Changeset 695

Timestamp:

11/03/09 00:03:19 (15 years ago)

Author:

smidl

Message:

StateDS is finished

Location:

library

Files:

• bdm/base/datasources.cpp (modified) (1 diff)
• bdm/base/datasources.h (modified) (4 diffs)
• tests/datasource_test.cpp (modified) (2 diffs)

library/bdm/base/datasources.cpp

@@ -122 +122 @@
 }
 
-void stateDS::from_setting ( const Setting &set ) {
+void StateDS::from_setting ( const Setting &set ) {
         IM = UI::build<pdf> ( set, "IM", UI::compulsory );
         OM = UI::build<pdf> ( set, "OM", UI::compulsory );
 
-        dt.set_length ( OM->dimension() );
-        xt.set_length ( IM->dimension() );
-        ut.set_length ( 0 );
+        //todo test if IM->rvc contains IM->rv
+        //todo test if OM->rvc contains IM->rv
+        
+        UI::get(xt,set,"x0",UI::optional);
+        
+        // prepare urv
+        validate();
+}
 
-#if 0
-        RV* rvtmp = UI::build<RV> ( set["IM"], "rvu", UI::compulsory );
-        //set_drv(rvtmp);
-#endif
+void StateDS::validate(){
+        Yrv = concat(OM->_rv() , IM->_rv()); // export also true state
+        ytsize = Yrv._dsize();
+        
+        RV tmp=concat(OM->_rvc(), IM->_rvc()); // what i not in rvc
+        Urv = tmp.subt(Yrv); // remove dt,xt and 
+        Urv = Urv.subt(Yrv.copy_t(-1)); // remove dt,xt and 
+        utsize= Urv._dsize();
+        
+        set_drv(Yrv,Urv);
+        dtsize = utsize + ytsize;
+        
+        dt.set_length ( dtsize );
+        if (xt.length()!= IM->dimension() ) {
+                xt=zeros(IM->dimension());
+        }
+        ut.set_length ( Urv._dsize() );
+        
+        //create data links
+        u2imc.set_connection(IM->_rvc(), Urv);
+        u2omc.set_connection(OM->_rvc(), Urv);
 }

library/bdm/base/datasources.h

@@ -304 +304 @@
 
 //! State-space data source simulating two densities
-class stateDS : public DS {
-        private:
+class StateDS : public DS {
+        protected:
                 //!conditional pdf of the state evolution \f$ f(x_t|x_{t-1}) \f$
-                shared_ptr<pdf> IM;
+                shared_ptr<mpdf> IM;
 
                 //!conditional pdf of the observations \f$ f(d_t|x_t) \f$
-                shared_ptr<pdf> OM;
-
-        protected:
+                shared_ptr<mpdf> OM;
+
                 //! result storage
                 vec dt;
@@ -319 +318 @@
                 //! input storage
                 vec ut;
-                //! Logger
-                int L_xt;
-
-        public:
-                void getdata ( vec &dt0 ) {
+
+                //! datalink from ut to IM.rvc
+                datalink_part u2imc;
+                //! datalink from ut to OM.rvc
+                datalink_part u2omc;
+        public:
+                void getdata ( vec &dt0 ) const {
                         dt0 = dt;
                 }
-
+                void write (const vec &ut0 ) {
+                        ut = ut0;
+                }
+                
                 void getdata ( vec &dt0, const ivec &indices ) {
                         dt0 = dt ( indices );
                 }
-                //! convenience constructor
-                stateDS ( const shared_ptr<pdf> &IM0, const shared_ptr<pdf> &OM0, int usize ) : IM ( IM0 ), OM ( OM0 ),
-                                dt ( OM0->dimension() ), xt ( IM0->dimension() ),
-                                ut ( usize ), L_xt ( 0 ) { }
-
-                stateDS() : L_xt ( 0 ) { }
 
                 virtual void step() {
-                        xt = IM->samplecond ( concat ( xt, ut ) );
-                        dt = OM->samplecond ( concat ( xt, ut ) );
-                }
-
-                virtual void log_register(logger &L, const string &prefix){
-                        DS::log_register ( L, prefix ); //ids 0 and 1
+                        vec imc(IM->dimensionc());
+                        imc.set_subvector(0,xt);
+                        u2imc.filldown(ut,imc);
+                        xt = IM->samplecond ( imc );
                         
-                        logrec->ids.set_size(3,true);//copy
-                        logrec->ids(2)=logrec->L.add ( IM->_rv(), "true" );
-                }
-                virtual void log_write () {
-                        DS::log_write ( );
-                        logrec->L.logit ( logrec->ids(2), xt );
-                }
+                        vec omc(OM->dimensionc());
+                        omc.set_subvector(0,xt);
+                        u2omc.filldown(ut,omc);
+                        vec yt;
+                        yt = OM->samplecond ( omc );
+                        //fill all data
+                        dt.set_subvector(0,yt);
+                        dt.set_subvector(yt.length(),xt);
+                        dt.set_subvector(ytsize,ut);
+                }
+
+                //! set parameters
+                void set_parameters(shared_ptr<mpdf> IM0, shared_ptr<mpdf> OM0){
+                        IM=IM0;
+                        OM = OM0;
+                }
+                void set_initx(const vec &x0){xt=x0;}
 
                 /*! UI for stateDS
@@ -357 +363 @@
                 The DS is constructed from a structure with fields:
                 \code
-                system = {
-                        type = "stateDS";
-                        //Internal model
-                        IM = { type = "pdf"; //<-- valid offspring! e.g. "mlnorm"
-                                rv = { //description of x_t
-                                        names=["name1",...];
-                                        sizes=[2,1]; // optional default=[1,1...];
-                                        times=[0,0]; // optional default=[0,0...];
-                                        }
-                                rvu= { //description of  u_t
-                                        //optional default=empty
-                                        }
-
-                                // remaining fields depending on the chosen type
-                                };
-                        //Observation model
-                        OM = { type = "pdf-offspring";
-                                rv = {}; //description of d_t
-                                rvu = {type="internal", path="system.IM.rvu"}; //description of u_t
-
-                                //remaining fields
-                        }
-                };
-                \endcode
+                class = "stateDS";
+                //Internal model
+                IM = { type = "mpdf-offspring"; };
+                //Observation model
+                OM = { type = "mpdf-offspring"; }
+                //initial state
+                x0 = [...]; //vector of data
+                \endcode
+                Both models must have defined \c rv. and \c rvc
+                Random variables not found in any rv are considered to be inputs.
                 */
                 void from_setting ( const Setting &set );
@@ -386 +378 @@
                 // TODO dodelat void to_setting( Setting &set ) const;
 
-};
-
-UIREGISTER ( stateDS );
-SHAREDPTR ( stateDS );
+                void validate();
+};
+
+UIREGISTER ( StateDS );
+SHAREDPTR ( StateDS );
 
 }; //namespace

library/tests/datasource_test.cpp

@@ -1 +1 @@
 #include "../bdm/base/datasources.h"
+#include "../bdm/base/loggers.h"
 #include "mat_checks.h"
 #include "UnitTest++.h"
@@ -42 +43 @@
         CHECK_CLOSE ( -0.4 , dt(0), 1e-4);
 }
+
+TEST(StateDS_test){
+        RV y("y",1);
+        RV u("u",1);
+        RV x("x",2);
+        
+        shared_ptr<mlnorm<fsqmat> > IM = new mlnorm<fsqmat>;
+        IM->set_parameters(mat("1 2 0.5; 0 1 0.3"), zeros(2), fsqmat(1e-10*eye(2)));
+        IM->set_rv(x);
+        IM->set_rvc(concat(x.copy_t(-1), u));
+        IM->validate();
+
+        shared_ptr<mlnorm<fsqmat> > OM = new mlnorm<fsqmat>;
+        OM->set_parameters(mat("1 0"), zeros(1), fsqmat(1e-10*eye(1)));
+        OM->set_rv(y);
+        OM->set_rvc(x);
+        OM->validate();
+        
+        StateDS sds;
+        sds.set_parameters(IM,OM);
+        sds.validate();
+        
+        for (int t=1; t<10;t++){
+                sds.write(vec_1(double(t)));
+                sds.step();
+        }
+
+        vec dt; sds.getdata(dt);
+        CHECK_CLOSE(vec("94.5, 94.5, 13.5, 9"), dt, 1e-2);      
+}