408 | | <a name="l00492"></a>00492 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (min (<a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>) > 0.0, <span class="stringliteral">"bad support"</span>); |
409 | | <a name="l00493"></a>00493 <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a> = low0; |
410 | | <a name="l00494"></a>00494 <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a> = high0; |
411 | | <a name="l00495"></a>00495 <a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a> = prod (1.0 / <a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>); |
412 | | <a name="l00496"></a>00496 <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a> = log (<a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a>); |
413 | | <a name="l00497"></a>00497 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>.length(); |
414 | | <a name="l00498"></a>00498 } |
415 | | <a name="l00500"></a>00500 |
416 | | <a name="l00501"></a><a class="code" href="classbdm_1_1euni.html#acaa07b8307bd793d5339d6583e0aba81">00501</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1euni.html#acaa07b8307bd793d5339d6583e0aba81" title="Compute log-probability of argument val In case the argument is out of suport return...">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
417 | | <a name="l00502"></a>00502 <span class="keywordflow">if</span> (any (val < <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>) && any (val > <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>)) {<span class="keywordflow">return</span> inf;} |
418 | | <a name="l00503"></a>00503 <span class="keywordflow">else</span> <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a>; |
419 | | <a name="l00504"></a>00504 } |
420 | | <a name="l00505"></a><a class="code" href="classbdm_1_1euni.html#afc5df80359ead2918384b2004ce67194">00505</a> vec <a class="code" href="classbdm_1_1euni.html#afc5df80359ead2918384b2004ce67194" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{ |
421 | | <a name="l00506"></a>00506 vec smp (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
422 | | <a name="l00507"></a>00507 <span class="preprocessor">#pragma omp critical</span> |
423 | | <a name="l00508"></a>00508 <span class="preprocessor"></span> UniRNG.sample_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> , smp); |
424 | | <a name="l00509"></a>00509 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a> + elem_mult (<a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>, smp); |
425 | | <a name="l00510"></a>00510 } |
426 | | <a name="l00512"></a><a class="code" href="classbdm_1_1euni.html#a46caa8c13aba2e6228f964208918b226">00512</a> vec <a class="code" href="classbdm_1_1euni.html#a46caa8c13aba2e6228f964208918b226" title="set values of low and high ">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a> -<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>) / 2.0;} |
427 | | <a name="l00513"></a><a class="code" href="classbdm_1_1euni.html#a951f932155111f6053c980f672b4c22c">00513</a> vec <a class="code" href="classbdm_1_1euni.html#a951f932155111f6053c980f672b4c22c" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> (pow (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, 2) + pow (<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>, 2) + elem_mult (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>)) / 3.0;} |
428 | | <a name="l00522"></a><a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">00522</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
429 | | <a name="l00523"></a>00523 <a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv and rvc</span> |
430 | | <a name="l00524"></a>00524 |
431 | | <a name="l00525"></a>00525 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, <span class="keyword">set</span>, <span class="stringliteral">"high"</span>, UI::compulsory); |
432 | | <a name="l00526"></a>00526 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>, <span class="keyword">set</span>, <span class="stringliteral">"low"</span>, UI::compulsory); |
433 | | <a name="l00527"></a>00527 } |
434 | | <a name="l00528"></a>00528 }; |
435 | | <a name="l00529"></a>00529 |
436 | | <a name="l00530"></a>00530 |
437 | | <a name="l00536"></a>00536 <span class="keyword">template</span> < <span class="keyword">class</span> sq_T, <span class="keyword">template</span> <<span class="keyword">typename</span>> <span class="keyword">class </span>TEpdf = enorm > |
438 | | <a name="l00537"></a><a class="code" href="classbdm_1_1mlnorm.html">00537</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> > |
439 | | <a name="l00538"></a>00538 { |
440 | | <a name="l00539"></a>00539 <span class="keyword">protected</span>: |
441 | | <a name="l00541"></a><a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42">00541</a> mat <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>; |
442 | | <a name="l00543"></a><a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6">00543</a> vec <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
443 | | <a name="l00544"></a>00544 <span class="comment">// vec& _mu; //cached epdf.mu; !!!!!! WHY NOT?</span> |
444 | | <a name="l00545"></a>00545 <span class="keyword">public</span>: |
445 | | <a name="l00548"></a>00548 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> >() {}; |
446 | | <a name="l00549"></a>00549 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a> (<span class="keyword">const</span> mat &<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R) : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> >() { |
447 | | <a name="l00550"></a>00550 <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (A, mu0, R); |
448 | | <a name="l00551"></a>00551 } |
449 | | <a name="l00552"></a>00552 |
450 | | <a name="l00554"></a><a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5">00554</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R0) { |
451 | | <a name="l00555"></a>00555 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A0.rows() == mu0.length(), <span class="stringliteral">"mlnorm: A vs. mu mismatch"</span>); |
452 | | <a name="l00556"></a>00556 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A0.rows() == R0.rows(), <span class="stringliteral">"mlnorm: A vs. R mismatch"</span>); |
453 | | <a name="l00557"></a>00557 |
454 | | <a name="l00558"></a>00558 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (A0.rows()), R0); |
455 | | <a name="l00559"></a>00559 <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> = A0; |
456 | | <a name="l00560"></a>00560 <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a> = mu0; |
457 | | <a name="l00561"></a>00561 this-><a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = A0.cols(); |
458 | | <a name="l00562"></a>00562 } |
459 | | <a name="l00565"></a><a class="code" href="classbdm_1_1mlnorm.html#ac2895ae549ee76d961be98d7061bd110">00565</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#ac2895ae549ee76d961be98d7061bd110">condition</a> (<span class="keyword">const</span> vec &cond) { |
460 | | <a name="l00566"></a>00566 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> * cond + <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
461 | | <a name="l00567"></a>00567 <span class="comment">//R is already assigned;</span> |
| 408 | <a name="l00492"></a>00492 <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a> = low0; |
| 409 | <a name="l00493"></a>00493 <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a> = high0; |
| 410 | <a name="l00494"></a>00494 <a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a> = prod (1.0 / <a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>); |
| 411 | <a name="l00495"></a>00495 <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a> = log (<a class="code" href="classbdm_1_1euni.html#a31bb13e8449a8eff35246d46dae35c20" title="normalizing coefficients">nk</a>); |
| 412 | <a name="l00496"></a>00496 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>.length(); |
| 413 | <a name="l00497"></a>00497 } |
| 414 | <a name="l00499"></a>00499 |
| 415 | <a name="l00500"></a><a class="code" href="classbdm_1_1euni.html#acaa07b8307bd793d5339d6583e0aba81">00500</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1euni.html#acaa07b8307bd793d5339d6583e0aba81" title="Compute log-probability of argument val In case the argument is out of suport return...">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
| 416 | <a name="l00501"></a>00501 <span class="keywordflow">if</span> (any (val < <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>) && any (val > <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>)) {<span class="keywordflow">return</span> inf;} |
| 417 | <a name="l00502"></a>00502 <span class="keywordflow">else</span> <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1euni.html#a3e63be48dd58659663ca60cd18700476" title="cache of log( nk )">lnk</a>; |
| 418 | <a name="l00503"></a>00503 } |
| 419 | <a name="l00504"></a><a class="code" href="classbdm_1_1euni.html#afc5df80359ead2918384b2004ce67194">00504</a> vec <a class="code" href="classbdm_1_1euni.html#afc5df80359ead2918384b2004ce67194" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{ |
| 420 | <a name="l00505"></a>00505 vec smp (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
| 421 | <a name="l00506"></a>00506 <span class="preprocessor">#pragma omp critical</span> |
| 422 | <a name="l00507"></a>00507 <span class="preprocessor"></span> UniRNG.sample_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> , smp); |
| 423 | <a name="l00508"></a>00508 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a> + elem_mult (<a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>, smp); |
| 424 | <a name="l00509"></a>00509 } |
| 425 | <a name="l00511"></a><a class="code" href="classbdm_1_1euni.html#a46caa8c13aba2e6228f964208918b226">00511</a> vec <a class="code" href="classbdm_1_1euni.html#a46caa8c13aba2e6228f964208918b226" title="set values of low and high ">mean</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a> -<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>) / 2.0;} |
| 426 | <a name="l00512"></a><a class="code" href="classbdm_1_1euni.html#a951f932155111f6053c980f672b4c22c">00512</a> vec <a class="code" href="classbdm_1_1euni.html#a951f932155111f6053c980f672b4c22c" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> (pow (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, 2) + pow (<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>, 2) + elem_mult (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, <a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>)) / 3.0;} |
| 427 | <a name="l00521"></a><a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">00521</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
| 428 | <a name="l00522"></a>00522 <a class="code" href="classbdm_1_1euni.html#a77f5fef1f006fe056066da23b9e5f042">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv and rvc</span> |
| 429 | <a name="l00523"></a>00523 |
| 430 | <a name="l00524"></a>00524 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>, <span class="keyword">set</span>, <span class="stringliteral">"high"</span>, UI::compulsory); |
| 431 | <a name="l00525"></a>00525 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>, <span class="keyword">set</span>, <span class="stringliteral">"low"</span>, UI::compulsory); |
| 432 | <a name="l00526"></a>00526 set_parameters(<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>,<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>); |
| 433 | <a name="l00527"></a>00527 <a class="code" href="classbdm_1_1euni.html#a70c5a7dcf7cb0f7ea83b9165f31868e9" title="This method TODO.">validate</a>(); |
| 434 | <a name="l00528"></a>00528 } |
| 435 | <a name="l00529"></a><a class="code" href="classbdm_1_1euni.html#a70c5a7dcf7cb0f7ea83b9165f31868e9">00529</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1euni.html#a70c5a7dcf7cb0f7ea83b9165f31868e9" title="This method TODO.">validate</a>() { |
| 436 | <a name="l00530"></a>00530 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(<a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>.length()==<a class="code" href="classbdm_1_1euni.html#aff7ce6a2ef5ef0015bbd1398bed12f32" title="lower bound on support">low</a>.length(), <span class="stringliteral">"Incompatible high and low vectors"</span>); |
| 437 | <a name="l00531"></a>00531 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1euni.html#acfad2dea4a62db6872bda8abd75f0de1" title="upper bound on support">high</a>.length(); |
| 438 | <a name="l00532"></a>00532 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (min (<a class="code" href="classbdm_1_1euni.html#ad3c27e331f90c754d80228108de8ed4c" title="internal">distance</a>) > 0.0, <span class="stringliteral">"bad support"</span>); |
| 439 | <a name="l00533"></a>00533 } |
| 440 | <a name="l00534"></a>00534 }; |
| 441 | <a name="l00535"></a>00535 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(euni); |
| 442 | <a name="l00536"></a>00536 |
| 443 | <a name="l00542"></a>00542 <span class="keyword">template</span> < <span class="keyword">class</span> sq_T, <span class="keyword">template</span> <<span class="keyword">typename</span>> <span class="keyword">class </span>TEpdf = enorm > |
| 444 | <a name="l00543"></a><a class="code" href="classbdm_1_1mlnorm.html">00543</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> > |
| 445 | <a name="l00544"></a>00544 { |
| 446 | <a name="l00545"></a>00545 <span class="keyword">protected</span>: |
| 447 | <a name="l00547"></a><a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42">00547</a> mat <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>; |
| 448 | <a name="l00549"></a><a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6">00549</a> vec <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
| 449 | <a name="l00550"></a>00550 <span class="comment">// vec& _mu; //cached epdf.mu; !!!!!! WHY NOT?</span> |
| 450 | <a name="l00551"></a>00551 <span class="keyword">public</span>: |
| 451 | <a name="l00554"></a>00554 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> >() {}; |
| 452 | <a name="l00555"></a>00555 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a> (<span class="keyword">const</span> mat &<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R) : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< TEpdf<sq_T> >() { |
| 453 | <a name="l00556"></a>00556 <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (A, mu0, R); |
| 454 | <a name="l00557"></a>00557 } |
| 455 | <a name="l00558"></a>00558 |
| 456 | <a name="l00560"></a><a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5">00560</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R0) { |
| 457 | <a name="l00561"></a>00561 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A0.rows() == mu0.length(), <span class="stringliteral">"mlnorm: A vs. mu mismatch"</span>); |
| 458 | <a name="l00562"></a>00562 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A0.rows() == R0.rows(), <span class="stringliteral">"mlnorm: A vs. R mismatch"</span>); |
| 459 | <a name="l00563"></a>00563 |
| 460 | <a name="l00564"></a>00564 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (A0.rows()), R0); |
| 461 | <a name="l00565"></a>00565 <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> = A0; |
| 462 | <a name="l00566"></a>00566 <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a> = mu0; |
| 463 | <a name="l00567"></a>00567 this-><a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = A0.cols(); |
463 | | <a name="l00569"></a>00569 |
464 | | <a name="l00571"></a><a class="code" href="classbdm_1_1mlnorm.html#af6b0b4b0b17271525ad02660a4087cf7">00571</a> <span class="keyword">const</span> vec& <a class="code" href="classbdm_1_1mlnorm.html#af6b0b4b0b17271525ad02660a4087cf7" title="access function">_mu_const</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>;} |
465 | | <a name="l00573"></a><a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23">00573</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23" title="access function">_A</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>;} |
466 | | <a name="l00575"></a><a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43">00575</a> mat <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>()<span class="keyword"> const </span>{ <span class="keywordflow">return</span> this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._R().to_mat(); } |
467 | | <a name="l00576"></a>00576 |
468 | | <a name="l00578"></a>00578 <span class="keyword">template</span><<span class="keyword">typename</span> sq_M> |
469 | | <a name="l00579"></a>00579 <span class="keyword">friend</span> std::ostream &operator<< (std::ostream &os, mlnorm<sq_M, enorm> &ml); |
470 | | <a name="l00580"></a>00580 |
471 | | <a name="l00581"></a><a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564">00581</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564" title="Load from structure with elements:.">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
472 | | <a name="l00582"></a>00582 <a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564" title="Load from structure with elements:.">mpdf::from_setting</a> (<span class="keyword">set</span>); |
473 | | <a name="l00583"></a>00583 |
474 | | <a name="l00584"></a>00584 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">"A"</span>, UI::compulsory); |
475 | | <a name="l00585"></a>00585 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>, <span class="keyword">set</span>, <span class="stringliteral">"const"</span>, UI::compulsory); |
476 | | <a name="l00586"></a>00586 mat R0; |
477 | | <a name="l00587"></a>00587 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (R0, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
478 | | <a name="l00588"></a>00588 <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>, R0); |
479 | | <a name="l00589"></a>00589 }; |
480 | | <a name="l00590"></a>00590 }; |
481 | | <a name="l00591"></a>00591 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm,ldmat); |
482 | | <a name="l00592"></a>00592 SHAREDPTR2 ( mlnorm, ldmat ); |
483 | | <a name="l00593"></a>00593 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm,fsqmat); |
484 | | <a name="l00594"></a>00594 SHAREDPTR2 ( mlnorm, fsqmat ); |
485 | | <a name="l00595"></a>00595 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm, chmat); |
486 | | <a name="l00596"></a>00596 SHAREDPTR2 ( mlnorm, chmat ); |
487 | | <a name="l00597"></a>00597 |
488 | | <a name="l00599"></a>00599 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
489 | | <a name="l00600"></a><a class="code" href="classbdm_1_1mgnorm.html">00600</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgnorm.html" title="Mpdf with general function for mean value.">mgnorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< enorm< sq_T > > |
490 | | <a name="l00601"></a>00601 { |
491 | | <a name="l00602"></a>00602 <span class="keyword">private</span>: |
492 | | <a name="l00603"></a>00603 <span class="comment">// vec &mu; WHY NOT?</span> |
493 | | <a name="l00604"></a>00604 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> g; |
494 | | <a name="l00605"></a>00605 |
495 | | <a name="l00606"></a>00606 <span class="keyword">public</span>: |
496 | | <a name="l00608"></a><a class="code" href="classbdm_1_1mgnorm.html#a1b014915d74470d3efab74e07cacb97d">00608</a> <a class="code" href="classbdm_1_1mgnorm.html#a1b014915d74470d3efab74e07cacb97d" title="default constructor">mgnorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><sq_T> >() { } |
497 | | <a name="l00610"></a>00610 <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> &g0, <span class="keyword">const</span> sq_T &R0); |
498 | | <a name="l00611"></a>00611 <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab31d63472cf6a1030cd8dbd8094c1f6d" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &cond); |
499 | | <a name="l00612"></a>00612 |
500 | | <a name="l00613"></a>00613 |
501 | | <a name="l00641"></a><a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">00641</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
502 | | <a name="l00642"></a>00642 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> g = UI::build<fnc> (<span class="keyword">set</span>, <span class="stringliteral">"g"</span>, UI::compulsory); |
503 | | <a name="l00643"></a>00643 |
504 | | <a name="l00644"></a>00644 mat R; |
505 | | <a name="l00645"></a>00645 vec dR; |
506 | | <a name="l00646"></a>00646 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (dR, <span class="keyword">set</span>, <span class="stringliteral">"dR"</span>)) |
507 | | <a name="l00647"></a>00647 R = diag (dR); |
508 | | <a name="l00648"></a>00648 <span class="keywordflow">else</span> |
509 | | <a name="l00649"></a>00649 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (R, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
510 | | <a name="l00650"></a>00650 |
511 | | <a name="l00651"></a>00651 <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">set_parameters</a> (g, R); |
512 | | <a name="l00652"></a>00652 } |
513 | | <a name="l00653"></a>00653 }; |
514 | | <a name="l00654"></a>00654 |
515 | | <a name="l00655"></a>00655 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mgnorm, chmat); |
516 | | <a name="l00656"></a>00656 SHAREDPTR2 ( mgnorm, chmat ); |
517 | | <a name="l00657"></a>00657 |
518 | | <a name="l00658"></a>00658 |
519 | | <a name="l00666"></a><a class="code" href="classbdm_1_1mlstudent.html">00666</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a><ldmat, enorm> |
520 | | <a name="l00667"></a>00667 { |
521 | | <a name="l00668"></a>00668 <span class="keyword">protected</span>: |
522 | | <a name="l00670"></a><a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657">00670</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>; |
523 | | <a name="l00672"></a><a class="code" href="classbdm_1_1mlstudent.html#a72e9bda4d6684e07faafc4b2192daf39">00672</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>; |
524 | | <a name="l00674"></a><a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8">00674</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a>; |
525 | | <a name="l00675"></a>00675 <span class="keyword">public</span>: |
526 | | <a name="l00676"></a>00676 <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a> () : <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a><<a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>, <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a>> (), |
527 | | <a name="l00677"></a>00677 <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a> (), <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>()) {} |
528 | | <a name="l00679"></a><a class="code" href="classbdm_1_1mlstudent.html#a4cdf79aac1b2165c0290e73810a0e4a3">00679</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#a4cdf79aac1b2165c0290e73810a0e4a3" title="constructor function">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &R0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>& Lambda0) { |
529 | | <a name="l00680"></a>00680 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A0.rows() == mu0.length(), <span class="stringliteral">"mlstudent: A vs. mu mismatch"</span>); |
530 | | <a name="l00681"></a>00681 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (R0.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>() == A0.rows(), <span class="stringliteral">"mlstudent: A vs. R mismatch"</span>); |
531 | | <a name="l00682"></a>00682 |
532 | | <a name="l00683"></a>00683 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (mu0, R0);<span class="comment">// was Lambda, why?</span> |
533 | | <a name="l00684"></a>00684 <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> = A0; |
534 | | <a name="l00685"></a>00685 <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a> = mu0; |
535 | | <a name="l00686"></a>00686 <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a> = R0; |
536 | | <a name="l00687"></a>00687 <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a> = Lambda0; |
537 | | <a name="l00688"></a>00688 } |
538 | | <a name="l00689"></a><a class="code" href="classbdm_1_1mlstudent.html#aefd37560585c8613897f30d3c2f58d0d">00689</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#aefd37560585c8613897f30d3c2f58d0d">condition</a> (<span class="keyword">const</span> vec &cond) { |
539 | | <a name="l00690"></a>00690 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> * cond + <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
540 | | <a name="l00691"></a>00691 <span class="keywordtype">double</span> zeta; |
541 | | <a name="l00692"></a>00692 <span class="comment">//ugly hack!</span> |
542 | | <a name="l00693"></a>00693 <span class="keywordflow">if</span> ( (cond.length() + 1) == <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>()) { |
543 | | <a name="l00694"></a>00694 zeta = <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1ldmat.html#af743de194aadb8515cf18226fadf365f" title="Evaluates quadratic form ;.">invqform</a> (concat (cond, vec_1 (1.0))); |
544 | | <a name="l00695"></a>00695 } <span class="keywordflow">else</span> { |
545 | | <a name="l00696"></a>00696 zeta = <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1ldmat.html#af743de194aadb8515cf18226fadf365f" title="Evaluates quadratic form ;.">invqform</a> (cond); |
546 | | <a name="l00697"></a>00697 } |
547 | | <a name="l00698"></a>00698 <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> = <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a>; |
548 | | <a name="l00699"></a>00699 <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> *= (1 + zeta);<span class="comment">// / ( nu ); << nu is in Re!!!!!!</span> |
549 | | <a name="l00700"></a>00700 }; |
550 | | <a name="l00701"></a>00701 |
551 | | <a name="l00702"></a>00702 }; |
552 | | <a name="l00712"></a><a class="code" href="classbdm_1_1mgamma.html">00712</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><egamma> |
553 | | <a name="l00713"></a>00713 { |
554 | | <a name="l00714"></a>00714 <span class="keyword">protected</span>: |
555 | | <a name="l00715"></a>00715 |
556 | | <a name="l00717"></a><a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09">00717</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>; |
557 | | <a name="l00718"></a>00718 |
558 | | <a name="l00720"></a><a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312">00720</a> vec &<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a>; |
559 | | <a name="l00721"></a>00721 |
560 | | <a name="l00722"></a>00722 <span class="keyword">public</span>: |
561 | | <a name="l00724"></a><a class="code" href="classbdm_1_1mgamma.html#a1a9dc8661e5b214a8185d6e6b9956eb1">00724</a> <a class="code" href="classbdm_1_1mgamma.html#a1a9dc8661e5b214a8185d6e6b9956eb1" title="Constructor.">mgamma</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a>>(), <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> (0), |
562 | | <a name="l00725"></a>00725 <a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a>()) { |
563 | | <a name="l00726"></a>00726 } |
564 | | <a name="l00727"></a>00727 |
565 | | <a name="l00729"></a>00729 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#aa0f21c2557b233a85838b497d040ab14" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, <span class="keyword">const</span> vec &beta0); |
566 | | <a name="l00730"></a>00730 |
567 | | <a name="l00731"></a><a class="code" href="classbdm_1_1mgamma.html#a8996500f1885e39cde30221b20900bff">00731</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#a8996500f1885e39cde30221b20900bff" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) {<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> = <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> / val;}; |
568 | | <a name="l00741"></a><a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">00741</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
569 | | <a name="l00742"></a>00742 <a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">mpdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv and rvc</span> |
570 | | <a name="l00743"></a>00743 vec betatmp; <span class="comment">// ugly but necessary</span> |
571 | | <a name="l00744"></a>00744 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (betatmp, <span class="keyword">set</span>, <span class="stringliteral">"beta"</span>, UI::compulsory); |
572 | | <a name="l00745"></a>00745 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, <span class="keyword">set</span>, <span class="stringliteral">"k"</span>, UI::compulsory); |
573 | | <a name="l00746"></a>00746 <a class="code" href="classbdm_1_1mgamma.html#aa0f21c2557b233a85838b497d040ab14" title="Set value of k.">set_parameters</a> (<a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, betatmp); |
574 | | <a name="l00747"></a>00747 } |
575 | | <a name="l00748"></a>00748 }; |
576 | | <a name="l00749"></a>00749 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (mgamma); |
577 | | <a name="l00750"></a>00750 SHAREDPTR (mgamma); |
578 | | <a name="l00751"></a>00751 |
579 | | <a name="l00761"></a><a class="code" href="classbdm_1_1migamma.html">00761</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><eigamma> |
580 | | <a name="l00762"></a>00762 { |
581 | | <a name="l00763"></a>00763 <span class="keyword">protected</span>: |
582 | | <a name="l00765"></a><a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c">00765</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>; |
583 | | <a name="l00766"></a>00766 |
584 | | <a name="l00768"></a><a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc">00768</a> vec &<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>; |
585 | | <a name="l00769"></a>00769 |
586 | | <a name="l00771"></a><a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5">00771</a> vec &<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>; |
587 | | <a name="l00772"></a>00772 |
588 | | <a name="l00773"></a>00773 <span class="keyword">public</span>: |
589 | | <a name="l00776"></a>00776 <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a>>(), |
590 | | <a name="l00777"></a>00777 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> (0), |
591 | | <a name="l00778"></a>00778 <a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>()), |
592 | | <a name="l00779"></a>00779 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>()) { |
593 | | <a name="l00780"></a>00780 } |
594 | | <a name="l00781"></a>00781 |
595 | | <a name="l00782"></a>00782 <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> &m) : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a>>(), |
596 | | <a name="l00783"></a>00783 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> (0), |
597 | | <a name="l00784"></a>00784 <a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>()), |
598 | | <a name="l00785"></a>00785 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>()) { |
599 | | <a name="l00786"></a>00786 } |
600 | | <a name="l00788"></a>00788 |
601 | | <a name="l00790"></a><a class="code" href="classbdm_1_1migamma.html#a8b10ab922e2a7bae2fb6bb3efc7b6151">00790</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma.html#a8b10ab922e2a7bae2fb6bb3efc7b6151" title="Set value of k.">set_parameters</a> (<span class="keywordtype">int</span> len, <span class="keywordtype">double</span> k0) { |
602 | | <a name="l00791"></a>00791 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> = k0; |
603 | | <a name="l00792"></a>00792 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters ( (1.0 / (<a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>*<a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>) + 2.0) *ones (len) <span class="comment">/*alpha*/</span>, ones (len) <span class="comment">/*beta*/</span>); |
604 | | <a name="l00793"></a>00793 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
605 | | <a name="l00794"></a>00794 }; |
606 | | <a name="l00795"></a><a class="code" href="classbdm_1_1migamma.html#a7a34b1e2e3aa2250d7c0ed7df1665b8c">00795</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma.html#a7a34b1e2e3aa2250d7c0ed7df1665b8c" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
607 | | <a name="l00796"></a>00796 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> = elem_mult (val, (<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> - 1.0)); |
608 | | <a name="l00797"></a>00797 }; |
609 | | <a name="l00798"></a>00798 }; |
610 | | <a name="l00799"></a>00799 |
611 | | <a name="l00800"></a>00800 |
612 | | <a name="l00812"></a><a class="code" href="classbdm_1_1mgamma__fix.html">00812</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgamma__fix.html" title="Gamma random walk around a fixed point.">mgamma_fix</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> |
613 | | <a name="l00813"></a>00813 { |
614 | | <a name="l00814"></a>00814 <span class="keyword">protected</span>: |
615 | | <a name="l00816"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa">00816</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a>; |
616 | | <a name="l00818"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2">00818</a> vec <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a>; |
617 | | <a name="l00819"></a>00819 <span class="keyword">public</span>: |
618 | | <a name="l00821"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a9a31bc9b4b60188a18a2a6b588dc4b2d">00821</a> <a class="code" href="classbdm_1_1mgamma__fix.html#a9a31bc9b4b60188a18a2a6b588dc4b2d" title="Constructor.">mgamma_fix</a> () : <a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> (), <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a> () {}; |
619 | | <a name="l00823"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2">00823</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> k0 , vec ref0, <span class="keywordtype">double</span> l0) { |
620 | | <a name="l00824"></a>00824 <a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2" title="Set value of k.">mgamma::set_parameters</a> (k0, ref0); |
621 | | <a name="l00825"></a>00825 <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a> = pow (ref0, 1.0 - l0);<a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a> = l0; |
622 | | <a name="l00826"></a>00826 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
623 | | <a name="l00827"></a>00827 }; |
624 | | <a name="l00828"></a>00828 |
625 | | <a name="l00829"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1d539591deb7a38bb3403c2b396c8ff7">00829</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1d539591deb7a38bb3403c2b396c8ff7" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) {vec mean = elem_mult (<a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a>, pow (val, <a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a>)); <a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> = <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> / mean;}; |
626 | | <a name="l00830"></a>00830 }; |
627 | | <a name="l00831"></a>00831 |
628 | | <a name="l00832"></a>00832 |
629 | | <a name="l00845"></a><a class="code" href="classbdm_1_1migamma__ref.html">00845</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1migamma__ref.html" title="Inverse-Gamma random walk around a fixed point.">migamma_ref</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> |
630 | | <a name="l00846"></a>00846 { |
631 | | <a name="l00847"></a>00847 <span class="keyword">protected</span>: |
632 | | <a name="l00849"></a><a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d">00849</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a>; |
633 | | <a name="l00851"></a><a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6">00851</a> vec <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a>; |
634 | | <a name="l00852"></a>00852 <span class="keyword">public</span>: |
635 | | <a name="l00854"></a><a class="code" href="classbdm_1_1migamma__ref.html#af45b15a10f084991ba6b48295f10421f">00854</a> <a class="code" href="classbdm_1_1migamma__ref.html#af45b15a10f084991ba6b48295f10421f" title="Constructor.">migamma_ref</a> () : <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> (), <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a> () {}; |
636 | | <a name="l00856"></a><a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800">00856</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> k0 , vec ref0, <span class="keywordtype">double</span> l0) { |
637 | | <a name="l00857"></a>00857 <a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800" title="Set value of k.">migamma::set_parameters</a> (ref0.length(), k0); |
638 | | <a name="l00858"></a>00858 <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a> = pow (ref0, 1.0 - l0); |
639 | | <a name="l00859"></a>00859 <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a> = l0; |
640 | | <a name="l00860"></a>00860 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
641 | | <a name="l00861"></a>00861 }; |
642 | | <a name="l00862"></a>00862 |
643 | | <a name="l00863"></a><a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a">00863</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
644 | | <a name="l00864"></a>00864 vec mean = elem_mult (<a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a>, pow (val, <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a>)); |
645 | | <a name="l00865"></a>00865 <a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">migamma::condition</a> (mean); |
646 | | <a name="l00866"></a>00866 }; |
647 | | <a name="l00867"></a>00867 |
648 | | <a name="l00888"></a>00888 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#a9e7e0f7d2aa9ecca8ec1af8cbcb5ef1d">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
649 | | <a name="l00889"></a>00889 |
650 | | <a name="l00890"></a>00890 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
651 | | <a name="l00891"></a>00891 }; |
652 | | <a name="l00892"></a>00892 |
653 | | <a name="l00893"></a>00893 |
654 | | <a name="l00894"></a>00894 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (migamma_ref); |
655 | | <a name="l00895"></a>00895 SHAREDPTR (migamma_ref); |
656 | | <a name="l00896"></a>00896 |
657 | | <a name="l00906"></a><a class="code" href="classbdm_1_1elognorm.html">00906</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1elognorm.html">elognorm</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><ldmat> |
658 | | <a name="l00907"></a>00907 { |
659 | | <a name="l00908"></a>00908 <span class="keyword">public</span>: |
660 | | <a name="l00909"></a><a class="code" href="classbdm_1_1elognorm.html#a8b948e2bce1253765a2542199913aaba">00909</a> vec <a class="code" href="classbdm_1_1elognorm.html#a8b948e2bce1253765a2542199913aaba" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> exp (<a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<ldmat>::sample</a>());}; |
661 | | <a name="l00910"></a><a class="code" href="classbdm_1_1elognorm.html#aadb41e4f4d6600dec6f8c1dbc5ed9eea">00910</a> vec <a class="code" href="classbdm_1_1elognorm.html#aadb41e4f4d6600dec6f8c1dbc5ed9eea" title="return expected value">mean</a>()<span class="keyword"> const </span>{vec var = <a class="code" href="classbdm_1_1enorm.html#a729c75ef0fa8abae03d58ad1f81e6773" title="return expected variance (not covariance!)">enorm<ldmat>::variance</a>();<span class="keywordflow">return</span> exp (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> - 0.5*var);}; |
662 | | <a name="l00911"></a>00911 |
663 | | <a name="l00912"></a>00912 }; |
664 | | <a name="l00913"></a>00913 |
665 | | <a name="l00925"></a><a class="code" href="classbdm_1_1mlognorm.html">00925</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlognorm.html" title="Log-Normal random walk.">mlognorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><elognorm> |
666 | | <a name="l00926"></a>00926 { |
667 | | <a name="l00927"></a>00927 <span class="keyword">protected</span>: |
668 | | <a name="l00929"></a><a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a">00929</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>; |
669 | | <a name="l00930"></a>00930 |
670 | | <a name="l00932"></a><a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2">00932</a> vec &<a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a>; |
671 | | <a name="l00933"></a>00933 <span class="keyword">public</span>: |
672 | | <a name="l00935"></a><a class="code" href="classbdm_1_1mlognorm.html#aa5d6eb2688d02e0348b96c4fbd7bde41">00935</a> <a class="code" href="classbdm_1_1mlognorm.html#aa5d6eb2688d02e0348b96c4fbd7bde41" title="Constructor.">mlognorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1elognorm.html">elognorm</a>>(), |
673 | | <a name="l00936"></a>00936 <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a> (0), |
674 | | <a name="l00937"></a>00937 <a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu()) { |
675 | | <a name="l00938"></a>00938 } |
676 | | <a name="l00939"></a>00939 |
677 | | <a name="l00941"></a><a class="code" href="classbdm_1_1mlognorm.html#a604cab0e8a76f9041dc3c606043bb39f">00941</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a604cab0e8a76f9041dc3c606043bb39f" title="Set value of k.">set_parameters</a> (<span class="keywordtype">int</span> size, <span class="keywordtype">double</span> k) { |
678 | | <a name="l00942"></a>00942 <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a> = 0.5 * log (k * k + 1); |
679 | | <a name="l00943"></a>00943 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (size), 2*<a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>*eye (size)); |
680 | | <a name="l00944"></a>00944 |
681 | | <a name="l00945"></a>00945 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = size; |
682 | | <a name="l00946"></a>00946 }; |
| 465 | <a name="l00571"></a><a class="code" href="classbdm_1_1mlnorm.html#ac2895ae549ee76d961be98d7061bd110">00571</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#ac2895ae549ee76d961be98d7061bd110">condition</a> (<span class="keyword">const</span> vec &cond) { |
| 466 | <a name="l00572"></a>00572 this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> * cond + <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
| 467 | <a name="l00573"></a>00573 <span class="comment">//R is already assigned;</span> |
| 468 | <a name="l00574"></a>00574 } |
| 469 | <a name="l00575"></a>00575 |
| 470 | <a name="l00577"></a><a class="code" href="classbdm_1_1mlnorm.html#af6b0b4b0b17271525ad02660a4087cf7">00577</a> <span class="keyword">const</span> vec& <a class="code" href="classbdm_1_1mlnorm.html#af6b0b4b0b17271525ad02660a4087cf7" title="access function">_mu_const</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>;} |
| 471 | <a name="l00579"></a><a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23">00579</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23" title="access function">_A</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>;} |
| 472 | <a name="l00581"></a><a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43">00581</a> mat <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>()<span class="keyword"> const </span>{ <span class="keywordflow">return</span> this-><a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._R().to_mat(); } |
| 473 | <a name="l00582"></a>00582 |
| 474 | <a name="l00584"></a>00584 <span class="keyword">template</span><<span class="keyword">typename</span> sq_M> |
| 475 | <a name="l00585"></a>00585 <span class="keyword">friend</span> std::ostream &operator<< (std::ostream &os, mlnorm<sq_M, enorm> &ml); |
| 476 | <a name="l00586"></a>00586 |
| 477 | <a name="l00587"></a><a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564">00587</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564" title="Load from structure with elements:.">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
| 478 | <a name="l00588"></a>00588 <a class="code" href="classbdm_1_1mlnorm.html#a52980f13d80162d00b30d5864343f564" title="Load from structure with elements:.">mpdf::from_setting</a> (<span class="keyword">set</span>); |
| 479 | <a name="l00589"></a>00589 |
| 480 | <a name="l00590"></a>00590 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">"A"</span>, UI::compulsory); |
| 481 | <a name="l00591"></a>00591 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>, <span class="keyword">set</span>, <span class="stringliteral">"const"</span>, UI::compulsory); |
| 482 | <a name="l00592"></a>00592 mat R0; |
| 483 | <a name="l00593"></a>00593 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (R0, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
| 484 | <a name="l00594"></a>00594 <a class="code" href="classbdm_1_1mlnorm.html#a04f7c6cda7b2f95161dd5fbcf15d1fd5" title="Set A and R.">set_parameters</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>, <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>, R0); |
| 485 | <a name="l00595"></a>00595 }; |
| 486 | <a name="l00596"></a>00596 }; |
| 487 | <a name="l00597"></a>00597 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm,ldmat); |
| 488 | <a name="l00598"></a>00598 SHAREDPTR2 ( mlnorm, ldmat ); |
| 489 | <a name="l00599"></a>00599 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm,fsqmat); |
| 490 | <a name="l00600"></a>00600 SHAREDPTR2 ( mlnorm, fsqmat ); |
| 491 | <a name="l00601"></a>00601 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mlnorm, chmat); |
| 492 | <a name="l00602"></a>00602 SHAREDPTR2 ( mlnorm, chmat ); |
| 493 | <a name="l00603"></a>00603 |
| 494 | <a name="l00605"></a>00605 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
| 495 | <a name="l00606"></a><a class="code" href="classbdm_1_1mgnorm.html">00606</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgnorm.html" title="Mpdf with general function for mean value.">mgnorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a>< enorm< sq_T > > |
| 496 | <a name="l00607"></a>00607 { |
| 497 | <a name="l00608"></a>00608 <span class="keyword">private</span>: |
| 498 | <a name="l00609"></a>00609 <span class="comment">// vec &mu; WHY NOT?</span> |
| 499 | <a name="l00610"></a>00610 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> g; |
| 500 | <a name="l00611"></a>00611 |
| 501 | <a name="l00612"></a>00612 <span class="keyword">public</span>: |
| 502 | <a name="l00614"></a><a class="code" href="classbdm_1_1mgnorm.html#a1b014915d74470d3efab74e07cacb97d">00614</a> <a class="code" href="classbdm_1_1mgnorm.html#a1b014915d74470d3efab74e07cacb97d" title="default constructor">mgnorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><sq_T> >() { } |
| 503 | <a name="l00616"></a>00616 <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> &g0, <span class="keyword">const</span> sq_T &R0); |
| 504 | <a name="l00617"></a>00617 <span class="keyword">inline</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ab31d63472cf6a1030cd8dbd8094c1f6d" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &cond); |
| 505 | <a name="l00618"></a>00618 |
| 506 | <a name="l00619"></a>00619 |
| 507 | <a name="l00647"></a><a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">00647</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgnorm.html#ad717dacc6a9eb967f8410994dc6dc6f9">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
| 508 | <a name="l00648"></a>00648 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<fnc></a> g = UI::build<fnc> (<span class="keyword">set</span>, <span class="stringliteral">"g"</span>, UI::compulsory); |
| 509 | <a name="l00649"></a>00649 |
| 510 | <a name="l00650"></a>00650 mat R; |
| 511 | <a name="l00651"></a>00651 vec dR; |
| 512 | <a name="l00652"></a>00652 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (dR, <span class="keyword">set</span>, <span class="stringliteral">"dR"</span>)) |
| 513 | <a name="l00653"></a>00653 R = diag (dR); |
| 514 | <a name="l00654"></a>00654 <span class="keywordflow">else</span> |
| 515 | <a name="l00655"></a>00655 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (R, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
| 516 | <a name="l00656"></a>00656 |
| 517 | <a name="l00657"></a>00657 <a class="code" href="classbdm_1_1mgnorm.html#ab736332d20e418bf50d45836e129f339" title="set mean function">set_parameters</a> (g, R); |
| 518 | <a name="l00658"></a>00658 } |
| 519 | <a name="l00659"></a>00659 }; |
| 520 | <a name="l00660"></a>00660 |
| 521 | <a name="l00661"></a>00661 <a class="code" href="user__info_8h.html#ab06f1e7c44a8306e321f62a0099210b9" title="Variant of UIREGISTER for templated classes.">UIREGISTER2</a> (mgnorm, chmat); |
| 522 | <a name="l00662"></a>00662 SHAREDPTR2 ( mgnorm, chmat ); |
| 523 | <a name="l00663"></a>00663 |
| 524 | <a name="l00664"></a>00664 |
| 525 | <a name="l00672"></a><a class="code" href="classbdm_1_1mlstudent.html">00672</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a><ldmat, enorm> |
| 526 | <a name="l00673"></a>00673 { |
| 527 | <a name="l00674"></a>00674 <span class="keyword">protected</span>: |
| 528 | <a name="l00676"></a><a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657">00676</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>; |
| 529 | <a name="l00678"></a><a class="code" href="classbdm_1_1mlstudent.html#a72e9bda4d6684e07faafc4b2192daf39">00678</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>; |
| 530 | <a name="l00680"></a><a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8">00680</a> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a>; |
| 531 | <a name="l00681"></a>00681 <span class="keyword">public</span>: |
| 532 | <a name="l00682"></a>00682 <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a> () : <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm</a><<a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>, <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a>> (), |
| 533 | <a name="l00683"></a>00683 <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a> (), <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>()) {} |
| 534 | <a name="l00685"></a><a class="code" href="classbdm_1_1mlstudent.html#a4cdf79aac1b2165c0290e73810a0e4a3">00685</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#a4cdf79aac1b2165c0290e73810a0e4a3" title="constructor function">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &R0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>& Lambda0) { |
| 535 | <a name="l00686"></a>00686 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (mu0, R0);<span class="comment">// was Lambda, why?</span> |
| 536 | <a name="l00687"></a>00687 <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> = A0; |
| 537 | <a name="l00688"></a>00688 <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a> = mu0; |
| 538 | <a name="l00689"></a>00689 <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a> = R0; |
| 539 | <a name="l00690"></a>00690 <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a> = Lambda0; |
| 540 | <a name="l00691"></a>00691 } |
| 541 | <a name="l00692"></a><a class="code" href="classbdm_1_1mlstudent.html#aefd37560585c8613897f30d3c2f58d0d">00692</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#aefd37560585c8613897f30d3c2f58d0d">condition</a> (<span class="keyword">const</span> vec &cond) { |
| 542 | <a name="l00693"></a>00693 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu() = <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a> * cond + <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>; |
| 543 | <a name="l00694"></a>00694 <span class="keywordtype">double</span> zeta; |
| 544 | <a name="l00695"></a>00695 <span class="comment">//ugly hack!</span> |
| 545 | <a name="l00696"></a>00696 <span class="keywordflow">if</span> ( (cond.length() + 1) == <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>()) { |
| 546 | <a name="l00697"></a>00697 zeta = <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1ldmat.html#af743de194aadb8515cf18226fadf365f" title="Evaluates quadratic form ;.">invqform</a> (concat (cond, vec_1 (1.0))); |
| 547 | <a name="l00698"></a>00698 } <span class="keywordflow">else</span> { |
| 548 | <a name="l00699"></a>00699 zeta = <a class="code" href="classbdm_1_1mlstudent.html#a41595144a79594acbe288c6b59412657" title="Variable from theory.">Lambda</a>.<a class="code" href="classbdm_1_1ldmat.html#af743de194aadb8515cf18226fadf365f" title="Evaluates quadratic form ;.">invqform</a> (cond); |
| 549 | <a name="l00700"></a>00700 } |
| 550 | <a name="l00701"></a>00701 <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> = <a class="code" href="classbdm_1_1mlstudent.html#a1c063ad6cb6e079ee11bc4128c2c9fe8" title="Variable .">Re</a>; |
| 551 | <a name="l00702"></a>00702 <a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a> *= (1 + zeta);<span class="comment">// / ( nu ); << nu is in Re!!!!!!</span> |
| 552 | <a name="l00703"></a>00703 }; |
| 553 | <a name="l00704"></a>00704 |
| 554 | <a name="l00705"></a><a class="code" href="classbdm_1_1mlstudent.html#a55869e091bca0e2af1c3667c05ba6261">00705</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlstudent.html#a55869e091bca0e2af1c3667c05ba6261" title="This method TODO.">validate</a>() { |
| 555 | <a name="l00706"></a>00706 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (<a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>.rows() == <a class="code" href="classbdm_1_1mlnorm.html#a831b50121cad10aa03a16682bd0c3ed6" title="Constant additive term.">mu_const</a>.length(), <span class="stringliteral">"mlstudent: A vs. mu mismatch"</span>); |
| 556 | <a name="l00707"></a>00707 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>.rows() == <a class="code" href="classbdm_1_1mlnorm.html#ac71bbf59fc732beb2b459d7117bd6e42" title="Internal epdf that arise by conditioning on rvc.">A</a>.rows(), <span class="stringliteral">"mlstudent: A vs. R mismatch"</span>); |
| 557 | <a name="l00708"></a>00708 |
| 558 | <a name="l00709"></a>00709 } |
| 559 | <a name="l00710"></a>00710 }; |
| 560 | <a name="l00720"></a><a class="code" href="classbdm_1_1mgamma.html">00720</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><egamma> |
| 561 | <a name="l00721"></a>00721 { |
| 562 | <a name="l00722"></a>00722 <span class="keyword">protected</span>: |
| 563 | <a name="l00723"></a>00723 |
| 564 | <a name="l00725"></a><a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09">00725</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>; |
| 565 | <a name="l00726"></a>00726 |
| 566 | <a name="l00728"></a><a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312">00728</a> vec &<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a>; |
| 567 | <a name="l00729"></a>00729 |
| 568 | <a name="l00730"></a>00730 <span class="keyword">public</span>: |
| 569 | <a name="l00732"></a><a class="code" href="classbdm_1_1mgamma.html#a1a9dc8661e5b214a8185d6e6b9956eb1">00732</a> <a class="code" href="classbdm_1_1mgamma.html#a1a9dc8661e5b214a8185d6e6b9956eb1" title="Constructor.">mgamma</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1egamma.html" title="Gamma posterior density.">egamma</a>>(), <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> (0), |
| 570 | <a name="l00733"></a>00733 <a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a>()) { |
| 571 | <a name="l00734"></a>00734 } |
| 572 | <a name="l00735"></a>00735 |
| 573 | <a name="l00737"></a>00737 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#aa0f21c2557b233a85838b497d040ab14" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, <span class="keyword">const</span> vec &beta0); |
| 574 | <a name="l00738"></a>00738 |
| 575 | <a name="l00739"></a><a class="code" href="classbdm_1_1mgamma.html#a8996500f1885e39cde30221b20900bff">00739</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#a8996500f1885e39cde30221b20900bff" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) {<a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> = <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> / val;}; |
| 576 | <a name="l00749"></a><a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">00749</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
| 577 | <a name="l00750"></a>00750 <a class="code" href="classbdm_1_1mgamma.html#ada2af0f327e5452bee71d1bf97452ae4">mpdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">// reads rv and rvc</span> |
| 578 | <a name="l00751"></a>00751 vec betatmp; <span class="comment">// ugly but necessary</span> |
| 579 | <a name="l00752"></a>00752 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (betatmp, <span class="keyword">set</span>, <span class="stringliteral">"beta"</span>, UI::compulsory); |
| 580 | <a name="l00753"></a>00753 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, <span class="keyword">set</span>, <span class="stringliteral">"k"</span>, UI::compulsory); |
| 581 | <a name="l00754"></a>00754 <a class="code" href="classbdm_1_1mgamma.html#aa0f21c2557b233a85838b497d040ab14" title="Set value of k.">set_parameters</a> (<a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a>, betatmp); |
| 582 | <a name="l00755"></a>00755 } |
| 583 | <a name="l00756"></a>00756 }; |
| 584 | <a name="l00757"></a>00757 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (mgamma); |
| 585 | <a name="l00758"></a>00758 SHAREDPTR (mgamma); |
| 586 | <a name="l00759"></a>00759 |
| 587 | <a name="l00769"></a><a class="code" href="classbdm_1_1migamma.html">00769</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><eigamma> |
| 588 | <a name="l00770"></a>00770 { |
| 589 | <a name="l00771"></a>00771 <span class="keyword">protected</span>: |
| 590 | <a name="l00773"></a><a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c">00773</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>; |
| 591 | <a name="l00774"></a>00774 |
| 592 | <a name="l00776"></a><a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc">00776</a> vec &<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>; |
| 593 | <a name="l00777"></a>00777 |
| 594 | <a name="l00779"></a><a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5">00779</a> vec &<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>; |
| 595 | <a name="l00780"></a>00780 |
| 596 | <a name="l00781"></a>00781 <span class="keyword">public</span>: |
| 597 | <a name="l00784"></a>00784 <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a>>(), |
| 598 | <a name="l00785"></a>00785 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> (0), |
| 599 | <a name="l00786"></a>00786 <a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>()), |
| 600 | <a name="l00787"></a>00787 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>()) { |
| 601 | <a name="l00788"></a>00788 } |
| 602 | <a name="l00789"></a>00789 |
| 603 | <a name="l00790"></a>00790 <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> &m) : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1eigamma.html" title="Inverse-Gamma posterior density.">eigamma</a>>(), |
| 604 | <a name="l00791"></a>00791 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> (0), |
| 605 | <a name="l00792"></a>00792 <a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a>()), |
| 606 | <a name="l00793"></a>00793 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a>()) { |
| 607 | <a name="l00794"></a>00794 } |
| 608 | <a name="l00796"></a>00796 |
| 609 | <a name="l00798"></a><a class="code" href="classbdm_1_1migamma.html#a8b10ab922e2a7bae2fb6bb3efc7b6151">00798</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma.html#a8b10ab922e2a7bae2fb6bb3efc7b6151" title="Set value of k.">set_parameters</a> (<span class="keywordtype">int</span> len, <span class="keywordtype">double</span> k0) { |
| 610 | <a name="l00799"></a>00799 <a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a> = k0; |
| 611 | <a name="l00800"></a>00800 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters ( (1.0 / (<a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>*<a class="code" href="classbdm_1_1migamma.html#adc56bc9da542e0103ec16b9be8e5e38c" title="Constant .">k</a>) + 2.0) *ones (len) <span class="comment">/*alpha*/</span>, ones (len) <span class="comment">/*beta*/</span>); |
| 612 | <a name="l00801"></a>00801 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
| 613 | <a name="l00802"></a>00802 }; |
| 614 | <a name="l00803"></a><a class="code" href="classbdm_1_1migamma.html#a7a34b1e2e3aa2250d7c0ed7df1665b8c">00803</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma.html#a7a34b1e2e3aa2250d7c0ed7df1665b8c" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
| 615 | <a name="l00804"></a>00804 <a class="code" href="classbdm_1_1migamma.html#a0d854c047001b5465cf1ba21f52904b5" title="cache of iepdf.beta">_beta</a> = elem_mult (val, (<a class="code" href="classbdm_1_1migamma.html#ac9847093da59a9ba0ebb68d2c592f5dc" title="cache of iepdf.alpha">_alpha</a> - 1.0)); |
| 616 | <a name="l00805"></a>00805 }; |
| 617 | <a name="l00806"></a>00806 }; |
| 618 | <a name="l00807"></a>00807 |
| 619 | <a name="l00808"></a>00808 |
| 620 | <a name="l00820"></a><a class="code" href="classbdm_1_1mgamma__fix.html">00820</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mgamma__fix.html" title="Gamma random walk around a fixed point.">mgamma_fix</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> |
| 621 | <a name="l00821"></a>00821 { |
| 622 | <a name="l00822"></a>00822 <span class="keyword">protected</span>: |
| 623 | <a name="l00824"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa">00824</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a>; |
| 624 | <a name="l00826"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2">00826</a> vec <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a>; |
| 625 | <a name="l00827"></a>00827 <span class="keyword">public</span>: |
| 626 | <a name="l00829"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a9a31bc9b4b60188a18a2a6b588dc4b2d">00829</a> <a class="code" href="classbdm_1_1mgamma__fix.html#a9a31bc9b4b60188a18a2a6b588dc4b2d" title="Constructor.">mgamma_fix</a> () : <a class="code" href="classbdm_1_1mgamma.html" title="Gamma random walk.">mgamma</a> (), <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a> () {}; |
| 627 | <a name="l00831"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2">00831</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> k0 , vec ref0, <span class="keywordtype">double</span> l0) { |
| 628 | <a name="l00832"></a>00832 <a class="code" href="classbdm_1_1mgamma__fix.html#a1bfd30e90db9dc1fbda4a9fbb0b716b2" title="Set value of k.">mgamma::set_parameters</a> (k0, ref0); |
| 629 | <a name="l00833"></a>00833 <a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a> = pow (ref0, 1.0 - l0);<a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a> = l0; |
| 630 | <a name="l00834"></a>00834 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
| 631 | <a name="l00835"></a>00835 }; |
| 632 | <a name="l00836"></a>00836 |
| 633 | <a name="l00837"></a><a class="code" href="classbdm_1_1mgamma__fix.html#a1d539591deb7a38bb3403c2b396c8ff7">00837</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mgamma__fix.html#a1d539591deb7a38bb3403c2b396c8ff7" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) {vec mean = elem_mult (<a class="code" href="classbdm_1_1mgamma__fix.html#a018c6f901a04e419455308a07eb3b0b2" title="reference vector">refl</a>, pow (val, <a class="code" href="classbdm_1_1mgamma__fix.html#a1eb701506aabb2e6af007e487212d6fa" title="parameter l">l</a>)); <a class="code" href="classbdm_1_1mgamma.html#a3d95f4dde9214ff6dba265e18af60312" title="cache of iepdf.beta">_beta</a> = <a class="code" href="classbdm_1_1mgamma.html#ab20cf88cca1fe9b0b8f2a412608bfd09" title="Constant .">k</a> / mean;}; |
| 634 | <a name="l00838"></a>00838 }; |
| 635 | <a name="l00839"></a>00839 |
| 636 | <a name="l00840"></a>00840 |
| 637 | <a name="l00853"></a><a class="code" href="classbdm_1_1migamma__ref.html">00853</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1migamma__ref.html" title="Inverse-Gamma random walk around a fixed point.">migamma_ref</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> |
| 638 | <a name="l00854"></a>00854 { |
| 639 | <a name="l00855"></a>00855 <span class="keyword">protected</span>: |
| 640 | <a name="l00857"></a><a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d">00857</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a>; |
| 641 | <a name="l00859"></a><a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6">00859</a> vec <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a>; |
| 642 | <a name="l00860"></a>00860 <span class="keyword">public</span>: |
| 643 | <a name="l00862"></a><a class="code" href="classbdm_1_1migamma__ref.html#af45b15a10f084991ba6b48295f10421f">00862</a> <a class="code" href="classbdm_1_1migamma__ref.html#af45b15a10f084991ba6b48295f10421f" title="Constructor.">migamma_ref</a> () : <a class="code" href="classbdm_1_1migamma.html" title="Inverse-Gamma random walk.">migamma</a> (), <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a> () {}; |
| 644 | <a name="l00864"></a><a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800">00864</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800" title="Set value of k.">set_parameters</a> (<span class="keywordtype">double</span> k0 , vec ref0, <span class="keywordtype">double</span> l0) { |
| 645 | <a name="l00865"></a>00865 <a class="code" href="classbdm_1_1migamma__ref.html#ab0b4eb278ef5d0831ec4954ba7bd2800" title="Set value of k.">migamma::set_parameters</a> (ref0.length(), k0); |
| 646 | <a name="l00866"></a>00866 <a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a> = pow (ref0, 1.0 - l0); |
| 647 | <a name="l00867"></a>00867 <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a> = l0; |
| 648 | <a name="l00868"></a>00868 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = dimension(); |
| 649 | <a name="l00869"></a>00869 }; |
| 650 | <a name="l00870"></a>00870 |
| 651 | <a name="l00871"></a><a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a">00871</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
| 652 | <a name="l00872"></a>00872 vec mean = elem_mult (<a class="code" href="classbdm_1_1migamma__ref.html#a3692dc67caf4367e15564d37f45476f6" title="reference vector">refl</a>, pow (val, <a class="code" href="classbdm_1_1migamma__ref.html#acdc1345ba8375fbdb18a69322d2f841d" title="parameter l">l</a>)); |
| 653 | <a name="l00873"></a>00873 <a class="code" href="classbdm_1_1migamma__ref.html#aae86b2e4ff963d62e05d4e130514634a" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">migamma::condition</a> (mean); |
| 654 | <a name="l00874"></a>00874 }; |
| 655 | <a name="l00875"></a>00875 |
| 656 | <a name="l00896"></a>00896 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1migamma__ref.html#a9e7e0f7d2aa9ecca8ec1af8cbcb5ef1d">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
| 657 | <a name="l00897"></a>00897 |
| 658 | <a name="l00898"></a>00898 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
| 659 | <a name="l00899"></a>00899 }; |
| 660 | <a name="l00900"></a>00900 |
| 661 | <a name="l00901"></a>00901 |
| 662 | <a name="l00902"></a>00902 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (migamma_ref); |
| 663 | <a name="l00903"></a>00903 SHAREDPTR (migamma_ref); |
| 664 | <a name="l00904"></a>00904 |
| 665 | <a name="l00914"></a><a class="code" href="classbdm_1_1elognorm.html">00914</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1elognorm.html">elognorm</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><ldmat> |
| 666 | <a name="l00915"></a>00915 { |
| 667 | <a name="l00916"></a>00916 <span class="keyword">public</span>: |
| 668 | <a name="l00917"></a><a class="code" href="classbdm_1_1elognorm.html#a8b948e2bce1253765a2542199913aaba">00917</a> vec <a class="code" href="classbdm_1_1elognorm.html#a8b948e2bce1253765a2542199913aaba" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> exp (<a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<ldmat>::sample</a>());}; |
| 669 | <a name="l00918"></a><a class="code" href="classbdm_1_1elognorm.html#aadb41e4f4d6600dec6f8c1dbc5ed9eea">00918</a> vec <a class="code" href="classbdm_1_1elognorm.html#aadb41e4f4d6600dec6f8c1dbc5ed9eea" title="return expected value">mean</a>()<span class="keyword"> const </span>{vec var = <a class="code" href="classbdm_1_1enorm.html#a729c75ef0fa8abae03d58ad1f81e6773" title="return expected variance (not covariance!)">enorm<ldmat>::variance</a>();<span class="keywordflow">return</span> exp (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a> - 0.5*var);}; |
| 670 | <a name="l00919"></a>00919 |
| 671 | <a name="l00920"></a>00920 }; |
| 672 | <a name="l00921"></a>00921 |
| 673 | <a name="l00933"></a><a class="code" href="classbdm_1_1mlognorm.html">00933</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1mlognorm.html" title="Log-Normal random walk.">mlognorm</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><elognorm> |
| 674 | <a name="l00934"></a>00934 { |
| 675 | <a name="l00935"></a>00935 <span class="keyword">protected</span>: |
| 676 | <a name="l00937"></a><a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a">00937</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>; |
| 677 | <a name="l00938"></a>00938 |
| 678 | <a name="l00940"></a><a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2">00940</a> vec &<a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a>; |
| 679 | <a name="l00941"></a>00941 <span class="keyword">public</span>: |
| 680 | <a name="l00943"></a><a class="code" href="classbdm_1_1mlognorm.html#aa5d6eb2688d02e0348b96c4fbd7bde41">00943</a> <a class="code" href="classbdm_1_1mlognorm.html#aa5d6eb2688d02e0348b96c4fbd7bde41" title="Constructor.">mlognorm</a>() : <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><<a class="code" href="classbdm_1_1elognorm.html">elognorm</a>>(), |
| 681 | <a name="l00944"></a>00944 <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a> (0), |
| 682 | <a name="l00945"></a>00945 <a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a> (<a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>._mu()) { |
| 683 | <a name="l00946"></a>00946 } |
684 | | <a name="l00948"></a><a class="code" href="classbdm_1_1mlognorm.html#a9106d8fd8bdf2b6be675ffd8f3ca584e">00948</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a9106d8fd8bdf2b6be675ffd8f3ca584e" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
685 | | <a name="l00949"></a>00949 <a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a> = log (val) - <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>;<span class="comment">//elem_mult ( refl,pow ( val,l ) );</span> |
686 | | <a name="l00950"></a>00950 }; |
687 | | <a name="l00951"></a>00951 |
688 | | <a name="l00970"></a>00970 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a49e45ea13a869da607ef9be7a229128a">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
689 | | <a name="l00971"></a>00971 |
690 | | <a name="l00972"></a>00972 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
691 | | <a name="l00973"></a>00973 |
692 | | <a name="l00974"></a>00974 }; |
693 | | <a name="l00975"></a>00975 |
694 | | <a name="l00976"></a>00976 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (mlognorm); |
695 | | <a name="l00977"></a>00977 SHAREDPTR (mlognorm); |
696 | | <a name="l00978"></a>00978 |
697 | | <a name="l00982"></a><a class="code" href="classbdm_1_1eWishartCh.html">00982</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eWishartCh.html">eWishartCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
698 | | <a name="l00983"></a>00983 { |
699 | | <a name="l00984"></a>00984 <span class="keyword">protected</span>: |
700 | | <a name="l00986"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490">00986</a> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>; |
701 | | <a name="l00988"></a><a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f">00988</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>; |
702 | | <a name="l00990"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3">00990</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a>; |
703 | | <a name="l00991"></a>00991 <span class="keyword">public</span>: |
704 | | <a name="l00993"></a><a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0">00993</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0" title="Set internal structures.">set_parameters</a> (<span class="keyword">const</span> mat &Y0, <span class="keyword">const</span> <span class="keywordtype">double</span> delta0) {<a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a> = <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> (Y0);<a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a> = delta0; <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a> = <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>(); <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a> * <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>; } |
705 | | <a name="l00995"></a><a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339">00995</a> mat <a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()<span class="keyword"> const </span>{ |
706 | | <a name="l00996"></a>00996 mat X = zeros (<a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>, <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>); |
707 | | <a name="l00997"></a>00997 |
708 | | <a name="l00998"></a>00998 <span class="comment">//sample diagonal</span> |
709 | | <a name="l00999"></a>00999 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>;i++) { |
710 | | <a name="l01000"></a>01000 GamRNG.setup (0.5* (<a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a> - i) , 0.5); <span class="comment">// no +1 !! index if from 0</span> |
711 | | <a name="l01001"></a>01001 <span class="preprocessor">#pragma omp critical</span> |
712 | | <a name="l01002"></a>01002 <span class="preprocessor"></span> X (i, i) = sqrt (GamRNG()); |
713 | | <a name="l01003"></a>01003 } |
714 | | <a name="l01004"></a>01004 <span class="comment">//do the rest</span> |
715 | | <a name="l01005"></a>01005 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < p;i++) { |
716 | | <a name="l01006"></a>01006 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j = i + 1;j < p;j++) { |
717 | | <a name="l01007"></a>01007 <span class="preprocessor">#pragma omp critical</span> |
718 | | <a name="l01008"></a>01008 <span class="preprocessor"></span> X (i, j) = NorRNG.sample(); |
719 | | <a name="l01009"></a>01009 } |
720 | | <a name="l01010"></a>01010 } |
721 | | <a name="l01011"></a>01011 <span class="keywordflow">return</span> X*<a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>();<span class="comment">// return upper triangular part of the decomposition</span> |
722 | | <a name="l01012"></a>01012 } |
723 | | <a name="l01013"></a><a class="code" href="classbdm_1_1eWishartCh.html#a8f2154b8b5be8f4c5788f261b6d57b9a">01013</a> vec <a class="code" href="classbdm_1_1eWishartCh.html#a8f2154b8b5be8f4c5788f261b6d57b9a" title="Returns a sample, from density .">sample</a> ()<span class="keyword"> const </span>{ |
724 | | <a name="l01014"></a>01014 <span class="keywordflow">return</span> vec (<a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()._data(), <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>*<a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>); |
725 | | <a name="l01015"></a>01015 } |
726 | | <a name="l01017"></a><a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981">01017</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981" title="fast access function y0 will be copied into Y.Ch.">setY</a> (<span class="keyword">const</span> mat &Ch0) {copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, Ch0._data(), <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data());} |
727 | | <a name="l01019"></a><a class="code" href="classbdm_1_1eWishartCh.html#a7eac414ec10b85aa5536b0092c57bc4a">01019</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a7eac414ec10b85aa5536b0092c57bc4a" title="fast access function y0 will be copied into Y.Ch.">_setY</a> (<span class="keyword">const</span> vec &ch0) {copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, ch0._data(), <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data()); } |
728 | | <a name="l01021"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e">01021</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>& <a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e" title="access function">getY</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>;} |
729 | | <a name="l01022"></a>01022 }; |
730 | | <a name="l01023"></a>01023 |
731 | | <a name="l01025"></a>01025 |
732 | | <a name="l01027"></a><a class="code" href="classbdm_1_1eiWishartCh.html">01027</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eiWishartCh.html" title="Inverse Wishart on Choleski decomposition.">eiWishartCh</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
733 | | <a name="l01028"></a>01028 { |
734 | | <a name="l01029"></a>01029 <span class="keyword">protected</span>: |
735 | | <a name="l01031"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a">01031</a> <a class="code" href="classbdm_1_1eWishartCh.html">eWishartCh</a> <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>; |
736 | | <a name="l01033"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd">01033</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>; |
737 | | <a name="l01035"></a><a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464">01035</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a>; |
738 | | <a name="l01036"></a>01036 <span class="keyword">public</span>: |
739 | | <a name="l01038"></a><a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3">01038</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3" title="constructor function">set_parameters</a> (<span class="keyword">const</span> mat &Y0, <span class="keyword">const</span> <span class="keywordtype">double</span> delta0) { |
740 | | <a name="l01039"></a>01039 <a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a> = delta0; |
741 | | <a name="l01040"></a>01040 <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0" title="Set internal structures.">set_parameters</a> (inv (Y0), delta0); |
742 | | <a name="l01041"></a>01041 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(); <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a> = Y0.rows(); |
743 | | <a name="l01042"></a>01042 } |
744 | | <a name="l01043"></a><a class="code" href="classbdm_1_1eiWishartCh.html#a2f668192cc9c2e3a5b7e608164685a3e">01043</a> vec <a class="code" href="classbdm_1_1eiWishartCh.html#a2f668192cc9c2e3a5b7e608164685a3e" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{mat iCh; iCh = inv (<a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()); <span class="keywordflow">return</span> vec (iCh._data(), <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>);} |
745 | | <a name="l01045"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5">01045</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5" title="access function">_setY</a> (<span class="keyword">const</span> vec &y0) { |
746 | | <a name="l01046"></a>01046 mat Ch (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
747 | | <a name="l01047"></a>01047 mat iCh (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
748 | | <a name="l01048"></a>01048 copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, y0._data(), Ch._data()); |
749 | | <a name="l01049"></a>01049 |
750 | | <a name="l01050"></a>01050 iCh = inv (Ch); |
751 | | <a name="l01051"></a>01051 <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981" title="fast access function y0 will be copied into Y.Ch.">setY</a> (iCh); |
752 | | <a name="l01052"></a>01052 } |
753 | | <a name="l01053"></a><a class="code" href="classbdm_1_1eiWishartCh.html#aa6ddbd815b8b666dd542e97f009f89bb">01053</a> <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eiWishartCh.html#aa6ddbd815b8b666dd542e97f009f89bb" title="Compute log-probability of argument val In case the argument is out of suport return...">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
754 | | <a name="l01054"></a>01054 <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> X (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
755 | | <a name="l01055"></a>01055 <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>& Y = <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e" title="access function">getY</a>(); |
756 | | <a name="l01056"></a>01056 |
757 | | <a name="l01057"></a>01057 copy_vector (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>*<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, val._data(), X.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data()); |
758 | | <a name="l01058"></a>01058 <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> iX (p);X.<a class="code" href="classbdm_1_1chmat.html#acbf3389db96dff41fb2e9532d59b13c0" title="Inversion in the same form, i.e. cholesky.">inv</a> (iX); |
759 | | <a name="l01059"></a>01059 <span class="comment">// compute</span> |
760 | | <a name="l01060"></a>01060 <span class="comment">// \frac{ |\Psi|^{m/2}|X|^{-(m+p+1)/2}e^{-tr(\Psi X^{-1})/2} }{ 2^{mp/2}\Gamma_p(m/2)},</span> |
761 | | <a name="l01061"></a>01061 mat M = Y.<a class="code" href="classbdm_1_1chmat.html#a4b4c5d4dbb8a3d585b68d936cb6df31b" title="Conversion to full matrix.">to_mat</a>() * iX.to_mat(); |
762 | | <a name="l01062"></a>01062 |
763 | | <a name="l01063"></a>01063 <span class="keywordtype">double</span> log1 = 0.5 * p * (2 * Y.<a class="code" href="classbdm_1_1chmat.html#a949ccd174ed19f9cfe36366cbd5c56a4" title="Logarithm of a determinant.">logdet</a>()) - 0.5 * (<a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a> + p + 1) * (2 * X.<a class="code" href="classbdm_1_1chmat.html#a949ccd174ed19f9cfe36366cbd5c56a4" title="Logarithm of a determinant.">logdet</a>()) - 0.5 * trace (M); |
764 | | <a name="l01064"></a>01064 <span class="comment">//Fixme! Multivariate gamma omitted!! it is ok for sampling, but not otherwise!!</span> |
765 | | <a name="l01065"></a>01065 |
766 | | <a name="l01066"></a>01066 <span class="comment">/* if (0) {</span> |
767 | | <a name="l01067"></a>01067 <span class="comment"> mat XX=X.to_mat();</span> |
768 | | <a name="l01068"></a>01068 <span class="comment"> mat YY=Y.to_mat();</span> |
769 | | <a name="l01069"></a>01069 <span class="comment"></span> |
770 | | <a name="l01070"></a>01070 <span class="comment"> double log2 = 0.5*p*log(det(YY))-0.5*(delta+p+1)*log(det(XX))-0.5*trace(YY*inv(XX));</span> |
771 | | <a name="l01071"></a>01071 <span class="comment"> cout << log1 << "," << log2 << endl;</span> |
772 | | <a name="l01072"></a>01072 <span class="comment"> }*/</span> |
773 | | <a name="l01073"></a>01073 <span class="keywordflow">return</span> log1; |
774 | | <a name="l01074"></a>01074 }; |
775 | | <a name="l01075"></a>01075 |
776 | | <a name="l01076"></a>01076 }; |
777 | | <a name="l01077"></a>01077 |
778 | | <a name="l01079"></a><a class="code" href="classbdm_1_1rwiWishartCh.html">01079</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1rwiWishartCh.html" title="Random Walk on inverse Wishart.">rwiWishartCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><eiWishartCh> |
779 | | <a name="l01080"></a>01080 { |
780 | | <a name="l01081"></a>01081 <span class="keyword">protected</span>: |
781 | | <a name="l01083"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb">01083</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a>; |
782 | | <a name="l01085"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a">01085</a> vec <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a>; |
783 | | <a name="l01087"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861">01087</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>; |
784 | | <a name="l01089"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663">01089</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>; |
785 | | <a name="l01090"></a>01090 |
786 | | <a name="l01091"></a>01091 <span class="keyword">public</span>: |
787 | | <a name="l01092"></a>01092 <a class="code" href="classbdm_1_1rwiWishartCh.html" title="Random Walk on inverse Wishart.">rwiWishartCh</a>() : <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a> (0), <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a> (0), <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> (0) {} |
788 | | <a name="l01094"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a28549ee3ce1ff8509360171ea3cf717c">01094</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a28549ee3ce1ff8509360171ea3cf717c" title="constructor function">set_parameters</a> (<span class="keywordtype">int</span> p0, <span class="keywordtype">double</span> k, vec ref0, <span class="keywordtype">double</span> l0) { |
789 | | <a name="l01095"></a>01095 <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> = p0; |
790 | | <a name="l01096"></a>01096 <span class="keywordtype">double</span> delta = 2 / (k * k) + <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> + 3; |
791 | | <a name="l01097"></a>01097 <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a> = sqrt (delta - <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> - 1); |
792 | | <a name="l01098"></a>01098 <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a> = l0; |
793 | | <a name="l01099"></a>01099 <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a> = pow (ref0, 1 - <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>); |
794 | | <a name="l01100"></a>01100 |
795 | | <a name="l01101"></a>01101 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3" title="constructor function">set_parameters</a> (eye (<a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>), delta); |
796 | | <a name="l01102"></a>01102 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(); |
797 | | <a name="l01103"></a>01103 } |
798 | | <a name="l01104"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#aac087ba6c885d3faeda9171229f9b4e6">01104</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#aac087ba6c885d3faeda9171229f9b4e6" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &c) { |
799 | | <a name="l01105"></a>01105 vec z = c; |
800 | | <a name="l01106"></a>01106 <span class="keywordtype">int</span> ri = 0; |
801 | | <a name="l01107"></a>01107 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>*<a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>;i += (p + 1)) {<span class="comment">//trace diagonal element</span> |
802 | | <a name="l01108"></a>01108 z (i) = pow (z (i), <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>) * <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a> (ri); |
803 | | <a name="l01109"></a>01109 ri++; |
804 | | <a name="l01110"></a>01110 } |
805 | | <a name="l01111"></a>01111 |
806 | | <a name="l01112"></a>01112 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5" title="access function">_setY</a> (<a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a>*z); |
807 | | <a name="l01113"></a>01113 } |
808 | | <a name="l01114"></a>01114 }; |
809 | | <a name="l01115"></a>01115 |
810 | | <a name="l01117"></a>01117 <span class="keyword">enum</span> RESAMPLING_METHOD { MULTINOMIAL = 0, STRATIFIED = 1, SYSTEMATIC = 3 }; |
811 | | <a name="l01123"></a><a class="code" href="classbdm_1_1eEmp.html">01123</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
812 | | <a name="l01124"></a>01124 { |
813 | | <a name="l01125"></a>01125 <span class="keyword">protected</span> : |
814 | | <a name="l01127"></a><a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031">01127</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>; |
815 | | <a name="l01129"></a><a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d">01129</a> vec <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>; |
816 | | <a name="l01131"></a><a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3">01131</a> Array<vec> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>; |
817 | | <a name="l01132"></a>01132 <span class="keyword">public</span>: |
818 | | <a name="l01135"></a>01135 <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> () : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> (), <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (), <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> () {}; |
819 | | <a name="l01137"></a><a class="code" href="classbdm_1_1eEmp.html#aa3daf6363455af099921715e1233c076">01137</a> <a class="code" href="classbdm_1_1eEmp.html#aa3daf6363455af099921715e1233c076" title="copy constructor">eEmp</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &e) : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> (e), <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (e.<a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>), <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (e.<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>) {}; |
820 | | <a name="l01139"></a>01139 |
821 | | <a name="l01141"></a>01141 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ae7f8f98310c1de51bd5c8a1c87528f72" title="Set samples and weights.">set_statistics</a> (<span class="keyword">const</span> vec &w0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &pdf0); |
822 | | <a name="l01143"></a><a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95">01143</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95" title="Set samples and weights.">set_statistics</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &pdf0 , <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>) {<a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95" title="Set samples and weights.">set_statistics</a> (ones (n) / n, pdf0);}; |
823 | | <a name="l01145"></a>01145 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ab62d802b8ef39f7c4dcbeb366c90951a" title="Set sample.">set_samples</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* pdf0); |
824 | | <a name="l01147"></a><a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1">01147</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1" title="Set sample.">set_parameters</a> (<span class="keywordtype">int</span> n0, <span class="keywordtype">bool</span> copy = <span class="keyword">true</span>) {<a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a> = n0; <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>.set_size (n0, copy);<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>.set_size (n0, copy);}; |
825 | | <a name="l01149"></a><a class="code" href="classbdm_1_1eEmp.html#a37937007a3a676cf653a7de412674481">01149</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#a37937007a3a676cf653a7de412674481" title="Set samples.">set_parameters</a> (<span class="keyword">const</span> Array<vec> &Av) { |
826 | | <a name="l01150"></a>01150 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(Av.size()>0,<span class="stringliteral">"Empty samples"</span>); |
827 | | <a name="l01151"></a>01151 <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a> = Av.size(); |
828 | | <a name="l01152"></a>01152 <a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1" title="Set sample.">epdf::set_parameters</a>(Av(0).length()); |
829 | | <a name="l01153"></a>01153 <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>=1/n*ones(n); |
830 | | <a name="l01154"></a>01154 <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>=Av; |
831 | | <a name="l01155"></a>01155 }; |
832 | | <a name="l01157"></a><a class="code" href="classbdm_1_1eEmp.html#ad7f83cc0415cd44ae7cc8b4bdad93aef">01157</a> vec& <a class="code" href="classbdm_1_1eEmp.html#ad7f83cc0415cd44ae7cc8b4bdad93aef" title="Potentially dangerous, use with care.">_w</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>;}; |
833 | | <a name="l01159"></a><a class="code" href="classbdm_1_1eEmp.html#ab7d7106f486e3fad38590914a693d714">01159</a> <span class="keyword">const</span> vec& <a class="code" href="classbdm_1_1eEmp.html#ab7d7106f486e3fad38590914a693d714" title="Potentially dangerous, use with care.">_w</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>;}; |
834 | | <a name="l01161"></a><a class="code" href="classbdm_1_1eEmp.html#ac24966b0aaeb767bc8a6b4fd60931be2">01161</a> Array<vec>& <a class="code" href="classbdm_1_1eEmp.html#ac24966b0aaeb767bc8a6b4fd60931be2" title="access function">_samples</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>;}; |
835 | | <a name="l01163"></a><a class="code" href="classbdm_1_1eEmp.html#ab59af0efdb009d98ea8ebfa965e74ae2">01163</a> <span class="keyword">const</span> Array<vec>& <a class="code" href="classbdm_1_1eEmp.html#ab59af0efdb009d98ea8ebfa965e74ae2" title="access function">_samples</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>;}; |
836 | | <a name="l01165"></a>01165 ivec <a class="code" href="classbdm_1_1eEmp.html#af06ce255de5dbb2313f52ee51f82ba3d" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a> (RESAMPLING_METHOD method = SYSTEMATIC); |
837 | | <a name="l01166"></a>01166 |
838 | | <a name="l01168"></a><a class="code" href="classbdm_1_1eEmp.html#a97f1e07b5ae6eebc91c7365f0f88d270">01168</a> vec <a class="code" href="classbdm_1_1eEmp.html#a97f1e07b5ae6eebc91c7365f0f88d270" title="inherited operation : NOT implemented">sample</a>()<span class="keyword"> const </span>{ |
839 | | <a name="l01169"></a>01169 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
840 | | <a name="l01170"></a>01170 <span class="keywordflow">return</span> vec(); |
841 | | <a name="l01171"></a>01171 } |
842 | | <a name="l01172"></a>01172 |
843 | | <a name="l01174"></a><a class="code" href="classbdm_1_1eEmp.html#a01654c014d3aa068f8d4ecba4be86d09">01174</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eEmp.html#a01654c014d3aa068f8d4ecba4be86d09" title="inherited operation : NOT implemented">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
844 | | <a name="l01175"></a>01175 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
845 | | <a name="l01176"></a>01176 <span class="keywordflow">return</span> 0.0; |
846 | | <a name="l01177"></a>01177 } |
847 | | <a name="l01178"></a>01178 |
848 | | <a name="l01179"></a><a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9">01179</a> vec <a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9" title="return expected value">mean</a>()<span class="keyword"> const </span>{ |
849 | | <a name="l01180"></a>01180 vec pom = zeros (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
850 | | <a name="l01181"></a>01181 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) {pom += <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) * <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (i);} |
851 | | <a name="l01182"></a>01182 <span class="keywordflow">return</span> pom; |
852 | | <a name="l01183"></a>01183 } |
853 | | <a name="l01184"></a><a class="code" href="classbdm_1_1eEmp.html#a05e9ebf467ede737cb6a3621d7fd3c87">01184</a> vec <a class="code" href="classbdm_1_1eEmp.html#a05e9ebf467ede737cb6a3621d7fd3c87" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{ |
854 | | <a name="l01185"></a>01185 vec pom = zeros (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
855 | | <a name="l01186"></a>01186 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) {pom += pow (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i), 2) * <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (i);} |
856 | | <a name="l01187"></a>01187 <span class="keywordflow">return</span> pom -pow (<a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9" title="return expected value">mean</a>(), 2); |
857 | | <a name="l01188"></a>01188 } |
858 | | <a name="l01190"></a><a class="code" href="classbdm_1_1eEmp.html#ab1c9df656144edf79ba2d885613f661f">01190</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ab1c9df656144edf79ba2d885613f661f" title="For this class, qbounds are minimum and maximum value of the population!">qbounds</a> (vec &lb, vec &ub, <span class="keywordtype">double</span> perc = 0.95)<span class="keyword"> const </span>{ |
859 | | <a name="l01191"></a>01191 <span class="comment">// lb in inf so than it will be pushed below;</span> |
860 | | <a name="l01192"></a>01192 lb.set_size (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
861 | | <a name="l01193"></a>01193 ub.set_size (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
862 | | <a name="l01194"></a>01194 lb = std::numeric_limits<double>::infinity(); |
863 | | <a name="l01195"></a>01195 ub = -std::numeric_limits<double>::infinity(); |
864 | | <a name="l01196"></a>01196 <span class="keywordtype">int</span> j; |
865 | | <a name="l01197"></a>01197 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) { |
866 | | <a name="l01198"></a>01198 <span class="keywordflow">for</span> (j = 0;j < <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>; j++) { |
867 | | <a name="l01199"></a>01199 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j) < lb (j)) {lb (j) = <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j);} |
868 | | <a name="l01200"></a>01200 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j) > ub (j)) {ub (j) = <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j);} |
869 | | <a name="l01201"></a>01201 } |
870 | | <a name="l01202"></a>01202 } |
871 | | <a name="l01203"></a>01203 } |
872 | | <a name="l01204"></a>01204 }; |
873 | | <a name="l01205"></a>01205 |
874 | | <a name="l01206"></a>01206 |
875 | | <a name="l01208"></a>01208 |
876 | | <a name="l01209"></a>01209 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
877 | | <a name="l01210"></a>01210 <span class="keywordtype">void</span> enorm<sq_T>::set_parameters (<span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R0) |
878 | | <a name="l01211"></a>01211 { |
879 | | <a name="l01212"></a>01212 <span class="comment">//Fixme test dimensions of mu0 and R0;</span> |
880 | | <a name="l01213"></a>01213 mu = mu0; |
881 | | <a name="l01214"></a>01214 R = R0; |
882 | | <a name="l01215"></a>01215 <a class="code" href="classbdm_1_1root.html#a1c314bd6d6dacb8ba78ea5eb88fd9516" title="This method TODO.">validate</a>(); |
883 | | <a name="l01216"></a>01216 }; |
884 | | <a name="l01217"></a>01217 |
885 | | <a name="l01218"></a>01218 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
886 | | <a name="l01219"></a><a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6">01219</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6" title="Load from structure with elements:.">enorm<sq_T>::from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) |
887 | | <a name="l01220"></a>01220 { |
888 | | <a name="l01221"></a>01221 <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6" title="Load from structure with elements:.">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">//reads rv</span> |
889 | | <a name="l01222"></a>01222 |
890 | | <a name="l01223"></a>01223 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>, <span class="keyword">set</span>, <span class="stringliteral">"mu"</span>, UI::compulsory); |
891 | | <a name="l01224"></a>01224 mat Rtmp;<span class="comment">// necessary for conversion</span> |
892 | | <a name="l01225"></a>01225 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (Rtmp, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
893 | | <a name="l01226"></a>01226 <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a> = Rtmp; <span class="comment">// conversion</span> |
894 | | <a name="l01227"></a>01227 <a class="code" href="classbdm_1_1enorm.html#a38eb17ecb75d94a50b6782fcf735cfea" title="This method TODO.">validate</a>(); |
895 | | <a name="l01228"></a>01228 } |
896 | | <a name="l01229"></a>01229 |
897 | | <a name="l01230"></a>01230 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
898 | | <a name="l01231"></a><a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2">01231</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2" title="dupdate in exponential form (not really handy)">enorm<sq_T>::dupdate</a> (mat &v, <span class="keywordtype">double</span> nu) |
899 | | <a name="l01232"></a>01232 { |
900 | | <a name="l01233"></a>01233 <span class="comment">//</span> |
901 | | <a name="l01234"></a>01234 }; |
902 | | <a name="l01235"></a>01235 |
903 | | <a name="l01236"></a>01236 <span class="comment">// template<class sq_T></span> |
904 | | <a name="l01237"></a>01237 <span class="comment">// void enorm<sq_T>::tupdate ( double phi, mat &vbar, double nubar ) {</span> |
905 | | <a name="l01238"></a>01238 <span class="comment">// //</span> |
906 | | <a name="l01239"></a>01239 <span class="comment">// };</span> |
907 | | <a name="l01240"></a>01240 |
908 | | <a name="l01241"></a>01241 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
909 | | <a name="l01242"></a><a class="code" href="classbdm_1_1enorm.html#ae1a48f52351ec3a349bd443b713b1766">01242</a> vec <a class="code" href="classbdm_1_1enorm.html#ae1a48f52351ec3a349bd443b713b1766" title="Returns a sample, from density .">enorm<sq_T>::sample</a>()<span class="keyword"> const</span> |
910 | | <a name="l01243"></a>01243 <span class="keyword"></span>{ |
911 | | <a name="l01244"></a>01244 vec x (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
912 | | <a name="l01245"></a>01245 <span class="preprocessor">#pragma omp critical</span> |
913 | | <a name="l01246"></a>01246 <span class="preprocessor"></span> NorRNG.sample_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, x); |
914 | | <a name="l01247"></a>01247 vec smp = <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a>.sqrt_mult (x); |
| 685 | <a name="l00949"></a><a class="code" href="classbdm_1_1mlognorm.html#a604cab0e8a76f9041dc3c606043bb39f">00949</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a604cab0e8a76f9041dc3c606043bb39f" title="Set value of k.">set_parameters</a> (<span class="keywordtype">int</span> size, <span class="keywordtype">double</span> k) { |
| 686 | <a name="l00950"></a>00950 <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a> = 0.5 * log (k * k + 1); |
| 687 | <a name="l00951"></a>00951 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.set_parameters (zeros (size), 2*<a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>*eye (size)); |
| 688 | <a name="l00952"></a>00952 |
| 689 | <a name="l00953"></a>00953 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = size; |
| 690 | <a name="l00954"></a>00954 }; |
| 691 | <a name="l00955"></a>00955 |
| 692 | <a name="l00956"></a><a class="code" href="classbdm_1_1mlognorm.html#a9106d8fd8bdf2b6be675ffd8f3ca584e">00956</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a9106d8fd8bdf2b6be675ffd8f3ca584e" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &val) { |
| 693 | <a name="l00957"></a>00957 <a class="code" href="classbdm_1_1mlognorm.html#a7d0063f77d899ef22e8c5edd642176d2" title="access">mu</a> = log (val) - <a class="code" href="classbdm_1_1mlognorm.html#aa51128a2e503b8b2ce698244b9e0db1a" title="parameter 1/2*sigma^2">sig2</a>;<span class="comment">//elem_mult ( refl,pow ( val,l ) );</span> |
| 694 | <a name="l00958"></a>00958 }; |
| 695 | <a name="l00959"></a>00959 |
| 696 | <a name="l00978"></a>00978 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1mlognorm.html#a49e45ea13a869da607ef9be7a229128a">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
| 697 | <a name="l00979"></a>00979 |
| 698 | <a name="l00980"></a>00980 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
| 699 | <a name="l00981"></a>00981 |
| 700 | <a name="l00982"></a>00982 }; |
| 701 | <a name="l00983"></a>00983 |
| 702 | <a name="l00984"></a>00984 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (mlognorm); |
| 703 | <a name="l00985"></a>00985 SHAREDPTR (mlognorm); |
| 704 | <a name="l00986"></a>00986 |
| 705 | <a name="l00990"></a><a class="code" href="classbdm_1_1eWishartCh.html">00990</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eWishartCh.html">eWishartCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
| 706 | <a name="l00991"></a>00991 { |
| 707 | <a name="l00992"></a>00992 <span class="keyword">protected</span>: |
| 708 | <a name="l00994"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490">00994</a> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>; |
| 709 | <a name="l00996"></a><a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f">00996</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>; |
| 710 | <a name="l00998"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3">00998</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a>; |
| 711 | <a name="l00999"></a>00999 <span class="keyword">public</span>: |
| 712 | <a name="l01001"></a><a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0">01001</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0" title="Set internal structures.">set_parameters</a> (<span class="keyword">const</span> mat &Y0, <span class="keyword">const</span> <span class="keywordtype">double</span> delta0) {<a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a> = <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> (Y0);<a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a> = delta0; <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a> = <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>(); <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a> * <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>; } |
| 713 | <a name="l01003"></a><a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339">01003</a> mat <a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()<span class="keyword"> const </span>{ |
| 714 | <a name="l01004"></a>01004 mat X = zeros (<a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>, <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>); |
| 715 | <a name="l01005"></a>01005 |
| 716 | <a name="l01006"></a>01006 <span class="comment">//sample diagonal</span> |
| 717 | <a name="l01007"></a>01007 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>;i++) { |
| 718 | <a name="l01008"></a>01008 GamRNG.setup (0.5* (<a class="code" href="classbdm_1_1eWishartCh.html#a1879a14d7d2bb05062523b189baa11c3" title="degrees of freedom ">delta</a> - i) , 0.5); <span class="comment">// no +1 !! index if from 0</span> |
| 719 | <a name="l01009"></a>01009 <span class="preprocessor">#pragma omp critical</span> |
| 720 | <a name="l01010"></a>01010 <span class="preprocessor"></span> X (i, i) = sqrt (GamRNG()); |
| 721 | <a name="l01011"></a>01011 } |
| 722 | <a name="l01012"></a>01012 <span class="comment">//do the rest</span> |
| 723 | <a name="l01013"></a>01013 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < p;i++) { |
| 724 | <a name="l01014"></a>01014 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j = i + 1;j < p;j++) { |
| 725 | <a name="l01015"></a>01015 <span class="preprocessor">#pragma omp critical</span> |
| 726 | <a name="l01016"></a>01016 <span class="preprocessor"></span> X (i, j) = NorRNG.sample(); |
| 727 | <a name="l01017"></a>01017 } |
| 728 | <a name="l01018"></a>01018 } |
| 729 | <a name="l01019"></a>01019 <span class="keywordflow">return</span> X*<a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>();<span class="comment">// return upper triangular part of the decomposition</span> |
| 730 | <a name="l01020"></a>01020 } |
| 731 | <a name="l01021"></a><a class="code" href="classbdm_1_1eWishartCh.html#a8f2154b8b5be8f4c5788f261b6d57b9a">01021</a> vec <a class="code" href="classbdm_1_1eWishartCh.html#a8f2154b8b5be8f4c5788f261b6d57b9a" title="Returns a sample, from density .">sample</a> ()<span class="keyword"> const </span>{ |
| 732 | <a name="l01022"></a>01022 <span class="keywordflow">return</span> vec (<a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()._data(), <a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>*<a class="code" href="classbdm_1_1eWishartCh.html#ab745c73faef785009484180582050a1f" title="dimension of matrix ">p</a>); |
| 733 | <a name="l01023"></a>01023 } |
| 734 | <a name="l01025"></a><a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981">01025</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981" title="fast access function y0 will be copied into Y.Ch.">setY</a> (<span class="keyword">const</span> mat &Ch0) {copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, Ch0._data(), <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data());} |
| 735 | <a name="l01027"></a><a class="code" href="classbdm_1_1eWishartCh.html#a7eac414ec10b85aa5536b0092c57bc4a">01027</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eWishartCh.html#a7eac414ec10b85aa5536b0092c57bc4a" title="fast access function y0 will be copied into Y.Ch.">_setY</a> (<span class="keyword">const</span> vec &ch0) {copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, ch0._data(), <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data()); } |
| 736 | <a name="l01029"></a><a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e">01029</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>& <a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e" title="access function">getY</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eWishartCh.html#a1b42f9284a32f23b0b253a628cda7490" title="Upper-Triagle of Choleski decomposition of .">Y</a>;} |
| 737 | <a name="l01030"></a>01030 }; |
| 738 | <a name="l01031"></a>01031 |
| 739 | <a name="l01033"></a>01033 |
| 740 | <a name="l01035"></a><a class="code" href="classbdm_1_1eiWishartCh.html">01035</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eiWishartCh.html" title="Inverse Wishart on Choleski decomposition.">eiWishartCh</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
| 741 | <a name="l01036"></a>01036 { |
| 742 | <a name="l01037"></a>01037 <span class="keyword">protected</span>: |
| 743 | <a name="l01039"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a">01039</a> <a class="code" href="classbdm_1_1eWishartCh.html">eWishartCh</a> <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>; |
| 744 | <a name="l01041"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd">01041</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>; |
| 745 | <a name="l01043"></a><a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464">01043</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a>; |
| 746 | <a name="l01044"></a>01044 <span class="keyword">public</span>: |
| 747 | <a name="l01046"></a><a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3">01046</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3" title="constructor function">set_parameters</a> (<span class="keyword">const</span> mat &Y0, <span class="keyword">const</span> <span class="keywordtype">double</span> delta0) { |
| 748 | <a name="l01047"></a>01047 <a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a> = delta0; |
| 749 | <a name="l01048"></a>01048 <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a183d961532ee97b7dc5ec81701aa59a0" title="Set internal structures.">set_parameters</a> (inv (Y0), delta0); |
| 750 | <a name="l01049"></a>01049 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(); <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a> = Y0.rows(); |
| 751 | <a name="l01050"></a>01050 } |
| 752 | <a name="l01051"></a><a class="code" href="classbdm_1_1eiWishartCh.html#a2f668192cc9c2e3a5b7e608164685a3e">01051</a> vec <a class="code" href="classbdm_1_1eiWishartCh.html#a2f668192cc9c2e3a5b7e608164685a3e" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{mat iCh; iCh = inv (<a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#acc664035d70d2622bf264a29270f8339" title="Sample matrix argument.">sample_mat</a>()); <span class="keywordflow">return</span> vec (iCh._data(), <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>);} |
| 753 | <a name="l01053"></a><a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5">01053</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5" title="access function">_setY</a> (<span class="keyword">const</span> vec &y0) { |
| 754 | <a name="l01054"></a>01054 mat Ch (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
| 755 | <a name="l01055"></a>01055 mat iCh (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, <a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
| 756 | <a name="l01056"></a>01056 copy_vector (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>, y0._data(), Ch._data()); |
| 757 | <a name="l01057"></a>01057 |
| 758 | <a name="l01058"></a>01058 iCh = inv (Ch); |
| 759 | <a name="l01059"></a>01059 <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a4eee757c0535c2a88bb20f0767c64981" title="fast access function y0 will be copied into Y.Ch.">setY</a> (iCh); |
| 760 | <a name="l01060"></a>01060 } |
| 761 | <a name="l01061"></a><a class="code" href="classbdm_1_1eiWishartCh.html#aa6ddbd815b8b666dd542e97f009f89bb">01061</a> <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eiWishartCh.html#aa6ddbd815b8b666dd542e97f009f89bb" title="Compute log-probability of argument val In case the argument is out of suport return...">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
| 762 | <a name="l01062"></a>01062 <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> X (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>); |
| 763 | <a name="l01063"></a>01063 <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>& Y = <a class="code" href="classbdm_1_1eiWishartCh.html#ac6b684b52dc62b8d46e67d5992f98b9a" title="Internal instance of Wishart density.">W</a>.<a class="code" href="classbdm_1_1eWishartCh.html#a1708cacb5d8cb1b96395d35f5327cb7e" title="access function">getY</a>(); |
| 764 | <a name="l01064"></a>01064 |
| 765 | <a name="l01065"></a>01065 copy_vector (<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>*<a class="code" href="classbdm_1_1eiWishartCh.html#ac11f1c41183f743b97fbb73a4e9ba6cd" title="size of Ch">p</a>, val._data(), X.<a class="code" href="classbdm_1_1chmat.html#a17daa8c5c5914bd3194cb3053c5793a5" title="Access function.">_Ch</a>()._data()); |
| 766 | <a name="l01066"></a>01066 <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> iX (p);X.<a class="code" href="classbdm_1_1chmat.html#acbf3389db96dff41fb2e9532d59b13c0" title="Inversion in the same form, i.e. cholesky.">inv</a> (iX); |
| 767 | <a name="l01067"></a>01067 <span class="comment">// compute</span> |
| 768 | <a name="l01068"></a>01068 <span class="comment">// \frac{ |\Psi|^{m/2}|X|^{-(m+p+1)/2}e^{-tr(\Psi X^{-1})/2} }{ 2^{mp/2}\Gamma_p(m/2)},</span> |
| 769 | <a name="l01069"></a>01069 mat M = Y.<a class="code" href="classbdm_1_1chmat.html#a4b4c5d4dbb8a3d585b68d936cb6df31b" title="Conversion to full matrix.">to_mat</a>() * iX.to_mat(); |
| 770 | <a name="l01070"></a>01070 |
| 771 | <a name="l01071"></a>01071 <span class="keywordtype">double</span> log1 = 0.5 * p * (2 * Y.<a class="code" href="classbdm_1_1chmat.html#a949ccd174ed19f9cfe36366cbd5c56a4" title="Logarithm of a determinant.">logdet</a>()) - 0.5 * (<a class="code" href="classbdm_1_1eiWishartCh.html#aca3035f7bd5e4597cc1843cf07af8464" title="parameter delta">delta</a> + p + 1) * (2 * X.<a class="code" href="classbdm_1_1chmat.html#a949ccd174ed19f9cfe36366cbd5c56a4" title="Logarithm of a determinant.">logdet</a>()) - 0.5 * trace (M); |
| 772 | <a name="l01072"></a>01072 <span class="comment">//Fixme! Multivariate gamma omitted!! it is ok for sampling, but not otherwise!!</span> |
| 773 | <a name="l01073"></a>01073 |
| 774 | <a name="l01074"></a>01074 <span class="comment">/* if (0) {</span> |
| 775 | <a name="l01075"></a>01075 <span class="comment"> mat XX=X.to_mat();</span> |
| 776 | <a name="l01076"></a>01076 <span class="comment"> mat YY=Y.to_mat();</span> |
| 777 | <a name="l01077"></a>01077 <span class="comment"></span> |
| 778 | <a name="l01078"></a>01078 <span class="comment"> double log2 = 0.5*p*log(det(YY))-0.5*(delta+p+1)*log(det(XX))-0.5*trace(YY*inv(XX));</span> |
| 779 | <a name="l01079"></a>01079 <span class="comment"> cout << log1 << "," << log2 << endl;</span> |
| 780 | <a name="l01080"></a>01080 <span class="comment"> }*/</span> |
| 781 | <a name="l01081"></a>01081 <span class="keywordflow">return</span> log1; |
| 782 | <a name="l01082"></a>01082 }; |
| 783 | <a name="l01083"></a>01083 |
| 784 | <a name="l01084"></a>01084 }; |
| 785 | <a name="l01085"></a>01085 |
| 786 | <a name="l01087"></a><a class="code" href="classbdm_1_1rwiWishartCh.html">01087</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1rwiWishartCh.html" title="Random Walk on inverse Wishart.">rwiWishartCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1mpdf__internal.html" title="Mpdf with internal epdf that is modified by function condition.">mpdf_internal</a><eiWishartCh> |
| 787 | <a name="l01088"></a>01088 { |
| 788 | <a name="l01089"></a>01089 <span class="keyword">protected</span>: |
| 789 | <a name="l01091"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb">01091</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a>; |
| 790 | <a name="l01093"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a">01093</a> vec <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a>; |
| 791 | <a name="l01095"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861">01095</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>; |
| 792 | <a name="l01097"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663">01097</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>; |
| 793 | <a name="l01098"></a>01098 |
| 794 | <a name="l01099"></a>01099 <span class="keyword">public</span>: |
| 795 | <a name="l01100"></a>01100 <a class="code" href="classbdm_1_1rwiWishartCh.html" title="Random Walk on inverse Wishart.">rwiWishartCh</a>() : <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a> (0), <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a> (0), <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> (0) {} |
| 796 | <a name="l01102"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#a28549ee3ce1ff8509360171ea3cf717c">01102</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#a28549ee3ce1ff8509360171ea3cf717c" title="constructor function">set_parameters</a> (<span class="keywordtype">int</span> p0, <span class="keywordtype">double</span> k, vec ref0, <span class="keywordtype">double</span> l0) { |
| 797 | <a name="l01103"></a>01103 <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> = p0; |
| 798 | <a name="l01104"></a>01104 <span class="keywordtype">double</span> delta = 2 / (k * k) + <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> + 3; |
| 799 | <a name="l01105"></a>01105 <a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a> = sqrt (delta - <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a> - 1); |
| 800 | <a name="l01106"></a>01106 <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a> = l0; |
| 801 | <a name="l01107"></a>01107 <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a> = pow (ref0, 1 - <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>); |
| 802 | <a name="l01108"></a>01108 |
| 803 | <a name="l01109"></a>01109 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1eiWishartCh.html#af463caed9d22d9949f3ee67614e7dcd3" title="constructor function">set_parameters</a> (eye (<a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>), delta); |
| 804 | <a name="l01110"></a>01110 <a class="code" href="classbdm_1_1mpdf.html#a7c1900976ff13dbc09c9729b3bbff9e6" title="dimension of the condition">dimc</a> = <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(); |
| 805 | <a name="l01111"></a>01111 } |
| 806 | <a name="l01112"></a><a class="code" href="classbdm_1_1rwiWishartCh.html#aac087ba6c885d3faeda9171229f9b4e6">01112</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1rwiWishartCh.html#aac087ba6c885d3faeda9171229f9b4e6" title="Update iepdf so that it represents this mpdf conditioned on rvc = cond This function...">condition</a> (<span class="keyword">const</span> vec &c) { |
| 807 | <a name="l01113"></a>01113 vec z = c; |
| 808 | <a name="l01114"></a>01114 <span class="keywordtype">int</span> ri = 0; |
| 809 | <a name="l01115"></a>01115 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>*<a class="code" href="classbdm_1_1rwiWishartCh.html#a7ba06d431995c347d2fce30a59c20663" title="dimension">p</a>;i += (p + 1)) {<span class="comment">//trace diagonal element</span> |
| 810 | <a name="l01116"></a>01116 z (i) = pow (z (i), <a class="code" href="classbdm_1_1rwiWishartCh.html#a758cd05efa67c60b4bf4f7554b9ba861" title="power of the reference">l</a>) * <a class="code" href="classbdm_1_1rwiWishartCh.html#a239b26c71ebcc118ba6925dfb6efc50a" title="reference point for diagonal">refl</a> (ri); |
| 811 | <a name="l01117"></a>01117 ri++; |
| 812 | <a name="l01118"></a>01118 } |
| 813 | <a name="l01119"></a>01119 |
| 814 | <a name="l01120"></a>01120 <a class="code" href="classbdm_1_1mpdf__internal.html#a47bab632af15120c88aad647ae129468" title="Internal epdf used for sampling.">iepdf</a>.<a class="code" href="classbdm_1_1eiWishartCh.html#ad9947933dfc94546cbd6a81f95ec5af5" title="access function">_setY</a> (<a class="code" href="classbdm_1_1rwiWishartCh.html#a2004675b37f712abe3913057bae97cfb" title="square root of - needed for computation of from conditions">sqd</a>*z); |
| 815 | <a name="l01121"></a>01121 } |
| 816 | <a name="l01122"></a>01122 }; |
| 817 | <a name="l01123"></a>01123 |
| 818 | <a name="l01125"></a>01125 <span class="keyword">enum</span> RESAMPLING_METHOD { MULTINOMIAL = 0, STRATIFIED = 1, SYSTEMATIC = 3 }; |
| 819 | <a name="l01131"></a><a class="code" href="classbdm_1_1eEmp.html">01131</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> |
| 820 | <a name="l01132"></a>01132 { |
| 821 | <a name="l01133"></a>01133 <span class="keyword">protected</span> : |
| 822 | <a name="l01135"></a><a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031">01135</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>; |
| 823 | <a name="l01137"></a><a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d">01137</a> vec <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>; |
| 824 | <a name="l01139"></a><a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3">01139</a> Array<vec> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>; |
| 825 | <a name="l01140"></a>01140 <span class="keyword">public</span>: |
| 826 | <a name="l01143"></a>01143 <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> () : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> (), <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (), <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> () {}; |
| 827 | <a name="l01145"></a><a class="code" href="classbdm_1_1eEmp.html#aa3daf6363455af099921715e1233c076">01145</a> <a class="code" href="classbdm_1_1eEmp.html#aa3daf6363455af099921715e1233c076" title="copy constructor">eEmp</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &e) : <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> (e), <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (e.<a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>), <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (e.<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>) {}; |
| 828 | <a name="l01147"></a>01147 |
| 829 | <a name="l01149"></a>01149 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ae7f8f98310c1de51bd5c8a1c87528f72" title="Set samples and weights.">set_statistics</a> (<span class="keyword">const</span> vec &w0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &pdf0); |
| 830 | <a name="l01151"></a><a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95">01151</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95" title="Set samples and weights.">set_statistics</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &pdf0 , <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>) {<a class="code" href="classbdm_1_1eEmp.html#a4f7e6ba7183972e3c7ae399613861b95" title="Set samples and weights.">set_statistics</a> (ones (n) / n, pdf0);}; |
| 831 | <a name="l01153"></a>01153 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ab62d802b8ef39f7c4dcbeb366c90951a" title="Set sample.">set_samples</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* pdf0); |
| 832 | <a name="l01155"></a><a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1">01155</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1" title="Set sample.">set_parameters</a> (<span class="keywordtype">int</span> n0, <span class="keywordtype">bool</span> copy = <span class="keyword">true</span>) {<a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a> = n0; <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>.set_size (n0, copy);<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>.set_size (n0, copy);}; |
| 833 | <a name="l01157"></a><a class="code" href="classbdm_1_1eEmp.html#a37937007a3a676cf653a7de412674481">01157</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#a37937007a3a676cf653a7de412674481" title="Set samples.">set_parameters</a> (<span class="keyword">const</span> Array<vec> &Av) { |
| 834 | <a name="l01158"></a>01158 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(Av.size()>0,<span class="stringliteral">"Empty samples"</span>); |
| 835 | <a name="l01159"></a>01159 <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a> = Av.size(); |
| 836 | <a name="l01160"></a>01160 <a class="code" href="classbdm_1_1eEmp.html#ac74c281d652356c19b6b079e42ca7ef1" title="Set sample.">epdf::set_parameters</a>(Av(0).length()); |
| 837 | <a name="l01161"></a>01161 <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>=1/n*ones(n); |
| 838 | <a name="l01162"></a>01162 <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>=Av; |
| 839 | <a name="l01163"></a>01163 }; |
| 840 | <a name="l01165"></a><a class="code" href="classbdm_1_1eEmp.html#ad7f83cc0415cd44ae7cc8b4bdad93aef">01165</a> vec& <a class="code" href="classbdm_1_1eEmp.html#ad7f83cc0415cd44ae7cc8b4bdad93aef" title="Potentially dangerous, use with care.">_w</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>;}; |
| 841 | <a name="l01167"></a><a class="code" href="classbdm_1_1eEmp.html#ab7d7106f486e3fad38590914a693d714">01167</a> <span class="keyword">const</span> vec& <a class="code" href="classbdm_1_1eEmp.html#ab7d7106f486e3fad38590914a693d714" title="Potentially dangerous, use with care.">_w</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a>;}; |
| 842 | <a name="l01169"></a><a class="code" href="classbdm_1_1eEmp.html#ac24966b0aaeb767bc8a6b4fd60931be2">01169</a> Array<vec>& <a class="code" href="classbdm_1_1eEmp.html#ac24966b0aaeb767bc8a6b4fd60931be2" title="access function">_samples</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>;}; |
| 843 | <a name="l01171"></a><a class="code" href="classbdm_1_1eEmp.html#ab59af0efdb009d98ea8ebfa965e74ae2">01171</a> <span class="keyword">const</span> Array<vec>& <a class="code" href="classbdm_1_1eEmp.html#ab59af0efdb009d98ea8ebfa965e74ae2" title="access function">_samples</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a>;}; |
| 844 | <a name="l01173"></a>01173 ivec <a class="code" href="classbdm_1_1eEmp.html#af06ce255de5dbb2313f52ee51f82ba3d" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a> (RESAMPLING_METHOD method = SYSTEMATIC); |
| 845 | <a name="l01174"></a>01174 |
| 846 | <a name="l01176"></a><a class="code" href="classbdm_1_1eEmp.html#a97f1e07b5ae6eebc91c7365f0f88d270">01176</a> vec <a class="code" href="classbdm_1_1eEmp.html#a97f1e07b5ae6eebc91c7365f0f88d270" title="inherited operation : NOT implemented">sample</a>()<span class="keyword"> const </span>{ |
| 847 | <a name="l01177"></a>01177 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
| 848 | <a name="l01178"></a>01178 <span class="keywordflow">return</span> vec(); |
| 849 | <a name="l01179"></a>01179 } |
| 850 | <a name="l01180"></a>01180 |
| 851 | <a name="l01182"></a><a class="code" href="classbdm_1_1eEmp.html#a01654c014d3aa068f8d4ecba4be86d09">01182</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1eEmp.html#a01654c014d3aa068f8d4ecba4be86d09" title="inherited operation : NOT implemented">evallog</a> (<span class="keyword">const</span> vec &val)<span class="keyword"> const </span>{ |
| 852 | <a name="l01183"></a>01183 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"Not implemented"</span>); |
| 853 | <a name="l01184"></a>01184 <span class="keywordflow">return</span> 0.0; |
| 854 | <a name="l01185"></a>01185 } |
| 855 | <a name="l01186"></a>01186 |
| 856 | <a name="l01187"></a><a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9">01187</a> vec <a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9" title="return expected value">mean</a>()<span class="keyword"> const </span>{ |
| 857 | <a name="l01188"></a>01188 vec pom = zeros (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
| 858 | <a name="l01189"></a>01189 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) {pom += <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) * <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (i);} |
| 859 | <a name="l01190"></a>01190 <span class="keywordflow">return</span> pom; |
| 860 | <a name="l01191"></a>01191 } |
| 861 | <a name="l01192"></a><a class="code" href="classbdm_1_1eEmp.html#a05e9ebf467ede737cb6a3621d7fd3c87">01192</a> vec <a class="code" href="classbdm_1_1eEmp.html#a05e9ebf467ede737cb6a3621d7fd3c87" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{ |
| 862 | <a name="l01193"></a>01193 vec pom = zeros (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
| 863 | <a name="l01194"></a>01194 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) {pom += pow (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i), 2) * <a class="code" href="classbdm_1_1eEmp.html#a9d39241aab7c4bbeb07c6d516421c67d" title="Sample weights .">w</a> (i);} |
| 864 | <a name="l01195"></a>01195 <span class="keywordflow">return</span> pom -pow (<a class="code" href="classbdm_1_1eEmp.html#abbfcb4f868c7381298c281a256d8c4b9" title="return expected value">mean</a>(), 2); |
| 865 | <a name="l01196"></a>01196 } |
| 866 | <a name="l01198"></a><a class="code" href="classbdm_1_1eEmp.html#ab1c9df656144edf79ba2d885613f661f">01198</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1eEmp.html#ab1c9df656144edf79ba2d885613f661f" title="For this class, qbounds are minimum and maximum value of the population!">qbounds</a> (vec &lb, vec &ub, <span class="keywordtype">double</span> perc = 0.95)<span class="keyword"> const </span>{ |
| 867 | <a name="l01199"></a>01199 <span class="comment">// lb in inf so than it will be pushed below;</span> |
| 868 | <a name="l01200"></a>01200 lb.set_size (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
| 869 | <a name="l01201"></a>01201 ub.set_size (<a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>); |
| 870 | <a name="l01202"></a>01202 lb = std::numeric_limits<double>::infinity(); |
| 871 | <a name="l01203"></a>01203 ub = -std::numeric_limits<double>::infinity(); |
| 872 | <a name="l01204"></a>01204 <span class="keywordtype">int</span> j; |
| 873 | <a name="l01205"></a>01205 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i = 0;i < <a class="code" href="classbdm_1_1eEmp.html#a9798006271ca77629855113f1283a031" title="Number of particles.">n</a>;i++) { |
| 874 | <a name="l01206"></a>01206 <span class="keywordflow">for</span> (j = 0;j < <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a>; j++) { |
| 875 | <a name="l01207"></a>01207 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j) < lb (j)) {lb (j) = <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j);} |
| 876 | <a name="l01208"></a>01208 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j) > ub (j)) {ub (j) = <a class="code" href="classbdm_1_1eEmp.html#a73d819553a0f268b055a087d2d4486f3" title="Samples .">samples</a> (i) (j);} |
| 877 | <a name="l01209"></a>01209 } |
| 878 | <a name="l01210"></a>01210 } |
| 879 | <a name="l01211"></a>01211 } |
| 880 | <a name="l01212"></a>01212 }; |
| 881 | <a name="l01213"></a>01213 |
| 882 | <a name="l01214"></a>01214 |
| 883 | <a name="l01216"></a>01216 |
| 884 | <a name="l01217"></a>01217 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
| 885 | <a name="l01218"></a>01218 <span class="keywordtype">void</span> enorm<sq_T>::set_parameters (<span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &R0) |
| 886 | <a name="l01219"></a>01219 { |
| 887 | <a name="l01220"></a>01220 <span class="comment">//Fixme test dimensions of mu0 and R0;</span> |
| 888 | <a name="l01221"></a>01221 mu = mu0; |
| 889 | <a name="l01222"></a>01222 R = R0; |
| 890 | <a name="l01223"></a>01223 <a class="code" href="classbdm_1_1root.html#a1c314bd6d6dacb8ba78ea5eb88fd9516" title="This method TODO.">validate</a>(); |
| 891 | <a name="l01224"></a>01224 }; |
| 892 | <a name="l01225"></a>01225 |
| 893 | <a name="l01226"></a>01226 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
| 894 | <a name="l01227"></a><a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6">01227</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6" title="Load from structure with elements:.">enorm<sq_T>::from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) |
| 895 | <a name="l01228"></a>01228 { |
| 896 | <a name="l01229"></a>01229 <a class="code" href="classbdm_1_1enorm.html#a61bd470764020bea6e1ed35000f259e6" title="Load from structure with elements:.">epdf::from_setting</a> (<span class="keyword">set</span>); <span class="comment">//reads rv</span> |
| 897 | <a name="l01230"></a>01230 |
| 898 | <a name="l01231"></a>01231 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1enorm.html#ac702a194720853570d08b65482f842c7" title="mean value">mu</a>, <span class="keyword">set</span>, <span class="stringliteral">"mu"</span>, UI::compulsory); |
| 899 | <a name="l01232"></a>01232 mat Rtmp;<span class="comment">// necessary for conversion</span> |
| 900 | <a name="l01233"></a>01233 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (Rtmp, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::compulsory); |
| 901 | <a name="l01234"></a>01234 <a class="code" href="classbdm_1_1enorm.html#a2d92dde696b2a7a5b10ddef5d22ba2c2" title="Covariance matrix in decomposed form.">R</a> = Rtmp; <span class="comment">// conversion</span> |
| 902 | <a name="l01235"></a>01235 <a class="code" href="classbdm_1_1enorm.html#a38eb17ecb75d94a50b6782fcf735cfea" title="This method TODO.">validate</a>(); |
| 903 | <a name="l01236"></a>01236 } |
| 904 | <a name="l01237"></a>01237 |
| 905 | <a name="l01238"></a>01238 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
| 906 | <a name="l01239"></a><a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2">01239</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1enorm.html#ad2e0d3a1e30ab3ab04df2d0c43ae74a2" title="dupdate in exponential form (not really handy)">enorm<sq_T>::dupdate</a> (mat &v, <span class="keywordtype">double</span> nu) |
| 907 | <a name="l01240"></a>01240 { |
| 908 | <a name="l01241"></a>01241 <span class="comment">//</span> |
| 909 | <a name="l01242"></a>01242 }; |
| 910 | <a name="l01243"></a>01243 |
| 911 | <a name="l01244"></a>01244 <span class="comment">// template<class sq_T></span> |
| 912 | <a name="l01245"></a>01245 <span class="comment">// void enorm<sq_T>::tupdate ( double phi, mat &vbar, double nubar ) {</span> |
| 913 | <a name="l01246"></a>01246 <span class="comment">// //</span> |
| 914 | <a name="l01247"></a>01247 <span class="comment">// };</span> |