bdm::BMEF Class Reference

Estimator for Exponential family. More...

#include <exp_family.h>

List of all members.

Public Member Functions
	BMEF (double frg0=1.0)
	Default constructor (=empty constructor).
	BMEF (const BMEF &B)
	Copy constructor.
virtual void	set_statistics (const BMEF *BM0)
	get statistics from another model
virtual void	bayes (const vec &data, const double w)
	Weighted update of sufficient statistics (Bayes rule).
void	bayes (const vec &dt)
	Incremental Bayes rule.
virtual void	flatten (const BMEF *B)
	Flatten the posterior according to the given BMEF (of the same type!).
BMEF *	_copy_ () const
	Flatten the posterior as if to keep nu0 data.
virtual string	to_string ()
	This method returns a basic info about the current instance.
virtual void	from_setting (const Setting &set)
	This method arrange instance properties according the data stored in the Setting structure.
virtual void	to_setting (Setting &set) const
	This method save all the instance properties into the Setting structure.
virtual void	validate ()
	This method TODO.
Mathematical operations
virtual void	bayesB (const mat &Dt)
	Batch Bayes rule (columns of Dt are observations).
virtual double	logpred (const vec &dt) const
vec	logpred_m (const mat &dt) const
	Matrix version of logpred.
virtual epdf *	epredictor () const
	Constructs a predictive density .
virtual mpdf *	predictor () const
	Constructs a conditional density 1-step ahead predictor.
Access to attributes
const RV &	_drv () const
void	set_drv (const RV &rv)
void	set_rv (const RV &rv)
double	_ll () const
void	set_evalll (bool evl0)
virtual const epdf &	posterior () const =0
virtual const epdf *	_e () const =0
Protected Attributes
double	frg
	forgetting factor
double	last_lognc
	cached value of lognc() in the previous step (used in evaluation of ll )
RV	drv
	Random variable of the data (optional).
double	ll
	Logarithm of marginalized data likelihood.
bool	evalll
	If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time.
Extension to conditional BM
This extension is useful e.g. in Marginalized Particle Filter (bdm::MPF). Alternatively, it can be used for automated connection to DS when the condition is observed
const RV &	_rvc () const
	access function
virtual void	condition (const vec &val)
	Substitute val for rvc.
RV	rvc
	Name of extension variable.
Logging of results
virtual void	set_options (const string &opt)
	Set boolean options from a string recognized are: "logbounds,logll".
virtual void	log_add (logger &L, const string &name="")
	Add all logged variables to a logger.
virtual void	logit (logger &L)
ivec	LIDs
	IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll].
ivec	LFlags
	Flags for logging - same size as LIDs, each entry correspond to the same in LIDs.

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Detailed Description

Estimator for Exponential family.

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Member Function Documentation

void bdm::BMEF::bayes

(

const vec &

dt

)

[virtual]

Incremental Bayes rule.

Parameters:

dt

vector of input data

Implements bdm::BM.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

References bayes().

virtual double bdm::BM::logpred

(

const vec &

dt

)

const [inline, virtual, inherited]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

Referenced by bdm::BM::logpred_m().

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

• exp_family.h
• exp_family.cpp