Changeset 283 for bdm/stat/libBM.h

Timestamp:

02/24/09 14:14:01 (15 years ago)

Author:

smidl

Message:

get rid of BMcond + adaptation in doprava/

Files:

• bdm/stat/libBM.h (modified) (7 diffs)

bdm/stat/libBM.h

@@ -126 +126 @@
         int length() const {return len;} ;
         int id ( int at ) const{return ids ( at );};
-        int size ( int at ) const {return RV_SIZES ( ids(at) );};
+        int size ( int at ) const {return RV_SIZES ( ids ( at ) );};
         int time ( int at ) const{return times ( at );};
-        std::string name ( int at ) const {return RV_NAMES ( ids(at) );};
+        std::string name ( int at ) const {return RV_NAMES ( ids ( at ) );};
         void set_time ( int at, int time0 ) {times ( at ) =time0;};
         //!@}
@@ -204 +204 @@
 
         //! access function
-        int _dimy() const{return dimy;}
+        int dimension() const{return dimy;}
 };
 
@@ -259 +259 @@
         //! return expected variance (not covariance!)
         virtual vec variance() const {it_error ( "not implemneted" );return vec ( 0 );};
+        //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default
+        virtual void qbounds ( vec &lb, vec &ub, double percentage=0.95 ) const {
+                vec mea=mean(); vec std=sqrt(variance()); 
+                lb = mea-2*std; ub=mea+2*std;
+        };
         //!@}
 
@@ -592 +597 @@
 /*! \brief Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.
 
+This object represents exact or approximate evaluation of the Bayes rule:
+\f[
+f(\theta_t | d_1,\ldots,d_t) = \frac{f(y_t|\theta_t,\cdot) f(\theta_t|d_1,\ldots,d_{t-1})}{f(y_t|d_1,\ldots,d_{t-1})}
+\f]
+
+Access to the resulting posterior density is via function \c posterior().
+
+As a "side-effect" it also evaluates log-likelihood of the data, which can be accessed via function _ll().
+It can also evaluate predictors of future values of \f$y_t\f$, see functions epredictor() and predictor().
+
+Alternatively, it can evaluate posterior density conditioned by a known constant, \f$ c_t \f$:
+\f[
+f(\theta_t | c_t, d_1,\ldots,d_t) \propto  f(y_t,\theta_t|c_t,\cdot, d_1,\ldots,d_{t-1})
+\f]
+
+The value of \f$ c_t \f$ is set by function condition().
+
 */
 
@@ -606 +628 @@
         //! @{
 
-        BM () :ll ( 0 ),evalll ( true) {};
+        BM () :ll ( 0 ),evalll ( true ), LIDs ( 3 ), opt_L_bounds ( false ) {};
         BM ( const BM &B ) :  drv ( B.drv ), ll ( B.ll ), evalll ( B.evalll ) {}
         //! Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!
-        //! Prototype: \code BM* _copy_(){return new BM(*this);} \endcode
-        virtual BM* _copy_ () {return NULL;};
+        //! Prototype: \code BM* _copy_() const {return new BM(*this);} \endcode
+        virtual BM* _copy_ () const {return NULL;};
         //!@}
 
@@ -634 +656 @@
         //!@}
 
+        //! \name Extension to conditional BM
+        //! This extension is useful e.g. in Marginalized Particle Filter (\ref bdm::MPF).
+        //! Alternatively, it can be used for automated connection to DS when the condition is observed
+        //!@{
+
+        //! Name of extension variable
+        RV rvc;
+        //! access function
+        const RV& _rvc() const {return rvc;}
+
+        //! Substitute \c val for \c rvc.
+        virtual void condition ( const vec &val ) {it_error ( "Not implemented!" );};
+
+        //!@}
+
+
         //! \name Access to attributes
         //!@{
@@ -646 +684 @@
         //!@}
 
-};
-
-/*!
-\brief Conditional Bayesian Filter
-
-Evaluates conditional filtering density \f$f(rv|rvc,data)\f$ for a given \c rvc which is specified in each step by calling function \c condition.
-
-This is an interface class used to assure that certain BM has operation \c condition .
-
-*/
-
-class BMcond :public bdmroot {
-protected:
-        //!dimension of the conditioning variable
-        int dimc;
-        //! Identificator of the conditioning variable
-        RV rvc;
-public:
-        //! Substitute \c val for \c rvc.
-        virtual void condition ( const vec &val ) =0;
-        //! Default constructor
-        BMcond ( ) :rvc ( ) {};
-        //! Destructor for future use
-        virtual ~BMcond() {};
-        //! access function
-        const RV& _rvc() const {return rvc;}
+        //! \name Logging of results
+        //!@{
+
+        //! Set boolean options from a string
+        void set_options ( const string &opt ) {
+                opt_L_bounds= ( opt.find ( "logbounds" ) !=string::npos );
+        }
+        //! IDs of storages in loggers
+        ivec LIDs;
+
+        //! Option for logging bounds
+        bool opt_L_bounds;
+        //! Add all logged variables to a logger
+        void log_add ( logger *L, const string &name="" ) {
+                // internal
+                RV r;
+                if ( posterior().isnamed() ) {r=posterior()._rv();}
+                else{r=RV ( "est", posterior().dimension() );};
+
+                // Add mean value
+                LIDs ( 0 ) =L->add ( r,name );
+                if ( opt_L_bounds ) {
+                        LIDs ( 1 ) =L->add ( r,name+"_lb" );
+                        LIDs ( 2 ) =L->add ( r,name+"_ub" );
+                }
+        }
+        void logit ( logger *L ) {
+                L->logit ( LIDs ( 0 ), posterior().mean() );
+                if ( opt_L_bounds ) {
+                        vec ub,lb;
+                        posterior().qbounds(lb,ub);
+                        L->logit ( LIDs ( 1 ), lb );
+                        L->logit ( LIDs ( 2 ), ub );
+                }
+        }
+        //!@}
 };