| 1 | | /*! |
| 2 | | \file |
| 3 | | \brief Basic structures of probability calculus: random variables, probability densities, Bayes rule |
| 4 | | \author Vaclav Smidl. |
| 5 | | |
| 6 | | ----------------------------------- |
| 7 | | BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
| 8 | | |
| 9 | | Using IT++ for numerical operations |
| 10 | | ----------------------------------- |
| 11 | | */ |
| 12 | | |
| 13 | | #ifndef BDMBASE_H |
| 14 | | #define BDMBASE_H |
| 15 | | |
| 16 | | #include <map> |
| 17 | | #include <string> |
| 18 | | #include <bitset> |
| 19 | | |
| 20 | | #include "../itpp_ext.h" |
| 21 | | #include "../bdmroot.h" |
| 22 | | #include "../shared_ptr.h" |
| 23 | | #include "user_info.h" |
| 24 | | |
| 25 | | using namespace libconfig; |
| 26 | | using namespace itpp; |
| 27 | | using namespace std; |
| 28 | | |
| 29 | | namespace bdm { |
| 30 | | //! Structure of RV, i.e. RVs expanded into a flat list of IDs, used for debugging. |
| 31 | | class str { |
| 32 | | public: |
| 33 | | //! vector id ids (non-unique!) |
| 34 | | ivec ids; |
| 35 | | //! vector of times |
| 36 | | ivec times; |
| 37 | | //!Default constructor |
| 38 | | str ( ivec ids0, ivec times0 ) : ids ( ids0 ), times ( times0 ) { |
| 39 | | bdm_assert ( times0.length() == ids0.length(), "Incompatible input" ); |
| 40 | | }; |
| 41 | | }; |
| 42 | | |
| 43 | | /*! |
| 44 | | * \brief Class representing variables, most often random variables |
| 45 | | |
| 46 | | The purpose of this class is to decribe a vector of data. Such description is used for connecting various vectors between each other, see class datalink. |
| 47 | | |
| 48 | | The class is implemented using global variables to assure uniqueness of description: |
| 49 | | |
| 50 | | In is a vector |
| 51 | | \dot |
| 52 | | digraph datalink { |
| 53 | | rankdir=LR; |
| 54 | | subgraph cluster0 { |
| 55 | | node [shape=record]; |
| 56 | | label = "MAP \n std::map<string,int>"; |
| 57 | | map [label="{{\"a\"| \"b\" | \"c\"} | {<3> 3 |<1> 1|<2> 2}}"]; |
| 58 | | color = "white" |
| 59 | | } |
| 60 | | subgraph cluster1{ |
| 61 | | node [shape=record]; |
| 62 | | label = "NAMES"; |
| 63 | | names [label="{<1> \"b\" | <2> \"c\" | <3>\"a\" }"]; |
| 64 | | color = "white" |
| 65 | | } |
| 66 | | subgraph cluster2{ |
| 67 | | node [shape=record]; |
| 68 | | label = "SIZES"; |
| 69 | | labelloc = b; |
| 70 | | sizes [label="{<1>1 |<2> 4 |<3> 1}"]; |
| 71 | | color = "white" |
| 72 | | } |
| 73 | | map:1 -> names:1; |
| 74 | | map:1 -> sizes:1; |
| 75 | | map:3 -> names:3; |
| 76 | | map:3 -> sizes:3; |
| 77 | | } |
| 78 | | \enddot |
| 79 | | */ |
| 80 | | |
| 81 | | class RV : public root { |
| 82 | | private: |
| 83 | | typedef std::map<string, int> str2int_map; |
| 84 | | |
| 85 | | //! Internal global variable storing sizes of RVs |
| 86 | | static ivec SIZES; |
| 87 | | //! Internal global variable storing names of RVs |
| 88 | | static Array<string> NAMES; |
| 89 | | |
| 90 | | //! TODO |
| 91 | | const static int BUFFER_STEP; |
| 92 | | |
| 93 | | //! TODO |
| 94 | | static str2int_map MAP; |
| 95 | | |
| 96 | | public: |
| 97 | | |
| 98 | | protected: |
| 99 | | //! size of the data vector |
| 100 | | int dsize; |
| 101 | | //! number of individual rvs |
| 102 | | int len; |
| 103 | | //! Vector of unique IDs |
| 104 | | ivec ids; |
| 105 | | //! Vector of shifts from current time |
| 106 | | ivec times; |
| 107 | | |
| 108 | | private: |
| 109 | | enum enum_dummy {dummy}; |
| 110 | | |
| 111 | | //! auxiliary function used in constructor |
| 112 | | void init( const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times ); |
| 113 | | |
| 114 | | //! auxiliary function assigning unique integer index related to the passed name and size of the random variable |
| 115 | | int assign_id( const string &name, int size ); |
| 116 | | |
| 117 | | //! Private constructor from IDs, potentially dangerous since all ids must be valid! |
| 118 | | //! dummy is there to prevent confusion with RV(" string"); |
| 119 | | explicit RV ( const ivec &ids0, enum_dummy dum ) : dsize ( 0 ), len ( ids0.length() ), ids ( ids0 ), times ( zeros_i ( ids0.length() ) ) { |
| 120 | | dsize = countsize(); |
| 121 | | } |
| 122 | | public: |
| 123 | | //! \name Constructors |
| 124 | | //!@{ |
| 125 | | |
| 126 | | //! Full constructor |
| 127 | | RV ( const Array<std::string> &in_names, const ivec &in_sizes, const ivec &in_times ) { |
| 128 | | init ( in_names, in_sizes, in_times ); |
| 129 | | } |
| 130 | | |
| 131 | | //! Constructor with times=0 |
| 132 | | RV ( const Array<std::string> &in_names, const ivec &in_sizes ) { |
| 133 | | init ( in_names, in_sizes, zeros_i ( in_names.length() ) ); |
| 134 | | } |
| 135 | | |
| 136 | | //! Constructor with sizes=1, times=0 |
| 137 | | RV ( const Array<std::string> &in_names ) { |
| 138 | | init ( in_names, ones_i ( in_names.length() ), zeros_i ( in_names.length() ) ); |
| 139 | | } |
| 140 | | |
| 141 | | //! Constructor of empty RV |
| 142 | | RV() : dsize ( 0 ), len ( 0 ), ids ( 0 ), times ( 0 ) {} |
| 143 | | |
| 144 | | //! Constructor of a single RV with given id |
| 145 | | RV ( string name, int sz, int tm = 0 ); |
| 146 | | |
| 147 | | // compiler-generated copy constructor is used |
| 148 | | //!@} |
| 149 | | |
| 150 | | //! \name Access functions |
| 151 | | //!@{ |
| 152 | | |
| 153 | | //! State output, e.g. for debugging. |
| 154 | | friend std::ostream &operator<< ( std::ostream &os, const RV &rv ); |
| 155 | | |
| 156 | | string to_string() const { |
| 157 | | ostringstream o; |
| 158 | | o << *this; |
| 159 | | return o.str(); |
| 160 | | } |
| 161 | | |
| 162 | | //! total size of a random variable |
| 163 | | int _dsize() const { |
| 164 | | return dsize; |
| 165 | | } |
| 166 | | |
| 167 | | //! access function |
| 168 | | const ivec& _ids() const { |
| 169 | | return ids; |
| 170 | | } |
| 171 | | |
| 172 | | //! Recount size of the corresponding data vector |
| 173 | | int countsize() const; |
| 174 | | //! Vector of cumulative sizes of RV |
| 175 | | ivec cumsizes() const; |
| 176 | | //! Number of named parts |
| 177 | | int length() const { |
| 178 | | return len; |
| 179 | | } |
| 180 | | int id ( int at ) const { |
| 181 | | return ids ( at ); |
| 182 | | } |
| 183 | | int size ( int at ) const { |
| 184 | | return SIZES ( ids ( at ) ); |
| 185 | | } |
| 186 | | int time ( int at ) const { |
| 187 | | return times ( at ); |
| 188 | | } |
| 189 | | std::string name ( int at ) const { |
| 190 | | return NAMES ( ids ( at ) ); |
| 191 | | } |
| 192 | | //! returns name of a scalar at position scalat, i.e. it can be in the middle of vector name, in that case it adds "_%d" to it |
| 193 | | std::string scalarname ( int scalat ) const; |
| 194 | | |
| 195 | | void set_time ( int at, int time0 ) { |
| 196 | | times ( at ) = time0; |
| 197 | | } |
| 198 | | //!@} |
| 199 | | |
| 200 | | //! \name Algebra on Random Variables |
| 201 | | //!@{ |
| 202 | | |
| 203 | | //! Find indices of self in another rv, \return ivec of the same size as self. |
| 204 | | ivec findself ( const RV &rv2 ) const; |
| 205 | | //! Find indices of self in another rv, ignore time, \return ivec of the same size as self. |
| 206 | | ivec findself_ids ( const RV &rv2 ) const; |
| 207 | | //! Compare if \c rv2 is identical to this \c RV |
| 208 | | bool equal ( const RV &rv2 ) const; |
| 209 | | //! Add (concat) another variable to the current one, \return true if all rv2 were added, false if rv2 is in conflict |
| 210 | | bool add ( const RV &rv2 ); |
| 211 | | //! Subtract another variable from the current one |
| 212 | | RV subt ( const RV &rv2 ) const; |
| 213 | | //! Select only variables at indices ind |
| 214 | | RV subselect ( const ivec &ind ) const; |
| 215 | | |
| 216 | | //! Select only variables at indices ind |
| 217 | | RV operator() ( const ivec &ind ) const { |
| 218 | | return subselect ( ind ); |
| 219 | | } |
| 220 | | |
| 221 | | //! Select from data vector starting at di1 to di2 |
| 222 | | RV operator() ( int di1, int di2 ) const; |
| 223 | | |
| 224 | | //! Shift \c time by delta. |
| 225 | | void t_plus ( int delta ); |
| 226 | | //!@} |
| 227 | | |
| 228 | | //! @{ \name Time manipulation functions |
| 229 | | //! returns rvs with time set to 0 and removed duplicates |
| 230 | | RV remove_time() const { |
| 231 | | return RV ( unique ( ids ), dummy ); |
| 232 | | } |
| 233 | | //! create new RV from the current one with time shifted by given value |
| 234 | | RV copy_t ( int dt ) const { |
| 235 | | RV tmp = *this; |
| 236 | | tmp.t_plus ( dt ); |
| 237 | | return tmp; |
| 238 | | } |
| 239 | | //! return rvs with expanded delayes and sorted in the order of: \f$ [ rv_{0}, rv_{-1},\ldots rv_{max_delay}]\f$ |
| 240 | | RV expand_delayes() const; |
| 241 | | //!@} |
| 242 | | |
| 243 | | //!\name Relation to vectors |
| 244 | | //!@{ |
| 245 | | |
| 246 | | //! generate \c str from rv, by expanding sizes |
| 247 | | str tostr() const; |
| 248 | | //! when this rv is a part of bigger rv, this function returns indices of self in the data vector of the bigger crv. |
| 249 | | //! Then, data can be copied via: data_of_this = cdata(ind); |
| 250 | | ivec dataind ( const RV &crv ) const; |
| 251 | | //! same as dataind but this time crv should not be complete supperset of rv. |
| 252 | | ivec dataind_part ( const RV &crv ) const; |
| 253 | | //! generate mutual indices when copying data between self and crv. |
| 254 | | //! Data are copied via: data_of_this(selfi) = data_of_rv2(rv2i) |
| 255 | | void dataind ( const RV &rv2, ivec &selfi, ivec &rv2i ) const; |
| 256 | | //! Minimum time-offset |
| 257 | | int mint() const { |
| 258 | | return times.length() > 0 ? min ( times ) : 0; |
| 259 | | } |
| 260 | | //! Minimum time-offset of ids of given RVs |
| 261 | | int mint ( const RV &rv ) const { |
| 262 | | bvec belong = zeros_b ( len ); |
| 263 | | for ( int r = 0; r < rv.length(); r++ ) { |
| 264 | | belong = belong | ( ids == rv.id ( r ) ); |
| 265 | | } |
| 266 | | return times.length() > 0 ? min ( get_from_bvec ( times, belong ) ) : 0; |
| 267 | | } |
| 268 | | //!@} |
| 269 | | |
| 270 | | /*! \brief UI for class RV (description of data vectors) |
| 271 | | |
| 272 | | \code |
| 273 | | class = 'RV'; |
| 274 | | names = {'a', 'b', 'c', ...}; // UNIQUE IDENTIFIER same names = same variable |
| 275 | | // names are also used when storing results |
| 276 | | --- optional --- |
| 277 | | sizes = [1, 2, 3, ...]; // size of each name. default = ones() |
| 278 | | // if size = -1, it is found out from previous instances of the same name |
| 279 | | times = [-1, -2, 0, ...]; // time shifts with respect to current time, default = zeros() |
| 280 | | \endcode |
| 281 | | */ |
| 282 | | void from_setting ( const Setting &set ); |
| 283 | | |
| 284 | | void to_setting ( Setting &set ) const; |
| 285 | | |
| 286 | | //! Invalidate all named RVs. Use before initializing any RV instances, with care... |
| 287 | | static void clear_all(); |
| 288 | | //! function for debugging RV related stuff |
| 289 | | string show_all(); |
| 290 | | |
| 291 | | }; |
| 292 | | UIREGISTER ( RV ); |
| 293 | | SHAREDPTR ( RV ); |
| 294 | | |
| 295 | | //! Concat two random variables |
| 296 | | RV concat ( const RV &rv1, const RV &rv2 ); |
| 297 | | |
| 298 | | /*! |
| 299 | | @brief Class for storing results (and semi-results) of an experiment |
| 300 | | |
| 301 | | This class abstracts logging of results from implementation. This class replaces direct logging of results (e.g. to files or to global variables) by calling methods of a logger. Specializations of this abstract class for specific storage method are designed. |
| 302 | | */ |
| 303 | | class logger : public root { |
| 304 | | protected: |
| 305 | | //! RVs of all logged variables. |
| 306 | | Array<RV> entries; |
| 307 | | //! Names of logged quantities, e.g. names of algorithm variants |
| 308 | | Array<string> names; |
| 309 | | //!separator of prefixes of entries |
| 310 | | const string separator; |
| 311 | | //! Root Setting for storing Settings |
| 312 | | Config setting_conf; |
| 313 | | //! list of Settings for specific ids |
| 314 | | Array<Setting*> settings; |
| 315 | | public: |
| 316 | | //!Default constructor |
| 317 | | logger ( const string separator0 ) : entries ( 0 ), names ( 0 ), separator ( separator0 ) {} |
| 318 | | |
| 319 | | //! returns an identifier which will be later needed for calling the \c logit() function |
| 320 | | //! For empty RV it returns -1, this entry will be ignored by \c logit(). |
| 321 | | virtual int add_vector ( const RV &rv, string prefix = "" ); |
| 322 | | |
| 323 | | virtual int add_setting ( const string &prefix ); |
| 324 | | |
| 325 | | //! log this vector |
| 326 | | virtual void log_vector ( int id, const vec &v ) = 0; |
| 327 | | |
| 328 | | virtual Setting & log_to_setting ( int id ) { |
| 329 | | return settings ( id )->add ( Setting::TypeGroup ); |
| 330 | | } |
| 331 | | //! log this double |
| 332 | | virtual void logit ( int id, const double &d ) = 0; |
| 333 | | |
| 334 | | //! Shifts storage position for another time step. |
| 335 | | virtual void step() = 0; |
| 336 | | |
| 337 | | //! Finalize storing information |
| 338 | | virtual void finalize() {}; |
| 339 | | |
| 340 | | //! Initialize the storage |
| 341 | | virtual void init() {}; |
| 342 | | |
| 343 | | //!separator of prefixes for this logger |
| 344 | | const string& prefix_sep() { |
| 345 | | return separator; |
| 346 | | } |
| 347 | | }; |
| 348 | | |
| 349 | | |
| 350 | | //! Class representing function \f$f(x)\f$ of variable \f$x\f$ represented by \c rv |
| 351 | | class fnc : public root { |
| 352 | | protected: |
| 353 | | //! Length of the output vector |
| 354 | | int dimy; |
| 355 | | //! Length of the input vector |
| 356 | | int dimc; |
| 357 | | public: |
| 358 | | //!default constructor |
| 359 | | fnc() {}; |
| 360 | | //! function evaluates numerical value of \f$f(x)\f$ at \f$x=\f$ \c cond |
| 361 | | virtual vec eval ( const vec &cond ) { |
| 362 | | return vec ( 0 ); |
| 363 | | }; |
| 364 | | |
| 365 | | //! function substitutes given value into an appropriate position |
| 366 | | virtual void condition ( const vec &val ) {}; |
| 367 | | |
| 368 | | //! access function |
| 369 | | int dimension() const { |
| 370 | | return dimy; |
| 371 | | } |
| 372 | | //! access function |
| 373 | | int dimensionc() const { |
| 374 | | return dimc; |
| 375 | | } |
| 376 | | }; |
| 377 | | |
| 378 | | class epdf; |
| 379 | | |
| 380 | | //! Conditional probability density, e.g. modeling \f$ f( x | y) \f$, where \f$ x \f$ is random variable, \c rv, and \f$ y \f$ is conditioning variable, \c rvc. |
| 381 | | class pdf : public root { |
| 382 | | protected: |
| 383 | | //!dimension of the condition |
| 384 | | int dimc; |
| 385 | | |
| 386 | | //! random variable in condition |
| 387 | | RV rvc; |
| 388 | | |
| 389 | | //! dimension of random variable |
| 390 | | int dim; |
| 391 | | |
| 392 | | //! random variable |
| 393 | | RV rv; |
| 394 | | |
| 395 | | public: |
| 396 | | //! \name Constructors |
| 397 | | //! @{ |
| 398 | | |
| 399 | | pdf() : dimc ( 0 ), rvc(), dim ( 0 ), rv() { } |
| 400 | | |
| 401 | | pdf ( const pdf &m ) : dimc ( m.dimc ), rvc ( m.rvc ), dim ( m.dim ), rv ( m.rv ) { } |
| 402 | | |
| 403 | | //!@} |
| 404 | | |
| 405 | | //! \name Matematical operations |
| 406 | | //!@{ |
| 407 | | |
| 408 | | //! Returns a sample from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
| 409 | | virtual vec samplecond ( const vec &cond ) = 0; |
| 410 | | |
| 411 | | //! Returns \param N samples from the density conditioned on \c cond, \f$x \sim epdf(rv|cond)\f$. \param cond is numeric value of \c rv |
| 412 | | virtual mat samplecond_mat ( const vec &cond, int N ); |
| 413 | | |
| 414 | | //! Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently. |
| 415 | | virtual double evallogcond ( const vec &yt, const vec &cond ) = 0; |
| 416 | | |
| 417 | | //! Matrix version of evallogcond |
| 418 | | virtual vec evallogcond_mat ( const mat &Yt, const vec &cond ) { |
| 419 | | vec v ( Yt.cols() ); |
| 420 | | for ( int i = 0; i < Yt.cols(); i++ ) { |
| 421 | | v ( i ) = evallogcond ( Yt.get_col ( i ), cond ); |
| 422 | | } |
| 423 | | return v; |
| 424 | | } |
| 425 | | |
| 426 | | //! Array<vec> version of evallogcond |
| 427 | | virtual vec evallogcond_mat ( const Array<vec> &Yt, const vec &cond ) { |
| 428 | | vec v ( Yt.length() ); |
| 429 | | for ( int i = 0; i < Yt.length(); i++ ) { |
| 430 | | v ( i ) = evallogcond ( Yt( i ), cond ); |
| 431 | | } |
| 432 | | return v; |
| 433 | | } |
| 434 | | |
| 435 | | //! \name Access to attributes |
| 436 | | //! @{ |
| 437 | | |
| 438 | | const RV& _rv() const { |
| 439 | | return rv; |
| 440 | | } |
| 441 | | const RV& _rvc() const { |
| 442 | | return rvc; |
| 443 | | } |
| 444 | | |
| 445 | | int dimension() const { |
| 446 | | return dim; |
| 447 | | } |
| 448 | | int dimensionc() { |
| 449 | | return dimc; |
| 450 | | } |
| 451 | | |
| 452 | | //! access function |
| 453 | | void set_dim ( int d ) { |
| 454 | | dim = d; |
| 455 | | } |
| 456 | | //! access function |
| 457 | | void set_dimc ( int d ) { |
| 458 | | dimc = d; |
| 459 | | } |
| 460 | | //! Load from structure with elements: |
| 461 | | //! \code |
| 462 | | //! { class = "pdf_offspring", |
| 463 | | //! rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
| 464 | | //! rvc= {class="RV", names=(...),}; // RV describing meaning of random variable in condition |
| 465 | | //! // elements of offsprings |
| 466 | | //! } |
| 467 | | //! \endcode |
| 468 | | //!@} |
| 469 | | void from_setting ( const Setting &set ); |
| 470 | | |
| 471 | | void to_setting ( Setting &set ) const; |
| 472 | | //!@} |
| 473 | | |
| 474 | | //! \name Connection to other objects |
| 475 | | //!@{ |
| 476 | | void set_rvc ( const RV &rvc0 ) { |
| 477 | | rvc = rvc0; |
| 478 | | } |
| 479 | | void set_rv ( const RV &rv0 ) { |
| 480 | | rv = rv0; |
| 481 | | } |
| 482 | | |
| 483 | | //! Names of variables stored in RV are considered to be valid only if their size match size of the parameters (dim). |
| 484 | | bool isnamed() const { |
| 485 | | return ( dim == rv._dsize() ) && ( dimc == rvc._dsize() ); |
| 486 | | } |
| 487 | | //!@} |
| 488 | | }; |
| 489 | | SHAREDPTR ( pdf ); |
| 490 | | |
| 491 | | //! Probability density function with numerical statistics, e.g. posterior density. |
| 492 | | class epdf : public pdf { |
| 493 | | |
| 494 | | public: |
| 495 | | /*! \name Constructors |
| 496 | | Construction of each epdf should support two types of constructors: |
| 497 | | \li empty constructor, |
| 498 | | \li copy constructor, |
| 499 | | |
| 500 | | The following constructors should be supported for convenience: |
| 501 | | \li constructor followed by calling \c set_parameters() |
| 502 | | \li constructor accepting random variables calling \c set_rv() |
| 503 | | |
| 504 | | All internal data structures are constructed as empty. Their values (including sizes) will be set by method \c set_parameters(). This way references can be initialized in constructors. |
| 505 | | @{*/ |
| 506 | | epdf() {}; |
| 507 | | epdf ( const epdf &e ) : pdf ( e ) {}; |
| 508 | | |
| 509 | | virtual void validate (int dim0){ |
| 510 | | dim = dim0; |
| 511 | | } |
| 512 | | |
| 513 | | //!@} |
| 514 | | |
| 515 | | //! \name Matematical Operations |
| 516 | | //!@{ |
| 517 | | |
| 518 | | //! Returns a sample, \f$ x \f$ from density \f$ f_x()\f$ |
| 519 | | virtual vec sample() const = 0; |
| 520 | | |
| 521 | | //! Returns N samples, \f$ [x_1 , x_2 , \ldots \ \f$ from density \f$ f_x(rv)\f$ |
| 522 | | virtual mat sample_mat ( int N ) const; |
| 523 | | |
| 524 | | //! Compute log-probability of argument \c val |
| 525 | | //! In case the argument is out of suport return -Infinity |
| 526 | | virtual double evallog ( const vec &val ) const = 0; |
| 527 | | |
| 528 | | //! Compute log-probability of multiple values argument \c val |
| 529 | | virtual vec evallog_mat ( const mat &Val ) const; |
| 530 | | |
| 531 | | //! Compute log-probability of multiple values argument \c val |
| 532 | | virtual vec evallog_mat ( const Array<vec> &Avec ) const; |
| 533 | | |
| 534 | | //! Return conditional density on the given RV, the remaining rvs will be in conditioning |
| 535 | | virtual shared_ptr<pdf> condition ( const RV &rv ) const; |
| 536 | | |
| 537 | | //! Return marginal density on the given RV, the remainig rvs are intergrated out |
| 538 | | virtual shared_ptr<epdf> marginal ( const RV &rv ) const; |
| 539 | | |
| 540 | | virtual vec mean() const = 0; |
| 541 | | |
| 542 | | //! return expected variance (not covariance!) |
| 543 | | virtual vec variance() const = 0; |
| 544 | | |
| 545 | | //! Lower and upper bounds of \c percentage % quantile, returns mean-2*sigma as default |
| 546 | | virtual void qbounds ( vec &lb, vec &ub, double percentage = 0.95 ) const { |
| 547 | | vec mea = mean(); |
| 548 | | vec std = sqrt ( variance() ); |
| 549 | | lb = mea - 2 * std; |
| 550 | | ub = mea + 2 * std; |
| 551 | | }; |
| 552 | | //!@} |
| 553 | | |
| 554 | | //! \name Connection to other classes |
| 555 | | //! Description of the random quantity via attribute \c rv is optional. |
| 556 | | //! For operations such as sampling \c rv does not need to be set. However, for \c marginalization |
| 557 | | //! and \c conditioning \c rv has to be set. NB: |
| 558 | | //! @{ |
| 559 | | |
| 560 | | //! store values of the epdf on the following levels: |
| 561 | | //! #1 mean |
| 562 | | //! #2 mean + lower & upper bound |
| 563 | | void log_register ( logger &L, const string &prefix ); |
| 564 | | |
| 565 | | void log_write() const; |
| 566 | | //!@} |
| 567 | | |
| 568 | | //! \name Access to attributes |
| 569 | | //! @{ |
| 570 | | |
| 571 | | //! Load from structure with elements: |
| 572 | | //! \code |
| 573 | | //! { rv = {class="RV", names=(...),}; // RV describing meaning of random variable |
| 574 | | //! // elements of offsprings |
| 575 | | //! } |
| 576 | | //! \endcode |
| 577 | | //!@} |
| 578 | | void from_setting ( const Setting &set ) { |
| 579 | | shared_ptr<RV> r = UI::build<RV> ( set, "rv", UI::optional ); |
| 580 | | if ( r ) { |
| 581 | | set_rv ( *r ); |
| 582 | | } |
| 583 | | } |
| 584 | | |
| 585 | | void to_setting ( Setting &set ) const { |
| 586 | | // we do not want to store rvc, therfore, pdf::to_setting( set ) is omitted |
| 587 | | root::to_setting(set); |
| 588 | | |
| 589 | | UI::save( &rv, set, "rv" ); |
| 590 | | } |
| 591 | | |
| 592 | | vec samplecond ( const vec &cond ) { |
| 593 | | return sample(); |
| 594 | | } |
| 595 | | double evallogcond ( const vec &val, const vec &cond ) { |
| 596 | | return evallog ( val ); |
| 597 | | } |
| 598 | | }; |
| 599 | | SHAREDPTR ( epdf ); |
| 600 | | |
| 601 | | //! pdf with internal epdf that is modified by function \c condition |
| 602 | | template <class EPDF> |
| 603 | | class pdf_internal: public pdf { |
| 604 | | protected : |
| 605 | | //! Internal epdf used for sampling |
| 606 | | EPDF iepdf; |
| 607 | | public: |
| 608 | | //! constructor |
| 609 | | pdf_internal() : pdf(), iepdf() { |
| 610 | | } |
| 611 | | |
| 612 | | //! Update \c iepdf so that it represents this pdf conditioned on \c rvc = cond |
| 613 | | //! This function provides convenient reimplementation in offsprings |
| 614 | | virtual void condition ( const vec &cond ) = 0; |
| 615 | | |
| 616 | | //!access function to iepdf |
| 617 | | EPDF& e() { |
| 618 | | return iepdf; |
| 619 | | } |
| 620 | | |
| 621 | | //! Reimplements samplecond using \c condition() |
| 622 | | vec samplecond ( const vec &cond ); |
| 623 | | //! Reimplements evallogcond using \c condition() |
| 624 | | double evallogcond ( const vec &val, const vec &cond ); |
| 625 | | //! Efficient version of evallogcond for matrices |
| 626 | | virtual vec evallogcond_mat ( const mat &Dt, const vec &cond ); |
| 627 | | //! Efficient version of evallogcond for Array<vec> |
| 628 | | virtual vec evallogcond_mat ( const Array<vec> &Dt, const vec &cond ); |
| 629 | | //! Efficient version of samplecond |
| 630 | | virtual mat samplecond_mat ( const vec &cond, int N ); |
| 631 | | |
| 632 | | void validate() { |
| 633 | | iepdf.validate(); |
| 634 | | if ( rv._dsize() < iepdf._rv()._dsize() ) { |
| 635 | | rv = iepdf._rv(); |
| 636 | | }; |
| 637 | | dim = iepdf.dimension(); |
| 638 | | } |
| 639 | | }; |
| 640 | | |
| 641 | | /*! \brief DataLink is a connection between two data vectors Up and Down |
| 642 | | |
| 643 | | Up can be longer than Down. Down must be fully present in Up (TODO optional) |
| 644 | | See chart: |
| 645 | | \dot |
| 646 | | digraph datalink { |
| 647 | | node [shape=record]; |
| 648 | | subgraph cluster0 { |
| 649 | | label = "Up"; |
| 650 | | up [label="<1>|<2>|<3>|<4>|<5>"]; |
| 651 | | color = "white" |
| 652 | | } |
| 653 | | subgraph cluster1{ |
| 654 | | label = "Down"; |
| 655 | | labelloc = b; |
| 656 | | down [label="<1>|<2>|<3>"]; |
| 657 | | color = "white" |
| 658 | | } |
| 659 | | up:1 -> down:1; |
| 660 | | up:3 -> down:2; |
| 661 | | up:5 -> down:3; |
| 662 | | } |
| 663 | | \enddot |
| 664 | | |
| 665 | | */ |
| 666 | | class datalink { |
| 667 | | protected: |
| 668 | | //! Remember how long val should be |
| 669 | | int downsize; |
| 670 | | |
| 671 | | //! Remember how long val of "Up" should be |
| 672 | | int upsize; |
| 673 | | |
| 674 | | //! val-to-val link, indices of the upper val |
| 675 | | ivec v2v_up; |
| 676 | | |
| 677 | | public: |
| 678 | | //! Constructor |
| 679 | | datalink() : downsize ( 0 ), upsize ( 0 ) { } |
| 680 | | |
| 681 | | //! Convenience constructor |
| 682 | | datalink ( const RV &rv, const RV &rv_up ) { |
| 683 | | set_connection ( rv, rv_up ); |
| 684 | | } |
| 685 | | |
| 686 | | //! set connection, rv must be fully present in rv_up |
| 687 | | virtual void set_connection ( const RV &rv, const RV &rv_up ); |
| 688 | | |
| 689 | | //! set connection using indices |
| 690 | | virtual void set_connection ( int ds, int us, const ivec &upind ); |
| 691 | | |
| 692 | | //! Get val for myself from val of "Up" |
| 693 | | vec pushdown ( const vec &val_up ) { |
| 694 | | vec tmp ( downsize ); |
| 695 | | filldown ( val_up, tmp ); |
| 696 | | return tmp; |
| 697 | | } |
| 698 | | //! Get val for vector val_down from val of "Up" |
| 699 | | virtual void filldown ( const vec &val_up, vec &val_down ) { |
| 700 | | bdm_assert_debug ( upsize == val_up.length(), "Wrong val_up" ); |
| 701 | | val_down = val_up ( v2v_up ); |
| 702 | | } |
| 703 | | //! Fill val of "Up" by my pieces |
| 704 | | virtual void pushup ( vec &val_up, const vec &val ) { |
| 705 | | bdm_assert_debug ( downsize == val.length(), "Wrong val" ); |
| 706 | | bdm_assert_debug ( upsize == val_up.length(), "Wrong val_up" ); |
| 707 | | set_subvector ( val_up, v2v_up, val ); |
| 708 | | } |
| 709 | | //! access functions |
| 710 | | int _upsize() { |
| 711 | | return upsize; |
| 712 | | } |
| 713 | | //! access functions |
| 714 | | int _downsize() { |
| 715 | | return downsize; |
| 716 | | } |
| 717 | | //! for future use |
| 718 | | virtual ~datalink() {} |
| 719 | | }; |
| 720 | | |
| 721 | | /*! Extension of datalink to fill only part of Down |
| 722 | | */ |
| 723 | | class datalink_part : public datalink { |
| 724 | | protected: |
| 725 | | //! indeces of values in vector downsize |
| 726 | | ivec v2v_down; |
| 727 | | public: |
| 728 | | void set_connection ( const RV &rv, const RV &rv_up ); |
| 729 | | //! Get val for vector val_down from val of "Up" |
| 730 | | void filldown ( const vec &val_up, vec &val_down ) { |
| 731 | | set_subvector ( val_down, v2v_down, val_up ( v2v_up ) ); |
| 732 | | } |
| 733 | | }; |
| 734 | | |
| 735 | | /*! \brief Datalink that buffers delayed values - do not forget to call step() |
| 736 | | |
| 737 | | Up is current data, Down is their subset with possibly delayed values |
| 738 | | */ |
| 739 | | class datalink_buffered: public datalink_part { |
| 740 | | protected: |
| 741 | | //! History, ordered as \f$[Up_{t-1},Up_{t-2}, \ldots]\f$ |
| 742 | | vec history; |
| 743 | | //! rv of the history |
| 744 | | RV Hrv; |
| 745 | | //! h2v : indeces in down |
| 746 | | ivec h2v_down; |
| 747 | | //! h2v : indeces in history |
| 748 | | ivec h2v_hist; |
| 749 | | //! v2h: indeces of up too be pushed to h |
| 750 | | ivec v2h_up; |
| 751 | | public: |
| 752 | | |
| 753 | | datalink_buffered() : datalink_part(), history ( 0 ), h2v_down ( 0 ), h2v_hist ( 0 ) {}; |
| 754 | | //! push current data to history |
| 755 | | void store_data ( const vec &val_up ) { |
| 756 | | if ( v2h_up.length() > 0 ) { |
| 757 | | history.shift_right ( 0, v2h_up.length() ); |
| 758 | | history.set_subvector ( 0, val_up ( v2h_up ) ); |
| 759 | | } |
| 760 | | } |
| 761 | | //! Get val for myself from val of "Up" |
| 762 | | vec pushdown ( const vec &val_up ) { |
| 763 | | vec tmp ( downsize ); |
| 764 | | filldown ( val_up, tmp ); |
| 765 | | return tmp; |
| 766 | | } |
| 767 | | |
| 768 | | void filldown ( const vec &val_up, vec &val_down ) { |
| 769 | | bdm_assert_debug ( val_down.length() >= downsize, "short val_down" ); |
| 770 | | |
| 771 | | set_subvector ( val_down, v2v_down, val_up ( v2v_up ) ); // copy direct values |
| 772 | | set_subvector ( val_down, h2v_down, history ( h2v_hist ) ); // copy delayed values |
| 773 | | } |
| 774 | | |
| 775 | | void set_connection ( const RV &rv, const RV &rv_up ); |
| 776 | | |
| 777 | | //! set history of variable given by \c rv1 to values of \c hist. |
| 778 | | void set_history ( const RV& rv1, const vec &hist0 ); |
| 779 | | }; |
| 780 | | |
| 781 | | //! buffered datalink from 2 vectors to 1 |
| 782 | | class datalink_2to1_buffered { |
| 783 | | protected: |
| 784 | | //! link 1st vector to down |
| 785 | | datalink_buffered dl1; |
| 786 | | //! link 2nd vector to down |
| 787 | | datalink_buffered dl2; |
| 788 | | public: |
| 789 | | //! set connection between RVs |
| 790 | | void set_connection ( const RV &rv, const RV &rv_up1, const RV &rv_up2 ) { |
| 791 | | dl1.set_connection ( rv, rv_up1 ); |
| 792 | | dl2.set_connection ( rv, rv_up2 ); |
| 793 | | } |
| 794 | | //! fill values of down from the values of the two up vectors |
| 795 | | void filldown ( const vec &val1, const vec &val2, vec &val_down ) { |
| 796 | | bdm_assert_debug ( val_down.length() >= dl1._downsize() + dl2._downsize(), "short val_down" ); |
| 797 | | dl1.filldown ( val1, val_down ); |
| 798 | | dl2.filldown ( val2, val_down ); |
| 799 | | } |
| 800 | | //! update buffer |
| 801 | | void step ( const vec &dt, const vec &ut ) { |
| 802 | | dl1.store_data ( dt ); |
| 803 | | dl2.store_data ( ut ); |
| 804 | | } |
| 805 | | }; |
| 806 | | |
| 807 | | |
| 808 | | |
| 809 | | //! Data link with a condition. |
| 810 | | class datalink_m2e: public datalink { |
| 811 | | protected: |
| 812 | | //! Remember how long cond should be |
| 813 | | int condsize; |
| 814 | | |
| 815 | | //!upper_val-to-local_cond link, indices of the upper val |
| 816 | | ivec v2c_up; |
| 817 | | |
| 818 | | //!upper_val-to-local_cond link, indices of the local cond |
| 819 | | ivec v2c_lo; |
| 820 | | |
| 821 | | public: |
| 822 | | //! Constructor |
| 823 | | datalink_m2e() : condsize ( 0 ) { } |
| 824 | | |
| 825 | | //! Set connection between vectors |
| 826 | | void set_connection ( const RV &rv, const RV &rvc, const RV &rv_up ); |
| 827 | | |
| 828 | | //!Construct condition |
| 829 | | vec get_cond ( const vec &val_up ); |
| 830 | | |
| 831 | | //! Copy corresponding values to Up.condition |
| 832 | | void pushup_cond ( vec &val_up, const vec &val, const vec &cond ); |
| 833 | | }; |
| 834 | | |
| 835 | | //!DataLink is a connection between pdf and its superordinate (Up) |
| 836 | | //! This class links |
| 837 | | class datalink_m2m: public datalink_m2e { |
| 838 | | protected: |
| 839 | | //!cond-to-cond link, indices of the upper cond |
| 840 | | ivec c2c_up; |
| 841 | | //!cond-to-cond link, indices of the local cond |
| 842 | | ivec c2c_lo; |
| 843 | | |
| 844 | | public: |
| 845 | | //! Constructor |
| 846 | | datalink_m2m() {}; |
| 847 | | //! Set connection between the vectors |
| 848 | | void set_connection ( const RV &rv, const RV &rvc, const RV &rv_up, const RV &rvc_up ) { |
| 849 | | datalink_m2e::set_connection ( rv, rvc, rv_up ); |
| 850 | | //establish c2c connection |
| 851 | | rvc.dataind ( rvc_up, c2c_lo, c2c_up ); |
| 852 | | // bdm_assert_debug ( c2c_lo.length() + v2c_lo.length() == condsize, "cond is not fully given" ); |
| 853 | | } |
| 854 | | |
| 855 | | //! Get cond for myself from val and cond of "Up" |
| 856 | | vec get_cond ( const vec &val_up, const vec &cond_up ) { |
| 857 | | vec tmp ( condsize ); |
| 858 | | fill_cond ( val_up, cond_up, tmp ); |
| 859 | | return tmp; |
| 860 | | } |
| 861 | | //! fill condition |
| 862 | | void fill_cond ( const vec &val_up, const vec &cond_up, vec& cond_out ) { |
| 863 | | bdm_assert_debug ( cond_out.length() >= condsize, "dl.fill_cond: cond_out is too small" ); |
| 864 | | set_subvector ( cond_out, v2c_lo, val_up ( v2c_up ) ); |
| 865 | | set_subvector ( cond_out, c2c_lo, cond_up ( c2c_up ) ); |
| 866 | | } |
| 867 | | //! Fill |
| 868 | | |
| 869 | | }; |
| 870 | | |
| 871 | | |
| 872 | | //! \brief Combines RVs from a list of pdfs to a single one. |
| 873 | | RV get_composite_rv ( const Array<shared_ptr<pdf> > &pdfs, bool checkoverlap = false ); |
| 874 | | |
| 875 | | /*! \brief Abstract class for discrete-time sources of data. |
| 876 | | |
| 877 | | The class abstracts operations of: |
| 878 | | \li data aquisition, |
| 879 | | \li data-preprocessing, such as scaling of data, |
| 880 | | \li data resampling from the task of estimation and control. |
| 881 | | Moreover, for controlled systems, it is able to receive the desired control action and perform it in the next step. (Or as soon as possible). |
| 882 | | |
| 883 | | The DataSource has three main data interaction structures: |
| 884 | | \li input, \f$ u_t \f$, |
| 885 | | \li output \f$ y_t \f$, |
| 886 | | \li data, \f$ d_t=[y_t,u_t, \ldots ]\f$ a collection of all inputs and outputs and possibly some internal variables too. |
| 887 | | |
| 888 | | */ |
| 889 | | |
| 890 | | class DS : public root { |
| 891 | | protected: |
| 892 | | //! size of data returned by \c getdata() |
| 893 | | int dtsize; |
| 894 | | //! size of data |
| 895 | | int utsize; |
| 896 | | //!size of output |
| 897 | | int ytsize; |
| 898 | | //!Description of data returned by \c getdata(). |
| 899 | | RV Drv; |
| 900 | | //!Description of data witten by by \c write(). |
| 901 | | RV Urv; // |
| 902 | | //!Description of output data |
| 903 | | RV Yrv; // |
| 904 | | public: |
| 905 | | //! default constructors |
| 906 | | DS() : dtsize ( 0 ), utsize ( 0 ), ytsize ( 0 ), Drv(), Urv(), Yrv() { |
| 907 | | log_level = 1; |
| 908 | | }; |
| 909 | | |
| 910 | | //! Returns maximum number of provided data, by default it is set to maximum allowed length, shorter DS should overload this method! See, MemDS.max_length(). |
| 911 | | virtual int max_length() { |
| 912 | | return std::numeric_limits< int >::max(); |
| 913 | | } |
| 914 | | //! Returns full vector of observed data=[output, input] |
| 915 | | virtual void getdata ( vec &dt ) const = 0; |
| 916 | | |
| 917 | | //! Returns data records at indeces. |
| 918 | | virtual void getdata ( vec &dt, const ivec &indeces ) = 0; |
| 919 | | |
| 920 | | //! Accepts action variable and schedule it for application. |
| 921 | | virtual void write ( const vec &ut ) = 0; |
| 922 | | |
| 923 | | //! Accepts action variables at specific indeces |
| 924 | | virtual void write ( const vec &ut, const ivec &indeces ) = 0; |
| 925 | | |
| 926 | | //! Moves from \f$ t \f$ to \f$ t+1 \f$, i.e. perfroms the actions and reads response of the system. |
| 927 | | virtual void step() = 0; |
| 928 | | |
| 929 | | //! Register DS for logging into logger L |
| 930 | | virtual void log_register ( logger &L, const string &prefix ); |
| 931 | | //! Register DS for logging into logger L |
| 932 | | virtual void log_write ( ) const; |
| 933 | | //!access function |
| 934 | | virtual const RV& _drv() const { |
| 935 | | return Drv; |
| 936 | | } |
| 937 | | //!access function |
| 938 | | const RV& _urv() const { |
| 939 | | return Urv; |
| 940 | | } |
| 941 | | //!access function |
| 942 | | const RV& _yrv() const { |
| 943 | | return Yrv; |
| 944 | | } |
| 945 | | //! set random variables |
| 946 | | virtual void set_drv ( const RV &yrv, const RV &urv ) { |
| 947 | | Yrv = yrv; |
| 948 | | Drv = concat ( yrv, urv ); |
| 949 | | Urv = urv; |
| 950 | | } |
| 951 | | }; |
| 952 | | |
| 953 | | /*! \brief Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities. |
| 954 | | |
| 955 | | This object represents exact or approximate evaluation of the Bayes rule: |
| 956 | | \f[ |
| 957 | | f(\theta_t | y_1,\ldots,y_t, u_1,\ldots,u_t) = \frac{f(y_t|\theta_t,\cdot) f(\theta_t|d_1,\ldots,d_{t-1})}{f(y_t|d_1,\ldots,d_{t-1})} |
| 958 | | \f] |
| 959 | | where: |
| 960 | | * \f$ y_t \f$ is the variable |
| 961 | | Access to the resulting posterior density is via function \c posterior(). |
| 962 | | |
| 963 | | As a "side-effect" it also evaluates log-likelihood of the data, which can be accessed via function _ll(). |
| 964 | | It can also evaluate predictors of future values of \f$y_t\f$, see functions epredictor() and predictor(). |
| 965 | | |
| 966 | | Alternatively, it can evaluate posterior density with rvc replaced by the given values, \f$ c_t \f$: |
| 967 | | \f[ |
| 968 | | f(\theta_t | c_t, d_1,\ldots,d_t) \propto f(y_t,\theta_t|c_t,\cdot, d_1,\ldots,d_{t-1}) |
| 969 | | \f] |
| 970 | | |
| 971 | | |
| 972 | | */ |
| 973 | | |
| 974 | | #ifndef BDMLIB |
| 975 | | // MUZEME INTERNE POUZIVAT ENUMY, A KLIDNE MENIT JEJICH PORADI, DIKY TOMUHLE MAKRU SE VZDY NAMAPUJI NA TY SPRAVNE STRINGY |
| 976 | | #define DEFINED_OPTIONS(...) enum defined_options { __VA_ARGS__ }; const Array<string> logged_options::names( "{"#__VA_ARGS__"}" ) |
| 977 | | // TODO: ROZPARESUJE TO KONSTRUKTOR ARRAYE NA JEDNOTLIVE STRINGY?? NUTNO OTESTOVAT!! |
| 978 | | #else |
| 979 | | #define DEFINED_OPTIONS(...) enum defined_options { __VA_ARGS__ }; |
| 980 | | #endif |
| 981 | | |
| 982 | | enum defined_options; |
| 983 | | |
| 984 | | class logged_options : public root |
| 985 | | // TODO: HA, TADY TO MAME!! POKUD ZDE CHCEME TEZ UZIVAT FROMSETTING A TOSETTING, NEMUZOU BYT LOGOVACI |
| 986 | | // VECI PRIMO V ROOTU.. RESENIM BUDE ZREJME KOMPOZICE - FUNKCNOST SOUVISEJICI S LOGGERAMA UMISTENA V ROOTU |
| 987 | | // PREJDE DO TETO TRIDY, A KDO BUDE MIT ZAJEM O NAPOJENI NA LOGGERY MUSI OBSAHOVAT LOGGED_OPTIONS INSTANCI... |
| 988 | | // TZN. TRIDU LOGGED OPTIONS BUDE JESTE TREBA LEHCE ROZSIRIT.. |
| 989 | | // KOMPOZICE TAKY UMOZNI NEKOLIK RUZNYCH LOGGERU PRO JEDEN OBJEKT.. PROSTE BUDE OBSHOVAT NEKOLIK RUZNYCH |
| 990 | | // LOGGED_OPTIONS INSTANCI NAPOJENYCH NA RUZNE LOGGERY.. HMM, ALE TO JE TREBA JESTE DOMYSLET.) |
| 991 | | { |
| 992 | | private: |
| 993 | | bitset<32> values; |
| 994 | | |
| 995 | | static const Array<string> names; |
| 996 | | |
| 997 | | public: |
| 998 | | |
| 999 | | bool operator [] (const defined_options &option ) |
| 1000 | | { |
| 1001 | | return values[option]; |
| 1002 | | } |
| 1003 | | |
| 1004 | | void from_setting ( const Setting &set ) |
| 1005 | | { |
| 1006 | | values.reset(); |
| 1007 | | Array<string> true_options; |
| 1008 | | UI::get( true_options, set ); |
| 1009 | | for( int i = 0; i < true_options.length(); i++ ) |
| 1010 | | for( int j = 0; j < names.length(); j++ ) |
| 1011 | | if( true_options(i) == names(j) ) |
| 1012 | | { |
| 1013 | | values[j] = true; |
| 1014 | | break; |
| 1015 | | } // TODO kdyz ho to vubec nenajde, nic se nedeje.. coz radeji vyhodit UI vyjimku??! |
| 1016 | | } |
| 1017 | | |
| 1018 | | void to_setting( Setting &set ) const |
| 1019 | | { |
| 1020 | | Array<string> true_options( values.count() ); |
| 1021 | | int true_options_count = 0; |
| 1022 | | for( unsigned int i = 0; i < values.size(); i++ ) |
| 1023 | | if( values[i] ) |
| 1024 | | true_options( true_options_count++ ) = names(i); |
| 1025 | | UI::save( true_options, set ); |
| 1026 | | } |
| 1027 | | }; |
| 1028 | | UIREGISTER(logged_options); |
| 1029 | | DEFINED_OPTIONS(bounds,likelyhood,full); |
| 1030 | | |
| 1031 | | |
| 1032 | | class BM : public root { |
| 1033 | | protected: |
| 1034 | | //! Random variable of the data (optional) |
| 1035 | | RV yrv; |
| 1036 | | //! size of the data record |
| 1037 | | int dimy; |
| 1038 | | //! Name of extension variable |
| 1039 | | RV rvc; |
| 1040 | | //! size of the conditioning vector |
| 1041 | | int dimc; |
| 1042 | | |
| 1043 | | //!Logarithm of marginalized data likelihood. |
| 1044 | | double ll; |
| 1045 | | //! If true, the filter will compute likelihood of the data record and store it in \c ll . Set to false if you want to save computational time. |
| 1046 | | bool evalll; |
| 1047 | | |
| 1048 | | public: |
| 1049 | | //! \name Constructors |
| 1050 | | //! @{ |
| 1051 | | |
| 1052 | | BM() : yrv(), dimy ( 0 ), rvc(), dimc ( 0 ), ll ( 0 ), evalll ( true ) { }; |
| 1053 | | // BM ( const BM &B ) : yrv ( B.yrv ), dimy(B.dimy), rvc ( B.rvc ),dimc(B.dimc), ll ( B.ll ), evalll ( B.evalll ) {} |
| 1054 | | //! \brief Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! |
| 1055 | | //! Prototype: \code BM* _copy() const {return new BM(*this);} \endcode |
| 1056 | | virtual BM* _copy() const { return NULL; }; // TODO NEBUDE TU TAKY LEPSI BDM_ERROR??! |
| 1057 | | //!@} |
| 1058 | | |
| 1059 | | //! \name Mathematical operations |
| 1060 | | //!@{ |
| 1061 | | |
| 1062 | | /*! \brief Incremental Bayes rule |
| 1063 | | @param dt vector of input data |
| 1064 | | */ |
| 1065 | | virtual void bayes ( const vec &yt, const vec &cond = empty_vec ) = 0; |
| 1066 | | //! Batch Bayes rule (columns of Dt are observations) |
| 1067 | | virtual void bayes_batch ( const mat &Dt, const vec &cond = empty_vec ); |
| 1068 | | //! Batch Bayes rule (columns of Dt are observations, columns of Cond are conditions) |
| 1069 | | virtual void bayes_batch ( const mat &Dt, const mat &Cond ); |
| 1070 | | //! Evaluates predictive log-likelihood of the given data record |
| 1071 | | //! I.e. marginal likelihood of the data with the posterior integrated out. |
| 1072 | | //! This function evaluates only \f$ y_t \f$, condition is assumed to be the last used in bayes(). |
| 1073 | | //! See bdm::BM::predictor for conditional version. |
| 1074 | | virtual double logpred ( const vec &yt ) const = 0; |
| 1075 | | |
| 1076 | | //! Matrix version of logpred |
| 1077 | | vec logpred_mat ( const mat &Yt ) const { |
| 1078 | | vec tmp ( Yt.cols() ); |
| 1079 | | for ( int i = 0; i < Yt.cols(); i++ ) { |
| 1080 | | tmp ( i ) = logpred ( Yt.get_col ( i ) ); |
| 1081 | | } |
| 1082 | | return tmp; |
| 1083 | | } |
| 1084 | | |
| 1085 | | //!Constructs a predictive density \f$ f(d_{t+1} |d_{t}, \ldots d_{0}) \f$ |
| 1086 | | virtual epdf* epredictor() const = 0; |
| 1087 | | |
| 1088 | | //!Constructs conditional density of 1-step ahead predictor \f$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) \f$ |
| 1089 | | virtual pdf* predictor() const = 0; |
| 1090 | | |
| 1091 | | //!@} |
| 1092 | | |
| 1093 | | |
| 1094 | | //! \name Access to attributes |
| 1095 | | //!@{ |
| 1096 | | //! access function |
| 1097 | | const RV& _rvc() const { |
| 1098 | | return rvc; |
| 1099 | | } |
| 1100 | | //! access function |
| 1101 | | int dimensionc() const { |
| 1102 | | return dimc; |
| 1103 | | } |
| 1104 | | //! access function |
| 1105 | | int dimensiony() const { |
| 1106 | | return dimy; |
| 1107 | | } |
| 1108 | | //! access function |
| 1109 | | int dimension() const { |
| 1110 | | return posterior().dimension(); |
| 1111 | | } |
| 1112 | | //! access function |
| 1113 | | const RV& _yrv() const { |
| 1114 | | return yrv; |
| 1115 | | } |
| 1116 | | //! access function |
| 1117 | | void set_yrv ( const RV &rv ) { |
| 1118 | | yrv = rv; |
| 1119 | | } |
| 1120 | | //! access function |
| 1121 | | void set_rvc ( const RV &rv ) { |
| 1122 | | rvc = rv; |
| 1123 | | } |
| 1124 | | //! access to rv of the posterior |
| 1125 | | void set_rv ( const RV &rv ) { |
| 1126 | | const_cast<epdf&> ( posterior() ).set_rv ( rv ); |
| 1127 | | } |
| 1128 | | //! access function |
| 1129 | | void set_dim ( int dim ) { |
| 1130 | | const_cast<epdf&> ( posterior() ).set_dim ( dim ); |
| 1131 | | } |
| 1132 | | //! return internal log-likelihood of the last data vector |
| 1133 | | double _ll() const { |
| 1134 | | return ll; |
| 1135 | | } |
| 1136 | | //! switch evaluation of log-likelihood on/off |
| 1137 | | void set_evalll ( bool evl0 ) { |
| 1138 | | evalll = evl0; |
| 1139 | | } |
| 1140 | | //! return posterior density |
| 1141 | | virtual const epdf& posterior() const = 0; |
| 1142 | | //!@} |
| 1143 | | |
| 1144 | | //! \name Logging of results |
| 1145 | | //!@{ |
| 1146 | | |
| 1147 | | //! Add all logged variables to a logger |
| 1148 | | //! Log levels two digits: xy where |
| 1149 | | //! * y = 0/1 log-likelihood is to be logged |
| 1150 | | //! * x = level of the posterior (typically 0/1/2 for nothing/mean/bounds) |
| 1151 | | virtual void log_register ( logger &L, const string &prefix = "" ); |
| 1152 | | |
| 1153 | | //! Save results to the given logger, details of what is stored is configured by \c LIDs and \c options |
| 1154 | | virtual void log_write ( ) const; |
| 1155 | | |
| 1156 | | |
| 1157 | | // TOHLE EFEKTIVNE NAHRAZUJE loglevel |
| 1158 | | // TODO pozdeji dat private |
| 1159 | | logged_options logged; |
| 1160 | | |
| 1161 | | //!@} |
| 1162 | | void from_setting ( const Setting &set ) { |
| 1163 | | shared_ptr<RV> r = UI::build<RV> ( set, "yrv", UI::optional ); |
| 1164 | | if ( r ) { |
| 1165 | | set_yrv ( *r ); |
| 1166 | | } |
| 1167 | | shared_ptr<RV> r2 = UI::build<RV> ( set, "rvc", UI::optional ); |
| 1168 | | if ( r2 ) { |
| 1169 | | rvc = *r2; |
| 1170 | | } |
| 1171 | | shared_ptr<RV> r3 = UI::build<RV> ( set, "rv", UI::optional ); |
| 1172 | | if ( r3 ) { |
| 1173 | | set_rv ( *r3 ); |
| 1174 | | } |
| 1175 | | |
| 1176 | | UI::get ( logged, set, "logged", UI::optional ); |
| 1177 | | } |
| 1178 | | |
| 1179 | | |
| 1180 | | void to_setting ( Setting &set ) const { |
| 1181 | | root::to_setting( set ); |
| 1182 | | UI::save( &yrv, set, "yrv" ); |
| 1183 | | UI::save( &rvc, set, "rvc" ); |
| 1184 | | UI::save( &posterior()._rv(), set, "rv" ); |
| 1185 | | UI::save( &posterior()._rv(), set, "rv" ); |
| 1186 | | UI::save( &logged, set, "logged" ); |
| 1187 | | } |
| 1188 | | |
| 1189 | | virtual void set_options ( const string & ); |
| 1190 | | |
| 1191 | | // TODO JEN JAKO UKAZKA POUZIT LOGGED[..], NAKONEC ODSTRANIT CELOU METODU, A TAKY JEJI ORIGINAL VYSE |
| 1192 | | // jen co zavedeme logged_options i do dalsich objektu, pak se vse muze nastavovat primo |
| 1193 | | // ve from_settingu, bude to tak ok? |
| 1194 | | // nejlepsi by bylo, kdyby se options posterioru() nastavovaly v jeho from_settingu, |
| 1195 | | // aby nevznikala takovahle kaskada zavislosti.. pujde to? domyslet |
| 1196 | | virtual void SHOWING_ROOM( const string & ) |
| 1197 | | { |
| 1198 | | if ( logged[full] ) { |
| 1199 | | const_cast<epdf&> ( posterior() ).set_log_level ( 10 ) ; |
| 1200 | | } else { |
| 1201 | | if ( logged[bounds] ) { |
| 1202 | | const_cast<epdf&> ( posterior() ).set_log_level ( 2 ) ; |
| 1203 | | } else { |
| 1204 | | const_cast<epdf&> ( posterior() ).set_log_level ( 1 ) ; |
| 1205 | | } |
| 1206 | | if ( logged[likelyhood] ) { |
| 1207 | | log_level = 1; |
| 1208 | | } |
| 1209 | | } |
| 1210 | | } |
| 1211 | | |
| 1212 | | |
| 1213 | | }; |
| 1214 | | |
| 1215 | | //! array of pointers to epdf |
| 1216 | | typedef Array<shared_ptr<epdf> > epdf_array; |
| 1217 | | //! array of pointers to pdf |
| 1218 | | typedef Array<shared_ptr<pdf> > pdf_array; |
| 1219 | | |
| 1220 | | template<class EPDF> |
| 1221 | | vec pdf_internal<EPDF>::samplecond ( const vec &cond ) { |
| 1222 | | condition ( cond ); |
| 1223 | | vec temp = iepdf.sample(); |
| 1224 | | return temp; |
| 1225 | | } |
| 1226 | | |
| 1227 | | template<class EPDF> |
| 1228 | | mat pdf_internal<EPDF>::samplecond_mat ( const vec &cond, int N ) { |
| 1229 | | condition ( cond ); |
| 1230 | | mat temp ( dimension(), N ); |
| 1231 | | vec smp ( dimension() ); |
| 1232 | | for ( int i = 0; i < N; i++ ) { |
| 1233 | | smp = iepdf.sample(); |
| 1234 | | temp.set_col ( i, smp ); |
| 1235 | | } |
| 1236 | | |
| 1237 | | return temp; |
| 1238 | | } |
| 1239 | | |
| 1240 | | template<class EPDF> |
| 1241 | | double pdf_internal<EPDF>::evallogcond ( const vec &yt, const vec &cond ) { |
| 1242 | | double tmp; |
| 1243 | | condition ( cond ); |
| 1244 | | tmp = iepdf.evallog ( yt ); |
| 1245 | | return tmp; |
| 1246 | | } |
| 1247 | | |
| 1248 | | template<class EPDF> |
| 1249 | | vec pdf_internal<EPDF>::evallogcond_mat ( const mat &Yt, const vec &cond ) { |
| 1250 | | condition ( cond ); |
| 1251 | | return iepdf.evallog_mat ( Yt ); |
| 1252 | | } |
| 1253 | | |
| 1254 | | template<class EPDF> |
| 1255 | | vec pdf_internal<EPDF>::evallogcond_mat ( const Array<vec> &Yt, const vec &cond ) { |
| 1256 | | condition ( cond ); |
| 1257 | | return iepdf.evallog_mat ( Yt ); |
| 1258 | | } |
| 1259 | | |
| 1260 | | }; //namespace |
| 1261 | | #endif // BDMBASE_H |
