Changeset 211 for mpdm

Timestamp:

11/13/08 20:00:53 (16 years ago)

Author:

smidl

Message:

prejmenovani evalpdflog a evalcond

Location:

mpdm

Files:

• merg_2a.cpp (copied) (copied from mpdm/merg_giw.cpp) (3 diffs)
• merg_giw.cpp (modified) (1 diff)
• merg_pred.cpp (modified) (2 diffs)

mpdm/merg_2a.cpp

@@ -13 +13 @@
         // Setup model
         RV y ( "{y }" );
-        RV u1 ( "{u1 }" );
-        RV u2 ( "{u2 }" );
-        RV uu=u1; uu.add ( u2 );
-
-        double a1t = 1.5;
-        double a2t = 0.8;
-        double sqr=0.10;
+        RV u ( "{u }" );
+        RV um = u; um.t(-1);
+        RV z ( "{z }" );
+        RV a ("{a }");
+        RV b ("{b }");
+        RV c ("{c }");
+        RV r ("{r }");
+        
+        double at = 1.5;
+        double bt = 0.8;
+        double ct = 0.50;
+        double sig = 0.10;
         // Full system
-        vec thg =vec_2 ( a1t,a2t ); //Simulated system - zero for constant term
-        vec Th = concat ( thg, sqr ); //Full parameter
-
-        // Estimated systems ARX(2)
-        RV a1 ( "{a1 }" );
-        RV a2 ( "{a2 }" );
-        RV r ( "{r }" );
-        RV all =a1; all.add ( a2 ); all.add ( r );
-        RV allj =a1; allj.add ( r ); allj.add ( a2 );
-        vec Thj=vec_3 ( a1t,sqr,a2t );
-        // Setup values
+        vec thy =vec_2 ( at,bt ); //Simulated system - zero for constant term
+        vec thu =vec_2 ( at,ct ); //Simulated system - zero for constant term
+        vec Thy = concat ( thy, vec_1(sig) ); //Full parameter
+        vec Thu = concat ( thu, vec_1(sig) ); //Full parameter
 
         //ARX constructor
-        mat V0 = 0.001*eye ( 2 ); V0 ( 0,0 ) = 1; //
-        mat V0g = 0.001*eye ( 3 ); V0g ( 0,0 ) = 1; //
+        mat V0 = 0.001*eye ( 3 ); V0 ( 0,0 ) = 1; //
 
-        ARX P1 ( concat ( a1,r ), V0, -1 );
-        ARX P2 ( concat ( a2,r ), V0, -1 );
-        ARX PG ( all, V0g, -1 ); //or -1?
-//      ARX PGk ( all, V0g, -1 );
+        ARX P1 ( concat ( a, concat(b,r) ), V0, -1 );
+        ARX P2 ( concat ( a, concat(c,r) ), V0, -1 );
 
         //Test estimation
@@ -47 +42 @@
 
         // Logging
-        dirfilelog L ( "exp/merg_giw",ndat );
+        dirfilelog L ( "exp/merg_2a",ndat );
         int Li_Data = L.add ( RV ( "{Y U1 U2 }" ), "" );
         int Li_LL   = L.add ( RV ( "{G M }" ), "LL" );
-        int Li_P1m   = L.add ( RV ( "{a1 r }" ), "P1" );
-        int Li_P2m   = L.add ( RV ( "{a2 r }" ), "P2" );
-        int Li_Gm   = L.add ( RV ( "{a1 a2 r }" ), "G" );
-        int Li_Mm   = L.add ( RV ( "{a1 r a2 }" ), "M" );
+        int Li_P1m   = L.add ( RV ( "{a b r }" ), "P1" );
+        int Li_P2m   = L.add ( RV ( "{a c r }" ), "P2" );
         L.init();
 
         vec Yt ( ndat );
         vec yt ( 1 );
-
-        vec LLs ( 2 );
-        vec rgrg ( 2 );
 
         //Proposal
@@ -96 +86 @@
                 Array<mpdf*> A ( 2 ); A ( 0 ) =&eG1;A ( 1 ) =&eG2;
                 merger M ( A );
-                M.set_parameters ( 1.5, 100,3 ); //M._Mix().set_method(QB);
+                M.set_parameters ( 10, 100,3 ); //M._Mix().set_method(QB);
                 //M2.set_parameters ( 100.0, 1000,3 ); //M2._Mix().set_method(QB);
                 M.merge ( &G0 );

mpdm/merg_giw.cpp

@@ -104 +104 @@
                 yt ( 0 ) = Yt ( t );
 
-//              LLs ( 0 ) = P1._e()->evalpdflog ( get_vec(Th, "1 2") );
-//              LLs ( 1 ) = P2._e()->evalpdflog ( get_vec(Th, "3 2")  );
-                LLs ( 0 ) = PG._e()->evalpdflog ( Th );
+//              LLs ( 0 ) = P1._e()->evallog ( get_vec(Th, "1 2") );
+//              LLs ( 1 ) = P2._e()->evallog ( get_vec(Th, "3 2")  );
+                LLs ( 0 ) = PG._e()->evallog ( Th );
                 LLs ( 1 ) = M._Mix().logpred ( concat ( Thj, vec_1 ( 1.0 ) ) );
 //              LLs ( 3 ) = M2._Mix().logpred ( concat(Thj, vec_1(1.0)) );

mpdm/merg_pred.cpp

@@ -94 +94 @@
                                 
                                 yt(0) = Yt(t);
-                                double P1pl = P1p->evalcond(yt,rgr1);   
-                                double P2pl = P2p->evalcond(yt,rgr2);   
-                                double PGpl = Pgp->evalcond(yt,rgrg);   
+                                double P1pl = P1p->evallogcond(yt,rgr1);        
+                                double P2pl = P2p->evallogcond(yt,rgr2);        
+                                double PGpl = Pgp->evallogcond(yt,rgrg);        
                                 {
                                         cout << "yt: " << yt << endl;
@@ -113 +113 @@
                                         mlnorm<ldmat>* cP2p = (mlnorm<ldmat>*)mP2p->condition(y);
 
-                                        cP1pl = cP1p->evalcond(yt,rgr1);        
-                                        cP2pl = cP2p->evalcond(yt,rgr2);        
+                                        cP1pl = cP1p->evallogcond(yt,rgr1);     
+                                        cP2pl = cP2p->evallogcond(yt,rgr2);     
                                 
                                         cout << "ytm1: " << cP1p->_epdf().mean() << endl;