| 89 | | <a name="l00062"></a>00062 <span class="keyword">public</span>: |
| 90 | | <a name="l00065"></a>00065 <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> ( <span class="keyword">const</span> <span class="keywordtype">double</span> frg0 = 1.0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( frg0 ), <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a> (), <a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._nu() ) {}; |
| 91 | | <a name="l00066"></a>00066 <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> &A0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (), <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a> (), <a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._nu() ) { |
| 92 | | <a name="l00067"></a>00067 set_statistics ( A0.<a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>, A0.<a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>, A0.<a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ); |
| 93 | | <a name="l00068"></a>00068 set_parameters ( A0.<a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> ); |
| 94 | | <a name="l00069"></a>00069 }; |
| 95 | | <a name="l00070"></a>00070 ARX* <a class="code" href="classbdm_1_1ARX.html#aca0b54c0997cfd567f49377af5def106">_copy_</a>() <span class="keyword">const</span>; |
| 96 | | <a name="l00071"></a>00071 <span class="keywordtype">void</span> set_parameters ( <span class="keywordtype">double</span> frg0 ) { |
| 97 | | <a name="l00072"></a>00072 <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> = frg0; |
| 98 | | <a name="l00073"></a>00073 } |
| 99 | | <a name="l00074"></a>00074 <span class="keywordtype">void</span> set_statistics ( <span class="keywordtype">int</span> dimx0, <span class="keyword">const</span> ldmat V0, <span class="keywordtype">double</span> nu0 = -1.0 ) { |
| 100 | | <a name="l00075"></a>00075 <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.set_parameters ( dimx0, V0, nu0 ); |
| 101 | | <a name="l00076"></a>00076 <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.lognc(); |
| 102 | | <a name="l00077"></a>00077 <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> = dimx0; |
| 103 | | <a name="l00078"></a>00078 } |
| 104 | | <a name="l00080"></a>00080 |
| 105 | | <a name="l00082"></a>00082 <span class="keywordtype">void</span> set_statistics ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html#a2def512872ed8a4fc3b702371ec0be55" title="Default constructor (=empty constructor).">BMEF</a>* BM0 ); |
| 106 | | <a name="l00083"></a>00083 |
| 107 | | <a name="l00086"></a>00086 |
| 108 | | <a name="l00088"></a>00088 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a17e7fe14654ab3c449846c3f43e66169" title="Weighted Bayes .">bayes</a> ( <span class="keyword">const</span> vec &dt, <span class="keyword">const</span> <span class="keywordtype">double</span> w ); |
| 109 | | <a name="l00089"></a><a class="code" href="classbdm_1_1ARX.html#a8bdf2974052e8ce74eb0d4f3791c58a3">00089</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a8bdf2974052e8ce74eb0d4f3791c58a3" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ) { |
| 110 | | <a name="l00090"></a>00090 <a class="code" href="classbdm_1_1ARX.html#a17e7fe14654ab3c449846c3f43e66169" title="Weighted Bayes .">bayes</a> ( dt, 1.0 ); |
| 111 | | <a name="l00091"></a>00091 }; |
| 112 | | <a name="l00092"></a>00092 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1ARX.html#a080a7e531e3aa06694112863b15bc6a4">logpred</a> ( <span class="keyword">const</span> vec &dt ) <span class="keyword">const</span>; |
| 113 | | <a name="l00093"></a>00093 <span class="keywordtype">void</span> flatten ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* B ) { |
| 114 | | <a name="l00094"></a>00094 <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* A = <span class="keyword">dynamic_cast<</span><span class="keyword">const </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>*<span class="keyword">></span> ( B ); |
| 115 | | <a name="l00095"></a>00095 <span class="comment">// nu should be equal to B.nu</span> |
| 116 | | <a name="l00096"></a>00096 <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a8e610e95401a11baf34f65e16ecd87be" title="Power of the density, used e.g. to flatten the density.">pow</a> ( A-><a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> / <a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ); |
| 117 | | <a name="l00097"></a>00097 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a> ) { |
| 118 | | <a name="l00098"></a>00098 <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>(); |
| 119 | | <a name="l00099"></a>00099 } |
| 120 | | <a name="l00100"></a>00100 } |
| 121 | | <a name="l00102"></a>00102 enorm<ldmat>* <a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a> ( <span class="keyword">const</span> vec &rgr ) <span class="keyword">const</span>; |
| 122 | | <a name="l00104"></a><a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15">00104</a> <a class="code" href="classbdm_1_1enorm.html">enorm<ldmat></a>* <a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a>()<span class="keyword"> const </span>{ |
| 123 | | <a name="l00105"></a>00105 <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_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> == <a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>() - 1, <span class="stringliteral">"Regressor is not only 1"</span> ); |
| 124 | | <a name="l00106"></a>00106 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a> ( vec_1 ( 1.0 ) ); |
| 125 | | <a name="l00107"></a>00107 } |
| 126 | | <a name="l00109"></a>00109 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<ldmat></a>* <a class="code" href="classbdm_1_1ARX.html#a74fe8ae2d88bee8639510fd0eaf73513" title="conditional version of the predictor">predictor</a>() <span class="keyword">const</span>; |
| 127 | | <a name="l00110"></a>00110 <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a>* predictor_student() <span class="keyword">const</span>; |
| 128 | | <a name="l00112"></a>00112 ivec <a class="code" href="classbdm_1_1ARX.html#a16b02ae03316751664c22d59d90c1e34" title="Brute force structure estimation.">structure_est</a> ( <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 ); |
| 129 | | <a name="l00114"></a>00114 ivec <a class="code" href="classbdm_1_1ARX.html#a5d0f217ce270e6a8cb43a67b6c4b67fa" title="Smarter structure estimation by Ludvik Tesar.">structure_est_LT</a> ( <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 ); |
| 130 | | <a name="l00116"></a>00116 |
| 131 | | <a name="l00119"></a>00119 <span class="keyword">const</span> <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a>& posterior()<span class="keyword"> const </span>{ |
| 132 | | <a name="l00120"></a>00120 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>; |
| 133 | | <a name="l00121"></a>00121 } |
| 134 | | <a name="l00123"></a>00123 |
| 135 | | <a name="l00126"></a>00126 <span class="keywordtype">void</span> set_rv ( <span class="keyword">const</span> RV &yrv0 , <span class="keyword">const</span> RV &rgrrv0 ) { |
| 136 | | <a name="l00127"></a>00127 <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a> = yrv0; |
| 137 | | <a name="l00128"></a>00128 <a class="code" href="classbdm_1_1ARX.html#a320ac7b3b511bc4b26e8f8823026a453" title="rv of regressor">rgrrv</a>=rgrrv0; |
| 138 | | <a name="l00129"></a>00129 set_drv(concat(yrv0, <a class="code" href="classbdm_1_1ARX.html#a320ac7b3b511bc4b26e8f8823026a453" title="rv of regressor">rgrrv</a>)); |
| 139 | | <a name="l00130"></a>00130 } |
| 140 | | <a name="l00131"></a>00131 |
| 141 | | <a name="l00132"></a>00132 RV& get_yrv() { |
| 142 | | <a name="l00133"></a>00133 <span class="comment">//if yrv is not ready create it</span> |
| 143 | | <a name="l00134"></a>00134 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() != <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> ) { |
| 144 | | <a name="l00135"></a>00135 <span class="keywordtype">int</span> i = 0; |
| 145 | | <a name="l00136"></a>00136 <span class="keywordflow">while</span> ( <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() < <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> ) { |
| 146 | | <a name="l00137"></a>00137 <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>.add ( <a class="code" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a> ( vec_1 ( i ) ) ); |
| 147 | | <a name="l00138"></a>00138 i++; |
| 148 | | <a name="l00139"></a>00139 } |
| 149 | | <a name="l00140"></a>00140 } |
| 150 | | <a name="l00141"></a>00141 <span class="comment">//yrv should be ready by now</span> |
| 151 | | <a name="l00142"></a>00142 <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_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() == <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>, <span class="stringliteral">"incompatible drv"</span> ); |
| 152 | | <a name="l00143"></a>00143 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>; |
| 153 | | <a name="l00144"></a>00144 } |
| 154 | | <a name="l00146"></a>00146 |
| 155 | | <a name="l00167"></a>00167 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a9637412df898048bafaefee9dc7e9f6c">from_setting</a> ( <span class="keyword">const</span> Setting &<span class="keyword">set</span> ); |
| 156 | | <a name="l00168"></a>00168 |
| 157 | | <a name="l00169"></a><a class="code" href="classbdm_1_1ARX.html#a5b4ae27fa320a1b6e09777239210566d">00169</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a5b4ae27fa320a1b6e09777239210566d" title="This method TODO.">validate</a>() { |
| 158 | | <a name="l00170"></a>00170 <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_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> == <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(), <span class="stringliteral">"RVs of parameters and regressor do not match"</span>); |
| 159 | | <a name="l00171"></a>00171 |
| 160 | | <a name="l00172"></a>00172 } |
| 161 | | <a name="l00173"></a>00173 }; |
| 162 | | <a name="l00174"></a>00174 |
| 163 | | <a name="l00175"></a>00175 <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> ( ARX ); |
| 164 | | <a name="l00176"></a>00176 SHAREDPTR ( ARX ); |
| 165 | | <a name="l00177"></a>00177 |
| 166 | | <a name="l00178"></a>00178 } |
| 167 | | <a name="l00179"></a>00179 |
| 168 | | <a name="l00180"></a>00180 <span class="preprocessor">#endif // AR_H</span> |
| 169 | | <a name="l00181"></a>00181 <span class="preprocessor"></span> |
| 170 | | <a name="l00182"></a>00182 |
| | 89 | <a name="l00063"></a><a class="code" href="classbdm_1_1ARX.html#aa6b50507d9e7a56b38e549710ffb466d">00063</a> <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> <a class="code" href="classbdm_1_1ARX.html#aa6b50507d9e7a56b38e549710ffb466d" title="Alternative estimate of parameters, used in stabilized forgetting, see [Kulhavy]...">alter_est</a>; |
| | 90 | <a name="l00064"></a>00064 <span class="keyword">public</span>: |
| | 91 | <a name="l00067"></a>00067 <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> ( <span class="keyword">const</span> <span class="keywordtype">double</span> frg0 = 1.0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( frg0 ), <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a> (), <a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._nu() ), <a class="code" href="classbdm_1_1ARX.html#a6dcf8458bdc25d831542c6da89961fbc" title="switch if constant is modelled or not">have_constant</a>(true), <a class="code" href="classbdm_1_1ARX.html#a8f87c2958e5690610fed2992d6ffe5c0" title="cached value of data vector for have_constant =true">_dt</a>() {}; |
| | 92 | <a name="l00068"></a>00068 <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> &A0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (A0.<a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a>), <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a> (A0.<a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>), <a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>._nu() ), <a class="code" href="classbdm_1_1ARX.html#a6dcf8458bdc25d831542c6da89961fbc" title="switch if constant is modelled or not">have_constant</a>(A0.<a class="code" href="classbdm_1_1ARX.html#a6dcf8458bdc25d831542c6da89961fbc" title="switch if constant is modelled or not">have_constant</a>), <a class="code" href="classbdm_1_1ARX.html#a8f87c2958e5690610fed2992d6ffe5c0" title="cached value of data vector for have_constant =true">_dt</a>(A0.<a class="code" href="classbdm_1_1ARX.html#a8f87c2958e5690610fed2992d6ffe5c0" title="cached value of data vector for have_constant =true">_dt</a>) { |
| | 93 | <a name="l00069"></a>00069 <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> = A0.<a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>; |
| | 94 | <a name="l00070"></a>00070 <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a> = A0.<a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>; |
| | 95 | <a name="l00071"></a>00071 <a class="code" href="classbdm_1_1ARX.html#a320ac7b3b511bc4b26e8f8823026a453" title="rv of regressor">rgrrv</a> = A0.<a class="code" href="classbdm_1_1ARX.html#a320ac7b3b511bc4b26e8f8823026a453" title="rv of regressor">rgrrv</a>; |
| | 96 | <a name="l00072"></a>00072 set_drv(A0._drv()); |
| | 97 | <a name="l00073"></a>00073 }; |
| | 98 | <a name="l00074"></a>00074 ARX* <a class="code" href="classbdm_1_1ARX.html#aca0b54c0997cfd567f49377af5def106">_copy_</a>() <span class="keyword">const</span>; |
| | 99 | <a name="l00075"></a>00075 <span class="keywordtype">void</span> set_parameters ( <span class="keywordtype">double</span> frg0 ) { |
| | 100 | <a name="l00076"></a>00076 <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> = frg0; |
| | 101 | <a name="l00077"></a>00077 } |
| | 102 | <a name="l00078"></a>00078 <span class="keywordtype">void</span> set_statistics ( <span class="keywordtype">int</span> dimx0, <span class="keyword">const</span> ldmat V0, <span class="keywordtype">double</span> nu0 = -1.0 ) { |
| | 103 | <a name="l00079"></a>00079 <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.set_parameters ( dimx0, V0, nu0 ); |
| | 104 | <a name="l00080"></a>00080 <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.lognc(); |
| | 105 | <a name="l00081"></a>00081 <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> = dimx0; |
| | 106 | <a name="l00082"></a>00082 } |
| | 107 | <a name="l00084"></a>00084 |
| | 108 | <a name="l00086"></a>00086 <span class="keywordtype">void</span> set_statistics ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html#a2def512872ed8a4fc3b702371ec0be55" title="Default constructor (=empty constructor).">BMEF</a>* BM0 ); |
| | 109 | <a name="l00087"></a>00087 |
| | 110 | <a name="l00090"></a>00090 |
| | 111 | <a name="l00092"></a>00092 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a17e7fe14654ab3c449846c3f43e66169" title="Weighted Bayes .">bayes</a> ( <span class="keyword">const</span> vec &dt, <span class="keyword">const</span> <span class="keywordtype">double</span> w ); |
| | 112 | <a name="l00093"></a><a class="code" href="classbdm_1_1ARX.html#a8bdf2974052e8ce74eb0d4f3791c58a3">00093</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a8bdf2974052e8ce74eb0d4f3791c58a3" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ) { |
| | 113 | <a name="l00094"></a>00094 <a class="code" href="classbdm_1_1ARX.html#a17e7fe14654ab3c449846c3f43e66169" title="Weighted Bayes .">bayes</a> ( dt, 1.0 ); |
| | 114 | <a name="l00095"></a>00095 }; |
| | 115 | <a name="l00096"></a>00096 <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1ARX.html#a080a7e531e3aa06694112863b15bc6a4">logpred</a> ( <span class="keyword">const</span> vec &dt ) <span class="keyword">const</span>; |
| | 116 | <a name="l00097"></a>00097 <span class="keywordtype">void</span> flatten ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* B ) { |
| | 117 | <a name="l00098"></a>00098 <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* A = <span class="keyword">dynamic_cast<</span><span class="keyword">const </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>*<span class="keyword">></span> ( B ); |
| | 118 | <a name="l00099"></a>00099 <span class="comment">// nu should be equal to B.nu</span> |
| | 119 | <a name="l00100"></a>00100 <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a8e610e95401a11baf34f65e16ecd87be" title="Power of the density, used e.g. to flatten the density.">pow</a> ( A-><a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> / <a class="code" href="classbdm_1_1ARX.html#a740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ); |
| | 120 | <a name="l00101"></a>00101 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a> ) { |
| | 121 | <a name="l00102"></a>00102 <a class="code" href="classbdm_1_1BMEF.html#a06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a> = <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>(); |
| | 122 | <a name="l00103"></a>00103 } |
| | 123 | <a name="l00104"></a>00104 } |
| | 124 | <a name="l00106"></a>00106 enorm<ldmat>* <a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a> ( <span class="keyword">const</span> vec &rgr ) <span class="keyword">const</span>; |
| | 125 | <a name="l00108"></a><a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15">00108</a> <a class="code" href="classbdm_1_1enorm.html">enorm<ldmat></a>* <a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a>()<span class="keyword"> const </span>{ |
| | 126 | <a name="l00109"></a>00109 <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_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> == <a class="code" href="classbdm_1_1ARX.html#ade5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>.<a class="code" href="classbdm_1_1sqmat.html#a73e639221343dcce76c3305524d67590" title="Reimplementing common functions of mat: rows().">rows</a>() - 1, <span class="stringliteral">"Regressor is not only 1"</span> ); |
| | 127 | <a name="l00110"></a>00110 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#a4cdf5e2a7d3480ec31f6247ed4289b15" title="Predictor for empty regressor.">epredictor</a> ( vec_1 ( 1.0 ) ); |
| | 128 | <a name="l00111"></a>00111 } |
| | 129 | <a name="l00113"></a>00113 <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<ldmat></a>* <a class="code" href="classbdm_1_1ARX.html#a74fe8ae2d88bee8639510fd0eaf73513" title="conditional version of the predictor">predictor</a>() <span class="keyword">const</span>; |
| | 130 | <a name="l00114"></a>00114 <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a>* predictor_student() <span class="keyword">const</span>; |
| | 131 | <a name="l00116"></a>00116 ivec <a class="code" href="classbdm_1_1ARX.html#a16b02ae03316751664c22d59d90c1e34" title="Brute force structure estimation.">structure_est</a> ( <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 ); |
| | 132 | <a name="l00118"></a>00118 ivec <a class="code" href="classbdm_1_1ARX.html#a5d0f217ce270e6a8cb43a67b6c4b67fa" title="Smarter structure estimation by Ludvik Tesar.">structure_est_LT</a> ( <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 ); |
| | 133 | <a name="l00120"></a>00120 |
| | 134 | <a name="l00123"></a>00123 <span class="keyword">const</span> <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a>& posterior()<span class="keyword"> const </span>{ |
| | 135 | <a name="l00124"></a>00124 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#a11474a627367f81b76830cb8477cf026" title="Posterior estimate of in the form of Normal-inverse Wishart density.">est</a>; |
| | 136 | <a name="l00125"></a>00125 } |
| | 137 | <a name="l00127"></a>00127 |
| | 138 | <a name="l00130"></a>00130 <span class="keywordtype">void</span> set_rv ( <span class="keyword">const</span> RV &yrv0 , <span class="keyword">const</span> RV &rgrrv0 ) { |
| | 139 | <a name="l00131"></a>00131 <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a> = yrv0; |
| | 140 | <a name="l00132"></a>00132 <a class="code" href="classbdm_1_1ARX.html#a320ac7b3b511bc4b26e8f8823026a453" title="rv of regressor">rgrrv</a>=rgrrv0; |
| | 141 | <a name="l00133"></a>00133 set_drv(concat(yrv0, <a class="code" href="classbdm_1_1ARX.html#a320ac7b3b511bc4b26e8f8823026a453" title="rv of regressor">rgrrv</a>)); |
| | 142 | <a name="l00134"></a>00134 } |
| | 143 | <a name="l00135"></a>00135 |
| | 144 | <a name="l00136"></a>00136 RV& get_yrv() { |
| | 145 | <a name="l00137"></a>00137 <span class="comment">//if yrv is not ready create it</span> |
| | 146 | <a name="l00138"></a>00138 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() != <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> ) { |
| | 147 | <a name="l00139"></a>00139 <span class="keywordtype">int</span> i = 0; |
| | 148 | <a name="l00140"></a>00140 <span class="keywordflow">while</span> ( <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() < <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> ) { |
| | 149 | <a name="l00141"></a>00141 <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>.add ( <a class="code" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a> ( vec_1 ( i ) ) ); |
| | 150 | <a name="l00142"></a>00142 i++; |
| | 151 | <a name="l00143"></a>00143 } |
| | 152 | <a name="l00144"></a>00144 } |
| | 153 | <a name="l00145"></a>00145 <span class="comment">//yrv should be ready by now</span> |
| | 154 | <a name="l00146"></a>00146 <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_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>._dsize() == <a class="code" href="classbdm_1_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a>, <span class="stringliteral">"incompatible drv"</span> ); |
| | 155 | <a name="l00147"></a>00147 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>; |
| | 156 | <a name="l00148"></a>00148 } |
| | 157 | <a name="l00150"></a>00150 |
| | 158 | <a name="l00171"></a>00171 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a9637412df898048bafaefee9dc7e9f6c">from_setting</a> ( <span class="keyword">const</span> Setting &<span class="keyword">set</span> ); |
| | 159 | <a name="l00172"></a>00172 |
| | 160 | <a name="l00173"></a><a class="code" href="classbdm_1_1ARX.html#a5b4ae27fa320a1b6e09777239210566d">00173</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#a5b4ae27fa320a1b6e09777239210566d" title="This method TODO.">validate</a>() { |
| | 161 | <a name="l00174"></a>00174 <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_1ARX.html#a8e68db2a218d54b09304cad6c0a897d9" title="size of output variable (needed in regressors)">dimx</a> == <a class="code" href="classbdm_1_1ARX.html#a363aaa55b2ab3eec602510cdf53e84ef">_yrv</a>.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(), <span class="stringliteral">"RVs of parameters and regressor do not match"</span>); |
| | 162 | <a name="l00175"></a>00175 |
| | 163 | <a name="l00176"></a>00176 } |
| | 164 | <a name="l00177"></a>00177 }; |
| | 165 | <a name="l00178"></a>00178 |
| | 166 | <a name="l00179"></a>00179 <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> ( ARX ); |
| | 167 | <a name="l00180"></a>00180 SHAREDPTR ( ARX ); |
| | 168 | <a name="l00181"></a>00181 |
| | 169 | <a name="l00185"></a><a class="code" href="classbdm_1_1ARXfrg.html">00185</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>{ |
| | 170 | <a name="l00186"></a>00186 <span class="keyword">public</span>: |
| | 171 | <a name="l00187"></a>00187 <a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a>():<a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>(){}; |
| | 172 | <a name="l00188"></a>00188 <a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a> &A0):<a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>(A0){}; |
| | 173 | <a name="l00189"></a><a class="code" href="classbdm_1_1ARXfrg.html#a420f3f195d231723f2f2329ec900de60">00189</a> <a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a>* <a class="code" href="classbdm_1_1ARXfrg.html#a420f3f195d231723f2f2329ec900de60">_copy_</a>()<span class="keyword"> const </span>{<a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a> *A = <span class="keyword">new</span> <a class="code" href="classbdm_1_1ARXfrg.html">ARXfrg</a>(*<span class="keyword">this</span>); <span class="keywordflow">return</span> A;} |
| | 174 | <a name="l00190"></a><a class="code" href="classbdm_1_1ARXfrg.html#a2baaf50640620cbd4c089a608e0c41bb">00190</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARXfrg.html#a2baaf50640620cbd4c089a608e0c41bb" title="Substitute val for rvc.">condition</a>(<span class="keyword">const</span> vec &val){ |
| | 175 | <a name="l00191"></a>00191 <a class="code" href="classbdm_1_1BMEF.html#a1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> = val(0); |
| | 176 | <a name="l00192"></a>00192 } |
| | 177 | <a name="l00193"></a>00193 }; |
| | 178 | <a name="l00194"></a>00194 <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>(ARXfrg); |
| | 179 | <a name="l00195"></a>00195 }; |
| | 180 | <a name="l00196"></a>00196 <span class="preprocessor">#endif // AR_H</span> |
| | 181 | <a name="l00197"></a>00197 <span class="preprocessor"></span> |
| | 182 | <a name="l00198"></a>00198 |
