Changeset 679 for library/bdm/base/bdmbase.h

Timestamp:

10/23/09 00:05:25 (15 years ago)

Author:

smidl

Message:

Major changes in BM -- OK is only test suite and tests/tutorial -- the rest is broken!!!

Files:

• library/bdm/base/bdmbase.h (modified) (14 diffs)

library/bdm/base/bdmbase.h

@@ -406 +406 @@
 
         mpdf ( const mpdf &m ) : dimc ( m.dimc ), rvc ( m.rvc ), dim( m.dim), rv( m.rv ) { }
+        
+        //! copy of the current object - make sure to implement
+        virtual mpdf* _copy_() const {return new mpdf(*this);}
         //!@}
 
@@ -421 +424 @@
 
         //! Shortcut for conditioning and evaluation of the internal epdf. In some cases,  this operation can be implemented efficiently.
-        virtual double evallogcond ( const vec &dt, const vec &cond ) {
+        virtual double evallogcond ( const vec &yt, const vec &cond ) {
                 bdm_error ( "Not implemented" );
                 return 0.0;
@@ -427 +430 @@
 
         //! Matrix version of evallogcond
-        virtual vec evallogcond_m ( const mat &Dt, const vec &cond ) {
-                vec v ( Dt.cols() );
-                for ( int i = 0; i < Dt.cols(); i++ ) {
-                        v ( i ) = evallogcond ( Dt.get_col ( i ), cond );
+        virtual vec evallogcond_m ( const mat &Yt, const vec &cond ) {
+                vec v ( Yt.cols() );
+                for ( int i = 0; i < Yt.cols(); i++ ) {
+                        v ( i ) = evallogcond ( Yt.get_col ( i ), cond );
                 }
                 return v;
@@ -436 +439 @@
 
         //! Array<vec> version of evallogcond
-        virtual vec evallogcond_m ( const Array<vec> &Dt, const vec &cond ) {
+        virtual vec evallogcond_m ( const Array<vec> &Yt, const vec &cond ) {
                 bdm_error ( "Not implemented" );
                 return vec();
@@ -458 +461 @@
         }
 
+        //! access function
+        void set_dim(int d) {dim=d;}
+        //! access function
+        void set_dimc(int d) {dimc=d;}
         //! Load from structure with elements:
         //!  \code
@@ -506 +513 @@
                 dim = dim0;
         }
+        epdf* _copy_() const {return new epdf(*this);}
         //!@}
 
@@ -1020 +1028 @@
 This object represents exact or approximate evaluation of the Bayes rule:
 \f[
-f(\theta_t | d_1,\ldots,d_t) = \frac{f(y_t|\theta_t,\cdot) f(\theta_t|d_1,\ldots,d_{t-1})}{f(y_t|d_1,\ldots,d_{t-1})}
+f(\theta_t | y_1,\ldots,y_t, u_1,\ldots,u_t) = \frac{f(y_t|\theta_t,\cdot) f(\theta_t|d_1,\ldots,d_{t-1})}{f(y_t|d_1,\ldots,d_{t-1})}
 \f]
-
+where:
+ * \f$ y_t \f$ is the variable 
 Access to the resulting posterior density is via function \c posterior().
 
@@ -1028 +1037 @@
 It can also evaluate predictors of future values of \f$y_t\f$, see functions epredictor() and predictor().
 
-Alternatively, it can evaluate posterior density conditioned by a known constant, \f$ c_t \f$:
+Alternatively, it can evaluate posterior density with rvc replaced by the given values, \f$ c_t \f$:
 \f[
 f(\theta_t | c_t, d_1,\ldots,d_t) \propto  f(y_t,\theta_t|c_t,\cdot, d_1,\ldots,d_{t-1})
 \f]
 
-The value of \f$ c_t \f$ is set by function condition().
 
 */
@@ -1040 +1048 @@
 protected:
         //! Random variable of the data (optional)
-        RV drv;
+        RV yrv;
+        //! size of the data record
+        int dimy;
+        //! Name of extension variable
+        RV rvc;
+        //! size of the conditioning vector
+        int dimc;
+        
         //!Logarithm of marginalized data likelihood.
         double ll;
         //!  If true, the filter will compute likelihood of the data record and store it in \c ll . Set to false if you want to save computational time.
         bool evalll;
-        
+
 public:
         //! \name Constructors
         //! @{
 
-        BM() : ll ( 0 ), evalll ( true ) { };
-        BM ( const BM &B ) :  drv ( B.drv ), ll ( B.ll ), evalll ( B.evalll ) {}
+        BM() : yrv(),dimy(0),rvc(),dimc(0), ll ( 0 ), evalll ( true ) { };
+        BM ( const BM &B ) :  yrv ( B.yrv ), dimy(B.dimy), rvc ( B.rvc ), ll ( B.ll ), evalll ( B.evalll ) {}
         //! \brief Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!
         //! Prototype: \code BM* _copy_() const {return new BM(*this);} \endcode
-        virtual BM* _copy_() const {
-                return NULL;
-        };
+        virtual BM* _copy_() const { return NULL; };
         //!@}
 
@@ -1065 +1078 @@
         @param dt vector of input data
         */
-        virtual void bayes ( const vec &dt ) = 0;
+        virtual void bayes ( const vec &yt, const vec &cond=empty_vec ) = 0;
         //! Batch Bayes rule (columns of Dt are observations)
         virtual void bayesB ( const mat &Dt );
         //! Evaluates predictive log-likelihood of the given data record
-        //! I.e. marginal likelihood of the data with the posterior integrated out.
-        virtual double logpred ( const vec &dt ) const {
+        //! I.e. marginal likelihood of the data with the posterior integrated out. 
+        //! This function evaluates only \f$ y_t \f$, condition is assumed to be the last used in bayes(). 
+        //! See bdm::BM::predictor for conditional version.
+        virtual double logpred ( const vec &yt ) const {
                 bdm_error ( "Not implemented" );
                 return 0.0;
@@ -1076 +1091 @@
 
         //! Matrix version of logpred
-        vec logpred_m ( const mat &dt ) const {
-                vec tmp ( dt.cols() );
-                for ( int i = 0; i < dt.cols(); i++ ) {
-                        tmp ( i ) = logpred ( dt.get_col ( i ) );
+        vec logpred_m ( const mat &Yt ) const {
+                vec tmp ( Yt.cols() );
+                for ( int i = 0; i < Yt.cols(); i++ ) {
+                        tmp ( i ) = logpred ( Yt.get_col ( i ) );
                 }
                 return tmp;
@@ -1096 +1111 @@
         //!@}
 
-        //! \name Extension to conditional BM
-        //! This extension is useful e.g. in Marginalized Particle Filter (\ref bdm::MPF).
-        //! Alternatively, it can be used for automated connection to DS when the condition is observed
-        //!@{
-
-        //! Name of extension variable
-        RV rvc;
-        //! access function
-        const RV& _rvc() const {
-                return rvc;
-        }
-
-        //! Substitute \c val for \c rvc.
-        virtual void condition ( const vec &val ) {
-                bdm_error ( "Not implemented!" );
-        }
-
-        //!@}
-
 
         //! \name Access to attributes
         //!@{
+                //! access function
+                const RV& _rvc() const {
+                        return rvc;
+                }
+                //! access function
+                int dimensionc() const {
+                        return dimc;
+                }
+                //! access function
+                int dimensiony() const {
+                        return dimy;
+                }
+                //! access function
+                int dimension() const {
+                        return posterior().dimension();
+                }
+                //! access function
+        const RV& _yrv() const {
+                return yrv;
+        }
         //! access function
-        const RV& _drv() const {
-                return drv;
-        }
-        //! access function
-        void set_drv ( const RV &rv ) {
-                drv = rv;
+        void set_yrv ( const RV &rv ) {
+                yrv = rv;
         }
         //! access to rv of the posterior
         void set_rv ( const RV &rv ) {
-                const_cast<epdf&> ( posterior() ).set_rv ( rv );
+                const_cast<epdf&>(posterior()).set_rv ( rv );
+        }
+        //! access function
+        void set_dim ( int dim ) {
+                const_cast<epdf&>(posterior()).set_dim ( dim );
         }
         //! return internal log-likelihood of the last data vector
@@ -1180 +1196 @@
                 shared_ptr<RV> r = UI::build<RV> ( set, "drv", UI::optional );
                 if ( r ) {
-                        set_drv ( *r );
+                        set_yrv ( *r );
                 }
                 string opt;
@@ -1215 +1231 @@
 
 template<class EPDF>
-double mpdf_internal<EPDF>::evallogcond ( const vec &dt, const vec &cond ) {
+double mpdf_internal<EPDF>::evallogcond ( const vec &yt, const vec &cond ) {
         double tmp;
         condition ( cond );
-        tmp = iepdf.evallog ( dt );
+        tmp = iepdf.evallog ( yt );
         return tmp;
 }
 
 template<class EPDF>
-vec mpdf_internal<EPDF>::evallogcond_m ( const mat &Dt, const vec &cond ) {
+vec mpdf_internal<EPDF>::evallogcond_m ( const mat &Yt, const vec &cond ) {
         condition ( cond );
-        return iepdf.evallog_m ( Dt );
+        return iepdf.evallog_m ( Yt );
 }
 
 template<class EPDF>
-vec mpdf_internal<EPDF>::evallogcond_m ( const Array<vec> &Dt, const vec &cond ) {
+vec mpdf_internal<EPDF>::evallogcond_m ( const Array<vec> &Yt, const vec &cond ) {
         condition ( cond );
-        return iepdf.evallog_m ( Dt );
+        return iepdf.evallog_m ( Yt );
 }