Changeset 204 for mpdm

Timestamp:

11/10/08 15:40:29 (16 years ago)

Author:

smidl

Message:

merger is now in logarithms + new merge_test

Location:

mpdm

Files:

• CMakeLists.txt (modified) (1 diff)
• merg_giw.cpp (added)
• merg_pred.cpp (modified) (7 diffs)

mpdm/CMakeLists.txt

@@ -20 +20 @@
 target_link_libraries (merg_pred ${BdmLibs})
 
+add_executable (merg_giw merg_giw.cpp)
+target_link_libraries (merg_giw ${BdmLibs})
+
 add_executable (merger_iter_cond merger_iter_cond.cpp)
 target_link_libraries (merger_iter_cond ${BdmLibs})

mpdm/merg_pred.cpp

@@ -34 +34 @@
         mat V0g = 0.001*eye ( thrg.count() ); V0g ( 0,0 ) *= 10; //
         double nu0 = ord+6.0;
-        double frg = 1.0;//0.99;
+        double frg = 0.95;
 
         ARX P1 ( thri, V0, nu0, frg );
@@ -40 +40 @@
         ARX PG ( thrg, V0g, nu0, frg );
         //Test estimation
-        int ndat = 500;
+        int ndat = 200;
         int t;
 
@@ -51 +51 @@
         int Li_Data = L.add ( RV ( "{Y U1 U2 }" ), "" );
         int Li_LL   = L.add ( RV ( "{1 2 G }" ), "LL" );
-        int Li_Pred = L.add ( RV ( "{1 2 G ar ge ln}" ), "Pred" );
+        int Li_Pred = L.add ( RV ( "{1 2 G ar ge }" ), "Pred" );
 
         L.init();
@@ -66 +66 @@
         vec PostLLs(3);
         vec PredLLs_m=zeros(5);
-        vec PostLLs_m=zeros(3);
         ivec ind_r1 = "0 1 3";
         ivec ind_r2 = "0 2 3";
@@ -84 +83 @@
                         // Test predictors
                         if (t>2){
-                                mlnorm<ldmat>* P1p = P1.predictor_student(y,concat(ym,u1));
-                                mlnorm<ldmat>* P2p = P2.predictor_student(y,concat(ym,u2));
-                                mlnorm<ldmat>* Pgp = PG.predictor_student(y,concat(ym,uu));
+                                mlnorm<ldmat>* P1p = P1.predictor(y,concat(ym,u1));
+                                mlnorm<ldmat>* P2p = P2.predictor(y,concat(ym,u2));
+                                mlnorm<ldmat>* Pgp = PG.predictor(y,concat(ym,uu));
                                 
                                 Array<mpdf*> A(2); A(0)=P1p;A(1)=P2p;
                                 merger M(A);
                                 enorm<ldmat> g0(concat(yy,uu)); g0.set_parameters("0 0 0 0 ",3*eye(4));
-                                M.set_parameters(1.2, 100,1);
+                                M.set_parameters(10000000.0, 100,1);
                                 M.merge(&g0);
                                 
@@ -98 +97 @@
                                 double P2pl = P2p->evalcond(yt,rgr2);   
                                 double PGpl = Pgp->evalcond(yt,rgrg);   
-                                PredLLs(0) = log(P1pl); PredLLs(1) = log(P2pl); PredLLs(2) = log(PGpl);
+                                {
+                                        cout << "yt: " << yt << endl;
+                                        cout << "yt_1: " << P1p->_epdf().mean() << endl;
+                                        cout << "yt_2: " << P2p->_epdf().mean() << endl;
+                                        cout << "yt_G: " << P2p->_epdf().mean() << endl;
+                                }
+                                double cP1pl;
+                                double cP2pl;
                                 {
                                         ARX* Apred = (ARX*)M._Mix()._Coms(0);
@@ -107 +113 @@
                                         mlnorm<ldmat>* cP2p = (mlnorm<ldmat>*)mP2p->condition(y);
 
-                                        double cP1pl = cP1p->evalcond(yt,rgr1); 
-                                        double cP2pl = cP2p->evalcond(yt,rgr2); 
-                                        PredLLs(3) = log(cP1pl);
-                                        PredLLs(4) = log(cP2pl);
+                                        cP1pl = cP1p->evalcond(yt,rgr1);        
+                                        cP2pl = cP2p->evalcond(yt,rgr2);        
+                                
+                                        cout << "ytm1: " << cP1p->_epdf().mean() << endl;
+                                        cout << "ytm2: " << cP2p->_epdf().mean() << endl;
                                 }
 
-                                L.logit(Li_Pred, PredLLs_m*frg+ PredLLs); //log-normal
-                                PredLLs_m *=frg;
-                                PredLLs_m += PredLLs;
+                                PredLLs *=frg;
+                                PredLLs += log(concat(vec_3(P1pl, P2pl, PGpl), vec_2(cP1pl,cP2pl)));
+                                L.logit(Li_Pred, PredLLs); //log-normal
                                 
                                 delete P1p;