| 88 | | class RV : public root |
| 89 | | { |
| 90 | | protected: |
| 91 | | //! size of the data vector |
| 92 | | int dsize; |
| 93 | | //! number of individual rvs |
| 94 | | int len; |
| 95 | | //! Vector of unique IDs |
| 96 | | ivec ids; |
| 97 | | //! Vector of shifts from current time |
| 98 | | ivec times; |
| 99 | | |
| 100 | | private: |
| 101 | | enum enum_dummy {dummy}; |
| 102 | | //! auxiliary function used in constructor |
| 103 | | void init (const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times); |
| 104 | | int init (const string &name, int size); |
| 105 | | //! Private constructor from IDs, potentially dangerous since all ids must be valid! |
| 106 | | //! dummy is there to prevent confusion with RV(" string"); |
| 107 | | explicit RV (const ivec &ids0, enum_dummy dum): dsize(0), len(ids0.length()), ids(ids0), times(zeros_i(ids0.length())) { |
| 108 | | dsize = countsize(); |
| 109 | | } |
| 110 | | public: |
| 111 | | //! \name Constructors |
| 112 | | //!@{ |
| 113 | | |
| 114 | | //! Full constructor |
| 115 | | RV (const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times) { |
| 116 | | init (in_names, in_sizes, in_times); |
| 117 | | } |
| 118 | | |
| 119 | | //! Constructor with times=0 |
| 120 | | RV (const Array<std::string> &in_names, const ivec &in_sizes) { |
| 121 | | init (in_names, in_sizes, zeros_i (in_names.length())); |
| 122 | | } |
| 123 | | |
| 124 | | //! Constructor with sizes=1, times=0 |
| 125 | | RV (const Array<std::string> &in_names) { |
| 126 | | init (in_names, ones_i (in_names.length()), zeros_i (in_names.length())); |
| 127 | | } |
| 128 | | |
| 129 | | //! Constructor of empty RV |
| 130 | | RV() : dsize (0), len (0), ids (0), times (0) {} |
| 131 | | |
| 132 | | //! Constructor of a single RV with given id |
| 133 | | RV (string name, int sz, int tm = 0); |
| 134 | | |
| 135 | | // compiler-generated copy constructor is used |
| 136 | | //!@} |
| 137 | | |
| 138 | | //! \name Access functions |
| 139 | | //!@{ |
| 140 | | |
| 141 | | //! State output, e.g. for debugging. |
| 142 | | friend std::ostream &operator<< (std::ostream &os, const RV &rv); |
| 143 | | |
| 144 | | int _dsize() const { |
| 145 | | return dsize; |
| 146 | | } |
| 147 | | |
| 148 | | //! access function |
| 149 | | const ivec& _ids() const { return ids;} |
| 150 | | |
| 151 | | //! Recount size of the corresponding data vector |
| 152 | | int countsize() const; |
| 153 | | ivec cumsizes() const; |
| 154 | | int length() const { |
| 155 | | return len; |
| 156 | | } |
| 157 | | int id (int at) const { |
| 158 | | return ids (at); |
| 159 | | } |
| 160 | | int size (int at) const { |
| 161 | | return RV_SIZES (ids (at)); |
| 162 | | } |
| 163 | | int time (int at) const { |
| 164 | | return times (at); |
| 165 | | } |
| 166 | | std::string name (int at) const { |
| 167 | | return RV_NAMES (ids (at)); |
| 168 | | } |
| 169 | | void set_time (int at, int time0) { |
| 170 | | times (at) = time0; |
| 171 | | } |
| 172 | | //!@} |
| 173 | | |
| 174 | | //! \name Algebra on Random Variables |
| 175 | | //!@{ |
| 176 | | |
| 177 | | //! Find indices of self in another rv, \return ivec of the same size as self. |
| 178 | | ivec findself (const RV &rv2) const; |
| 179 | | //! Find indices of self in another rv, ignore time, \return ivec of the same size as self. |
| 180 | | ivec findself_ids (const RV &rv2) const; |
| 181 | | //! Compare if \c rv2 is identical to this \c RV |
| 182 | | bool equal (const RV &rv2) const; |
| 183 | | //! Add (concat) another variable to the current one, \return true if all rv2 were added, false if rv2 is in conflict |
| 184 | | bool add (const RV &rv2); |
| 185 | | //! Subtract another variable from the current one |
| 186 | | RV subt (const RV &rv2) const; |
| 187 | | //! Select only variables at indices ind |
| 188 | | RV subselect (const ivec &ind) const; |
| 189 | | |
| 190 | | //! Select only variables at indices ind |
| 191 | | RV operator() (const ivec &ind) const { |
| 192 | | return subselect (ind); |
| 193 | | } |
| 194 | | |
| 195 | | //! Select from data vector starting at di1 to di2 |
| 196 | | RV operator() (int di1, int di2) const; |
| 197 | | |
| 198 | | //! Shift \c time by delta. |
| 199 | | void t (int delta); |
| 200 | | //!@} |
| 201 | | |
| 202 | | //! @{ \name Auxiliary functions |
| 203 | | //! returns rvs with time set to 0 and removed duplicates |
| 204 | | RV remove_time() const { return RV(unique(ids), dummy); } |
| 205 | | //! return rvs with expanded delayes and sorted in the order of: \f$ [ rv_{0}, rv_{-1}, rv_{ |
| 206 | | RV expand_delayes() const { |
| 207 | | RV rvt=this->remove_time(); //rv at t=0 |
| 208 | | RV tmp = rvt; |
| 209 | | int td = mint(); |
| 210 | | for ( int i = -1; i >= td; i-- ) { |
| | 79 | class RV : public root { |
| | 80 | private: |
| | 81 | typedef std::map<string, int> str2int_map; |
| | 82 | |
| | 83 | //! Internal global variable storing sizes of RVs |
| | 84 | static ivec SIZES; |
| | 85 | //! Internal global variable storing names of RVs |
| | 86 | static Array<string> NAMES; |
| | 87 | |
| | 88 | //! TODO |
| | 89 | const static int BUFFER_STEP; |
| | 90 | |
| | 91 | //! TODO |
| | 92 | static str2int_map MAP; |
| | 93 | |
| | 94 | public: |
| | 95 | |
| | 96 | protected: |
| | 97 | //! size of the data vector |
| | 98 | int dsize; |
| | 99 | //! number of individual rvs |
| | 100 | int len; |
| | 101 | //! Vector of unique IDs |
| | 102 | ivec ids; |
| | 103 | //! Vector of shifts from current time |
| | 104 | ivec times; |
| | 105 | |
| | 106 | private: |
| | 107 | enum enum_dummy {dummy}; |
| | 108 | |
| | 109 | //! auxiliary function used in constructor |
| | 110 | void init ( const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times ); |
| | 111 | int init ( const string &name, int size ); |
| | 112 | //! Private constructor from IDs, potentially dangerous since all ids must be valid! |
| | 113 | //! dummy is there to prevent confusion with RV(" string"); |
| | 114 | explicit RV ( const ivec &ids0, enum_dummy dum ) : dsize ( 0 ), len ( ids0.length() ), ids ( ids0 ), times ( zeros_i ( ids0.length() ) ) { |
| | 115 | dsize = countsize(); |
| | 116 | } |
| | 117 | public: |
| | 118 | //! \name Constructors |
| | 119 | //!@{ |
| | 120 | |
| | 121 | //! Full constructor |
| | 122 | RV ( const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times ) { |
| | 123 | init ( in_names, in_sizes, in_times ); |
| | 124 | } |
| | 125 | |
| | 126 | //! Constructor with times=0 |
| | 127 | RV ( const Array<std::string> &in_names, const ivec &in_sizes ) { |
| | 128 | init ( in_names, in_sizes, zeros_i ( in_names.length() ) ); |
| | 129 | } |
| | 130 | |
| | 131 | //! Constructor with sizes=1, times=0 |
| | 132 | RV ( const Array<std::string> &in_names ) { |
| | 133 | init ( in_names, ones_i ( in_names.length() ), zeros_i ( in_names.length() ) ); |
| | 134 | } |
| | 135 | |
| | 136 | //! Constructor of empty RV |
| | 137 | RV() : dsize ( 0 ), len ( 0 ), ids ( 0 ), times ( 0 ) {} |
| | 138 | |
| | 139 | //! Constructor of a single RV with given id |
| | 140 | RV ( string name, int sz, int tm = 0 ); |
| | 141 | |
| | 142 | // compiler-generated copy constructor is used |
| | 143 | //!@} |
| | 144 | |
| | 145 | //! \name Access functions |
| | 146 | //!@{ |
| | 147 | |
| | 148 | //! State output, e.g. for debugging. |
| | 149 | friend std::ostream &operator<< ( std::ostream &os, const RV &rv ); |
| | 150 | |
| | 151 | int _dsize() const { |
| | 152 | return dsize; |
| | 153 | } |
| | 154 | |
| | 155 | //! access function |
| | 156 | const ivec& _ids() const { |
| | 157 | return ids; |
| | 158 | } |
| | 159 | |
| | 160 | //! Recount size of the corresponding data vector |
| | 161 | int countsize() const; |
| | 162 | ivec cumsizes() const; |
| | 163 | int length() const { |
| | 164 | return len; |
| | 165 | } |
| | 166 | int id ( int at ) const { |
| | 167 | return ids ( at ); |
| | 168 | } |
| | 169 | int size ( int at ) const { |
| | 170 | return SIZES ( ids ( at ) ); |
| | 171 | } |
| | 172 | int time ( int at ) const { |
| | 173 | return times ( at ); |
| | 174 | } |
| | 175 | std::string name ( int at ) const { |
| | 176 | return NAMES ( ids ( at ) ); |
| | 177 | } |
| | 178 | void set_time ( int at, int time0 ) { |
| | 179 | times ( at ) = time0; |
| | 180 | } |
| | 181 | //!@} |
| | 182 | |
| | 183 | //! \name Algebra on Random Variables |
| | 184 | //!@{ |
| | 185 | |
| | 186 | //! Find indices of self in another rv, \return ivec of the same size as self. |
| | 187 | ivec findself ( const RV &rv2 ) const; |
| | 188 | //! Find indices of self in another rv, ignore time, \return ivec of the same size as self. |
| | 189 | ivec findself_ids ( const RV &rv2 ) const; |
| | 190 | //! Compare if \c rv2 is identical to this \c RV |
| | 191 | bool equal ( const RV &rv2 ) const; |
| | 192 | //! Add (concat) another variable to the current one, \return true if all rv2 were added, false if rv2 is in conflict |
| | 193 | bool add ( const RV &rv2 ); |
| | 194 | //! Subtract another variable from the current one |
| | 195 | RV subt ( const RV &rv2 ) const; |
| | 196 | //! Select only variables at indices ind |
| | 197 | RV subselect ( const ivec &ind ) const; |
| | 198 | |
| | 199 | //! Select only variables at indices ind |
| | 200 | RV operator() ( const ivec &ind ) const { |
| | 201 | return subselect ( ind ); |
| | 202 | } |
| | 203 | |
| | 204 | //! Select from data vector starting at di1 to di2 |
| | 205 | RV operator() ( int di1, int di2 ) const; |
| | 206 | |
| | 207 | //! Shift \c time by delta. |
| | 208 | void t ( int delta ); |
| | 209 | //!@} |
| | 210 | |
| | 211 | //! @{ \name Auxiliary functions |
| | 212 | //! returns rvs with time set to 0 and removed duplicates |
| | 213 | RV remove_time() const { |
| | 214 | return RV ( unique ( ids ), dummy ); |
| | 215 | } |
| | 216 | //! return rvs with expanded delayes and sorted in the order of: \f$ [ rv_{0}, rv_{-1}, rv_{ |
| | 217 | RV expand_delayes() const { |
| | 218 | RV rvt = this->remove_time(); //rv at t=0 |
| | 219 | RV tmp = rvt; |
| | 220 | int td = mint(); |
| | 221 | for ( int i = -1; i >= td; i-- ) { |
| 216 | | //!@} |
| 217 | | |
| 218 | | //!\name Relation to vectors |
| 219 | | //!@{ |
| 220 | | |
| 221 | | //! generate \c str from rv, by expanding sizes |
| 222 | | str tostr() const; |
| 223 | | //! when this rv is a part of bigger rv, this function returns indices of self in the data vector of the bigger crv. |
| 224 | | //! Then, data can be copied via: data_of_this = cdata(ind); |
| 225 | | ivec dataind (const RV &crv) const; |
| 226 | | //! same as dataind but this time crv should not be complete supperset of rv. |
| 227 | | ivec dataind_part (const RV &crv) const; |
| 228 | | //! generate mutual indices when copying data between self and crv. |
| 229 | | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
| 230 | | void dataind (const RV &rv2, ivec &selfi, ivec &rv2i) const; |
| 231 | | //! Minimum time-offset |
| 232 | | int mint() const { |
| 233 | | return min (times); |
| | 225 | return tmp; |
| | 226 | } |
| | 227 | //!@} |
| | 228 | |
| | 229 | //!\name Relation to vectors |
| | 230 | //!@{ |
| | 231 | |
| | 232 | //! generate \c str from rv, by expanding sizes |
| | 233 | str tostr() const; |
| | 234 | //! when this rv is a part of bigger rv, this function returns indices of self in the data vector of the bigger crv. |
| | 235 | //! Then, data can be copied via: data_of_this = cdata(ind); |
| | 236 | ivec dataind ( const RV &crv ) const; |
| | 237 | //! same as dataind but this time crv should not be complete supperset of rv. |
| | 238 | ivec dataind_part ( const RV &crv ) const; |
| | 239 | //! generate mutual indices when copying data between self and crv. |
| | 240 | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
| | 241 | void dataind ( const RV &rv2, ivec &selfi, ivec &rv2i ) const; |
| | 242 | //! Minimum time-offset |
| | 243 | int mint() const { |
| | 244 | return min ( times ); |
| | 245 | } |
| | 246 | //!@} |
| | 247 | |
| | 248 | /*! \brief UI for class RV (description of data vectors) |
| | 249 | |
| | 250 | \code |
| | 251 | rv = { |
| | 252 | class = "RV"; // class name |
| | 253 | // UNIQUE IDENTIFIER same names = same variable |
| | 254 | names = ( "a", "b", "c", ...); // which will be used e.g. in loggers |
| | 255 | |
| | 256 | //optional arguments |
| | 257 | sizes = [1, 2, 3, ...]; // (optional) default = ones() |
| | 258 | times = [-1, -2, 0, ...]; // time shifts with respect to current time (optional) default = zeros() |
| | 259 | } |
| | 260 | \endcode |
| | 261 | */ |
| | 262 | void from_setting ( const Setting &set ); |
| | 263 | |
| | 264 | // TODO dodelat void to_setting( Setting &set ) const; |
| | 265 | |
| | 266 | //! Invalidate all named RVs. Use before initializing any RV instances, with care... |
| | 267 | static void clear_all(); |
| | 268 | }; |
| | 269 | UIREGISTER ( RV ); |
| | 270 | SHAREDPTR ( RV ); |
| | 271 | |
| | 272 | //! Concat two random variables |
| | 273 | RV concat ( const RV &rv1, const RV &rv2 ); |
| | 274 | |
| | 275 | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
| | 276 | class fnc : public root { |
| | 277 | protected: |
| | 278 | //! Length of the output vector |
| | 279 | int dimy; |
| | 280 | public: |
| | 281 | //!default constructor |
| | 282 | fnc() {}; |
| | 283 | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
| | 284 | virtual vec eval ( const vec &cond ) { |
| | 285 | return vec ( 0 ); |
| | 286 | }; |
| | 287 | |
| | 288 | //! function substitutes given value into an appropriate position |
| | 289 | virtual void condition ( const vec &val ) {}; |
| | 290 | |
| | 291 | //! access function |
| | 292 | int dimension() const { |
| | 293 | return dimy; |
| | 294 | } |
| | 295 | }; |
| | 296 | |
| | 297 | class mpdf; |
| | 298 | |
| | 299 | //! Probability density function with numerical statistics, e.g. posterior density. |
| | 300 | |
| | 301 | class epdf : public root { |
| | 302 | protected: |
| | 303 | //! dimension of the random variable |
| | 304 | int dim; |
| | 305 | //! Description of the random variable |
| | 306 | RV rv; |
| | 307 | |
| | 308 | public: |
| | 309 | /*! \name Constructors |
| | 310 | Construction of each epdf should support two types of constructors: |
| | 311 | \li empty constructor, |
| | 312 | \li copy constructor, |
| | 313 | |
| | 314 | The following constructors should be supported for convenience: |
| | 315 | \li constructor followed by calling \c set_parameters() |
| | 316 | \li constructor accepting random variables calling \c set_rv() |
| | 317 | |
| | 318 | All internal data structures are constructed as empty. Their values (including sizes) will be set by method \c set_parameters(). This way references can be initialized in constructors. |
| | 319 | @{*/ |
| | 320 | epdf() : dim ( 0 ), rv() {}; |
| | 321 | epdf ( const epdf &e ) : dim ( e.dim ), rv ( e.rv ) {}; |
| | 322 | epdf ( const RV &rv0 ) : dim ( rv0._dsize() ) { |
| | 323 | set_rv ( rv0 ); |
| | 324 | }; |
| | 325 | void set_parameters ( int dim0 ) { |
| | 326 | dim = dim0; |
| | 327 | } |
| | 328 | //!@} |
| | 329 | |
| | 330 | //! \name Matematical Operations |
| | 331 | //!@{ |
| | 332 | |
| | 333 | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
| | 334 | virtual vec sample() const { |
| | 335 | bdm_error ( "not implemented" ); |
| | 336 | return vec(); |
| | 337 | } |
| | 338 | |
| | 339 | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
| | 340 | virtual mat sample_m ( int N ) const; |
| | 341 | |
| | 342 | //! Compute log-probability of argument \c val |
| | 343 | //! In case the argument is out of suport return -Infinity |
| | 344 | virtual double evallog ( const vec &val ) const { |
| | 345 | bdm_error ( "not implemented" ); |
| | 346 | return 0.0; |
| | 347 | } |
| | 348 | |
| | 349 | //! Compute log-probability of multiple values argument \c val |
| | 350 | virtual vec evallog_m ( const mat &Val ) const; |
| | 351 | |
| | 352 | //! Compute log-probability of multiple values argument \c val |
| | 353 | virtual vec evallog_m ( const Array<vec> &Avec ) const; |
| | 354 | |
| | 355 | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
| | 356 | virtual shared_ptr<mpdf> condition ( const RV &rv ) const; |
| | 357 | |
| | 358 | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
| | 359 | virtual shared_ptr<epdf> marginal ( const RV &rv ) const; |
| | 360 | |
| | 361 | //! return expected value |
| | 362 | virtual vec mean() const { |
| | 363 | bdm_error ( "not implemneted" ); |
| | 364 | return vec(); |
| | 365 | } |
| | 366 | |
| | 367 | //! return expected variance (not covariance!) |
| | 368 | virtual vec variance() const { |
| | 369 | bdm_error ( "not implemneted" ); |
| | 370 | return vec(); |
| | 371 | } |
| | 372 | |
| | 373 | //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default |
| | 374 | virtual void qbounds ( vec &lb, vec &ub, double percentage = 0.95 ) const { |
| | 375 | vec mea = mean(); |
| | 376 | vec std = sqrt ( variance() ); |
| | 377 | lb = mea - 2 * std; |
| | 378 | ub = mea + 2 * std; |
| | 379 | }; |
| | 380 | //!@} |
| | 381 | |
| | 382 | //! \name Connection to other classes |
| | 383 | //! Description of the random quantity via attribute \c rv is optional. |
| | 384 | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
| | 385 | //! and \c conditioning \c rv has to be set. NB: |
| | 386 | //! @{ |
| | 387 | |
| | 388 | //!Name its rv |
| | 389 | void set_rv ( const RV &rv0 ) { |
| | 390 | rv = rv0; |
| | 391 | } |
| | 392 | |
| | 393 | //! True if rv is assigned |
| | 394 | bool isnamed() const { |
| | 395 | bool b = ( dim == rv._dsize() ); |
| | 396 | return b; |
| | 397 | } |
| | 398 | |
| | 399 | //! Return name (fails when isnamed is false) |
| | 400 | const RV& _rv() const { |
| | 401 | bdm_assert_debug ( isnamed(), "" ); |
| | 402 | return rv; |
| | 403 | } |
| | 404 | //!@} |
| | 405 | |
| | 406 | //! \name Access to attributes |
| | 407 | //! @{ |
| | 408 | |
| | 409 | //! Size of the random variable |
| | 410 | int dimension() const { |
| | 411 | return dim; |
| | 412 | } |
| | 413 | //! Load from structure with elements: |
| | 414 | //! \code |
| | 415 | //! { rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
| | 416 | //! // elements of offsprings |
| | 417 | //! } |
| | 418 | //! \endcode |
| | 419 | //!@} |
| | 420 | void from_setting ( const Setting &set ) { |
| | 421 | shared_ptr<RV> r = UI::build<RV> ( set, "rv", UI::optional ); |
| | 422 | if ( r ) { |
| | 423 | set_rv ( *r ); |
| 235 | | //!@} |
| 236 | | |
| 237 | | /*! \brief UI for class RV (description of data vectors) |
| 238 | | |
| 239 | | \code |
| 240 | | rv = { |
| 241 | | class = "RV"; // class name |
| 242 | | // UNIQUE IDENTIFIER same names = same variable |
| 243 | | names = ( "a", "b", "c", ...); // which will be used e.g. in loggers |
| 244 | | |
| 245 | | //optional arguments |
| 246 | | sizes = [1, 2, 3, ...]; // (optional) default = ones() |
| 247 | | times = [-1, -2, 0, ...]; // time shifts with respect to current time (optional) default = zeros() |
| | 425 | } |
| | 426 | |
| | 427 | }; |
| | 428 | SHAREDPTR ( epdf ); |
| | 429 | |
| | 430 | //! Conditional probability density, e.g. modeling \f$ f( x | y) \f$, where \f$ x \f$ is random variable, \c rv, and \f$ y \f$ is conditioning variable, \c rvc. |
| | 431 | class mpdf : public root { |
| | 432 | protected: |
| | 433 | //!dimension of the condition |
| | 434 | int dimc; |
| | 435 | //! random variable in condition |
| | 436 | RV rvc; |
| | 437 | private: |
| | 438 | //! internal epdf, used only as cache to avoid virtual calls of \c _rv() and \c _dimension() |
| | 439 | epdf* ep; |
| | 440 | |
| | 441 | protected: |
| | 442 | //! set internal pointer \c ep to point to given \c iepdf |
| | 443 | void set_ep ( epdf &iepdf ) { |
| | 444 | ep = &iepdf; |
| | 445 | } |
| | 446 | //! set internal pointer \c ep to point to given \c iepdf |
| | 447 | void set_ep ( epdf *iepdfp ) { |
| | 448 | ep = iepdfp; |
| | 449 | } |
| | 450 | |
| | 451 | public: |
| | 452 | //! \name Constructors |
| | 453 | //! @{ |
| | 454 | |
| | 455 | mpdf() : dimc ( 0 ), rvc(), ep ( NULL ) { } |
| | 456 | |
| | 457 | mpdf ( const mpdf &m ) : dimc ( m.dimc ), rvc ( m.rvc ), ep ( m.ep ) { } |
| | 458 | //!@} |
| | 459 | |
| | 460 | //! \name Matematical operations |
| | 461 | //!@{ |
| | 462 | |
| | 463 | //! Returns a sample from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
| | 464 | virtual vec samplecond ( const vec &cond ) { |
| | 465 | bdm_error ( "Not implemented" ); |
| | 466 | return vec(); |
| | 467 | } |
| | 468 | |
| | 469 | //! Returns \param N samples from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
| | 470 | virtual mat samplecond_m ( const vec &cond, int N ); |
| | 471 | |
| | 472 | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
| | 473 | virtual double evallogcond ( const vec &dt, const vec &cond ) { |
| | 474 | bdm_error ( "Not implemented" ); |
| | 475 | return 0.0; |
| | 476 | } |
| | 477 | |
| | 478 | //! Matrix version of evallogcond |
| | 479 | virtual vec evallogcond_m ( const mat &Dt, const vec &cond ) { |
| | 480 | vec v ( Dt.cols() ); |
| | 481 | for ( int i = 0; i < Dt.cols(); i++ ) { |
| | 482 | v ( i ) = evallogcond ( Dt.get_col ( i ), cond ); |
| 249 | | \endcode |
| 250 | | */ |
| 251 | | void from_setting (const Setting &set); |
| 252 | | |
| 253 | | // TODO dodelat void to_setting( Setting &set ) const; |
| 254 | | //! Invalidate all named RVs. Use before initializing any RV instances, with care... |
| 255 | | static void clear_all(); |
| 256 | | }; |
| 257 | | UIREGISTER (RV); |
| 258 | | SHAREDPTR (RV); |
| 259 | | |
| 260 | | //! Concat two random variables |
| 261 | | RV concat (const RV &rv1, const RV &rv2); |
| 262 | | |
| 263 | | //!Default empty RV that can be used as default argument |
| 264 | | extern RV RV0; |
| 265 | | |
| 266 | | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
| 267 | | |
| 268 | | class fnc : public root |
| 269 | | { |
| 270 | | protected: |
| 271 | | //! Length of the output vector |
| 272 | | int dimy; |
| 273 | | public: |
| 274 | | //!default constructor |
| 275 | | fnc() {}; |
| 276 | | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
| 277 | | virtual vec eval (const vec &cond) { |
| 278 | | return vec (0); |
| 279 | | }; |
| 280 | | |
| 281 | | //! function substitutes given value into an appropriate position |
| 282 | | virtual void condition (const vec &val) {}; |
| 283 | | |
| 284 | | //! access function |
| 285 | | int dimension() const { |
| 286 | | return dimy; |
| 287 | | } |
| 288 | | }; |
| 289 | | |
| 290 | | class mpdf; |
| 291 | | |
| 292 | | //! Probability density function with numerical statistics, e.g. posterior density. |
| 293 | | |
| 294 | | class epdf : public root |
| 295 | | { |
| 296 | | protected: |
| 297 | | //! dimension of the random variable |
| 298 | | int dim; |
| 299 | | //! Description of the random variable |
| 300 | | RV rv; |
| 301 | | |
| 302 | | public: |
| 303 | | /*! \name Constructors |
| 304 | | Construction of each epdf should support two types of constructors: |
| 305 | | \li empty constructor, |
| 306 | | \li copy constructor, |
| 307 | | |
| 308 | | The following constructors should be supported for convenience: |
| 309 | | \li constructor followed by calling \c set_parameters() |
| 310 | | \li constructor accepting random variables calling \c set_rv() |
| 311 | | |
| 312 | | All internal data structures are constructed as empty. Their values (including sizes) will be set by method \c set_parameters(). This way references can be initialized in constructors. |
| 313 | | @{*/ |
| 314 | | epdf() : dim (0), rv() {}; |
| 315 | | epdf (const epdf &e) : dim (e.dim), rv (e.rv) {}; |
| 316 | | epdf (const RV &rv0) : dim (rv0._dsize()) { |
| 317 | | set_rv (rv0); |
| 318 | | }; |
| 319 | | void set_parameters (int dim0) { |
| 320 | | dim = dim0; |
| 321 | | } |
| 322 | | //!@} |
| 323 | | |
| 324 | | //! \name Matematical Operations |
| 325 | | //!@{ |
| 326 | | |
| 327 | | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
| 328 | | virtual vec sample() const { |
| 329 | | bdm_error ("not implemented"); |
| 330 | | return vec(); |
| 331 | | } |
| 332 | | |
| 333 | | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
| 334 | | virtual mat sample_m (int N) const; |
| 335 | | |
| 336 | | //! Compute log-probability of argument \c val |
| 337 | | //! In case the argument is out of suport return -Infinity |
| 338 | | virtual double evallog (const vec &val) const { |
| 339 | | bdm_error ("not implemented"); |
| 340 | | return 0.0; |
| 341 | | } |
| 342 | | |
| 343 | | //! Compute log-probability of multiple values argument \c val |
| 344 | | virtual vec evallog_m (const mat &Val) const; |
| 345 | | |
| 346 | | //! Compute log-probability of multiple values argument \c val |
| 347 | | virtual vec evallog_m (const Array<vec> &Avec) const; |
| 348 | | |
| 349 | | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
| 350 | | virtual shared_ptr<mpdf> condition (const RV &rv) const; |
| 351 | | |
| 352 | | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
| 353 | | virtual shared_ptr<epdf> marginal (const RV &rv) const; |
| 354 | | |
| 355 | | //! return expected value |
| 356 | | virtual vec mean() const { |
| 357 | | bdm_error ("not implemneted"); |
| 358 | | return vec(); |
| 359 | | } |
| 360 | | |
| 361 | | //! return expected variance (not covariance!) |
| 362 | | virtual vec variance() const { |
| 363 | | bdm_error ("not implemneted"); |
| 364 | | return vec(); |
| 365 | | } |
| 366 | | |
| 367 | | //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default |
| 368 | | virtual void qbounds (vec &lb, vec &ub, double percentage = 0.95) const { |
| 369 | | vec mea = mean(); |
| 370 | | vec std = sqrt (variance()); |
| 371 | | lb = mea - 2 * std; |
| 372 | | ub = mea + 2 * std; |
| 373 | | }; |
| 374 | | //!@} |
| 375 | | |
| 376 | | //! \name Connection to other classes |
| 377 | | //! Description of the random quantity via attribute \c rv is optional. |
| 378 | | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
| 379 | | //! and \c conditioning \c rv has to be set. NB: |
| 380 | | //! @{ |
| 381 | | |
| 382 | | //!Name its rv |
| 383 | | void set_rv (const RV &rv0) { |
| 384 | | rv = rv0; |
| 385 | | } |
| 386 | | |
| 387 | | //! True if rv is assigned |
| 388 | | bool isnamed() const { |
| 389 | | bool b = (dim == rv._dsize()); |
| 390 | | return b; |
| 391 | | } |
| 392 | | |
| 393 | | //! Return name (fails when isnamed is false) |
| 394 | | const RV& _rv() const { |
| 395 | | bdm_assert_debug (isnamed(), ""); |
| 396 | | return rv; |
| 397 | | } |
| 398 | | //!@} |
| 399 | | |
| 400 | | //! \name Access to attributes |
| 401 | | //! @{ |
| 402 | | |
| 403 | | //! Size of the random variable |
| 404 | | int dimension() const { |
| 405 | | return dim; |
| 406 | | } |
| 407 | | //! Load from structure with elements: |
| 408 | | //! \code |
| 409 | | //! { rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
| 410 | | //! // elements of offsprings |
| 411 | | //! } |
| 412 | | //! \endcode |
| 413 | | //!@} |
| 414 | | void from_setting (const Setting &set) { |
| 415 | | shared_ptr<RV> r = UI::build<RV> ( set, "rv", UI::optional ); |
| 416 | | if (r) { |
| 417 | | set_rv (*r); |
| 418 | | } |
| 419 | | } |
| 420 | | |
| 421 | | }; |
| 422 | | SHAREDPTR(epdf); |
| 423 | | |
| 424 | | //! Conditional probability density, e.g. modeling \f$ f( x | y) \f$, where \f$ x \f$ is random variable, \c rv, and \f$ y \f$ is conditioning variable, \c rvc. |
| 425 | | class mpdf : public root |
| 426 | | { |
| 427 | | protected: |
| 428 | | //!dimension of the condition |
| 429 | | int dimc; |
| 430 | | //! random variable in condition |
| 431 | | RV rvc; |
| 432 | | private: |
| 433 | | //! internal epdf, used only as cache to avoid virtual calls of \c _rv() and \c _dimension() |
| 434 | | epdf* ep; |
| 435 | | |
| 436 | | protected: |
| 437 | | //! set internal pointer \c ep to point to given \c iepdf |
| 438 | | void set_ep (epdf &iepdf) { |
| 439 | | ep = &iepdf; |
| 440 | | } |
| 441 | | //! set internal pointer \c ep to point to given \c iepdf |
| 442 | | void set_ep (epdf *iepdfp) { |
| 443 | | ep = iepdfp; |
| 444 | | } |
| 445 | | |
| 446 | | public: |
| 447 | | //! \name Constructors |
| 448 | | //! @{ |
| 449 | | |
| 450 | | mpdf() : dimc (0), rvc(), ep (NULL) { } |
| 451 | | |
| 452 | | mpdf (const mpdf &m) : dimc (m.dimc), rvc (m.rvc), ep (m.ep) { } |
| 453 | | //!@} |
| 454 | | |
| 455 | | //! \name Matematical operations |
| 456 | | //!@{ |
| 457 | | |
| 458 | | //! Returns a sample from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
| 459 | | virtual vec samplecond (const vec &cond) { |
| 460 | | bdm_error ("Not implemented"); |
| 461 | | return vec(); |
| 462 | | } |
| 463 | | |
| 464 | | //! Returns \param N samples from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
| 465 | | virtual mat samplecond_m (const vec &cond, int N); |
| 466 | | |
| 467 | | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
| 468 | | virtual double evallogcond (const vec &dt, const vec &cond) { |
| 469 | | bdm_error ("Not implemented"); |
| 470 | | return 0.0; |
| 471 | | } |
| 472 | | |
| 473 | | //! Matrix version of evallogcond |
| 474 | | virtual vec evallogcond_m (const mat &Dt, const vec &cond) { |
| 475 | | vec v(Dt.cols()); |
| 476 | | for(int i=0;i<Dt.cols();i++){v(i)= evallogcond(Dt.get_col(i),cond);} |
| 477 | | return v; |
| 478 | | } |
| 479 | | |
| 480 | | //! Array<vec> version of evallogcond |
| 481 | | virtual vec evallogcond_m (const Array<vec> &Dt, const vec &cond) { |
| 482 | | bdm_error ("Not implemented"); |
| 483 | | return vec(); |
| 484 | | } |
| 485 | | |
| 486 | | //! \name Access to attributes |
| 487 | | //! @{ |
| 488 | | |
| 489 | | const RV& _rv() const { |
| 490 | | return ep->_rv(); |
| 491 | | } |
| 492 | | const RV& _rvc() { |
| 493 | | return rvc; |
| 494 | | } |
| 495 | | |
| 496 | | int dimension() const { |
| 497 | | return ep->dimension(); |
| 498 | | } |
| 499 | | int dimensionc() { |
| 500 | | return dimc; |
| 501 | | } |
| 502 | | |
| 503 | | //! Load from structure with elements: |
| 504 | | //! \code |
| 505 | | //! { class = "mpdf_offspring", |
| 506 | | //! rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
| 507 | | //! rvc= {class="RV", names=(...),}; // RV describing meaning of random variable in condition |
| 508 | | //! // elements of offsprings |
| 509 | | //! } |
| 510 | | //! \endcode |
| 511 | | //!@} |
| 512 | | void from_setting (const Setting &set); |
| 513 | | //!@} |
| 514 | | |
| 515 | | //! \name Connection to other objects |
| 516 | | //!@{ |
| 517 | | void set_rvc (const RV &rvc0) { |
| 518 | | rvc = rvc0; |
| 519 | | } |
| 520 | | void set_rv (const RV &rv0) { |
| 521 | | ep->set_rv (rv0); |
| 522 | | } |
| 523 | | bool isnamed() { |
| 524 | | return (ep->isnamed()) && (dimc == rvc._dsize()); |
| 525 | | } |
| 526 | | //!@} |
| 527 | | }; |
| 528 | | SHAREDPTR(mpdf); |
| | 484 | return v; |
| | 485 | } |
| | 486 | |
| | 487 | //! Array<vec> version of evallogcond |
| | 488 | virtual vec evallogcond_m ( const Array<vec> &Dt, const vec &cond ) { |
| | 489 | bdm_error ( "Not implemented" ); |
| | 490 | return vec(); |
| | 491 | } |
| | 492 | |
| | 493 | //! \name Access to attributes |
| | 494 | //! @{ |
| | 495 | |
| | 496 | const RV& _rv() const { |
| | 497 | return ep->_rv(); |
| | 498 | } |
| | 499 | const RV& _rvc() { |
| | 500 | return rvc; |
| | 501 | } |
| | 502 | |
| | 503 | int dimension() const { |
| | 504 | return ep->dimension(); |
| | 505 | } |
| | 506 | int dimensionc() { |
| | 507 | return dimc; |
| | 508 | } |
| | 509 | |
| | 510 | //! Load from structure with elements: |
| | 511 | //! \code |
| | 512 | //! { class = "mpdf_offspring", |
| | 513 | //! rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
| | 514 | //! rvc= {class="RV", names=(...),}; // RV describing meaning of random variable in condition |
| | 515 | //! // elements of offsprings |
| | 516 | //! } |
| | 517 | //! \endcode |
| | 518 | //!@} |
| | 519 | void from_setting ( const Setting &set ); |
| | 520 | //!@} |
| | 521 | |
| | 522 | //! \name Connection to other objects |
| | 523 | //!@{ |
| | 524 | void set_rvc ( const RV &rvc0 ) { |
| | 525 | rvc = rvc0; |
| | 526 | } |
| | 527 | void set_rv ( const RV &rv0 ) { |
| | 528 | ep->set_rv ( rv0 ); |
| | 529 | } |
| | 530 | bool isnamed() { |
| | 531 | return ( ep->isnamed() ) && ( dimc == rvc._dsize() ); |
| | 532 | } |
| | 533 | //!@} |
| | 534 | }; |
| | 535 | SHAREDPTR ( mpdf ); |
| 532 | | class mpdf_internal: public mpdf |
| 533 | | { |
| 534 | | protected : |
| 535 | | //! Internal epdf used for sampling |
| 536 | | EPDF iepdf; |
| 537 | | public: |
| 538 | | //! constructor |
| 539 | | mpdf_internal() : mpdf(), iepdf() {set_ep (iepdf);} |
| 540 | | |
| 541 | | //! Update \c iepdf so that it represents this mpdf conditioned on \c rvc = cond |
| 542 | | //! This function provides convenient reimplementation in offsprings |
| 543 | | virtual void condition (const vec &cond) { |
| 544 | | bdm_error ("Not implemented"); |
| 545 | | } |
| 546 | | |
| 547 | | //!access function to iepdf |
| 548 | | EPDF& e() {return iepdf;} |
| 549 | | |
| 550 | | //! Reimplements samplecond using \c condition() |
| 551 | | vec samplecond (const vec &cond); |
| 552 | | //! Reimplements evallogcond using \c condition() |
| 553 | | double evallogcond (const vec &val, const vec &cond); |
| 554 | | //! Efficient version of evallogcond for matrices |
| 555 | | virtual vec evallogcond_m (const mat &Dt, const vec &cond); |
| 556 | | //! Efficient version of evallogcond for Array<vec> |
| 557 | | virtual vec evallogcond_m (const Array<vec> &Dt, const vec &cond); |
| 558 | | //! Efficient version of samplecond |
| 559 | | virtual mat samplecond_m (const vec &cond, int N); |
| | 539 | class mpdf_internal: public mpdf { |
| | 540 | protected : |
| | 541 | //! Internal epdf used for sampling |
| | 542 | EPDF iepdf; |
| | 543 | public: |
| | 544 | //! constructor |
| | 545 | mpdf_internal() : mpdf(), iepdf() { |
| | 546 | set_ep ( iepdf ); |
| | 547 | } |
| | 548 | |
| | 549 | //! Update \c iepdf so that it represents this mpdf conditioned on \c rvc = cond |
| | 550 | //! This function provides convenient reimplementation in offsprings |
| | 551 | virtual void condition ( const vec &cond ) { |
| | 552 | bdm_error ( "Not implemented" ); |
| | 553 | } |
| | 554 | |
| | 555 | //!access function to iepdf |
| | 556 | EPDF& e() { |
| | 557 | return iepdf; |
| | 558 | } |
| | 559 | |
| | 560 | //! Reimplements samplecond using \c condition() |
| | 561 | vec samplecond ( const vec &cond ); |
| | 562 | //! Reimplements evallogcond using \c condition() |
| | 563 | double evallogcond ( const vec &val, const vec &cond ); |
| | 564 | //! Efficient version of evallogcond for matrices |
| | 565 | virtual vec evallogcond_m ( const mat &Dt, const vec &cond ); |
| | 566 | //! Efficient version of evallogcond for Array<vec> |
| | 567 | virtual vec evallogcond_m ( const Array<vec> &Dt, const vec &cond ); |
| | 568 | //! Efficient version of samplecond |
| | 569 | virtual mat samplecond_m ( const vec &cond, int N ); |
| 587 | | class datalink |
| 588 | | { |
| 589 | | protected: |
| 590 | | //! Remember how long val should be |
| 591 | | int downsize; |
| 592 | | |
| 593 | | //! Remember how long val of "Up" should be |
| 594 | | int upsize; |
| 595 | | |
| 596 | | //! val-to-val link, indices of the upper val |
| 597 | | ivec v2v_up; |
| 598 | | |
| 599 | | public: |
| 600 | | //! Constructor |
| 601 | | datalink() : downsize (0), upsize (0) { } |
| 602 | | |
| 603 | | //! Convenience constructor |
| 604 | | datalink (const RV &rv, const RV &rv_up) { |
| 605 | | set_connection (rv, rv_up); |
| 606 | | } |
| 607 | | |
| 608 | | //! set connection, rv must be fully present in rv_up |
| 609 | | void set_connection (const RV &rv, const RV &rv_up); |
| 610 | | |
| 611 | | //! set connection using indices |
| 612 | | void set_connection (int ds, int us, const ivec &upind); |
| 613 | | |
| 614 | | //! Get val for myself from val of "Up" |
| 615 | | vec pushdown (const vec &val_up) { |
| 616 | | vec tmp(downsize); |
| 617 | | filldown(val_up, tmp); |
| 618 | | return tmp; |
| 619 | | } |
| 620 | | //! Get val for vector val_down from val of "Up" |
| 621 | | void filldown (const vec &val_up, vec &val_down) { |
| 622 | | bdm_assert_debug (upsize == val_up.length(), "Wrong val_up"); |
| 623 | | val_down=val_up(v2v_up); |
| 624 | | } |
| 625 | | |
| 626 | | //! Fill val of "Up" by my pieces |
| 627 | | void pushup (vec &val_up, const vec &val) { |
| 628 | | bdm_assert_debug (downsize == val.length(), "Wrong val"); |
| 629 | | bdm_assert_debug (upsize == val_up.length(), "Wrong val_up"); |
| 630 | | set_subvector (val_up, v2v_up, val); |
| 631 | | } |
| 632 | | //! access functions |
| 633 | | int _upsize(){return upsize;} |
| 634 | | //! access functions |
| 635 | | int _downsize(){return downsize;} |
| | 597 | class datalink { |
| | 598 | protected: |
| | 599 | //! Remember how long val should be |
| | 600 | int downsize; |
| | 601 | |
| | 602 | //! Remember how long val of "Up" should be |
| | 603 | int upsize; |
| | 604 | |
| | 605 | //! val-to-val link, indices of the upper val |
| | 606 | ivec v2v_up; |
| | 607 | |
| | 608 | public: |
| | 609 | //! Constructor |
| | 610 | datalink() : downsize ( 0 ), upsize ( 0 ) { } |
| | 611 | |
| | 612 | //! Convenience constructor |
| | 613 | datalink ( const RV &rv, const RV &rv_up ) { |
| | 614 | set_connection ( rv, rv_up ); |
| | 615 | } |
| | 616 | |
| | 617 | //! set connection, rv must be fully present in rv_up |
| | 618 | void set_connection ( const RV &rv, const RV &rv_up ); |
| | 619 | |
| | 620 | //! set connection using indices |
| | 621 | void set_connection ( int ds, int us, const ivec &upind ); |
| | 622 | |
| | 623 | //! Get val for myself from val of "Up" |
| | 624 | vec pushdown ( const vec &val_up ) { |
| | 625 | vec tmp ( downsize ); |
| | 626 | filldown ( val_up, tmp ); |
| | 627 | return tmp; |
| | 628 | } |
| | 629 | //! Get val for vector val_down from val of "Up" |
| | 630 | void filldown ( const vec &val_up, vec &val_down ) { |
| | 631 | bdm_assert_debug ( upsize == val_up.length(), "Wrong val_up" ); |
| | 632 | val_down = val_up ( v2v_up ); |
| | 633 | } |
| | 634 | //! Fill val of "Up" by my pieces |
| | 635 | void pushup ( vec &val_up, const vec &val ) { |
| | 636 | bdm_assert_debug ( downsize == val.length(), "Wrong val" ); |
| | 637 | bdm_assert_debug ( upsize == val_up.length(), "Wrong val_up" ); |
| | 638 | set_subvector ( val_up, v2v_up, val ); |
| | 639 | } |
| | 640 | //! access functions |
| | 641 | int _upsize() { |
| | 642 | return upsize; |
| | 643 | } |
| | 644 | //! access functions |
| | 645 | int _downsize() { |
| | 646 | return downsize; |
| | 647 | } |
| 676 | | //! Get val for myself from val of "Up" |
| 677 | | vec pushdown (const vec &val_up) { |
| 678 | | vec tmp(downsize); |
| 679 | | filldown(val_up, tmp); |
| 680 | | return tmp; |
| 681 | | } |
| 682 | | |
| 683 | | void filldown(const vec &val_up, vec &val_down){ |
| 684 | | bdm_assert_debug(val_down.length()>=downsize, "short val_down"); |
| 685 | | |
| 686 | | set_subvector(val_down, v2v_down, val_up(v2v_up)); // copy direct values |
| 687 | | set_subvector(val_down, h2v_down, history(h2v_hist)); // copy delayed values |
| 688 | | } |
| 689 | | |
| 690 | | void set_connection(const RV &rv, const RV &rv_up){ |
| 691 | | // create link between up and down |
| 692 | | datalink_part::set_connection(rv, rv_up); |
| 693 | | |
| 694 | | // create rvs of history |
| 695 | | // we can store only what we get in rv_up - everything else is removed |
| 696 | | ivec valid_ids=rv.findself_ids(rv_up); |
| 697 | | RV rv_hist = rv.subselect( find(valid_ids>=0) ); // select only rvs that are in rv_up |
| 698 | | rv_hist = rv_hist.expand_delayes(); // full regressor - including time 0 |
| 699 | | Hrv=rv_hist.subt(rv.remove_time()); // remove time 0 |
| 700 | | history = zeros(Hrv._dsize()); |
| 701 | | |
| 702 | | Hrv.dataind(rv,h2v_hist,h2v_down); |
| 703 | | |
| 704 | | downsize = v2v_down.length()+h2v_down.length(); |
| 705 | | upsize = v2v_up.length(); |
| | 688 | //! Get val for myself from val of "Up" |
| | 689 | vec pushdown ( const vec &val_up ) { |
| | 690 | vec tmp ( downsize ); |
| | 691 | filldown ( val_up, tmp ); |
| | 692 | return tmp; |
| | 693 | } |
| | 694 | |
| | 695 | void filldown ( const vec &val_up, vec &val_down ) { |
| | 696 | bdm_assert_debug ( val_down.length() >= downsize, "short val_down" ); |
| | 697 | |
| | 698 | set_subvector ( val_down, v2v_down, val_up ( v2v_up ) ); // copy direct values |
| | 699 | set_subvector ( val_down, h2v_down, history ( h2v_hist ) ); // copy delayed values |
| | 700 | } |
| | 701 | |
| | 702 | void set_connection ( const RV &rv, const RV &rv_up ) { |
| | 703 | // create link between up and down |
| | 704 | datalink_part::set_connection ( rv, rv_up ); |
| | 705 | |
| | 706 | // create rvs of history |
| | 707 | // we can store only what we get in rv_up - everything else is removed |
| | 708 | ivec valid_ids = rv.findself_ids ( rv_up ); |
| | 709 | RV rv_hist = rv.subselect ( find ( valid_ids >= 0 ) ); // select only rvs that are in rv_up |
| | 710 | rv_hist = rv_hist.expand_delayes(); // full regressor - including time 0 |
| | 711 | Hrv = rv_hist.subt ( rv.remove_time() ); // remove time 0 |
| | 712 | history = zeros ( Hrv._dsize() ); |
| | 713 | |
| | 714 | Hrv.dataind ( rv, h2v_hist, h2v_down ); |
| | 715 | |
| | 716 | downsize = v2v_down.length() + h2v_down.length(); |
| | 717 | upsize = v2v_up.length(); |
| 757 | | class datalink_m2m: public datalink_m2e |
| 758 | | { |
| 759 | | protected: |
| 760 | | //!cond-to-cond link, indices of the upper cond |
| 761 | | ivec c2c_up; |
| 762 | | //!cond-to-cond link, indices of the local cond |
| 763 | | ivec c2c_lo; |
| 764 | | |
| 765 | | public: |
| 766 | | //! Constructor |
| 767 | | datalink_m2m() {}; |
| 768 | | //! Set connection between the vectors |
| 769 | | void set_connection (const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up) { |
| 770 | | datalink_m2e::set_connection (rv, rvc, rv_up); |
| 771 | | //establish c2c connection |
| 772 | | rvc.dataind (rvc_up, c2c_lo, c2c_up); |
| 773 | | bdm_assert_debug (c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given"); |
| 774 | | } |
| 775 | | |
| 776 | | //! Get cond for myself from val and cond of "Up" |
| 777 | | vec get_cond (const vec &val_up, const vec &cond_up) { |
| 778 | | vec tmp (condsize); |
| 779 | | set_subvector (tmp, v2c_lo, val_up (v2c_up)); |
| 780 | | set_subvector (tmp, c2c_lo, cond_up (c2c_up)); |
| 781 | | return tmp; |
| 782 | | } |
| 783 | | //! Fill |
| | 773 | class datalink_m2m: public datalink_m2e { |
| | 774 | protected: |
| | 775 | //!cond-to-cond link, indices of the upper cond |
| | 776 | ivec c2c_up; |
| | 777 | //!cond-to-cond link, indices of the local cond |
| | 778 | ivec c2c_lo; |
| | 779 | |
| | 780 | public: |
| | 781 | //! Constructor |
| | 782 | datalink_m2m() {}; |
| | 783 | //! Set connection between the vectors |
| | 784 | void set_connection ( const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up ) { |
| | 785 | datalink_m2e::set_connection ( rv, rvc, rv_up ); |
| | 786 | //establish c2c connection |
| | 787 | rvc.dataind ( rvc_up, c2c_lo, c2c_up ); |
| | 788 | bdm_assert_debug ( c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given" ); |
| | 789 | } |
| | 790 | |
| | 791 | //! Get cond for myself from val and cond of "Up" |
| | 792 | vec get_cond ( const vec &val_up, const vec &cond_up ) { |
| | 793 | vec tmp ( condsize ); |
| | 794 | set_subvector ( tmp, v2c_lo, val_up ( v2c_up ) ); |
| | 795 | set_subvector ( tmp, c2c_lo, cond_up ( c2c_up ) ); |
| | 796 | return tmp; |
| | 797 | } |
| | 798 | //! Fill |
| 877 | | class DS : public root |
| 878 | | { |
| 879 | | protected: |
| 880 | | int dtsize; |
| 881 | | int utsize; |
| 882 | | //!Description of data returned by \c getdata(). |
| 883 | | RV Drv; |
| 884 | | //!Description of data witten by by \c write(). |
| 885 | | RV Urv; // |
| 886 | | //! Remember its own index in Logger L |
| 887 | | int L_dt, L_ut; |
| 888 | | public: |
| 889 | | //! default constructors |
| 890 | | DS() : Drv(), Urv() {}; |
| 891 | | |
| 892 | | //! Returns full vector of observed data=[output, input] |
| 893 | | virtual void getdata (vec &dt) { |
| 894 | | bdm_error ("abstract class"); |
| 895 | | } |
| 896 | | |
| 897 | | //! Returns data records at indeces. |
| 898 | | virtual void getdata (vec &dt, const ivec &indeces) { |
| 899 | | bdm_error ("abstract class"); |
| 900 | | } |
| 901 | | |
| 902 | | //! Accepts action variable and schedule it for application. |
| 903 | | virtual void write (vec &ut) { |
| 904 | | bdm_error ("abstract class"); |
| 905 | | } |
| 906 | | |
| 907 | | //! Accepts action variables at specific indeces |
| 908 | | virtual void write (vec &ut, const ivec &indeces) { |
| 909 | | bdm_error ("abstract class"); |
| 910 | | } |
| 911 | | |
| 912 | | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
| 913 | | virtual void step() = 0; |
| 914 | | |
| 915 | | //! Register DS for logging into logger L |
| 916 | | virtual void log_add (logger &L) { |
| 917 | | bdm_assert_debug (dtsize == Drv._dsize(), "invalid DS: dtsize ("+ num2str(dtsize)+ ") different from Drv "+ num2str(Drv._dsize())); |
| 918 | | bdm_assert_debug (utsize == Urv._dsize(), "invalid DS: utsize ("+ num2str(utsize)+ ") different from Urv "+ num2str(Urv._dsize())); |
| 919 | | |
| 920 | | L_dt = L.add (Drv, ""); |
| 921 | | L_ut = L.add (Urv, ""); |
| 922 | | } |
| 923 | | //! Register DS for logging into logger L |
| 924 | | virtual void logit (logger &L) { |
| 925 | | vec tmp (Drv._dsize() + Urv._dsize()); |
| 926 | | getdata (tmp); |
| 927 | | // d is first in getdata |
| 928 | | L.logit (L_dt, tmp.left (Drv._dsize())); |
| 929 | | // u follows after d in getdata |
| 930 | | L.logit (L_ut, tmp.mid (Drv._dsize(), Urv._dsize())); |
| 931 | | } |
| 932 | | //!access function |
| 933 | | virtual const RV& _drv() const { |
| 934 | | // return concat (Drv, Urv);// why!!! |
| 935 | | return Drv;// why!!! |
| 936 | | } |
| 937 | | //!access function |
| 938 | | const RV& _urv() const { |
| 939 | | return Urv; |
| 940 | | } |
| 941 | | //! set random variables |
| 942 | | virtual void set_drv (const RV &drv, const RV &urv) { |
| 943 | | Drv = drv; |
| 944 | | Urv = urv; |
| 945 | | } |
| | 900 | class DS : public root { |
| | 901 | protected: |
| | 902 | int dtsize; |
| | 903 | int utsize; |
| | 904 | //!Description of data returned by \c getdata(). |
| | 905 | RV Drv; |
| | 906 | //!Description of data witten by by \c write(). |
| | 907 | RV Urv; // |
| | 908 | //! Remember its own index in Logger L |
| | 909 | int L_dt, L_ut; |
| | 910 | public: |
| | 911 | //! default constructors |
| | 912 | DS() : Drv(), Urv() {}; |
| | 913 | |
| | 914 | //! Returns full vector of observed data=[output, input] |
| | 915 | virtual void getdata ( vec &dt ) { |
| | 916 | bdm_error ( "abstract class" ); |
| | 917 | } |
| | 918 | |
| | 919 | //! Returns data records at indeces. |
| | 920 | virtual void getdata ( vec &dt, const ivec &indeces ) { |
| | 921 | bdm_error ( "abstract class" ); |
| | 922 | } |
| | 923 | |
| | 924 | //! Accepts action variable and schedule it for application. |
| | 925 | virtual void write ( vec &ut ) { |
| | 926 | bdm_error ( "abstract class" ); |
| | 927 | } |
| | 928 | |
| | 929 | //! Accepts action variables at specific indeces |
| | 930 | virtual void write ( vec &ut, const ivec &indeces ) { |
| | 931 | bdm_error ( "abstract class" ); |
| | 932 | } |
| | 933 | |
| | 934 | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
| | 935 | virtual void step() = 0; |
| | 936 | |
| | 937 | //! Register DS for logging into logger L |
| | 938 | virtual void log_add ( logger &L ) { |
| | 939 | bdm_assert_debug ( dtsize == Drv._dsize(), "invalid DS: dtsize (" + num2str ( dtsize ) + ") different from Drv " + num2str ( Drv._dsize() ) ); |
| | 940 | bdm_assert_debug ( utsize == Urv._dsize(), "invalid DS: utsize (" + num2str ( utsize ) + ") different from Urv " + num2str ( Urv._dsize() ) ); |
| | 941 | |
| | 942 | L_dt = L.add ( Drv, "" ); |
| | 943 | L_ut = L.add ( Urv, "" ); |
| | 944 | } |
| | 945 | //! Register DS for logging into logger L |
| | 946 | virtual void logit ( logger &L ) { |
| | 947 | vec tmp ( Drv._dsize() + Urv._dsize() ); |
| | 948 | getdata ( tmp ); |
| | 949 | // d is first in getdata |
| | 950 | L.logit ( L_dt, tmp.left ( Drv._dsize() ) ); |
| | 951 | // u follows after d in getdata |
| | 952 | L.logit ( L_ut, tmp.mid ( Drv._dsize(), Urv._dsize() ) ); |
| | 953 | } |
| | 954 | //!access function |
| | 955 | virtual const RV& _drv() const { |
| | 956 | // return concat (Drv, Urv);// why!!! |
| | 957 | return Drv;// why!!! |
| | 958 | } |
| | 959 | //!access function |
| | 960 | const RV& _urv() const { |
| | 961 | return Urv; |
| | 962 | } |
| | 963 | //! set random variables |
| | 964 | virtual void set_drv ( const RV &drv, const RV &urv ) { |
| | 965 | Drv = drv; |
| | 966 | Urv = urv; |
| | 967 | } |
| 969 | | class BM : public root |
| 970 | | { |
| 971 | | protected: |
| 972 | | //! Random variable of the data (optional) |
| 973 | | RV drv; |
| 974 | | //!Logarithm of marginalized data likelihood. |
| 975 | | double ll; |
| 976 | | //! If true, the filter will compute likelihood of the data record and store it in \c ll . Set to false if you want to save computational time. |
| 977 | | bool evalll; |
| 978 | | public: |
| 979 | | //! \name Constructors |
| 980 | | //! @{ |
| 981 | | |
| 982 | | BM() : ll (0), evalll (true), LIDs (4), LFlags (4) { |
| 983 | | LIDs = -1;/*empty IDs*/ |
| 984 | | LFlags = 0; |
| 985 | | LFlags (0) = 1; /*log only mean*/ |
| | 991 | class BM : public root { |
| | 992 | protected: |
| | 993 | //! Random variable of the data (optional) |
| | 994 | RV drv; |
| | 995 | //!Logarithm of marginalized data likelihood. |
| | 996 | double ll; |
| | 997 | //! If true, the filter will compute likelihood of the data record and store it in \c ll . Set to false if you want to save computational time. |
| | 998 | bool evalll; |
| | 999 | public: |
| | 1000 | //! \name Constructors |
| | 1001 | //! @{ |
| | 1002 | |
| | 1003 | BM() : ll ( 0 ), evalll ( true ), LIDs ( 4 ), LFlags ( 4 ) { |
| | 1004 | LIDs = -1;/*empty IDs*/ |
| | 1005 | LFlags = 0; |
| | 1006 | LFlags ( 0 ) = 1; /*log only mean*/ |
| | 1007 | }; |
| | 1008 | BM ( const BM &B ) : drv ( B.drv ), ll ( B.ll ), evalll ( B.evalll ) {} |
| | 1009 | //! Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! |
| | 1010 | //! Prototype: \code BM* _copy_() const {return new BM(*this);} \endcode |
| | 1011 | virtual BM* _copy_() const { |
| | 1012 | return NULL; |
| | 1013 | }; |
| | 1014 | //!@} |
| | 1015 | |
| | 1016 | //! \name Mathematical operations |
| | 1017 | //!@{ |
| | 1018 | |
| | 1019 | /*! \brief Incremental Bayes rule |
| | 1020 | @param dt vector of input data |
| | 1021 | */ |
| | 1022 | virtual void bayes ( const vec &dt ) = 0; |
| | 1023 | //! Batch Bayes rule (columns of Dt are observations) |
| | 1024 | virtual void bayesB ( const mat &Dt ); |
| | 1025 | //! Evaluates predictive log-likelihood of the given data record |
| | 1026 | //! I.e. marginal likelihood of the data with the posterior integrated out. |
| | 1027 | virtual double logpred ( const vec &dt ) const { |
| | 1028 | bdm_error ( "Not implemented" ); |
| | 1029 | return 0.0; |
| | 1030 | } |
| | 1031 | |
| | 1032 | //! Matrix version of logpred |
| | 1033 | vec logpred_m ( const mat &dt ) const { |
| | 1034 | vec tmp ( dt.cols() ); |
| | 1035 | for ( int i = 0; i < dt.cols(); i++ ) { |
| | 1036 | tmp ( i ) = logpred ( dt.get_col ( i ) ); |
| | 1037 | } |
| | 1038 | return tmp; |
| | 1039 | } |
| | 1040 | |
| | 1041 | //!Constructs a predictive density \f$ f(d_{t+1} |d_{t}, \ldots d_{0}) \f$ |
| | 1042 | virtual epdf* epredictor() const { |
| | 1043 | bdm_error ( "Not implemented" ); |
| | 1044 | return NULL; |
| | 1045 | }; |
| | 1046 | //!Constructs conditional density of 1-step ahead predictor \f$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) \f$ |
| | 1047 | virtual mpdf* predictor() const { |
| | 1048 | bdm_error ( "Not implemented" ); |
| | 1049 | return NULL; |
| | 1050 | }; |
| | 1051 | //!@} |
| | 1052 | |
| | 1053 | //! \name Extension to conditional BM |
| | 1054 | //! This extension is useful e.g. in Marginalized Particle Filter (\ref bdm::MPF). |
| | 1055 | //! Alternatively, it can be used for automated connection to DS when the condition is observed |
| | 1056 | //!@{ |
| | 1057 | |
| | 1058 | //! Name of extension variable |
| | 1059 | RV rvc; |
| | 1060 | //! access function |
| | 1061 | const RV& _rvc() const { |
| | 1062 | return rvc; |
| | 1063 | } |
| | 1064 | |
| | 1065 | //! Substitute \c val for \c rvc. |
| | 1066 | virtual void condition ( const vec &val ) { |
| | 1067 | bdm_error ( "Not implemented!" ); |
| | 1068 | } |
| | 1069 | |
| | 1070 | //!@} |
| | 1071 | |
| | 1072 | |
| | 1073 | //! \name Access to attributes |
| | 1074 | //!@{ |
| | 1075 | |
| | 1076 | const RV& _drv() const { |
| | 1077 | return drv; |
| | 1078 | } |
| | 1079 | void set_drv ( const RV &rv ) { |
| | 1080 | drv = rv; |
| | 1081 | } |
| | 1082 | void set_rv ( const RV &rv ) { |
| | 1083 | const_cast<epdf&> ( posterior() ).set_rv ( rv ); |
| | 1084 | } |
| | 1085 | double _ll() const { |
| | 1086 | return ll; |
| | 1087 | } |
| | 1088 | void set_evalll ( bool evl0 ) { |
| | 1089 | evalll = evl0; |
| | 1090 | } |
| | 1091 | virtual const epdf& posterior() const = 0; |
| | 1092 | //!@} |
| | 1093 | |
| | 1094 | //! \name Logging of results |
| | 1095 | //!@{ |
| | 1096 | |
| | 1097 | //! Set boolean options from a string, recognized are: "logbounds,logll" |
| | 1098 | virtual void set_options ( const string &opt ) { |
| | 1099 | LFlags ( 0 ) = 1; |
| | 1100 | if ( opt.find ( "logbounds" ) != string::npos ) { |
| | 1101 | LFlags ( 1 ) = 1; |
| | 1102 | LFlags ( 2 ) = 1; |
| | 1103 | } |
| | 1104 | if ( opt.find ( "logll" ) != string::npos ) { |
| | 1105 | LFlags ( 3 ) = 1; |
| | 1106 | } |
| | 1107 | } |
| | 1108 | //! IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll] |
| | 1109 | ivec LIDs; |
| | 1110 | |
| | 1111 | //! Flags for logging - same size as LIDs, each entry correspond to the same in LIDs |
| | 1112 | ivec LFlags; |
| | 1113 | //! Add all logged variables to a logger |
| | 1114 | virtual void log_add ( logger &L, const string &name = "" ) { |
| | 1115 | // internal |
| | 1116 | RV r; |
| | 1117 | if ( posterior().isnamed() ) { |
| | 1118 | r = posterior()._rv(); |
| | 1119 | } else { |
| | 1120 | r = RV ( "est", posterior().dimension() ); |
| 1043 | | |
| 1044 | | //! Substitute \c val for \c rvc. |
| 1045 | | virtual void condition (const vec &val) { |
| 1046 | | bdm_error ("Not implemented!"); |
| 1047 | | } |
| 1048 | | |
| 1049 | | //!@} |
| 1050 | | |
| 1051 | | |
| 1052 | | //! \name Access to attributes |
| 1053 | | //!@{ |
| 1054 | | |
| 1055 | | const RV& _drv() const { |
| 1056 | | return drv; |
| 1057 | | } |
| 1058 | | void set_drv (const RV &rv) { |
| 1059 | | drv = rv; |
| 1060 | | } |
| 1061 | | void set_rv (const RV &rv) { |
| 1062 | | const_cast<epdf&> (posterior()).set_rv (rv); |
| 1063 | | } |
| 1064 | | double _ll() const { |
| 1065 | | return ll; |
| 1066 | | } |
| 1067 | | void set_evalll (bool evl0) { |
| 1068 | | evalll = evl0; |
| 1069 | | } |
| 1070 | | virtual const epdf& posterior() const = 0; |
| 1071 | | //!@} |
| 1072 | | |
| 1073 | | //! \name Logging of results |
| 1074 | | //!@{ |
| 1075 | | |
| 1076 | | //! Set boolean options from a string, recognized are: "logbounds,logll" |
| 1077 | | virtual void set_options (const string &opt) { |
| 1078 | | LFlags (0) = 1; |
| 1079 | | if (opt.find ("logbounds") != string::npos) { |
| 1080 | | LFlags (1) = 1; |
| 1081 | | LFlags (2) = 1; |
| 1082 | | } |
| 1083 | | if (opt.find ("logll") != string::npos) { |
| 1084 | | LFlags (3) = 1; |
| 1085 | | } |
| 1086 | | } |
| 1087 | | //! IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll] |
| 1088 | | ivec LIDs; |
| 1089 | | |
| 1090 | | //! Flags for logging - same size as LIDs, each entry correspond to the same in LIDs |
| 1091 | | ivec LFlags; |
| 1092 | | //! Add all logged variables to a logger |
| 1093 | | virtual void log_add (logger &L, const string &name = "") { |
| 1094 | | // internal |
| 1095 | | RV r; |
| 1096 | | if (posterior().isnamed()) { |
| 1097 | | r = posterior()._rv(); |
| 1098 | | } else { |
| 1099 | | r = RV ("est", posterior().dimension()); |
| 1100 | | }; |
| 1101 | | |
| 1102 | | // Add mean value |
| 1103 | | if (LFlags (0)) LIDs (0) = L.add (r, name + "mean_"); |
| 1104 | | if (LFlags (1)) LIDs (1) = L.add (r, name + "lb_"); |
| 1105 | | if (LFlags (2)) LIDs (2) = L.add (r, name + "ub_"); |
| 1106 | | if (LFlags (3)) LIDs (3) = L.add (RV ("ll", 1), name); //TODO: "local" RV |
| 1107 | | } |
| 1108 | | virtual void logit (logger &L) { |
| 1109 | | L.logit (LIDs (0), posterior().mean()); |
| 1110 | | if (LFlags (1) || LFlags (2)) { //if one of them is off, its LID==-1 and will not be stored |
| 1111 | | vec ub, lb; |
| 1112 | | posterior().qbounds (lb, ub); |
| 1113 | | L.logit (LIDs (1), lb); |
| 1114 | | L.logit (LIDs (2), ub); |
| 1115 | | } |
| 1116 | | if (LFlags (3)) L.logit (LIDs (3), ll); |
| 1117 | | } |
| 1118 | | //!@} |
| 1119 | | void from_setting (const Setting &set){ |
| 1120 | | shared_ptr<RV> r = UI::build<RV> ( set, "drv", UI::optional ); |
| 1121 | | if (r) { |
| 1122 | | set_drv (*r); |
| 1123 | | } |
| 1124 | | string opt; |
| 1125 | | if(!UI::get(opt, set, "options", UI::optional)) { |
| 1126 | | set_options(opt); |
| 1127 | | } |
| 1128 | | } |
| | 1149 | } |
