bdm::merger_base Class Reference

Base class for general combination of pdfs on discrete support. More...

#include <merger.h>

List of all members.

Public Member Functions

void set_elements (const Array< mpdf * > A0)

RV getrv (bool checkoverlap=false)

find common rv, flag

void setrvc (const RV &rv, RV &rvc)

common rvc of all mpdfs is written to rvc

virtual string to_string ()

This method returns a basic info about the current instance.

virtual void from_setting (const Setting &root)

This method arrange instance properties according the data stored in the Setting structure.

virtual void to_setting (Setting &root) const

This method save all the instance properties into the Setting structure.

virtual void validate ()

This method TODO.

Constructors

merger_base ()

Empty constructor.

merger_base (const Array< mpdf * > &S)

Constructor from sources.

void set_sources (const Array< mpdf * > &Sources)

Function setting the main internal structures.

void set_debug_file (const string fname)

set debug file

void set_parameters (double beta0, MERGER_METHOD MTH)

Set internal parameters used in approximation.

void set_support (epdf &overall, int N)

Set support points from a pdf.

virtual ~merger_base ()

Destructor.

Mathematical operations

void merge ()

Merge given sources in given points.

vec merge_points (mat &lW)

Merge log-likelihood values in points using method specified by parameter METHOD.

vec mean () const

weight w is a

mat covariance () const

vec variance () const

return expected variance (not covariance!)

Access to attributes

eEmp & _Smp ()

Access function.

Constructors

Construction of each epdf should support two types of constructors:

empty constructor,

copy constructor,

The following constructors should be supported for convenience:

constructor followed by calling set_parameters()

constructor accepting random variables calling set_rv()

All internal data structures are constructed as empty. Their values (including sizes) will be set by method set_parameters(). This way references can be initialized in constructors.

void set_parameters (int dim0)

Matematical Operations

virtual vec sample () const

Returns a sample, $ x $ from density $ f_x()$ .

virtual mat sample_m (int N) const

Returns N samples, $[x_1 , x_2 , \ldots \$ from density $ f_x(rv)$ .

virtual double evallog (const vec &val) const

Compute log-probability of argument val.

virtual vec evallog_m (const mat &Val) const

Compute log-probability of multiple values argument val.

virtual mpdf * condition (const RV &rv) const

Return conditional density on the given RV, the remaining rvs will be in conditioning.

virtual epdf * marginal (const RV &rv) const

Return marginal density on the given RV, the remainig rvs are intergrated out.

virtual void qbounds (vec &lb, vec &ub, double percentage=0.95) const

Lower and upper bounds of percentage % quantile, returns mean-2*sigma as default.

Connection to other classes

Description of the random quantity via attribute rv is optional. For operations such as sampling rv does not need to be set. However, for marginalization and conditioning rv has to be set. NB:

void set_rv (const RV &rv0)

Name its rv.

bool isnamed () const

True if rv is assigned.

const RV & _rv () const

Return name (fails when isnamed is false).

Access to attributes

int dimension () const

Size of the random variable.

Protected Attributes

Array< datalink_m2e * > dls

Data link for each mpdf in mpdfs.

Array< RV > rvzs

Array of rvs that are not modelled by mpdfs at all, $ z_i $ .

Array< datalink_m2e * > zdls

Data Links for extension $ f(z_i|x_i,y_i) $ .

int Ns

number of sources

MERGER_METHOD METHOD

switch of the methoh used for merging

double beta

Prior on the log-normal merging model.

eEmp eSmp

Projection to empirical density (could also be piece-wise linear).

bool DBG

debug or not debug

it_file * dbg

debugging file

Array< mpdf * > mpdfs

Elements of composition.

int dim

dimension of the random variable

RV rv

Description of the random variable.

Detailed Description

Base class for general combination of pdfs on discrete support.

Mixtures of Gaussian densities are used internally. Switching to other densities should be trivial.

The merged pdfs are expected to be of the form:

$f(x_i|y_i), i=1..n$

where the resulting merger is a density on $\cup [x_i,y_i]$ . Note that all variables will be joined.

As a result of this feature, each source must be extended to common support

$f(z_i|y_i,x_i) f(x_i|y_i) f(y_i) i=1..n$

where $ z_i $ accumulate variables that were not in the original source. These extensions are calculated on-the-fly.

However, these operations can not be performed in general. Hence, this class merges only sources on common support, $y_i={}, z_i={}, \forall i$ . For merging of more general cases, use offsprings merger_mix and merger_grid.

Member Function Documentation

RV bdm::compositepdf::getrv ( bool checkoverlap = false ) [inherited]

find common rv, flag

Parameters:

checkoverlap

modifies whether overlaps are acceptable

References bdm::RV::add(), and bdm::compositepdf::mpdfs.

Referenced by set_sources().

vec bdm::merger_base::mean ( ) const [inline, virtual]

weight w is a

sample from merged density

Reimplemented from bdm::epdf.

References bdm::eEmp::_samples(), bdm::eEmp::_w(), bdm::epdf::dim, eSmp, and Ns.

Referenced by variance().

The documentation for this class was generated from the following files:

merger.h
merger.cpp


Public Member Functions
void	set_elements (const Array< mpdf * > A0)
RV	getrv (bool checkoverlap=false)
	find common rv, flag
void	setrvc (const RV &rv, RV &rvc)
	common rvc of all mpdfs is written to rvc
virtual string	to_string ()
	This method returns a basic info about the current instance.
virtual void	from_setting (const Setting &root)
	This method arrange instance properties according the data stored in the Setting structure.
virtual void	to_setting (Setting &root) const
	This method save all the instance properties into the Setting structure.
virtual void	validate ()
	This method TODO.
Constructors
	merger_base ()
	Empty constructor.
	merger_base (const Array< mpdf * > &S)
	Constructor from sources.
void	set_sources (const Array< mpdf * > &Sources)
	Function setting the main internal structures.
void	set_debug_file (const string fname)
	set debug file
void	set_parameters (double beta0, MERGER_METHOD MTH)
	Set internal parameters used in approximation.
void	set_support (epdf &overall, int N)
	Set support points from a pdf.
virtual	~merger_base ()
	Destructor.
Mathematical operations
void	merge ()
	Merge given sources in given points.
vec	merge_points (mat &lW)
	Merge log-likelihood values in points using method specified by parameter METHOD.
vec	mean () const
	weight w is a
mat	covariance () const
vec	variance () const
	return expected variance (not covariance!)
Access to attributes
eEmp &	_Smp ()
	Access function.
Constructors
Construction of each epdf should support two types of constructors: empty constructor, copy constructor, The following constructors should be supported for convenience: constructor followed by calling `set_parameters()` constructor accepting random variables calling `set_rv()` All internal data structures are constructed as empty. Their values (including sizes) will be set by method `set_parameters()`. This way references can be initialized in constructors.
void	set_parameters (int dim0)
Matematical Operations
virtual vec	sample () const
	Returns a sample, from density .
virtual mat	sample_m (int N) const
	Returns N samples, $[x_1 , x_2 , \ldots \$ from density .
virtual double	evallog (const vec &val) const
	Compute log-probability of argument `val`.
virtual vec	evallog_m (const mat &Val) const
	Compute log-probability of multiple values argument `val`.
virtual mpdf *	condition (const RV &rv) const
	Return conditional density on the given RV, the remaining rvs will be in conditioning.
virtual epdf *	marginal (const RV &rv) const
	Return marginal density on the given RV, the remainig rvs are intergrated out.
virtual void	qbounds (vec &lb, vec &ub, double percentage=0.95) const
	Lower and upper bounds of `percentage` % quantile, returns mean-2*sigma as default.
Connection to other classes
Description of the random quantity via attribute `rv` is optional. For operations such as sampling `rv` does not need to be set. However, for `marginalization` and `conditioning` `rv` has to be set. NB:
void	set_rv (const RV &rv0)
	Name its rv.
bool	isnamed () const
	True if rv is assigned.
const RV &	_rv () const
	Return name (fails when isnamed is false).
Access to attributes
int	dimension () const
	Size of the random variable.
Protected Attributes
Array< datalink_m2e * >	dls
	Data link for each mpdf in mpdfs.
Array< RV >	rvzs
	Array of rvs that are not modelled by mpdfs at all, .
Array< datalink_m2e * >	zdls
	Data Links for extension .
int	Ns
	number of sources
MERGER_METHOD	METHOD
	switch of the methoh used for merging
double	beta
	Prior on the log-normal merging model.
eEmp	eSmp
	Projection to empirical density (could also be piece-wise linear).
bool	DBG
	debug or not debug
it_file *	dbg
	debugging file
Array< mpdf * >	mpdfs
	Elements of composition.
int	dim
	dimension of the random variable
RV	rv
	Description of the random variable.