0,&data_matrix));
                         models.push_back(new model((*model_type),false,false,window_size,0,&data_matrix));              
@@ -360 +365 @@
 
         for(int time = max_model_order;time<data_matrix.cols();time++) //time<data_matrix.cols() 
-        {       //pocet stlpcov data_matrix je pocet casovych krokov
+        {       
+                if(time==max_window_size)
+                {
+                        exit(1);
+                }
+                
+                //pocet stlpcov data_matrix je pocet casovych krokov
                 vec cur_res_lognc;
                 // vec preds;
@@ -373 +384 @@
                         if((*model_ref)->my_rarx!=NULL) //vklada normalizacni faktor do cur_res_lognc
                         {
+                                cout << "Maxlik vertex:" << (*model_ref)->my_rarx->posterior->minimal_vertex->get_coordinates() << endl;
                                 cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_rarx->posterior->_ll());                                
                         }
@@ -379 +391 @@
                                 cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_arx->_ll());
                         }
-
-                        int sample_size = 10;
-                        pair<vec,mat> samples;
-                        if((*model_ref)->my_arx!=NULL)
-                        {
-                                mat samp_mat = (*model_ref)->my_arx->posterior().sample_mat(sample_size);
-                                samples = pair<vec,mat>(ones(samp_mat.rows()),samp_mat);
-                        }
-                        else
-                        {
-                                samples = (*model_ref)->my_rarx->posterior->importance_sample(sample_size);
-                        }
                         
-                        for(int i=0;i<(*model_ref)->ar_components.size()+1;i++)
-                        {
+                        if(time == max_window_size-1)
+                        {
+                                //***********************
+                                int sample_size = 100000;
+                                //***********************
+                                
+                                pair<vec,mat> samples;
+                                if((*model_ref)->my_arx!=NULL)
+                                {
+                                        mat samp_mat = (*model_ref)->my_arx->posterior().sample_mat(sample_size);
+                                        samples = pair<vec,mat>(ones(samp_mat.cols()),samp_mat);
+                                }
+                                else
+                                {
+                                        samples = (*model_ref)->my_rarx->posterior->sample(sample_size,true);                                   
+                                }
+
                                 char fstring[80];                                       
                                 strcpy(fstring,file_string);
@@ -399 +414 @@
                                 strcat(fstring,".txt");
                                 
-                                cout << samples.first << endl;
+                                //cout << samples.first << endl;
                                 
                                 myfilew.open(fstring,ios::app);
-                                myfilew << samples.first << endl << samples.second << endl << zeros(samples.first.size()) << endl; 
-                                myfilew.close();
-                        }                       
+                                
+                                /*
+                                for(int i = 0;i<samples.first.size();i++)
+                                {
+                                        myfilew << samples.first.get(i) << ",";
+                                }
+                                myfilew << endl;
+                                */
+
+                                for(int j = 0;j<samples.second.rows()+1;j++)
+                                {                       
+                                        for(int i = 0;i<samples.second.cols();i++)
+                                        {
+                                                if(j!=samples.second.rows())
+                                                {
+                                                        myfilew << samples.second.get(j,i) << ",";
+                                                }
+                                                /*
+                                                else
+                                                {
+                                                        myfilew << "0,";
+                                                }
+                                                */
+                                        }                               
+                                        myfilew << endl;
+                                }
+
+                                cout << "*************************************" << endl;
+
+                                myfilew.close();                                
+                        }
                         
                         /* // PREDICTIONS