Changeset 996 for library/bdm/estim

Timestamp:

05/26/10 23:33:28 (14 years ago)

Author:

smidl

Message:

Scheduling of forgetting factor

Location:

library/bdm/estim

Files:

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

library/bdm/estim/arx.cpp

@@ -3 +3 @@
 
 void ARX::bayes_weighted ( const vec &yt, const vec &cond, const double w ) {
-
         bdm_assert_debug ( yt.length() == dimy, "ARX::bayes yt is of size "+num2str(yt.length())+" expected dimension is "+num2str(dimy) );
         bdm_assert_debug ( cond.length() == rgrlen , "ARX::bayes cond is of size "+num2str(cond.length())+" expected dimension is "+num2str(rgrlen) );
+        
+        BMEF::bayes_weighted(yt,cond,w); //potential discount scheduling
+        
         double lnc;
         //cache
@@ -216 +218 @@
 ivec ARX::structure_est_LT ( egiw est0 ) {
         //some stuff with beliefs etc.
-//      ivec ind = bdm::straux1(V,nu, est0._V(), est0._nu());
-        return ivec();//ind;
+        ivec belief = vec_1 ( 2 );        // default belief
+        int nbest = 1;           // nbest: how many regressors are returned
+        int nrep = 5;         // nrep: number of random repetions of structure estimation
+        double lambda   = 0.9;
+        int k = 2;
+        
+        Array<str_aux> o2;
+        
+        ivec ind = bdm::straux1(est._V(),est._nu(), est0._V(), est0._nu(), belief, nbest, nrep, lambda, k, o2);
+        
+        return ind;
 }
 

library/bdm/estim/arx.h

@@ -105 +105 @@
         //! Smarter structure estimation by Ludvik Tesar.\return indices of accepted regressors.
         ivec structure_est_LT ( egiw Eg0 );
+        //! reduce to
+        void reduce_structure(ivec &inds_in_V){
+                ldmat V = posterior()._V();
+                if (max(inds_in_V)>=V.rows()) {bdm_error("Incompatible structure");}
+                
+                ldmat newV(V,inds_in_V);
+                est.set_parameters(dimy,newV, posterior()._nu());
+                validate();
+        }
         //!@}
 
@@ -138 +147 @@
                 BMEF::validate();       
                 est.validate();
-                //if dimc not set set it from V
-                if(dimy>0) {//statistics is assigned
-                        if (posterior()._V().rows()>dimy) {//statistics is assigned
-                                rgrlen=posterior()._V().rows() - dimy - int ( have_constant == true );
-                        }
-                } else{
-                        bdm_error("No posterior or yrv assigned matrix assigned");
-                }
-                dimc =rgrlen;
-                
-                if(est._dimx()==0) { // no prior 
+                
+                // When statistics is defined, it has priority
+                if(posterior()._dimx()>0) {//statistics is assigned
+                        dimy = posterior()._dimx()>0;
+                        rgrlen=posterior()._V().rows() - dimy - int ( have_constant == true );
+                        dimc = rgrlen;
+                } else{  // statistics is not assigned - build it from dimy and rgrlen
+                        bdm_assert(dimy>0,"No way to validate egiw: empty statistics and empty dimy");
                         est.set_parameters(dimy, zeros(dimy+rgrlen+int(have_constant==true)));
                         set_prior_default(est);
@@ -213 +219 @@
 
 
+
 ////////////////////
 template<class sq_T>

library/bdm/estim/arx_straux.h

@@ -48 +48 @@
 
 
-//! Rplication of Ludvik Tesar original straux1 from mixtools straux1
+//! Replication of Ludvik Tesar original straux1 from mixtools straux1
 ivec straux1 ( ldmat Ld, double nu, ldmat Ld0, double nu0, ivec belief, int nbest, int max_nrep, double lambda, int order_k, Array<str_aux> &rgrsout );