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# emix.h

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    00001
    00013 #ifndef MX_H
    00014 #define MX_H
    00015
    00016 #define LOG2  0.69314718055995
    00017
    00018 #include "libEF.h"
    00019 //#include <std>
    00020
    00021 namespace bdm {
    00022
    00023 //this comes first because it is used inside emix!
    00024
    00037 class mratio: public mpdf {
    00038 protected:
    00040         const epdf* nom;
    00042         epdf* den;
    00044         bool destroynom;
    00046         datalink_m2e dl;
    00047 public:
    00050         mratio ( const epdf* nom0, const RV &rv, bool copy=false ) :mpdf ( ), dl ( ) {
    00051                 // adjust rv and rvc
    00052                 rvc = nom0->_rv().subt ( rv );
    00053                 dimc = rvc._dsize();
    00054                 ep = new epdf;
    00055                 ep->set_parameters(rv._dsize());
    00056                 ep->set_rv(rv);
    00057
    00058                 //prepare data structures
    00059                 if ( copy ) {it_error ( "todo" ); destroynom=true; }
    00060                 else { nom = nom0; destroynom = false; }
    00061                 it_assert_debug ( rvc.length() >0,"Makes no sense to use this object!" );
    00062
    00063                 // build denominator
    00064                 den = nom->marginal ( rvc );
    00065                 dl.set_connection(rv,rvc,nom0->_rv());
    00066         };
    00067         double evallogcond ( const vec &val, const vec &cond ) {
    00068                 double tmp;
    00069                 vec nom_val ( ep->dimension() + dimc );
    00070                 dl.pushup_cond ( nom_val,val,cond );
    00071                 tmp = exp ( nom->evallog ( nom_val ) - den->evallog ( cond ) );
    00072                 it_assert_debug ( std::isfinite ( tmp ),"Infinite value" );
    00073                 return tmp;
    00074         }
    00076         void ownnom() {destroynom=true;}
    00078         ~mratio() {delete den; if ( destroynom ) {delete nom;}}
    00079 };
    00080
    00091 class emix : public epdf {
    00092 protected:
    00094         vec w;
    00096         Array<epdf*> Coms;
    00098         bool destroyComs;
    00099 public:
    00101         emix ( ) : epdf ( ) {};
    00104         void set_parameters ( const vec &w, const Array<epdf*> &Coms, bool copy=false );
    00105
    00106         vec sample() const;
    00107         vec mean() const {
    00108                 int i; vec mu = zeros ( dim );
    00109                 for ( i = 0;i < w.length();i++ ) {mu += w ( i ) * Coms ( i )->mean(); }
    00110                 return mu;
    00111         }
    00112         vec variance() const {
    00113                 //non-central moment
    00114                 vec mom2 = zeros ( dim );
    00115                 for ( int i = 0;i < w.length();i++ ) {mom2 += w ( i ) * (Coms(i)->variance() + pow ( Coms ( i )->mean(),2 )); }
    00116                 //central moment
    00117                 return mom2-pow ( mean(),2 );
    00118         }
    00119         double evallog ( const vec &val ) const {
    00120                 int i;
    00121                 double sum = 0.0;
    00122                 for ( i = 0;i < w.length();i++ ) {sum += w ( i ) * exp ( Coms ( i )->evallog ( val ) );}
    00123                 if ( sum==0.0 ) {sum=std::numeric_limits<double>::epsilon();}
    00124                 double tmp=log ( sum );
    00125                 it_assert_debug ( std::isfinite ( tmp ),"Infinite" );
    00126                 return tmp;
    00127         };
    00128         vec evallog_m ( const mat &Val ) const {
    00129                 vec x=zeros ( Val.cols() );
    00130                 for ( int i = 0; i < w.length(); i++ ) {
    00131                         x+= w ( i ) *exp ( Coms ( i )->evallog_m ( Val ) );
    00132                 }
    00133                 return log ( x );
    00134         };
    00136         mat evallog_M ( const mat &Val ) const {
    00137                 mat X ( w.length(), Val.cols() );
    00138                 for ( int i = 0; i < w.length(); i++ ) {
    00139                         X.set_row ( i, w ( i ) *exp ( Coms ( i )->evallog_m ( Val ) ) );
    00140                 }
    00141                 return X;
    00142         };
    00143
    00144         emix* marginal ( const RV &rv ) const;
    00145         mratio* condition ( const RV &rv ) const; //why not mratio!!
    00146
    00147 //Access methods
    00149         vec& _w() {return w;}
    00150         virtual ~emix() {if ( destroyComs ) {for ( int i=0;i<Coms.length();i++ ) {delete Coms ( i );}}}
    00152         void ownComs() {destroyComs=true;}
    00153
    00155         epdf* _Coms ( int i ) {return Coms ( i );}
    00156         void set_rv(const RV &rv){
    00157                 epdf::set_rv(rv);
    00158                 for(int i=0;i<Coms.length();i++){Coms(i)->set_rv(rv);}
    00159         }
    00160 };
    00161
    00162
    00167 class egiwmix : public egiw {
    00168 protected:
    00170         vec w;
    00172         Array<egiw*> Coms;
    00174         bool destroyComs;
    00175 public:
    00177         egiwmix ( ) : egiw ( ) {};
    00178
    00181         void set_parameters ( const vec &w, const Array<egiw*> &Coms, bool copy=false );
    00182
    00184         vec mean() const;
    00185
    00187         vec sample() const;
    00188
    00190         vec variance() const;
    00191
    00192         // TODO!!! Defined to follow ANSI and/or for future development
    00193         void mean_mat ( mat &M, mat&R ) const {};
    00194         double evallog_nn ( const vec &val ) const {return 0;};
    00195         double lognc () const {return 0;};
    00196         emix* marginal ( const RV &rv ) const;
    00197
    00198 //Access methods
    00200         vec& _w() {return w;}
    00201         virtual ~egiwmix() {if ( destroyComs ) {for ( int i=0;i<Coms.length();i++ ) {delete Coms ( i );}}}
    00203         void ownComs() {destroyComs=true;}
    00204
    00206         egiw* _Coms ( int i ) {return Coms ( i );}
    00207
    00208         void set_rv(const RV &rv){
    00209                 egiw::set_rv(rv);
    00210                 for(int i=0;i<Coms.length();i++){Coms(i)->set_rv(rv);}
    00211         }
    00212
    00214         egiw* approx();
    00215 };
    00216
    00225 class mprod: public compositepdf, public mpdf {
    00226 protected:
    00228         Array<epdf*> epdfs;
    00230         Array<datalink_m2m*> dls;
    00232         epdf dummy;
    00233 public:
    00236         mprod (){};
    00237         mprod (Array<mpdf*> mFacs ){set_elements( mFacs );};
    00238         void set_elements(Array<mpdf*> mFacs ) {
    00239
    00240                 set_elements(mFacs);
    00241
    00242                 ep=&dummy;
    00243                 RV rv=getrv ( true );
    00244                 set_rv ( rv );dummy.set_parameters ( rv._dsize() );
    00245                 setrvc ( ep->_rv(),rvc );
    00246                 // rv and rvc established = > we can link them with mpdfs
    00247                 for ( int i = 0;i < mpdfs.length(); i++ ) {
    00248                         dls ( i ) = new datalink_m2m;
    00249                         dls(i)->set_connection( mpdfs ( i )->_rv(), mpdfs ( i )->_rvc(), _rv(), _rvc() );
    00250                 }
    00251
    00252                 for ( int i=0; i<mpdfs.length(); i++ ) {
    00253                         epdfs ( i ) =& ( mpdfs ( i )->_epdf() );
    00254                 }
    00255         };
    00256
    00257         double evallogcond ( const vec &val, const vec &cond ) {
    00258                 int i;
    00259                 double res = 0.0;
    00260                 for ( i = mpdfs.length() - 1;i >= 0;i-- ) {
    00261                         /*                      if ( mpdfs(i)->_rvc().count() >0) {
    00262                                                         mpdfs ( i )->condition ( dls ( i )->get_cond ( val,cond ) );
    00263                                                 }
    00264                                                 // add logarithms
    00265                                                 res += epdfs ( i )->evallog ( dls ( i )->pushdown ( val ) );*/
    00266                         res += mpdfs ( i )->evallogcond (
    00267                                    dls ( i )->pushdown ( val ),
    00268                                    dls ( i )->get_cond ( val, cond )
    00269                                );
    00270                 }
    00271                 return res;
    00272         }
    00273         //TODO smarter...
    00274         vec samplecond ( const vec &cond ) {
    00276                 vec smp= std::numeric_limits<double>::infinity() * ones ( ep->dimension() );
    00277                 vec smpi;
    00278                 // Hard assumption here!!! We are going backwards, to assure that samples that are needed from smp are already generated!
    00279                 for ( int i = ( mpdfs.length() - 1 );i >= 0;i-- ) {
    00280                         if ( mpdfs ( i )->dimensionc() ) {
    00281                                 mpdfs ( i )->condition ( dls ( i )->get_cond ( smp ,cond ) ); // smp is val here!!
    00282                         }
    00283                         smpi = epdfs ( i )->sample();
    00284                         // copy contribution of this pdf into smp
    00285                         dls ( i )->pushup ( smp, smpi );
    00286                         // add ith likelihood contribution
    00287                 }
    00288                 return smp;
    00289         }
    00290         mat samplecond ( const vec &cond,  int N ) {
    00291                 mat Smp ( dimension(),N );
    00292                 for ( int i=0;i<N;i++ ) {Smp.set_col ( i,samplecond ( cond ) );}
    00293                 return Smp;
    00294         }
    00295
    00296         ~mprod() {};
    00297 };
    00298
    00300 class eprod: public epdf {
    00301 protected:
    00303         Array<const epdf*> epdfs;
    00305         Array<datalink*> dls;
    00306 public:
    00307         eprod () : epdfs ( 0 ),dls ( 0 ) {};
    00308         void set_parameters ( const Array<const epdf*> &epdfs0, bool named=true ) {
    00309                 epdfs=epdfs0;//.set_length ( epdfs0.length() );
    00310                 dls.set_length ( epdfs.length() );
    00311
    00312                 bool independent=true;
    00313                 if ( named ) {
    00314                         for ( int i=0;i<epdfs.length();i++ ) {
    00315                                 independent=rv.add ( epdfs ( i )->_rv() );
    00316                                 it_assert_debug ( independent==true, "eprod:: given components are not independent." );
    00317                         }
    00318                         dim=rv._dsize();
    00319                 }
    00320                 else {
    00321                         dim =0; for ( int i=0;i<epdfs.length();i++ ) {
    00322                                 dim+=epdfs ( i )->dimension();
    00323                         }
    00324                 }
    00325                 //
    00326                 int cumdim=0;
    00327                 int dimi=0;
    00328                 int i;
    00329                 for ( i=0;i<epdfs.length();i++ ) {
    00330                         dls ( i ) = new datalink;
    00331                         if ( named ) {dls ( i )->set_connection ( epdfs ( i )->_rv() , rv );}
    00332                         else {
    00333                                 dimi = epdfs ( i )->dimension();
    00334                                 dls ( i )->set_connection ( dimi, dim, linspace ( cumdim,cumdim+dimi-1 ) );
    00335                                 cumdim+=dimi;
    00336                         }
    00337                 }
    00338         }
    00339
    00340         vec mean() const {
    00341                 vec tmp ( dim );
    00342                 for ( int i=0;i<epdfs.length();i++ ) {
    00343                         vec pom = epdfs ( i )->mean();
    00344                         dls ( i )->pushup ( tmp, pom );
    00345                 }
    00346                 return tmp;
    00347         }
    00348         vec variance() const {
    00349                 vec tmp ( dim ); //second moment
    00350                 for ( int i=0;i<epdfs.length();i++ ) {
    00351                         vec pom = epdfs ( i )->mean();
    00352                         dls ( i )->pushup ( tmp, pow ( pom,2 ) );
    00353                 }
    00354                 return tmp-pow ( mean(),2 );
    00355         }
    00356         vec sample() const {
    00357                 vec tmp ( dim );
    00358                 for ( int i=0;i<epdfs.length();i++ ) {
    00359                         vec pom = epdfs ( i )->sample();
    00360                         dls ( i )->pushup ( tmp, pom );
    00361                 }
    00362                 return tmp;
    00363         }
    00364         double evallog ( const vec &val ) const {
    00365                 double tmp=0;
    00366                 for ( int i=0;i<epdfs.length();i++ ) {
    00367                         tmp+=epdfs ( i )->evallog ( dls ( i )->pushdown ( val ) );
    00368                 }
    00369                 it_assert_debug ( std::isfinite ( tmp ),"Infinite" );
    00370                 return tmp;
    00371         }
    00373         const epdf* operator () ( int i ) const {it_assert_debug ( i<epdfs.length(),"wrong index" );return epdfs ( i );}
    00374
    00376         ~eprod() {for ( int i=0;i<epdfs.length();i++ ) {delete dls ( i );}}
    00377 };
    00378
    00379
    00383 class mmix : public mpdf {
    00384 protected:
    00386         Array<mpdf*> Coms;
    00388         emix Epdf;
    00389 public:
    00391         mmix ( ) : mpdf ( ), Epdf () {ep = &Epdf;};
    00393         void set_parameters ( const vec &w, const Array<mpdf*> &Coms ) {
    00394                 Array<epdf*> Eps ( Coms.length() );
    00395
    00396                 for ( int i = 0;i < Coms.length();i++ ) {
    00397                         Eps ( i ) = & ( Coms ( i )->_epdf() );
    00398                 }
    00399                 Epdf.set_parameters ( w, Eps );
    00400         };
    00401
    00402         void condition ( const vec &cond ) {
    00403                 for ( int i = 0;i < Coms.length();i++ ) {Coms ( i )->condition ( cond );}
    00404         };
    00405 };
    00406
    00407 }
    00408 #endif //MX_H