Changeset 598 for library/bdm/base/datasources.h

Timestamp:

09/03/09 00:27:23 (15 years ago)

Author:

smidl

Message:

new buffered datalink ( #32 ) and new datasources - all with minor trivial tests

Files:

• library/bdm/base/datasources.h (modified) (6 diffs)

library/bdm/base/datasources.h

@@ -28 +28 @@
 */
 class MemDS : public DS {
-protected:
-        //! internal matrix of data
-        mat Data;
-        //! active column in the Data matrix
-        int time;
-        //!  vector of rows that are presented in Dt
-        ivec rowid;
-        //! vector of delays that are presented in Dt
-        ivec delays;
-
-public:
-        void getdata ( vec &dt );
-        void getdata ( vec &dt, const ivec &indeces );
-        void set_rvs ( RV &drv, RV &urv );
-
-        void write ( vec &ut ) {
-                bdm_error ( "MemDS::write is not supported" );
-        }
-
-        void write ( vec &ut, ivec &indices ) {
-                bdm_error ( "MemDS::write is not supported" );
-        }
-
-        void step();
-        //!Default constructor
-        MemDS () {};
-        MemDS ( mat &Dat, ivec &rowid0, ivec &delays0 );
-};
+        protected:
+                //! internal matrix of data
+                mat Data;
+                //! active column in the Data matrix
+                int time;
+                //!  vector of rows that are presented in Dt
+                ivec rowid;
+                //! vector of delays that are presented in Dt
+                ivec delays;
+
+        public:
+                void getdata ( vec &dt );
+                void getdata ( vec &dt, const ivec &indeces );
+                void set_rvs ( RV &drv, RV &urv );
+
+                void write ( vec &ut ) {
+                        bdm_error ( "MemDS::write is not supported" );
+                }
+
+                void write ( vec &ut, ivec &indices ) {
+                        bdm_error ( "MemDS::write is not supported" );
+                }
+
+                void step();
+                //!Default constructor
+                MemDS () {};
+                MemDS ( mat &Dat, ivec &rowid0, ivec &delays0 );
+};
+
+/*!  \brief Simulate data from a static pdf
+Trivial example of a data source, could be used for tests of some estimation algorithms. For example, simulating data from a mixture model and feeding them to mixture model estimators.
+*/
+
+class EpdfDS: public DS {
+        protected:
+                //! internal pointer to epdf from which we samplecond
+                shared_ptr<epdf> iepdf;
+                //! internal storage of data sample
+                vec dt;
+        public:
+                void step() {
+                        dt=iepdf->sample();
+                }
+                void getdata ( vec &dt_out ) {
+                        dt_out = dt;
+                }
+                void getdata ( vec &dt_out, const ivec &ids ) {
+                        dt_out = dt ( ids );
+                }
+                const RV& _drv() {
+                        return iepdf->_rv();
+                }
+
+                /*!
+                \code
+                class = "PdfDS";
+                epdf = {class="epdf_offspring", ...}// list of points
+                \endcode
+
+                */
+                void from_setting ( const Setting &set ) {
+                        iepdf=UI::build<epdf> ( set,"epdf",UI::compulsory );
+                        dt = zeros ( iepdf->dimension() );
+                }
+};
+UIREGISTER ( EpdfDS );
+
+/*!  \brief Simulate data from conditional density
+Still having only one density but allowing conditioning on either input or delayed values.
+*/
+class MpdfDS :public DS {
+        protected:
+                //! internal pointer to epdf from which we samplecond
+                shared_ptr<mpdf> impdf;
+                //! internal storage of data sample
+                vec dt;
+                //! input vector
+                vec ut;
+                //! datalink between dt and ut and regressor
+                datalink_2to1_buffered rgrlink;
+                //! numeric values of regressor
+                vec rgr;
+                
+        public:
+                void step() {
+                        rgrlink.filldown ( dt,ut,rgr );
+                        rgrlink.step(dt,ut);//whist history
+                        dt=impdf->samplecond ( rgr );
+                }
+                void getdata ( vec &dt_out ) {
+                        dt_out = dt;
+                }
+                void getdata ( vec &dt_out, const ivec &ids ) {
+                        dt_out = dt ( ids );
+                }
+                const RV& _drv() const {
+                        return impdf->_rv();
+                }
+                void write(const vec &ut0){ut=ut0;}
+
+                /*!
+                \code
+                class = "MpdfDS";
+                mpdf = {class="epdf_offspring", ...}// list of points
+                \endcode
+
+                */
+                void from_setting ( const Setting &set ) {
+                        impdf=UI::build<mpdf> ( set,"mpdf",UI::compulsory );
+                        
+                        // get unique rvs form rvc
+                        RV rgrv0=impdf->_rvc().remove_time();
+                        // input is what in not in _rv()
+                        RV urv=rgrv0.subt(impdf->_rv()); 
+                        set_drv(impdf->_rv(), urv);
+                        // connect input and output to rvc
+                        rgrlink.set_connection(impdf->_rvc(), Drv,Urv); 
+
+                        dt = zeros ( impdf->dimension() );
+                        rgr = zeros ( impdf->dimensionc() );
+                        ut = zeros(urv._dsize());
+                }
+};
+UIREGISTER ( MpdfDS );
 
 /*! Pseudovirtual class for reading data from files
@@ -62 +158 @@
 class FileDS: public MemDS {
 
-public:
-        void getdata ( vec &dt ) {
-                dt = Data.get_col ( time );
-        }
-
-        void getdata ( vec &dt, const ivec &indices ) {
-                vec tmp = Data.get_col ( time );
-                dt = tmp ( indices );
-        }
-
-        //! returns number of data in the file;
-        int ndat() {
-                return Data.cols();
-        }
-        //! no sense to log this type
-        void log_add ( logger &L ) {};
-        //! no sense to log this type
-        void logit ( logger &L ) {};
+        public:
+                void getdata ( vec &dt ) {
+                        dt = Data.get_col ( time );
+                }
+
+                void getdata ( vec &dt, const ivec &indices ) {
+                        vec tmp = Data.get_col ( time );
+                        dt = tmp ( indices );
+                }
+
+                //! returns number of data in the file;
+                int ndat() {
+                        return Data.cols();
+                }
+                //! no sense to log this type
+                void log_add ( logger &L ) {};
+                //! no sense to log this type
+                void logit ( logger &L ) {};
 };
 
@@ -90 +186 @@
 class ITppFileDS: public FileDS {
 
-public:
-        ITppFileDS ( const string &fname, const string &varname ) : FileDS() {
-                it_file it ( fname );
-                it << Name ( varname );
-                it >> Data;
-                time = 0;
-                //rowid and delays are ignored
-        };
-
-        ITppFileDS () : FileDS() {
-        };
-
-        void from_setting ( const Setting &set );
-
-        // TODO dodelat void to_setting( Setting &set ) const;
+        public:
+                ITppFileDS ( const string &fname, const string &varname ) : FileDS() {
+                        it_file it ( fname );
+                        it << Name ( varname );
+                        it >> Data;
+                        time = 0;
+                        //rowid and delays are ignored
+                };
+
+                ITppFileDS () : FileDS() {
+                };
+
+                void from_setting ( const Setting &set );
+
+                // TODO dodelat void to_setting( Setting &set ) const;
 
 };
@@ -120 +216 @@
 class CsvFileDS: public FileDS {
 
-public:
-        //! Constructor - create DS from a CSV file.
-        CsvFileDS ( const string& fname, const string& orientation = "BY_COL" );
+        public:
+                //! Constructor - create DS from a CSV file.
+                CsvFileDS ( const string& fname, const string& orientation = "BY_COL" );
 };
 
@@ -132 +228 @@
 */
 class ArxDS : public DS {
-protected:
-        //! Rv of the regressor
-        RV Rrv;
-        //! History, ordered as \f$[y_t, u_t, y_{t-1 }, u_{t-1}, \ldots]\f$
-        vec H;
-        //! (future) input
-        vec U;
-        //! temporary variable for regressor
-        vec rgr;
-        //! data link: H -> rgr
-        datalink rgrlnk;
-        //! model of Y - linear Gaussian
-        mlnorm<chmat> model;
-        //! options
-        bool opt_L_theta;
-        //! loggers
-        int L_theta;
-        int L_R;
-        int dt_size;
-public:
-        void getdata ( vec &dt ) {
-                dt = H;
-        }
-
-        void getdata ( vec &dt, const ivec &indices ) {
-                dt = H ( indices );
-        }
-
-        void write ( vec &ut ) {
-                U = ut;
-        }
-
-        void write ( vec &ut, const ivec &indices ) {
-                bdm_assert_debug ( ut.length() == indices.length(), "ArxDS" );
-                set_subvector ( U, indices, ut );
-        }
-
-        void step();
-
-        //!Default constructor
-        ArxDS ( ) {};
-        //! Set parameters of the internal model, H is maximum time delay
-        void set_parameters ( const mat &Th0, const vec mu0, const chmat &sqR0 ) {
-                model.set_parameters ( Th0, mu0, sqR0 );
-        };
-        //! Set
-        void set_drv ( const RV &yrv, const RV &urv, const RV &rrv ) {
-                Rrv = rrv;
-                Urv = urv;
-                dt_size = yrv._dsize() + urv._dsize();
-
-                RV drv = concat ( yrv, urv );
-                Drv = drv;
-                int td = rrv.mint();
-                H.set_size ( drv._dsize() * ( -td + 1 ) );
-                U.set_size ( Urv._dsize() );
-                for ( int i = -1; i >= td; i-- ) {
-                        drv.t ( -1 );
-                        Drv.add ( drv ); //shift u1
-                }
-                rgrlnk.set_connection ( rrv, Drv );
-
-                dtsize = Drv._dsize();
-                utsize = Urv._dsize();
-        }
-        //! set options from a string
-        void set_options ( const string &s ) {
-                opt_L_theta = ( s.find ( "L_theta" ) != string::npos );
-        };
-        virtual void log_add ( logger &L ) {
-                //DS::log_add ( L ); too long!!
-                L_dt = L.add ( Drv ( 0, dt_size ), "" );
-                L_ut = L.add ( Urv, "" );
-
-                mat &A = model._A();
-                mat R = model._R();
-                if ( opt_L_theta ) {
-                        L_theta = L.add ( RV ( "{th }", vec_1 ( A.rows() * A.cols() ) ), "t" );
-                }
-                if ( opt_L_theta ) {
-                        L_R = L.add ( RV ( "{R }", vec_1 ( R.rows() * R.cols() ) ), "r" );
-                }
-        }
-        virtual void logit ( logger &L ) {
-                //DS::logit ( L );
-                L.logit ( L_dt, H.left ( dt_size ) );
-                L.logit ( L_ut, U );
-
-                mat &A = model._A();
-                mat R = model._R();
-                if ( opt_L_theta ) {
-                        L.logit ( L_theta, vec ( A._data(), A.rows() *A.cols() ) );
-                };
-                if ( opt_L_theta ) {
-                        L.logit ( L_R, vec ( R._data(), R.rows() *R.rows() ) );
-                };
-        }
-
-        // TODO dokumentace - aktualizovat
-        /*! UI for ArxDS using factorized description!
-
-        The ArxDS is constructed from a structure with fields:
-        \code
-        system = {
-                type = "ArxDS";
-                // description of y variables
-                y = {type="rv"; names=["y", "u"];};
-                // description of u variable
-                u = {type="rv"; names=[];}
-                // description of regressor
-                rgr = {type="rv";
-                        names = ["y","y","y","u"];
-                        times = [-1, -2, -3, -1];
-                }
-
-                // theta
-                theta = [0.8, -0.3, 0.4, 1.0,
-                                 0.0, 0.0, 0.0, 0.0];
-                // offset (optional)
-                offset = [0.0, 0.0];
-                //variance
-                r = [0.1, 0.0,
-                         0.0, 1.0];
-                //options: L_theta = log value of theta,
-                opt = "L_theta";
-        };
-        \endcode
-
-        Result is ARX data source offering with full history as Drv.
-        */
-        void from_setting ( const Setting &set );
-
-        // TODO dodelat void to_setting( Setting &set ) const;
+        protected:
+                //! Rv of the regressor
+                RV Rrv;
+                //! History, ordered as \f$[y_t, u_t, y_{t-1 }, u_{t-1}, \ldots]\f$
+                vec H;
+                //! (future) input
+                vec U;
+                //! temporary variable for regressor
+                vec rgr;
+                //! data link: H -> rgr
+                datalink rgrlnk;
+                //! model of Y - linear Gaussian
+                mlnorm<chmat> model;
+                //! options
+                bool opt_L_theta;
+                //! loggers
+                int L_theta;
+                int L_R;
+                int dt_size;
+        public:
+                void getdata ( vec &dt ) {
+                        dt = H;
+                }
+
+                void getdata ( vec &dt, const ivec &indices ) {
+                        dt = H ( indices );
+                }
+
+                void write ( vec &ut ) {
+                        U = ut;
+                }
+
+                void write ( vec &ut, const ivec &indices ) {
+                        bdm_assert_debug ( ut.length() == indices.length(), "ArxDS" );
+                        set_subvector ( U, indices, ut );
+                }
+
+                void step();
+
+                //!Default constructor
+                ArxDS ( ) {};
+                //! Set parameters of the internal model, H is maximum time delay
+                void set_parameters ( const mat &Th0, const vec mu0, const chmat &sqR0 ) {
+                        model.set_parameters ( Th0, mu0, sqR0 );
+                };
+                //! Set
+                void set_drv ( const RV &yrv, const RV &urv, const RV &rrv ) {
+                        Rrv = rrv;
+                        Urv = urv;
+                        dt_size = yrv._dsize() + urv._dsize();
+
+                        RV drv = concat ( yrv, urv );
+                        Drv = drv;
+                        int td = rrv.mint();
+                        H.set_size ( drv._dsize() * ( -td + 1 ) );
+                        U.set_size ( Urv._dsize() );
+                        for ( int i = -1; i >= td; i-- ) {
+                                drv.t ( -1 );
+                                Drv.add ( drv ); //shift u1
+                        }
+                        rgrlnk.set_connection ( rrv, Drv );
+
+                        dtsize = Drv._dsize();
+                        utsize = Urv._dsize();
+                }
+                //! set options from a string
+                void set_options ( const string &s ) {
+                        opt_L_theta = ( s.find ( "L_theta" ) != string::npos );
+                };
+                virtual void log_add ( logger &L ) {
+                        //DS::log_add ( L ); too long!!
+                        L_dt = L.add ( Drv ( 0, dt_size ), "" );
+                        L_ut = L.add ( Urv, "" );
+
+                        mat &A = model._A();
+                        mat R = model._R();
+                        if ( opt_L_theta ) {
+                                L_theta = L.add ( RV ( "{th }", vec_1 ( A.rows() * A.cols() ) ), "t" );
+                        }
+                        if ( opt_L_theta ) {
+                                L_R = L.add ( RV ( "{R }", vec_1 ( R.rows() * R.cols() ) ), "r" );
+                        }
+                }
+                virtual void logit ( logger &L ) {
+                        //DS::logit ( L );
+                        L.logit ( L_dt, H.left ( dt_size ) );
+                        L.logit ( L_ut, U );
+
+                        mat &A = model._A();
+                        mat R = model._R();
+                        if ( opt_L_theta ) {
+                                L.logit ( L_theta, vec ( A._data(), A.rows() *A.cols() ) );
+                        };
+                        if ( opt_L_theta ) {
+                                L.logit ( L_R, vec ( R._data(), R.rows() *R.rows() ) );
+                        };
+                }
+
+                // TODO dokumentace - aktualizovat
+                /*! UI for ArxDS using factorized description!
+
+                The ArxDS is constructed from a structure with fields:
+                \code
+                system = {
+                        type = "ArxDS";
+                        // description of y variables
+                        y = {type="rv"; names=["y", "u"];};
+                        // description of u variable
+                        u = {type="rv"; names=[];}
+                        // description of regressor
+                        rgr = {type="rv";
+                                names = ["y","y","y","u"];
+                                times = [-1, -2, -3, -1];
+                        }
+
+                        // theta
+                        theta = [0.8, -0.3, 0.4, 1.0,
+                                         0.0, 0.0, 0.0, 0.0];
+                        // offset (optional)
+                        offset = [0.0, 0.0];
+                        //variance
+                        r = [0.1, 0.0,
+                                 0.0, 1.0];
+                        //options: L_theta = log value of theta,
+                        opt = "L_theta";
+                };
+                \endcode
+
+                Result is ARX data source offering with full history as Drv.
+                */
+                void from_setting ( const Setting &set );
+
+                // TODO dodelat void to_setting( Setting &set ) const;
 };
 
@@ -271 +367 @@
 
 class stateDS : public DS {
-private:
-        //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$
-        shared_ptr<mpdf> IM;
-
-        //!conditional pdf of the observations \f$ f(d_t|x_t) \f$
-        shared_ptr<mpdf> OM;
-
-protected:
-        //! result storage
-        vec dt;
-        //! state storage
-        vec xt;
-        //! input storage
-        vec ut;
-        //! Logger
-        int L_xt;
-
-public:
-        void getdata ( vec &dt0 ) {
-                dt0 = dt;
-        }
-
-        void getdata ( vec &dt0, const ivec &indices ) {
-                dt0 = dt ( indices );
-        }
-
-        stateDS ( const shared_ptr<mpdf> &IM0, const shared_ptr<mpdf> &OM0, int usize ) : IM ( IM0 ), OM ( OM0 ),
-                dt ( OM0->dimension() ), xt ( IM0->dimension() ),
-                ut ( usize ), L_xt(0) { }
-
-        stateDS() : L_xt(0) { }
-
-        virtual void step() {
-                xt = IM->samplecond ( concat ( xt, ut ) );
-                dt = OM->samplecond ( concat ( xt, ut ) );
-        }
-
-        virtual void log_add ( logger &L ) {
-                DS::log_add ( L );
-                L_xt = L.add ( IM->_rv(), "true" );
-        }
-        virtual void logit ( logger &L ) {
-                DS::logit ( L );
-                L.logit ( L_xt, xt );
-        }
-
-        /*! UI for stateDS
-
-        The DS is constructed from a structure with fields:
-        \code
-        system = {
-                type = "stateDS";
-                //Internal model
-                IM = { type = "mpdf"; //<-- valid offspring! e.g. "mlnorm"
-                        rv = { //description of x_t
-                                names=["name1",...];
-                                sizes=[2,1]; // optional default=[1,1...];
-                                times=[0,0]; // optional default=[0,0...];
-                                }
-                        rvu= { //description of  u_t
-                                //optional default=empty
-                                }
-
-                        // remaining fields depending on the chosen type
-                        };
-                //Observation model
-                OM = { type = "mpdf-offspring";
-                        rv = {}; //description of d_t
-                        rvu = {type="internal", path="system.IM.rvu"}; //description of u_t
-
-                        //remaining fields
-                }
-        };
-        \endcode
-        */
-        void from_setting ( const Setting &set );
-
-        // TODO dodelat void to_setting( Setting &set ) const;
+        private:
+                //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$
+                shared_ptr<mpdf> IM;
+
+                //!conditional pdf of the observations \f$ f(d_t|x_t) \f$
+                shared_ptr<mpdf> OM;
+
+        protected:
+                //! result storage
+                vec dt;
+                //! state storage
+                vec xt;
+                //! input storage
+                vec ut;
+                //! Logger
+                int L_xt;
+
+        public:
+                void getdata ( vec &dt0 ) {
+                        dt0 = dt;
+                }
+
+                void getdata ( vec &dt0, const ivec &indices ) {
+                        dt0 = dt ( indices );
+                }
+
+                stateDS ( const shared_ptr<mpdf> &IM0, const shared_ptr<mpdf> &OM0, int usize ) : IM ( IM0 ), OM ( OM0 ),
+                                dt ( OM0->dimension() ), xt ( IM0->dimension() ),
+                                ut ( usize ), L_xt ( 0 ) { }
+
+                stateDS() : L_xt ( 0 ) { }
+
+                virtual void step() {
+                        xt = IM->samplecond ( concat ( xt, ut ) );
+                        dt = OM->samplecond ( concat ( xt, ut ) );
+                }
+
+                virtual void log_add ( logger &L ) {
+                        DS::log_add ( L );
+                        L_xt = L.add ( IM->_rv(), "true" );
+                }
+                virtual void logit ( logger &L ) {
+                        DS::logit ( L );
+                        L.logit ( L_xt, xt );
+                }
+
+                /*! UI for stateDS
+
+                The DS is constructed from a structure with fields:
+                \code
+                system = {
+                        type = "stateDS";
+                        //Internal model
+                        IM = { type = "mpdf"; //<-- valid offspring! e.g. "mlnorm"
+                                rv = { //description of x_t
+                                        names=["name1",...];
+                                        sizes=[2,1]; // optional default=[1,1...];
+                                        times=[0,0]; // optional default=[0,0...];
+                                        }
+                                rvu= { //description of  u_t
+                                        //optional default=empty
+                                        }
+
+                                // remaining fields depending on the chosen type
+                                };
+                        //Observation model
+                        OM = { type = "mpdf-offspring";
+                                rv = {}; //description of d_t
+                                rvu = {type="internal", path="system.IM.rvu"}; //description of u_t
+
+                                //remaining fields
+                        }
+                };
+                \endcode
+                */
+                void from_setting ( const Setting &set );
+
+                // TODO dodelat void to_setting( Setting &set ) const;
 
 };