Changeset 700 for library/bdm

Timestamp:

11/04/09 22:54:58 (15 years ago)

Author:

smidl

Message:

Making tutorial/userguide example work again (changes of mpdf and bayes)

Location:

library/bdm

Files:

• base/bdmbase.cpp (modified) (1 diff)
• base/bdmbase.h (modified) (5 diffs)
• base/datasources.h (modified) (2 diffs)
• estim/arx.cpp (modified) (1 diff)
• estim/arx.h (modified) (3 diffs)
• estim/particles.cpp (modified) (2 diffs)
• estim/particles.h (modified) (5 diffs)
• math/square_mat.h (modified) (1 diff)
• mex/config2mxstruct.h (modified) (1 diff)
• mex/mex_parser.h (modified) (1 diff)

library/bdm/base/bdmbase.cpp

@@ -53 +53 @@
                 id = iter->second;
                 if (size>0){
-                        bdm_assert ( SIZES ( id ) == size, "RV " + name + " of different size already exists" );
+                        bdm_assert ( SIZES ( id ) == size, "RV " + name + " of size " + num2str(SIZES(id)) + " exists, requested size " + num2str(size) + "can not be assigned" );
                 }
         }

library/bdm/base/bdmbase.h

@@ -266 +266 @@
         //! Minimum time-offset
         int mint() const {
-                        return times.length()>0 ? min (times) : 0;
+                return times.length()>0 ? min (times) : 0;
+        }
+        //! Minimum time-offset of ids of given RVs
+        int mint(const RV &rv) const {
+                bvec belong=zeros_b(len);
+                for (int r=0; r<rv.length(); r++){
+                        belong = belong | (ids == rv.id(r));
+                }
+                return times.length()>0 ? min (times(belong)) : 0;
         }
         //!@}
@@ -598 +606 @@
                         logrec->L.logit( logrec->ids(0), mean() );
                 }
-                if (log_level>2) {
+                if (log_level>1) {
                         vec lb; vec ub;
                         qbounds(lb,ub);
@@ -913 +921 @@
                 //establish c2c connection
                 rvc.dataind ( rvc_up, c2c_lo, c2c_up );
-                bdm_assert_debug ( c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given" );
+//              bdm_assert_debug ( c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given" );
         }
 
@@ -919 +927 @@
         vec get_cond ( const vec &val_up, const vec &cond_up ) {
                 vec tmp ( condsize );
-                set_subvector ( tmp, v2c_lo, val_up ( v2c_up ) );
-                set_subvector ( tmp, c2c_lo, cond_up ( c2c_up ) );
+                fill_cond (val_up, cond_up, tmp );
                 return tmp;
+        }
+        //! fill condition 
+        void fill_cond ( const vec &val_up, const vec &cond_up, vec& cond_out){
+                bdm_assert_debug(cond_out.length()>=condsize,"dl.fill_cond: cond_out is too small");
+                set_subvector ( cond_out, v2c_lo, val_up ( v2c_up ) );
+                set_subvector ( cond_out, c2c_lo, cond_up ( c2c_up ) );
         }
         //! Fill
@@ -1077 +1090 @@
 
         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 ) {}
+//      BM ( const BM &B ) :  yrv ( B.yrv ), dimy(B.dimy), rvc ( B.rvc ),dimc(B.dimc), 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

library/bdm/base/datasources.h

@@ -132 +132 @@
                         dt =  zeros(iepdf->dimension());
                         dtsize=dt.length();
+                        ytsize=dt.length();
                         set_drv(iepdf->_rv(),RV());
                         utsize =0;
@@ -365 +366 @@
                 class = "stateDS";
                 //Internal model
-                IM = { type = "mpdf-offspring"; };
+                IM = { type = "pdf-offspring"; };
                 //Observation model
-                OM = { type = "mpdf-offspring"; }
+                OM = { type = "pdf-offspring"; }
                 //initial state
                 x0 = [...]; //vector of data

library/bdm/estim/arx.cpp

@@ -2 +2 @@
 namespace bdm {
 
-        void ARX::bayes_weighted ( const vec &yt, const vec &cond, const double w ) {
+void ARX::bayes_weighted ( const vec &yt, const vec &cond, const double w ) {
+                
+        bdm_assert_debug(yt.length()>=dimy,"ARX::bayes yt is smaller then dimc");       
+        bdm_assert_debug(cond.length()>=dimc,"ARX::bayes cond is smaller then dimc");   
         double lnc;
         //cache

library/bdm/estim/arx.h

@@ -54 +54 @@
         //! \name Constructors
         //!@{
-        ARX ( const double frg0 = 1.0 ) : BMEF ( frg0 ),  have_constant(true), dyad(), est() {};
-        ARX ( const ARX &A0 ) : BMEF (A0.frg),  have_constant(A0.have_constant), dyad(A0.dyad),est(est) { };
+        ARX ( const double frg0 = 1.0 ) : BMEF ( frg0 ),  have_constant(true), dyad(), est(), alter_est() {};
+        ARX ( const ARX &A0 ) : BMEF (A0),  have_constant(A0.have_constant), dyad(A0.dyad),est(A0.est),alter_est(A0.alter_est) { };
         ARX* _copy_() const;
         void set_parameters ( double frg0 ) {
@@ -167 +167 @@
 /*! ARX model conditined by knowledge of the forgetting factor
 \f[ f(\theta| d_1 \ldots d_t , \phi_t) \f]
+
+The symbol \f$ \phi \f$ is assumed to be the last of the conditioning variables.
 */
 class ARXfrg : public ARX{
@@ -174 +176 @@
                 ARXfrg(const ARXfrg &A0):ARX(A0){};
                 ARXfrg* _copy_() const {ARXfrg *A = new ARXfrg(*this); return A;}
-        void condition(const vec &val){
-                frg = val(0);
+
+        void bayes(const vec &val, const vec &cond){
+                frg = cond(dimc-1); //  last in cond is phi
+                ARX::bayes(val,cond);
+        }
+        void validate() {
+                ARX::validate();
+                rvc.add(RV("{phi }",vec_1(1)));
+                dimc +=1;
         }
 };

library/bdm/estim/particles.cpp

@@ -78 +78 @@
         int n=pf->__w().length();
         vec &lls = pf->_lls();
+        Array<vec> &samples=pf->__samples();
         
         // generate samples - time step
@@ -84 +85 @@
         #pragma parallel for
         for ( i = 0; i < n; i++ ) {
-                BMs(i) -> bayes(this2bm.pushdown(yt), this2bm.get_cond(yt,cond));
+                vec bm_cond(BMs(i)->dimensionc());
+                this2bm.fill_cond(yt,cond, bm_cond);
+                pf2bm.filldown(samples(i), bm_cond);
+                BMs(i) -> bayes(this2bm.pushdown(yt), bm_cond);
                 lls ( i ) += BMs(i)->_ll();
         }

library/bdm/estim/particles.h

@@ -157 +157 @@
                         res_threshold=0.5;
                 }
-                validate();
+                //validate();
         }
         //! load prior information from set and set internal structures accordingly
@@ -177 +177 @@
         
         void validate(){
+                bdm_assert(par,"PF::parameter_pdf not specified.");
                 n=_w.length();
                 lls=zeros(n);
+                
                 if (par->_rv()._dsize()>0) {
                         bdm_assert(par->_rv()._dsize()==est.dimension(),"Mismatch of RV and dimension of posterior" );
@@ -301 +303 @@
         //! datalink from global yt and cond (Up) to PFs yt and cond (Down)
         datalink_m2m this2pf;
+        //!datalink from PF part to BM
+        datalink_part pf2bm;
         
 public:
@@ -367 +371 @@
                 }
                 //set drv
+                //??set_yrv(concat(BM0->_yrv(),u) );
+                set_yrv(BM0->_yrv() );
+                rvc = BM0->_rvc().subt(par->_rv());
                 //find potential input - what remains in rvc when we subtract rv
-                RV u = par->_rvc().remove_time().subt( par->_rv() );            
-                set_yrv(concat(BM0->_yrv(),u) );
+                RV u = par->_rvc().subt( par->_rv().copy_t(-1) );               
+                rvc.add(u);
+                dimc = rvc._dsize();
                 validate();
         }
         void validate(){
                 try{
-                pf->validate();
+                        pf->validate();
                 } catch (std::exception &e){
                         throw UIException("Error in PF part of MPF:");
@@ -380 +388 @@
                 jest.read_parameters();
                 this2bm.set_connection(BMs(0)->_yrv(), BMs(0)->_rvc(), yrv, rvc);
-                this2bm.set_connection(pf->_yrv(), pf->_rvc(), yrv, rvc);
+                this2pf.set_connection(pf->_yrv(), pf->_rvc(), yrv, rvc);
+                pf2bm.set_connection(BMs(0)->_rvc(), pf->posterior()._rv());
         }
 

library/bdm/math/square_mat.h

@@ -221 +221 @@
         //! print full matrix
         friend std::ostream &operator<< ( std::ostream &os, const fsqmat &sq );
+        //!access function
+        mat & _M (  ) {return M;};
 
 };

library/bdm/mex/config2mxstruct.h

@@ -2 +2 @@
 #define CFGSTR_H
 
-#include "../base/libconfig/libconfig.h++"
+#include "../base/libconfig/lib/libconfig.h++"
 #include <itpp/itbase.h>
 #include <itpp/itmex.h>

library/bdm/mex/mex_parser.h

@@ -3 +3 @@
 
 
-#include "../base/libconfig/lib/lib/libconfig.h++"
+#include "base/libconfig/lib/libconfig.h++"
 #include <itpp/itbase.h>
 #include <itpp/itmex.h>