Changeset 811 for library/bdm/estim/particles.h

Timestamp:

02/21/10 20:58:51 (15 years ago)

Author:

smidl

Message:

extensions and stuff for MPF

Files:

• library/bdm/estim/particles.h (modified) (3 diffs)

library/bdm/estim/particles.h

@@ -15 +15 @@
 
 
-#include "../stat/exp_family.h"
+#include "../estim/arx_ext.h"
 
 namespace bdm {
@@ -183 +183 @@
                 }
                 n = est._w().length();
-                //validate();
+                lls=zeros(n);
         }
 
@@ -363 +363 @@
 UIREGISTER ( MPF );
 
+/*! ARXg for estimation of state-space variances
+*/
+class MPF_ARXg :public BM{
+        protected:
+        shared_ptr<PF> pf;
+        //! pointer to Array of BMs
+        Array<ARX*> BMso;
+        //! pointer to Array of BMs
+        Array<ARX*> BMsp;
+        //!parameter evolution
+        shared_ptr<fnc> g;
+        //!observation function
+        shared_ptr<fnc> h;
+        
+        public:
+                void bayes(const vec &yt, const vec &cond );
+                void from_setting(const Setting &set) ;
+                void validate() {
+                        bdm_assert(g->dimensionc()==g->dimension(),"not supported yet");
+                        bdm_assert(h->dimensionc()==g->dimension(),"not supported yet");                        
+                }
+
+                double logpred(const vec &cond) const NOT_IMPLEMENTED(0.0);
+                epdf* epredictor() const NOT_IMPLEMENTED(NULL);
+                pdf* predictor() const NOT_IMPLEMENTED(NULL);
+                const epdf& posterior() const {return pf->posterior();};
+                
+                void log_register( logger &L, const string &prefix ){
+                        BM::log_register(L,prefix);
+                        logrec->ids.set_size ( 3 );
+                        logrec->ids(1)= L.add_vector(RV("Q",dimension()*dimension()), prefix+L.prefix_sep()+"Q");
+                        logrec->ids(2)= L.add_vector(RV("R",dimensiony()*dimensiony()), prefix+L.prefix_sep()+"R");
+                        
+                };
+                void log_write() const {
+                        BM::log_write();
+                        mat mQ=zeros(dimension(),dimension());
+                        mat pom=zeros(dimension(),dimension());
+                        mat mR=zeros(dimensiony(),dimensiony());
+                        mat pom2=zeros(dimensiony(),dimensiony());
+                        mat dum;
+                        const vec w=pf->posterior()._w();
+                        for (int i=0; i<w.length(); i++){
+                                BMsp(i)->posterior().mean_mat(dum,pom);
+                                mQ += w(i) * pom;
+                                BMso(i)->posterior().mean_mat(dum,pom2);
+                                mR += w(i) * pom2;
+                                
+                        }
+                        logrec->L.log_vector ( logrec->ids ( 1 ), cvectorize(mQ) );
+                        logrec->L.log_vector ( logrec->ids ( 2 ), cvectorize(mR) );
+                        
+                }
+};
+UIREGISTER(MPF_ARXg);
+
+
 }
 #endif // KF_H