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annotate m-toolbox/classes/+utils/@math/mhsample.m @ 24:056f8e1e995e database-connection-manager

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author Daniele Nicolodi <nicolodi@science.unitn.it>
date Mon, 05 Dec 2011 16:20:06 +0100
parents f0afece42f48
children
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0
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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1 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
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2 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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3 % Metropolis algorithm
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Daniele Nicolodi <nicolodi@science.unitn.it>
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4 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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5 % M Nofrarias 15-06-09
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Daniele Nicolodi <nicolodi@science.unitn.it>
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6 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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7 % $Id: mhsample.m,v 1.19 2011/11/16 08:52:50 nikos Exp $
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Daniele Nicolodi <nicolodi@science.unitn.it>
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8 % prior
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Daniele Nicolodi <nicolodi@science.unitn.it>
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9 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
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10
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Daniele Nicolodi <nicolodi@science.unitn.it>
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11
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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12 function [smpl smplr] = mhsample(model,in,out,nse,cov,number,limit,param,Tc,xi,xo,search,jumps,parplot,dbg_info,inNames,outNames,fpars,anneal,SNR0,DeltaL,inModel,outModel)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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13
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Daniele Nicolodi <nicolodi@science.unitn.it>
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14 import utils.const.*
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Daniele Nicolodi <nicolodi@science.unitn.it>
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15
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Daniele Nicolodi <nicolodi@science.unitn.it>
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16 % compute mean and range
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Daniele Nicolodi <nicolodi@science.unitn.it>
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17 mn = mean(limit);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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18 range = diff(limit);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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19 % initialize
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Daniele Nicolodi <nicolodi@science.unitn.it>
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20 acc = [];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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21 nacc = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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22 nrej = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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23 loop = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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24 oldacc = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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25 oldrej = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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26 chgsc = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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27 nparam = length(param);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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28 delta = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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29 SNR = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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30 heat = xi;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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31
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Daniele Nicolodi <nicolodi@science.unitn.it>
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32 % plist to pass in to the sampler for use in bode
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Daniele Nicolodi <nicolodi@science.unitn.it>
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33 spl = plist('outputs', outNames, ...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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34 'inputs', inNames, ...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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35 'reorganize', false,...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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36 'numeric output',true);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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37
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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38 % check if using priors
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Daniele Nicolodi <nicolodi@science.unitn.it>
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39 nparams = size(xo);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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40 if isempty(fpars)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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41 fpars = zeros(nparams(2),3);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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42 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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43
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Daniele Nicolodi <nicolodi@science.unitn.it>
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44
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Daniele Nicolodi <nicolodi@science.unitn.it>
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45
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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46 % switch depending on model class (initial likelihood)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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47 switch class(model)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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48 case 'matrix'
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Daniele Nicolodi <nicolodi@science.unitn.it>
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49 [loglk1 SNR] = utils.math.loglikelihood_matrix(xo,in,out,nse,model,param,inModel,outModel);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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50 case 'smodel'
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Daniele Nicolodi <nicolodi@science.unitn.it>
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51 loglk1 = utils.math.loglikelihood(xo,in,out,nse,model,param);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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52 case 'ssm'
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Daniele Nicolodi <nicolodi@science.unitn.it>
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53 Amats = model.amats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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54 Bmats = model.bmats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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55 Cmats = model.cmats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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56 Dmats = model.dmats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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57 loglk1 = utils.math.loglikelihood_ssm(xo,in,out,nse,model,param,inNames,outNames, spl, Amats, Bmats, Cmats, Dmats);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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58 otherwise
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Daniele Nicolodi <nicolodi@science.unitn.it>
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59 error('### Model must be either from the ''smodel'' or the ''ssm'' class. Please check the inputs')
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Daniele Nicolodi <nicolodi@science.unitn.it>
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60 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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61
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Daniele Nicolodi <nicolodi@science.unitn.it>
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62 % accept the first sample if no search active
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Daniele Nicolodi <nicolodi@science.unitn.it>
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63 if ~search
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Daniele Nicolodi <nicolodi@science.unitn.it>
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64 smpl(1,:) = xo;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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65 nacc = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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66 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
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67 smpl = [];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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68 nacc = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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69 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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70 nrej = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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71
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Daniele Nicolodi <nicolodi@science.unitn.it>
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72 utils.helper.msg(msg.IMPORTANT, 'Starting Monte Carlo sampling', mfilename('class'), mfilename);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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73
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Daniele Nicolodi <nicolodi@science.unitn.it>
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74 % compute prior for the initial sample of the chain
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Daniele Nicolodi <nicolodi@science.unitn.it>
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75 logprior1 = logPriors(xo,fpars);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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76 % if initial guess is far away, this contidion sets our logprior
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Daniele Nicolodi <nicolodi@science.unitn.it>
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77 % to zero and takes account only the loglikelihood for the
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Daniele Nicolodi <nicolodi@science.unitn.it>
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78 % computation of logratio. From this initial point it starts
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Daniele Nicolodi <nicolodi@science.unitn.it>
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79 % searching for the small area of acceptance.
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Daniele Nicolodi <nicolodi@science.unitn.it>
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80 if logprior1 == -Inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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81 logprior1 = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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82 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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83
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Daniele Nicolodi <nicolodi@science.unitn.it>
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84 T = Tc(1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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85 hjump = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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86 % main loop
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Daniele Nicolodi <nicolodi@science.unitn.it>
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87 while(nacc<number)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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88 % jumping criterion during search phase
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Daniele Nicolodi <nicolodi@science.unitn.it>
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89 % - 2-sigma by default
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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90 % - 10-sigma jumps at mod(10) samples
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Daniele Nicolodi <nicolodi@science.unitn.it>
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91 % - 100-sigma jumps at mod(25) samples
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Daniele Nicolodi <nicolodi@science.unitn.it>
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92 % - 1000-sigma jumps at mod(100) samples
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Daniele Nicolodi <nicolodi@science.unitn.it>
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93
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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94
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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95 if search
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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96 if nacc <= Tc(1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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97 if(mod(nacc,10) == 0 && mod(nacc,25) ~= 0 && mod(nacc,100) ~= 0 && hjump ~= 1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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98 hjump = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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99 xn = mvnrnd(xo,jumps(2)^2*cov);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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100 elseif(mod(nacc,20) == 0 && mod(nacc,100) ~= 0 && hjump ~= 1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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101 hjump = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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102 xn = mvnrnd(xo,jumps(3)^2*cov);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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103 elseif(mod(nacc,50) == 0 && hjump ~= 1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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104 hjump = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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105 xn = mvnrnd(xo,jumps(4)^2*cov);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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106 % xn = xo + range/2+rand(size(xo));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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107 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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108 hjump = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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109 xn = mvnrnd(xo,jumps(1)^2*cov);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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110 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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111 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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112 xn = mvnrnd(xo,cov); % changed that too
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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113 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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114 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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115 xn = mvnrnd(xo,cov);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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116 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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117
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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118
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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119 % compute prior probability
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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120 logprior2 = logPriors(xn,fpars);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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121
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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122 %check if out of limits
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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123 if( any(xn < limit(1,:)) || any(xn > limit(2,:)))
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Daniele Nicolodi <nicolodi@science.unitn.it>
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124 logprior2 = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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125 loglk2 = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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126 betta = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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127 %heat = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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128
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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129 % This condition save us computation time.
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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130 elseif logprior2 == -Inf
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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131 loglk2 = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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132 betta = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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133 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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134 % switch depending on model class (new likelihood)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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135 switch class(model)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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136 case 'matrix'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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137 [loglk2 SNR] = utils.math.loglikelihood_matrix(xn,in,out,nse,model,param,inModel,outModel);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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138 case 'smodel'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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139 loglk2 = utils.math.loglikelihood(xn,in,out,nse,model,param);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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140 case 'ssm'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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141 [loglk2 SNR] = utils.math.loglikelihood_ssm(xn,in,out,nse,model,param,inNames,outNames, spl, Amats, Bmats, Cmats, Dmats);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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142 otherwise
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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143 error('### Model must be either from the ''smodel'' or the ''ssm'' class. Please check the inputs')
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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144 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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145
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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146
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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147 % compute annealing
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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148 if ~isempty(Tc)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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149 if nacc <= Tc(1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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150
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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151 % compute heat factor
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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152 switch anneal
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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153 case 'simul'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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154 delta = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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155 case 'thermo'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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156 if (0 <= SNR(1) && SNR(1) <= SNR0)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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157 delta = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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158 elseif (SNR(1) > SNR0)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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159 delta = (SNR(1)/SNR0)^2;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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160 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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161 case 'simple'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
162 if (nacc > 10 && mod(nacc,10) == 0)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
163 deltalogp = std(smpl(nacc-10:nacc,1));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
164 if deltalogp <= DeltaL(1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
165 T = T + DeltaL(3);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
166 elseif deltalogp >= DeltaL(2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
167 T = T - DeltaL(4);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
168 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
169 delta = Tc(1)/T;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
170 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
171 heat = xi*delta;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
172 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
173
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
174 betta = 1/2 * 10^(-heat*(1-Tc(1)/Tc(2)));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
175 elseif Tc(1) < nacc && nacc <= Tc(2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
176 betta = 1/2 * 10^(-heat*(1-nacc/Tc(2)));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
177 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
178 betta = 1/2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
179 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
180 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
181 betta = 1/2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
182 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
183
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
184 end % here we are
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
185
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
186 % likelihood ratio
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
187 logr = betta*(logprior2 + loglk2 - loglk1 - logprior1) ;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
188 % decide if sample is accepted or not
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
189 if logr < 0
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
190 xo = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
191 nacc = nacc+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
192 sumsamples = nacc + nrej;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
193 smpl(nacc,1) = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
194 smpl(nacc,2:size(xn,2)+1) = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
195 smplr(sumsamples,1:size(xn,2)) = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
196 smplr(sumsamples,size(xn,2)+1) = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
197 smplr(sumsamples,size(xn,2)+2) = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
198 loglk1 =loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
199 logprior1=logprior2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
200 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
201 %utils.helper.msg(msg.IMPORTANT, sprintf('acc.\t loglik: %d -> %d priors: %d -> %d betta: %d ratio: %d',loglk1,loglk2,logprior1,logprior2,betta,logr), mfilename('class'), mfilename);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
202 utils.helper.msg(msg.IMPORTANT, sprintf('acccount: %d SNR: %d %d Heat: %d',nacc,SNR(1),SNR(2),heat));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
203 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
204 elseif rand(1) > (1 - exp(-logr))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
205 xo = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
206 nacc = nacc+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
207 sumsamples = nacc + nrej;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
208 smpl(nacc,1) = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
209 smpl(nacc,2:size(xn,2)+1) = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
210 smplr(sumsamples,1:size(xn,2)) = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
211 smplr(sumsamples,size(xn,2)+1) = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
212 smplr(sumsamples,size(xn,2)+2) = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
213 loglk1 =loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
214 logprior1=logprior2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
215 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
216 %utils.helper.msg(msg.IMPORTANT, sprintf('acc.\t loglik: %d -> %d priors: %d -> %d betta: %d ratio: %d',loglk1,loglk2,logprior1,logprior2,betta,logr), mfilename('class'), mfilename);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
217 utils.helper.msg(msg.IMPORTANT, sprintf('acccount: %d SNR: %d %d Heat: %d',nacc,SNR(1),SNR(2),heat));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
218 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
219 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
220 nrej = nrej+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
221 sumsamples = nacc + nrej;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
222 smplr(sumsamples,1:size(xn,2)) = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
223 smplr(sumsamples,size(xn,2)+1) = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
224 smplr(sumsamples,size(xn,2)+2) = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
225 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
226 %utils.helper.msg(msg.IMPORTANT, sprintf('rej.\t loglik: %d -> %d priors: %d -> %d betta: %d ratio: %d',loglk1,loglk2,logprior1,logprior2,betta,logr), mfilename('class'), mfilename);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
227 utils.helper.msg(msg.IMPORTANT, sprintf('rejcount: %d SNR: %d %d Heat: %d',nrej,SNR(1),SNR(2),heat));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
228 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
229
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
230 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
231
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
232 % display and save
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
233 if(mod(nacc,100) == 0 && nacc ~= oldacc)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
234 updacc = nacc-oldacc;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
235 updrej = nrej-oldrej;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
236 ratio(nacc/10,:) = updacc/(updacc+updrej);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
237 utils.helper.msg(msg.IMPORTANT, sprintf('accepted: %d rejected : %d acc. rate: %4.2f',nacc,updrej,ratio(end)), mfilename('class'), mfilename);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
238 for i = 1:numel(param)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
239 fprintf('### Parameters: %s = %d \n',param{i},xn(i))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
240 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
241 oldacc = nacc;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
242 oldrej = nrej;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
243 save('chain.txt','smpl','-ASCII')
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
244 save('acceptance.txt','ratio','-ASCII')
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
245 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
246
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
247 % plot
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
248 if ((mod(sumsamples,100) == 0) && (nacc ~= 0) && ~isempty(parplot))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
249 for i = 1:numel(parplot)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
250 figure(parplot(i))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
251 plot(smpl(:,parplot(i)))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
252 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
253 figure(i+1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
254 plot(smplr(:,2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
255 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
256
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
257 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
258 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
259
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
260 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
261 % compute logpriors
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
262 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
263 function logprior = logPriors(parVect,fitparams)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
264
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
265 D = size(parVect);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
266
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
267 for ii=1:D(2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
268 prior(ii) = normpdf(parVect(ii),fitparams(ii,1),fitparams(ii,2))/fitparams(ii,3);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
269 % checking if priors are used for this run
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
270 if isnan(prior(ii))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
271 prior(ii) = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
272 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
273 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
274 prior = log(prior);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
275 logprior = sum(prior);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
276
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
277 % assuming that priors are independent, then
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
278 % p(x|8n)=p(x|81)p(x|82)p(x|83)...p(x|8n)=p1xp2xp3...xpn
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
279 % and log(p(x|8n)) = logp1+logp2+...+logpn
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
280
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
281 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
282
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
283