Changeset 700 for library/bdm/estim

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/estim

Files:

• arx.cpp (modified) (1 diff)
• arx.h (modified) (3 diffs)
• particles.cpp (modified) (2 diffs)
• particles.h (modified) (5 diffs)

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());
         }