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# particles.h

Go to the documentation of this file.

    00001
    00013 #ifndef PARTICLES_H
    00014 #define PARTICLES_H
    00015
    00016
    00017 #include "../stat/exp_family.h"
    00018
    00019 namespace bdm {
    00020
    00027 class PF : public BM {
    00028 protected:
    00030         int n;
    00032         eEmp est;
    00034         vec &_w;
    00036         Array<vec> &_samples;
    00038         shared_ptr<mpdf> par;
    00040         shared_ptr<mpdf> obs;
    00042         vec lls;
    00043
    00045         RESAMPLING_METHOD resmethod;
    00048         double res_threshold;
    00049
    00052
    00054         bool opt_L_smp;
    00056         bool opt_L_wei;
    00058
    00059 public:
    00062         PF ( ) : est(), _w ( est._w() ), _samples ( est._samples() ), opt_L_smp ( false ), opt_L_wei ( false ) {
    00063                 LIDs.set_size ( 5 );
    00064         };
    00065
    00066         void set_parameters (int n0, double res_th0=0.5, RESAMPLING_METHOD rm = SYSTEMATIC ) {
    00067                 n = n0;
    00068                 res_threshold = res_th0;
    00069                 resmethod = rm;
    00070         };
    00071         void set_model ( shared_ptr<mpdf> par0, shared_ptr<mpdf> obs0) {
    00072                 par = par0;
    00073                 obs = obs0;
    00074                 // set values for posterior
    00075                 est.set_rv(par->_rv());
    00076         };
    00077         void set_statistics ( const vec w0, const epdf &epdf0 ) {
    00078                 est.set_statistics ( w0, epdf0 );
    00079         };
    00080         void set_statistics ( const eEmp &epdf0 ) {
    00081                 bdm_assert_debug(epdf0._rv().equal(par->_rv()),"Incompatibel input");
    00082                 est=epdf0;
    00083         };
    00089         void set_options ( const string &opt ) {
    00090                 BM::set_options ( opt );
    00091                 opt_L_wei = ( opt.find ( "logweights" ) != string::npos );
    00092                 opt_L_smp = ( opt.find ( "logsamples" ) != string::npos );
    00093         }
    00095         virtual void bayes_gensmp();
    00097         virtual void bayes_weights();
    00099         virtual bool do_resampling(){
    00100                 double eff = 1.0 / ( _w * _w );
    00101                 return eff < ( res_threshold*n );
    00102         }
    00103         void bayes ( const vec &dt );
    00105         vec& __w() { return _w; }
    00107         vec& _lls() { return lls; }
    00108         RESAMPLING_METHOD _resmethod() const { return resmethod; }
    00110         const eEmp& posterior() const {return est;}
    00111
    00124         void from_setting(const Setting &set){
    00125                 par = UI::build<mpdf>(set,"parameter_pdf",UI::compulsory);
    00126                 obs = UI::build<mpdf>(set,"observation_pdf",UI::compulsory);
    00127
    00128                 prior_from_set(set);
    00129                 resmethod_from_set(set);
    00130                 // set resampling method
    00131                 //set drv
    00132                 //find potential input - what remains in rvc when we subtract rv
    00133                 RV u = par->_rvc().remove_time().subt( par->_rv() );
    00134                 //find potential input - what remains in rvc when we subtract x_t
    00135                 RV obs_u = obs->_rvc().remove_time().subt( par->_rv() );
    00136
    00137                 u.add(obs_u); // join both u, and check if they do not overlap
    00138
    00139                 set_drv(concat(obs->_rv(),u) );
    00140         }
    00142         void resmethod_from_set(const Setting &set){
    00143                 string resmeth;
    00144                 if (UI::get(resmeth,set,"resmethod",UI::optional)){
    00145                         if (resmeth=="systematic") {
    00146                                 resmethod= SYSTEMATIC;
    00147                         } else  {
    00148                                 if (resmeth=="multinomial"){
    00149                                         resmethod=MULTINOMIAL;
    00150                                 } else {
    00151                                         if (resmeth=="stratified"){
    00152                                                 resmethod= STRATIFIED;
    00153                                         } else {
    00154                                                 bdm_error("Unknown resampling method");
    00155                                         }
    00156                                 }
    00157                         }
    00158                 } else {
    00159                         resmethod=SYSTEMATIC;
    00160                 };
    00161                 if(!UI::get(res_threshold, set, "res_threshold", UI::optional)){
    00162                         res_threshold=0.5;
    00163                 }
    00164         }
    00166         void prior_from_set(const Setting & set){
    00167                 shared_ptr<epdf> pri = UI::build<epdf>(set,"prior",UI::compulsory);
    00168
    00169                 eEmp *test_emp=dynamic_cast<eEmp*>(&(*pri));
    00170                 if (test_emp) { // given pdf is sampled
    00171                         est=*test_emp;
    00172                 } else {
    00173                         int n;
    00174                         if (!UI::get(n,set,"n",UI::optional)){n=10;}
    00175                         // sample from prior
    00176                         set_statistics(ones(n)/n, *pri);
    00177                 }
    00178                 //validate();
    00179         }
    00180
    00181         void validate(){
    00182                 n=_w.length();
    00183                 lls=zeros(n);
    00184                 if (par->_rv()._dsize()>0) {
    00185                         bdm_assert(par->_rv()._dsize()==est.dimension(),"Mismatch of RV and dimension of posterior" );
    00186                 }
    00187         }
    00189         void resample(ivec &ind){
    00190                 est.resample(ind,resmethod);
    00191         }
    00192 };
    00193 UIREGISTER(PF);
    00194
    00202 class MPF : public BM  {
    00203     shared_ptr<PF> pf;
    00204         Array<BM*> BMs;
    00205
    00207
    00208         class mpfepdf : public epdf  {
    00209                 shared_ptr<PF> &pf;
    00210                 Array<BM*> &BMs;
    00211         public:
    00212                 mpfepdf (shared_ptr<PF> &pf0, Array<BM*> &BMs0): epdf(), pf(pf0), BMs(BMs0) { };
    00214                 void read_parameters(){
    00215                         rv = concat(pf->posterior()._rv(), BMs(0)->posterior()._rv());
    00216                         dim = pf->posterior().dimension() + BMs(0)->posterior().dimension();
    00217                         bdm_assert_debug(dim == rv._dsize(), "Wrong name ");
    00218                 }
    00219                 vec mean() const {
    00220                         const vec &w = pf->posterior()._w();
    00221                         vec pom = zeros ( BMs(0)->posterior ().dimension() );
    00222                         //compute mean of BMs
    00223                         for ( int i = 0; i < w.length(); i++ ) {
    00224                                 pom += BMs ( i )->posterior().mean() * w ( i );
    00225                         }
    00226                         return concat ( pf->posterior().mean(), pom );
    00227                 }
    00228                 vec variance() const {
    00229                         const vec &w = pf->posterior()._w();
    00230
    00231                         vec pom = zeros ( BMs(0)->posterior ().dimension() );
    00232                         vec pom2 = zeros ( BMs(0)->posterior ().dimension() );
    00233                         vec mea;
    00234
    00235                         for ( int i = 0; i < w.length(); i++ ) {
    00236                                 // save current mean
    00237                                 mea = BMs ( i )->posterior().mean();
    00238                                 pom += mea * w ( i );
    00239                                 //compute variance
    00240                                 pom2 += ( BMs ( i )->posterior().variance() + pow ( mea, 2 ) ) * w ( i );
    00241                         }
    00242                         return concat ( pf->posterior().variance(), pom2 - pow ( pom, 2 ) );
    00243                 }
    00244
    00245                 void qbounds ( vec &lb, vec &ub, double perc = 0.95 ) const {
    00246                         //bounds on particles
    00247                         vec lbp;
    00248                         vec ubp;
    00249                         pf->posterior().qbounds ( lbp, ubp );
    00250
    00251                         //bounds on Components
    00252                         int dimC = BMs ( 0 )->posterior().dimension();
    00253                         int j;
    00254                         // temporary
    00255                         vec lbc ( dimC );
    00256                         vec ubc ( dimC );
    00257                         // minima and maxima
    00258                         vec Lbc ( dimC );
    00259                         vec Ubc ( dimC );
    00260                         Lbc = std::numeric_limits<double>::infinity();
    00261                         Ubc = -std::numeric_limits<double>::infinity();
    00262
    00263                         for ( int i = 0; i < BMs.length(); i++ ) {
    00264                                 // check Coms
    00265                                 BMs ( i )->posterior().qbounds ( lbc, ubc );
    00266                                 //save either minima or maxima
    00267                                 for ( j = 0; j < dimC; j++ ) {
    00268                                         if ( lbc ( j ) < Lbc ( j ) ) {
    00269                                                 Lbc ( j ) = lbc ( j );
    00270                                         }
    00271                                         if ( ubc ( j ) > Ubc ( j ) ) {
    00272                                                 Ubc ( j ) = ubc ( j );
    00273                                         }
    00274                                 }
    00275                         }
    00276                         lb = concat ( lbp, Lbc );
    00277                         ub = concat ( ubp, Ubc );
    00278                 }
    00279
    00280                 vec sample() const {
    00281                         bdm_error ( "Not implemented" );
    00282                         return vec();
    00283                 }
    00284
    00285                 double evallog ( const vec &val ) const {
    00286                         bdm_error ( "not implemented" );
    00287                         return 0.0;
    00288                 }
    00289         };
    00290
    00292         mpfepdf jest;
    00293
    00295         bool opt_L_mea;
    00296
    00297 public:
    00299         MPF () :  jest (pf,BMs) {};
    00300         void set_parameters ( shared_ptr<mpdf> par0, shared_ptr<mpdf> obs0, int n0, RESAMPLING_METHOD rm = SYSTEMATIC ) {
    00301                 pf->set_model ( par0, obs0);
    00302                 pf->set_parameters(n0, rm );
    00303                 BMs.set_length ( n0 );
    00304         }
    00305         void set_BM ( const BM &BMcond0 ) {
    00306
    00307                 int n=pf->__w().length();
    00308                 BMs.set_length(n);
    00309                 // copy
    00310                 //BMcond0 .condition ( pf->posterior()._sample ( 0 ) );
    00311                 for ( int i = 0; i < n; i++ ) {
    00312                         BMs ( i ) = BMcond0._copy_();
    00313                         BMs ( i )->condition ( pf->posterior()._sample ( i ) );
    00314                 }
    00315         };
    00316
    00317         void bayes ( const vec &dt );
    00318         const epdf& posterior() const {
    00319                 return jest;
    00320         }
    00323         void set_options ( const string &opt ) {
    00324                 BM::set_options(opt);
    00325                 opt_L_mea = ( opt.find ( "logmeans" ) != string::npos );
    00326         }
    00327
    00329         const BM* _BM ( int i ) {
    00330                 return BMs ( i );
    00331         }
    00332
    00344         void from_setting(const Setting &set){
    00345                 shared_ptr<mpdf> par = UI::build<mpdf>(set,"parameter_pdf",UI::compulsory);
    00346                 shared_ptr<mpdf> obs= new mpdf(); // not used!!
    00347
    00348                 pf = new PF;
    00349                 // rpior must be set before BM
    00350                 pf->prior_from_set(set);
    00351                 pf->resmethod_from_set(set);
    00352                 pf->set_model(par,obs);
    00353
    00354                 shared_ptr<BM> BM0 =UI::build<BM>(set,"BM",UI::compulsory);
    00355                 set_BM(*BM0);
    00356
    00357                 string opt;
    00358                 if (UI::get(opt,set,"options",UI::optional)){
    00359                         set_options(opt);
    00360                 }
    00361                 //set drv
    00362                 //find potential input - what remains in rvc when we subtract rv
    00363                 RV u = par->_rvc().remove_time().subt( par->_rv() );
    00364                 set_drv(concat(BM0->_drv(),u) );
    00365                 validate();
    00366         }
    00367         void validate(){
    00368                 try{
    00369                 pf->validate();
    00370                 } catch (std::exception &e){
    00371                         throw UIException("Error in PF part of MPF:");
    00372                 }
    00373                 jest.read_parameters();
    00374         }
    00375
    00376 };
    00377 UIREGISTER(MPF);
    00378
    00379 }
    00380 #endif // KF_H
    00381
    00382