Changeset 213 for mpdm/merg_pred.cpp

Timestamp:

11/25/08 12:24:42 (15 years ago)

Author:

smidl

Message:

Merging - new experiment

Files:

• mpdm/merg_pred.cpp (modified) (6 diffs)

mpdm/merg_pred.cpp

@@ -15 +15 @@
         RV u1 ( "{u1 }" );
         RV u2 ( "{u2 }" );
-        RV ym=y; ym.t(-1);
-        RV yy = y; yy.add(ym);
-        RV uu=u1; uu.add(u2);
+        RV ym=y; ym.t ( -1 );
+        RV yy = y; yy.add ( ym );
+        RV uu=u1; uu.add ( u2 );
 
         // Full system
@@ -44 +44 @@
 
         // Logging
-        dirfilelog L ( "exp/merg",ndat );
+        dirfilelog L ( "exp/merg",10 );
 
         int Li_Eth1 = L.add ( thri,"P1" );
@@ -56 +56 @@
 
         vec Yt ( ndat );
-        vec yt(1);
+        vec yt ( 1 );
 
         Yt.set_subvector ( 0,randn ( ord ) ); //initial values
-        vec rgrg ( thrg.count() -1); // constant terms are in!
-        vec rgr1 ( thri.count() -1);
-        vec rgr2 ( thri.count() -1);
+        vec rgrg ( thrg.count() -1 ); // constant terms are in!
+        vec rgr1 ( thri.count() -1 );
+        vec rgr2 ( thri.count() -1 );
 
-        vec PredLLs(5);
-        vec PostLLs(3);
-        vec PredLLs_m=zeros(5);
+        vec PredLLs ( 5 );
+        vec PostLLs ( 3 );
+        vec PredLLs_m=zeros ( 5 );
         ivec ind_r1 = "0 1 3";
         ivec ind_r2 = "0 2 3";
@@ -73 +73 @@
                         rgrg ( 0 ) =Yt ( t-1 );
                         rgrg ( 1 ) = pow(sin ( ( t/40.0 ) *pi ),3);
-                        rgrg ( 2 ) = pow(cos ( ( t/40.0 ) *pi ),3);
-                        rgrg (3) = 1.0; // constant term
-                        
-                        rgr1(0) = rgrg(0); rgr1(1) = rgrg(1); rgr1(2) = rgrg(3); // no u2
-                        rgr2(0) = rgrg(0); rgr2(1) = rgrg(2); rgr2(2) = rgrg(3); // no u1
+                        rgrg ( 2 ) = pow(cos ( ( t/60.0 ) *pi ),3);
+                        rgrg ( 3 ) = 1.0; // constant term
+
+                        rgr1 ( 0 ) = rgrg ( 0 ); rgr1 ( 1 ) = rgrg ( 1 ); rgr1 ( 2 ) = rgrg ( 3 ); // no u2
+                        rgr2 ( 0 ) = rgrg ( 0 ); rgr2 ( 1 ) = rgrg ( 2 ); rgr2 ( 2 ) = rgrg ( 3 ); // no u1
 
                         Yt ( t ) = thg*rgrg + sqr * NorRNG();
 
                         // Test predictors
-                        if (t>2){
-                                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(10000000.0, 100,1);
-                                M.merge(&g0);
-                                
-                                yt(0) = Yt(t);
-                                double P1pl = P1p->evallogcond(yt,rgr1);        
-                                double P2pl = P2p->evallogcond(yt,rgr2);        
-                                double PGpl = Pgp->evallogcond(yt,rgrg);        
+                        if ( t>2 ) {
+                                        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 ( 1e8, 101,1 );
+                                        M.merge ( &g0 );
+                                yt ( 0 ) = Yt ( t );
+                                double P1pl = P1p->evallogcond ( yt,rgr1 );
+                                double P2pl = P2p->evallogcond ( yt,rgr2 );
+                                double PGpl = Pgp->evallogcond ( yt,rgrg );
                                 {
-                                        cout << "yt: " << yt << endl;
+                                        cout << "T: " << t << "yt: " << yt << endl;
                                         cout << "yt_1: " << P1p->_epdf().mean() << endl;
+                                        cout << *P1p <<endl;
                                         cout << "yt_2: " << P2p->_epdf().mean() << endl;
                                         cout << "yt_G: " << P2p->_epdf().mean() << endl;
@@ -106 +106 @@
                                 double cP2pl;
                                 {
-                                        ARX* Apred = (ARX*)M._Mix()._Coms(0);
-                                        enorm<ldmat>* MP= Apred->predictor(concat(yy,uu));
-                                        enorm<ldmat>* mP1p = (enorm<ldmat>*)MP->marginal(concat(yy,u1));
-                                        enorm<ldmat>* mP2p = (enorm<ldmat>*)MP->marginal(concat(yy,u2));
-                                        mlnorm<ldmat>* cP1p = (mlnorm<ldmat>*)mP1p->condition(y);
-                                        mlnorm<ldmat>* cP2p = (mlnorm<ldmat>*)mP2p->condition(y);
+                                        ARX* Apred = ( ARX* ) M._Mix()._Coms ( 0 );
+                                        enorm<ldmat>* MP= Apred->predictor ( concat ( yy,uu ) );
+                                        enorm<ldmat>* mP1p = ( enorm<ldmat>* ) MP->marginal ( concat ( yy,u1 ) );
+                                        enorm<ldmat>* mP2p = ( enorm<ldmat>* ) MP->marginal ( concat ( yy,u2 ) );
+                                        mlnorm<ldmat>* cP1p = ( mlnorm<ldmat>* ) mP1p->condition ( y );
+                                        mlnorm<ldmat>* cP2p = ( mlnorm<ldmat>* ) mP2p->condition ( y );
 
-                                        cP1pl = cP1p->evallogcond(yt,rgr1);     
-                                        cP2pl = cP2p->evallogcond(yt,rgr2);     
-                                
+                                        cP1pl = cP1p->evallogcond ( yt,rgr1 );
+                                        cP2pl = cP2p->evallogcond ( yt,rgr2 );
+
                                         cout << "ytm1: " << cP1p->_epdf().mean() << endl;
                                         cout << "ytm2: " << cP2p->_epdf().mean() << endl;
+                                        cout << *cP2p << endl;
                                 }
 
                                 PredLLs *=frg;
-                                PredLLs += log(concat(vec_3(P1pl, P2pl, PGpl), vec_2(cP1pl,cP2pl)));
-                                L.logit(Li_Pred, PredLLs); //log-normal
-                                
+                                PredLLs += concat ( vec_3 ( P1pl, P2pl, PGpl ), vec_2 ( cP1pl,cP2pl ) );
+                                L.logit ( Li_Pred, PredLLs ); //log-normal
+
                                 delete P1p;
                                 delete P2p;
                                 delete Pgp;
                         }
-                        
-                        // 1st
-                        P1.bayes ( concat(Yt(t),rgr1) );
-                        // 2nd
-                        P2.bayes ( concat(Yt(t),rgr2) );
 
-                        //Global
-                        PG.bayes ( concat ( Yt ( t ),rgrg ) );
-                        
+                        if ( t<100 ) {
+                                // 1st
+                                P1.bayes ( concat ( Yt ( t ),rgr1 ) );
+                                // 2nd
+                                P2.bayes ( concat ( Yt ( t ),rgr2 ) );
+
+                                //Global
+                                PG.bayes ( concat ( Yt ( t ),rgrg ) );
+                        }
                         //Merger
                 }
@@ -146 +148 @@
                 PostLLs += vec_3 ( P1._ll(), P2._ll(), PG._ll() );
                 L.logit ( Li_LL, PostLLs );
-                L.step (  );
+                L.step ( );
         }
         L.finalize( );