| 300 | | /*! |
| 301 | | \brief Generator of ARX data |
| 302 | | |
| 303 | | */ |
| 304 | | class ArxDS : public DS { |
| 305 | | protected: |
| 306 | | //! Rv of the regressor |
| 307 | | RV Rrv; |
| 308 | | //! History, ordered as \f$[y_t, u_t, y_{t-1 }, u_{t-1}, \ldots]\f$ |
| 309 | | vec H; |
| 310 | | //! (future) input |
| 311 | | vec U; |
| 312 | | //! temporary variable for regressor |
| 313 | | vec rgr; |
| 314 | | //! data link: H -> rgr |
| 315 | | datalink rgrlnk; |
| 316 | | //! model of Y - linear Gaussian |
| 317 | | mlnorm<chmat> model; |
| 318 | | //! options |
| 319 | | bool opt_L_theta; |
| 320 | | //! loggers |
| 321 | | int L_theta; |
| 322 | | int L_R; |
| 323 | | int dt_size; |
| 324 | | public: |
| 325 | | void getdata ( vec &dt ) { |
| 326 | | dt = H; |
| 327 | | } |
| 328 | | |
| 329 | | void getdata ( vec &dt, const ivec &indices ) { |
| 330 | | dt = H ( indices ); |
| 331 | | } |
| 332 | | |
| 333 | | void write ( vec &ut ) { |
| 334 | | U = ut; |
| 335 | | } |
| 336 | | |
| 337 | | void write ( vec &ut, const ivec &indices ) { |
| 338 | | bdm_assert_debug ( ut.length() == indices.length(), "ArxDS" ); |
| 339 | | set_subvector ( U, indices, ut ); |
| 340 | | } |
| 341 | | |
| 342 | | void step(); |
| 343 | | |
| 344 | | //!Default constructor |
| 345 | | ArxDS ( ) {}; |
| 346 | | //! Set parameters of the internal model, H is maximum time delay |
| 347 | | void set_parameters ( const mat &Th0, const vec mu0, const chmat &sqR0 ) { |
| 348 | | model.set_parameters ( Th0, mu0, sqR0 ); |
| 349 | | }; |
| 350 | | //! Set |
| 351 | | void set_drv ( const RV &yrv, const RV &urv, const RV &rrv ) { |
| 352 | | Rrv = rrv; |
| 353 | | Urv = urv; |
| 354 | | dt_size = yrv._dsize() + urv._dsize(); |
| 355 | | |
| 356 | | RV drv = concat ( yrv, urv ); |
| 357 | | Drv = drv; |
| 358 | | int td = rrv.mint(); |
| 359 | | H.set_size ( drv._dsize() * ( -td + 1 ) ); |
| 360 | | U.set_size ( Urv._dsize() ); |
| 361 | | for ( int i = -1; i >= td; i-- ) { |
| 362 | | drv.t_plus ( -1 ); |
| 363 | | Drv.add ( drv ); //shift u1 |
| 364 | | } |
| 365 | | rgrlnk.set_connection ( rrv, Drv ); |
| 366 | | |
| 367 | | dtsize = Drv._dsize(); |
| 368 | | utsize = Urv._dsize(); |
| 369 | | } |
| 370 | | //! set options from a string |
| 371 | | void set_options ( const string &s ) { |
| 372 | | opt_L_theta = ( s.find ( "L_theta" ) != string::npos ); |
| 373 | | }; |
| 374 | | virtual void log_add ( logger &L ) { |
| 375 | | //DS::log_add ( L ); too long!! |
| 376 | | L_dt = L.add ( Drv ( 0, dt_size ), "" ); |
| 377 | | L_ut = L.add ( Urv, "" ); |
| 378 | | |
| 379 | | const mat &A = model._A(); |
| 380 | | const mat R = model._R(); |
| 381 | | if ( opt_L_theta ) { |
| 382 | | L_theta = L.add ( RV ( "{th }", vec_1 ( A.rows() * A.cols() ) ), "t" ); |
| 383 | | } |
| 384 | | if ( opt_L_theta ) { |
| 385 | | L_R = L.add ( RV ( "{R }", vec_1 ( R.rows() * R.cols() ) ), "r" ); |
| 386 | | } |
| 387 | | } |
| 388 | | virtual void logit ( logger &L ) { |
| 389 | | //DS::logit ( L ); |
| 390 | | L.logit ( L_dt, H.left ( dt_size ) ); |
| 391 | | L.logit ( L_ut, U ); |
| 392 | | |
| 393 | | const mat &A = model._A(); |
| 394 | | const mat R = model._R(); |
| 395 | | if ( opt_L_theta ) { |
| 396 | | L.logit ( L_theta, vec ( A._data(), A.rows() *A.cols() ) ); |
| 397 | | }; |
| 398 | | if ( opt_L_theta ) { |
| 399 | | L.logit ( L_R, vec ( R._data(), R.rows() *R.rows() ) ); |
| 400 | | }; |
| 401 | | } |
| 402 | | |
| 403 | | // TODO dokumentace - aktualizovat |
| 404 | | /*! UI for ArxDS using factorized description! |
| 405 | | |
| 406 | | The ArxDS is constructed from a structure with fields: |
| 407 | | \code |
| 408 | | system = { |
| 409 | | type = "ArxDS"; |
| 410 | | // description of y variables |
| 411 | | y = {type="rv"; names=["y", "u"];}; |
| 412 | | // description of u variable |
| 413 | | u = {type="rv"; names=[];} |
| 414 | | // description of regressor |
| 415 | | rgr = {type="rv"; |
| 416 | | names = ["y","y","y","u"]; |
| 417 | | times = [-1, -2, -3, -1]; |
| 418 | | } |
| 419 | | |
| 420 | | // theta |
| 421 | | theta = [0.8, -0.3, 0.4, 1.0, |
| 422 | | 0.0, 0.0, 0.0, 0.0]; |
| 423 | | // offset (optional) |
| 424 | | offset = [0.0, 0.0]; |
| 425 | | //variance |
| 426 | | r = [0.1, 0.0, |
| 427 | | 0.0, 1.0]; |
| 428 | | //options: L_theta = log value of theta, |
| 429 | | opt = "L_theta"; |
| 430 | | }; |
| 431 | | \endcode |
| 432 | | |
| 433 | | Result is ARX data source offering with full history as Drv. |
| 434 | | */ |
| 435 | | void from_setting ( const Setting &set ); |
| 436 | | |
| 437 | | // TODO dodelat void to_setting( Setting &set ) const; |
| 438 | | }; |
| 439 | | |
| 440 | | UIREGISTER ( ArxDS ); |
| 441 | | SHAREDPTR ( ArxDS ); |
| 442 | | |
| | 302 | // ARXDs - DELETED |
| | 303 | |
| | 304 | //! State-space data source simulating two densities |
