| | 177 | void MPF_ARXg::bayes ( const vec &yt, const vec &cond ) { |
| | 178 | // follows PF::bayes in most places!!! |
| | 179 | int i; |
| | 180 | int n = pf->__w().length(); |
| | 181 | vec &lls = pf->_lls(); |
| | 182 | Array<vec> &samples = pf->__samples(); |
| | 183 | |
| | 184 | // generate samples - time step |
| | 185 | for (int i =0;i<n; i++){ |
| | 186 | mat M; chmat R; |
| | 187 | BMsp(i)->posterior().sample_mat(M,R); |
| | 188 | vec diff=R._Ch().T()*randn(samples(i).length()); |
| | 189 | samples(i) = g->eval(samples(i)) + diff; |
| | 190 | //////////// |
| | 191 | // samples(i) = cond; |
| | 192 | ///////// |
| | 193 | BMsp(i)->bayes(diff); |
| | 194 | } |
| | 195 | // weight them - data step |
| | 196 | enorm<ldmat> ooo; |
| | 197 | ooo.set_parameters(zeros(2),0.1*eye(2)); |
| | 198 | ooo.validate(); |
| | 199 | |
| | 200 | #pragma parallel for |
| | 201 | for ( i = 0; i < n; i++ ) { |
| | 202 | vec tmp=yt - h->eval(samples(i)); |
| | 203 | BMso ( i ) -> bayes ( tmp ); |
| | 204 | lls ( i ) += BMso ( i )->_ll(); |
| | 205 | ///// |
| | 206 | ooo._mu()=h->eval(samples(i)); |
| | 207 | lls(i) = ooo.evallog_nn(yt); |
| | 208 | } |
| | 209 | |
| | 210 | pf->bayes_weights(); |
| | 211 | |
| | 212 | ivec ind; |
| | 213 | if ( pf->do_resampling() ) { |
| | 214 | pf->resample ( ind ); |
| | 215 | |
| | 216 | #pragma omp parallel for |
| | 217 | for ( i = 0; i < n; i++ ) { |
| | 218 | if ( ind ( i ) != i ) {//replace the current Bm by a new one |
| | 219 | delete BMso ( i ); |
| | 220 | BMso ( i ) = (ARX*) BMso ( ind ( i ) )->_copy(); //copy constructor |
| | 221 | delete BMsp ( i ); |
| | 222 | BMsp ( i ) = (ARX*) BMsp ( ind ( i ) )->_copy(); //copy constructor |
| | 223 | } |
| | 224 | }; |
| | 225 | } |
| | 226 | }; |
| | 227 | |
| | 228 | void MPF_ARXg::from_setting(const libconfig::Setting& set) { |
| | 229 | BM::from_setting(set); |
| | 230 | |
| | 231 | pf = new PF; |
| | 232 | // prior must be set before BM |
| | 233 | pf->prior_from_set ( set ); |
| | 234 | pf->resmethod_from_set ( set ); |
| | 235 | |
| | 236 | string opt; |
| | 237 | if ( UI::get ( opt, set, "options", UI::optional ) ) { |
| | 238 | set_options ( opt ); |
| | 239 | } |
| | 240 | |
| | 241 | // read functions g and h |
| | 242 | g=UI::build<fnc>(set,"g"); |
| | 243 | h=UI::build<fnc>(set,"h"); |
| | 244 | |
| | 245 | set_dim( g->dimension()); |
| | 246 | dimy = h->dimension(); |
| | 247 | |
| | 248 | shared_ptr<ARX> arxo=UI::build<ARX>(set,"arxo"); |
| | 249 | shared_ptr<ARX> arxp=UI::build<ARX>(set,"arxp"); |
| | 250 | int n = pf->__samples().length(); |
| | 251 | BMso.set_length(n); |
| | 252 | BMsp.set_length(n); |
| | 253 | for(int i=0; i<n; i++){ |
| | 254 | BMso(i)=arxo->_copy(); |
| | 255 | BMsp(i)=arxp->_copy(); |
| | 256 | } |
| | 257 | |
| | 258 | yrv = arxo->_yrv(); |
| | 259 | //rvc = arxo->_rvc(); |
| | 260 | |
| | 261 | validate(); |
| | 262 | |
| | 263 | } |
| | 264 | |
| | 265 | |
