105 | | <a name="l00123"></a><a class="code" href="classMPF.html#992e01bb8f06c814cda036796e4a55ae">00123</a> <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& <a class="code" href="classMPF.html#992e01bb8f06c814cda036796e4a55ae" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> jest;} |
106 | | <a name="l00125"></a><a class="code" href="classMPF.html#7c66e1c1c0e45fc4ae765133cb3a1553">00125</a> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#7c66e1c1c0e45fc4ae765133cb3a1553" title="Set postrior of rvc to samples from epdf0. Statistics of Bms are not re-computed!...">set_est</a> ( <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& epdf0 ) { |
107 | | <a name="l00126"></a>00126 <a class="code" href="classPF.html#04d38fbcc0348b558212f530d9ec183e" title="Set posterior density by sampling from epdf0.">PF::set_est</a> ( epdf0 ); <span class="comment">// sample params in condition</span> |
108 | | <a name="l00127"></a>00127 <span class="comment">// copy conditions to BMs</span> |
109 | | <a name="l00128"></a>00128 |
110 | | <a name="l00129"></a>00129 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) {Bms[i]->condition ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) );} |
111 | | <a name="l00130"></a>00130 } |
112 | | <a name="l00131"></a>00131 |
113 | | <a name="l00132"></a>00132 <span class="comment">//SimStr:</span> |
114 | | <a name="l00133"></a>00133 <span class="keywordtype">double</span> SSAT; |
115 | | <a name="l00134"></a>00134 }; |
116 | | <a name="l00135"></a>00135 |
117 | | <a name="l00136"></a>00136 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
118 | | <a name="l00137"></a><a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">00137</a> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623" title="Incremental Bayes rule.">MPF<BM_T>::bayes</a> ( <span class="keyword">const</span> vec &dt ) { |
119 | | <a name="l00138"></a>00138 <span class="keywordtype">int</span> i; |
120 | | <a name="l00139"></a>00139 vec lls ( <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ); |
121 | | <a name="l00140"></a>00140 vec llsP ( <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ); |
122 | | <a name="l00141"></a>00141 ivec ind; |
123 | | <a name="l00142"></a>00142 <span class="keywordtype">double</span> mlls=-std::numeric_limits<double>::infinity(); |
124 | | <a name="l00143"></a>00143 |
125 | | <a name="l00144"></a>00144 <span class="comment">// StrSim:06</span> |
126 | | <a name="l00145"></a>00145 <span class="keywordtype">double</span> sumLWL=0.0; |
127 | | <a name="l00146"></a>00146 <span class="keywordtype">double</span> sumL2WL=0.0; |
128 | | <a name="l00147"></a>00147 <span class="keywordtype">double</span> WL = 0.0; |
129 | | <a name="l00148"></a>00148 |
130 | | <a name="l00149"></a>00149 <span class="preprocessor"> #pragma omp parallel for</span> |
131 | | <a name="l00150"></a>00150 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) { |
132 | | <a name="l00151"></a>00151 <span class="comment">//generate new samples from paramater evolution model;</span> |
133 | | <a name="l00152"></a>00152 <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) = <a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a>.<a class="code" href="classmpdf.html#3f172b79ec4a5ebc87898a5381141f1b" title="Returns the required moment of the epdf.">samplecond</a> ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ), llsP ( i ) ); |
134 | | <a name="l00153"></a>00153 Bms[i]->condition ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) ); |
135 | | <a name="l00154"></a>00154 Bms[i]->bayes ( dt ); |
136 | | <a name="l00155"></a>00155 lls ( i ) = Bms[i]->_ll(); <span class="comment">// lls above is also in proposal her must be lls(i) =, not +=!!</span> |
137 | | <a name="l00156"></a>00156 <span class="keywordflow">if</span> ( lls ( i ) >mlls ) mlls=lls ( i ); <span class="comment">//find maximum likelihood (for numerical stability)</span> |
138 | | <a name="l00157"></a>00157 } |
139 | | <a name="l00158"></a>00158 |
140 | | <a name="l00159"></a>00159 <span class="keywordflow">if</span> ( <span class="keyword">false</span>) { |
141 | | <a name="l00160"></a>00160 <span class="preprocessor"> #pragma omp parallel for reduction(+:sumLWL,sumL2WL) private(WL)</span> |
142 | | <a name="l00161"></a>00161 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
143 | | <a name="l00162"></a>00162 WL = <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i ) *exp ( llsP ( i ) ); <span class="comment">//using old weights!</span> |
144 | | <a name="l00163"></a>00163 sumLWL += exp ( lls ( i ) ) *WL; |
145 | | <a name="l00164"></a>00164 sumL2WL += exp ( 2*lls ( i ) ) *WL; |
146 | | <a name="l00165"></a>00165 } |
147 | | <a name="l00166"></a>00166 SSAT = sumL2WL/ ( sumLWL*sumLWL ); |
148 | | <a name="l00167"></a>00167 } |
149 | | <a name="l00168"></a>00168 |
150 | | <a name="l00169"></a>00169 <span class="keywordtype">double</span> sum_w=0.0; |
151 | | <a name="l00170"></a>00170 <span class="comment">// compute weights</span> |
152 | | <a name="l00171"></a>00171 <span class="preprocessor"> #pragma omp parallel for</span> |
153 | | <a name="l00172"></a>00172 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
154 | | <a name="l00173"></a>00173 <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i ) *= exp ( lls ( i ) - mlls ); <span class="comment">// multiply w by likelihood</span> |
155 | | <a name="l00174"></a>00174 sum_w+=<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>(i); |
156 | | <a name="l00175"></a>00175 } |
157 | | <a name="l00176"></a>00176 |
158 | | <a name="l00177"></a>00177 <span class="keywordflow">if</span> ( sum_w >0.0 ) { |
159 | | <a name="l00178"></a>00178 <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> /=sum_w; <span class="comment">//?</span> |
160 | | <a name="l00179"></a>00179 } <span class="keywordflow">else</span> { |
161 | | <a name="l00180"></a>00180 cout<<<span class="stringliteral">"sum(w)==0"</span><<endl; |
162 | | <a name="l00181"></a>00181 } |
163 | | <a name="l00182"></a>00182 |
| 105 | <a name="l00123"></a><a class="code" href="classMPF.html#992e01bb8f06c814cda036796e4a55ae">00123</a> <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& <a class="code" href="classMPF.html#992e01bb8f06c814cda036796e4a55ae" title="Returns a reference to the epdf representing posterior density on parameters.">_epdf</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> jest;} |
| 106 | <a name="l00124"></a><a class="code" href="classMPF.html#942a1eb28a57ef0f0239264e7b0b82eb">00124</a> <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* <a class="code" href="classMPF.html#942a1eb28a57ef0f0239264e7b0b82eb" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_e</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> &jest;} <span class="comment">//Fixme: is it useful?</span> |
| 107 | <a name="l00126"></a><a class="code" href="classMPF.html#7c66e1c1c0e45fc4ae765133cb3a1553">00126</a> <span class="comment"></span> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#7c66e1c1c0e45fc4ae765133cb3a1553" title="Set postrior of rvc to samples from epdf0. Statistics of Bms are not re-computed!...">set_est</a> ( <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& epdf0 ) { |
| 108 | <a name="l00127"></a>00127 <a class="code" href="classPF.html#04d38fbcc0348b558212f530d9ec183e" title="Set posterior density by sampling from epdf0.">PF::set_est</a> ( epdf0 ); <span class="comment">// sample params in condition</span> |
| 109 | <a name="l00128"></a>00128 <span class="comment">// copy conditions to BMs</span> |
| 110 | <a name="l00129"></a>00129 |
| 111 | <a name="l00130"></a>00130 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) {Bms[i]->condition ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) );} |
| 112 | <a name="l00131"></a>00131 } |
| 113 | <a name="l00132"></a>00132 |
| 114 | <a name="l00133"></a>00133 <span class="comment">//SimStr:</span> |
| 115 | <a name="l00134"></a>00134 <span class="keywordtype">double</span> SSAT; |
| 116 | <a name="l00135"></a>00135 }; |
| 117 | <a name="l00136"></a>00136 |
| 118 | <a name="l00137"></a>00137 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
| 119 | <a name="l00138"></a><a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">00138</a> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623" title="Incremental Bayes rule.">MPF<BM_T>::bayes</a> ( <span class="keyword">const</span> vec &dt ) { |
| 120 | <a name="l00139"></a>00139 <span class="keywordtype">int</span> i; |
| 121 | <a name="l00140"></a>00140 vec lls ( <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ); |
| 122 | <a name="l00141"></a>00141 vec llsP ( <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ); |
| 123 | <a name="l00142"></a>00142 ivec ind; |
| 124 | <a name="l00143"></a>00143 <span class="keywordtype">double</span> mlls=-std::numeric_limits<double>::infinity(); |
| 125 | <a name="l00144"></a>00144 |
| 126 | <a name="l00145"></a>00145 <span class="comment">// StrSim:06</span> |
| 127 | <a name="l00146"></a>00146 <span class="keywordtype">double</span> sumLWL=0.0; |
| 128 | <a name="l00147"></a>00147 <span class="keywordtype">double</span> sumL2WL=0.0; |
| 129 | <a name="l00148"></a>00148 <span class="keywordtype">double</span> WL = 0.0; |
| 130 | <a name="l00149"></a>00149 |
| 131 | <a name="l00150"></a>00150 <span class="preprocessor"> #pragma omp parallel for</span> |
| 132 | <a name="l00151"></a>00151 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) { |
| 133 | <a name="l00152"></a>00152 <span class="comment">//generate new samples from paramater evolution model;</span> |
| 134 | <a name="l00153"></a>00153 <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) = <a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a>.<a class="code" href="classmpdf.html#3f172b79ec4a5ebc87898a5381141f1b" title="Returns the required moment of the epdf.">samplecond</a> ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ), llsP ( i ) ); |
| 135 | <a name="l00154"></a>00154 Bms[i]->condition ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) ); |
| 136 | <a name="l00155"></a>00155 Bms[i]->bayes ( dt ); |
| 137 | <a name="l00156"></a>00156 lls ( i ) = Bms[i]->_ll(); <span class="comment">// lls above is also in proposal her must be lls(i) =, not +=!!</span> |
| 138 | <a name="l00157"></a>00157 <span class="keywordflow">if</span> ( lls ( i ) >mlls ) mlls=lls ( i ); <span class="comment">//find maximum likelihood (for numerical stability)</span> |
| 139 | <a name="l00158"></a>00158 } |
| 140 | <a name="l00159"></a>00159 |
| 141 | <a name="l00160"></a>00160 <span class="keywordflow">if</span> ( <span class="keyword">false</span>) { |
| 142 | <a name="l00161"></a>00161 <span class="preprocessor"> #pragma omp parallel for reduction(+:sumLWL,sumL2WL) private(WL)</span> |
| 143 | <a name="l00162"></a>00162 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
| 144 | <a name="l00163"></a>00163 WL = <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i ) *exp ( llsP ( i ) ); <span class="comment">//using old weights!</span> |
| 145 | <a name="l00164"></a>00164 sumLWL += exp ( lls ( i ) ) *WL; |
| 146 | <a name="l00165"></a>00165 sumL2WL += exp ( 2*lls ( i ) ) *WL; |
| 147 | <a name="l00166"></a>00166 } |
| 148 | <a name="l00167"></a>00167 SSAT = sumL2WL/ ( sumLWL*sumLWL ); |
| 149 | <a name="l00168"></a>00168 } |
| 150 | <a name="l00169"></a>00169 |
| 151 | <a name="l00170"></a>00170 <span class="keywordtype">double</span> sum_w=0.0; |
| 152 | <a name="l00171"></a>00171 <span class="comment">// compute weights</span> |
| 153 | <a name="l00172"></a>00172 <span class="preprocessor"> #pragma omp parallel for</span> |
| 154 | <a name="l00173"></a>00173 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
| 155 | <a name="l00174"></a>00174 <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i ) *= exp ( lls ( i ) - mlls ); <span class="comment">// multiply w by likelihood</span> |
| 156 | <a name="l00175"></a>00175 sum_w+=<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>(i); |
| 157 | <a name="l00176"></a>00176 } |
| 158 | <a name="l00177"></a>00177 |
| 159 | <a name="l00178"></a>00178 <span class="keywordflow">if</span> ( sum_w >0.0 ) { |
| 160 | <a name="l00179"></a>00179 <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> /=sum_w; <span class="comment">//?</span> |
| 161 | <a name="l00180"></a>00180 } <span class="keywordflow">else</span> { |
| 162 | <a name="l00181"></a>00181 cout<<<span class="stringliteral">"sum(w)==0"</span><<endl; |
| 163 | <a name="l00182"></a>00182 } |
165 | | <a name="l00184"></a>00184 <span class="keywordtype">double</span> eff = 1.0/ ( <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>*<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ); |
166 | | <a name="l00185"></a>00185 <span class="keywordflow">if</span> ( eff < ( 0.3*n ) ) { |
167 | | <a name="l00186"></a>00186 ind = <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>.<a class="code" href="classeEmp.html#77268292fc4465cb73ddbfb1f2932a59" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a>(); |
168 | | <a name="l00187"></a>00187 <span class="comment">// Resample Bms!</span> |
169 | | <a name="l00188"></a>00188 |
170 | | <a name="l00189"></a>00189 <span class="preprocessor"> #pragma omp parallel for</span> |
171 | | <a name="l00190"></a>00190 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
172 | | <a name="l00191"></a>00191 <span class="keywordflow">if</span> ( ind ( i ) !=i ) {<span class="comment">//replace the current Bm by a new one</span> |
173 | | <a name="l00192"></a>00192 <span class="comment">//fixme this would require new assignment operator</span> |
174 | | <a name="l00193"></a>00193 <span class="comment">// *Bms[i] = *Bms[ind ( i ) ];</span> |
175 | | <a name="l00194"></a>00194 |
176 | | <a name="l00195"></a>00195 <span class="comment">// poor-man's solution: replicate constructor here</span> |
177 | | <a name="l00196"></a>00196 <span class="comment">// copied from MPF::MPF</span> |
178 | | <a name="l00197"></a>00197 <span class="keyword">delete</span> Bms[i]; |
179 | | <a name="l00198"></a>00198 Bms[i] = <span class="keyword">new</span> BM_T ( *Bms[ind ( i ) ] ); <span class="comment">//copy constructor</span> |
180 | | <a name="l00199"></a>00199 <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
181 | | <a name="l00200"></a>00200 jest.set_elements ( i,1.0/n,&pom ); |
182 | | <a name="l00201"></a>00201 } |
183 | | <a name="l00202"></a>00202 }; |
184 | | <a name="l00203"></a>00203 cout << <span class="charliteral">'.'</span>; |
185 | | <a name="l00204"></a>00204 } |
186 | | <a name="l00205"></a>00205 } |
187 | | <a name="l00206"></a>00206 |
188 | | <a name="l00207"></a>00207 <span class="preprocessor">#endif // KF_H</span> |
189 | | <a name="l00208"></a>00208 <span class="preprocessor"></span> |
190 | | <a name="l00209"></a>00209 |
| 165 | <a name="l00184"></a>00184 |
| 166 | <a name="l00185"></a>00185 <span class="keywordtype">double</span> eff = 1.0/ ( <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>*<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ); |
| 167 | <a name="l00186"></a>00186 <span class="keywordflow">if</span> ( eff < ( 0.3*n ) ) { |
| 168 | <a name="l00187"></a>00187 ind = <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>.<a class="code" href="classeEmp.html#77268292fc4465cb73ddbfb1f2932a59" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a>(); |
| 169 | <a name="l00188"></a>00188 <span class="comment">// Resample Bms!</span> |
| 170 | <a name="l00189"></a>00189 |
| 171 | <a name="l00190"></a>00190 <span class="preprocessor"> #pragma omp parallel for</span> |
| 172 | <a name="l00191"></a>00191 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
| 173 | <a name="l00192"></a>00192 <span class="keywordflow">if</span> ( ind ( i ) !=i ) {<span class="comment">//replace the current Bm by a new one</span> |
| 174 | <a name="l00193"></a>00193 <span class="comment">//fixme this would require new assignment operator</span> |
| 175 | <a name="l00194"></a>00194 <span class="comment">// *Bms[i] = *Bms[ind ( i ) ];</span> |
| 176 | <a name="l00195"></a>00195 |
| 177 | <a name="l00196"></a>00196 <span class="comment">// poor-man's solution: replicate constructor here</span> |
| 178 | <a name="l00197"></a>00197 <span class="comment">// copied from MPF::MPF</span> |
| 179 | <a name="l00198"></a>00198 <span class="keyword">delete</span> Bms[i]; |
| 180 | <a name="l00199"></a>00199 Bms[i] = <span class="keyword">new</span> BM_T ( *Bms[ind ( i ) ] ); <span class="comment">//copy constructor</span> |
| 181 | <a name="l00200"></a>00200 <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
| 182 | <a name="l00201"></a>00201 jest.set_elements ( i,1.0/n,&pom ); |
| 183 | <a name="l00202"></a>00202 } |
| 184 | <a name="l00203"></a>00203 }; |
| 185 | <a name="l00204"></a>00204 cout << <span class="charliteral">'.'</span>; |
| 186 | <a name="l00205"></a>00205 } |
| 187 | <a name="l00206"></a>00206 } |
| 188 | <a name="l00207"></a>00207 |
| 189 | <a name="l00208"></a>00208 <span class="preprocessor">#endif // KF_H</span> |
| 190 | <a name="l00209"></a>00209 <span class="preprocessor"></span> |
| 191 | <a name="l00210"></a>00210 |