bdm::migamma_ref Class Reference

Inverse-Gamma random walk around a fixed point. More...

#include <libEF.h>

List of all members.

Public Member Functions

 migamma_ref ()
 Constructor.
void set_parameters (double k0, vec ref0, double l0)
 Set value of k.
void condition (const vec &val)
 Update ep so that it represents this mpdf conditioned on rvc = cond.
void from_setting (const Setting &root)
void set_parameters (int len, double k0)
 Set value of k.
virtual string to_string ()
 This method returns a basic info about the current instance.
virtual void to_setting (Setting &root) const
 This method save all the instance properties into the Setting structure.
virtual void validate ()
 This method TODO.
Matematical operations
virtual vec samplecond (const vec &cond)
 Returns a sample from the density conditioned on cond, $x \sim epdf(rv|cond)$.
virtual mat samplecond_m (const vec &cond, int N)
 Returns.
virtual double evallogcond (const vec &dt, const vec &cond)
 Shortcut for conditioning and evaluation of the internal epdf. In some cases, this operation can be implemented efficiently.
virtual vec evallogcond_m (const mat &Dt, const vec &cond)
 Matrix version of evallogcond.
Access to attributes
RV _rv ()
RV _rvc ()
int dimension ()
int dimensionc ()
epdf_epdf ()
epdf_e ()
Connection to other objects
void set_rvc (const RV &rvc0)
void set_rv (const RV &rv0)
bool isnamed ()

Protected Attributes

double l
 parameter l
vec refl
 reference vector
eigamma epdf
 Internal epdf that arise by conditioning on rvc.
double k
 Constant $k$.
vec & _alpha
 cache of epdf.alpha
vec & _beta
 cache of epdf.beta
int dimc
 dimension of the condition
RV rvc
 random variable in condition
epdfep
 pointer to internal epdf


Detailed Description

Inverse-Gamma random walk around a fixed point.

Mean value, $\mu$, of this density is given by a geometric combination of rvc and given fixed point, $p$. $l$ is the coefficient of the geometric combimation

\[ \mu = \mu_{t-1} ^{l} p^{1-l}\]

==== Check == vv = Standard deviation of the random walk is proportional to one $k$-th the mean. This is achieved by setting $\alpha=k$ and $\beta=k/\mu$.

The standard deviation of the walk is then: $\mu/\sqrt(k)$.


Member Function Documentation

void bdm::migamma_ref::from_setting ( const Setting &  root  )  [virtual]

UI for migamma_ref

The migamma_ref is constructed from a structure with fields:

                        system = {
                                type = "migamma_ref";
                                ref = [1e-5; 1e-5; 1e-2 1e-3];            // reference vector
                                l = 0.999;                                // constant l
                                k = 0.1;                                  // constant k
                                
                                // == OPTIONAL ==
                                // description of y variables
                                y = {type="rv"; names=["y", "u"];};
                                // description of u variable
                                u = {type="rv"; names=[];}
                        };

Result if

Reimplemented from bdm::bdmroot.

References bdm::UI::get(), and set_parameters().

virtual vec bdm::mpdf::samplecond ( const vec &  cond  )  [inline, virtual, inherited]

Returns a sample from the density conditioned on cond, $x \sim epdf(rv|cond)$.

Parameters:
cond is numeric value of rv

Reimplemented in bdm::mprod.

References bdm::mpdf::condition(), bdm::mpdf::ep, and bdm::epdf::sample().

Referenced by bdm::MPF< BM_T >::bayes(), bdm::PF::bayes(), and bdm::ArxDS::step().

virtual mat bdm::mpdf::samplecond_m ( const vec &  cond,
int  N 
) [inline, virtual, inherited]

Returns.

Parameters:
N samples from the density conditioned on cond, $x \sim epdf(rv|cond)$.
cond is numeric value of rv

References bdm::mpdf::condition(), bdm::epdf::dimension(), bdm::mpdf::ep, and bdm::epdf::sample().


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

Generated on Wed Jun 17 14:13:29 2009 for mixpp by  doxygen 1.5.8