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annotate m-toolbox/classes/+utils/@math/loglikelihood.m @ 33:5e7477b94d94 database-connection-manager

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author Daniele Nicolodi <nicolodi@science.unitn.it>
date Mon, 05 Dec 2011 16:20:06 +0100
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Daniele Nicolodi <nicolodi@science.unitn.it>
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1
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2 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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3 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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4 % Compute log-likelihood
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Daniele Nicolodi <nicolodi@science.unitn.it>
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5 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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6 % M Nofrarias 15-06-09
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7 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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8 % $Id: loglikelihood.m,v 1.2 2011/03/24 19:59:50 ingo Exp $
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Daniele Nicolodi <nicolodi@science.unitn.it>
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9 %
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10 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
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11 function loglk = loglikelihood(xn,in,out,noise,model,params)
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12
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Daniele Nicolodi <nicolodi@science.unitn.it>
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13 % parameters
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14 fs = noise(1).fs;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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15 N = length(noise(1).y);
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16
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Daniele Nicolodi <nicolodi@science.unitn.it>
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17 if numel(in) == 1 % 1 input / 1 output case
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18 f = in(1).x;
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19 % evaluate models
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20 eval = model(1).setParams(params,xn);
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21 h11 = double(eval);
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22
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Daniele Nicolodi <nicolodi@science.unitn.it>
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23 % spectra to variance
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Daniele Nicolodi <nicolodi@science.unitn.it>
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24 C11 = (N*fs/2)*noise(1).y;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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25
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Daniele Nicolodi <nicolodi@science.unitn.it>
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26 % compute elements of inverse cross-spectrum matrix
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Daniele Nicolodi <nicolodi@science.unitn.it>
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27 InvS11 = 1./C11;
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28
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29 % compute log-likelihood terms first, all at once does not cancel the
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Daniele Nicolodi <nicolodi@science.unitn.it>
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30 % imag part when multiplying x.*conj(x)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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31 v1v1 = conj(out(1).y - h11.*in(1).y).*(out(1).y - h11.*in(1).y);
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32
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33 loglk = sum(InvS11.*v1v1);
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34
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Daniele Nicolodi <nicolodi@science.unitn.it>
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35 elseif numel(in) == 2
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36
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Daniele Nicolodi <nicolodi@science.unitn.it>
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37 if(numel(out) == 1) % 2 input / 1 output case
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Daniele Nicolodi <nicolodi@science.unitn.it>
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38 f = in(1).x;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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39
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Daniele Nicolodi <nicolodi@science.unitn.it>
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40 % evaluate models
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Daniele Nicolodi <nicolodi@science.unitn.it>
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41 h11 = model(1).setParams(params,xn).double;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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42 h12 = model(2).setParams(params,xn).double;
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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 % spectra to variance
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Daniele Nicolodi <nicolodi@science.unitn.it>
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45 C11 = (N*fs/2)*noise(1).y;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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46
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Daniele Nicolodi <nicolodi@science.unitn.it>
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47 % compute elements of inverse cross-spectrum matrix
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Daniele Nicolodi <nicolodi@science.unitn.it>
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48 InvS11 = 1./C11;
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49
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Daniele Nicolodi <nicolodi@science.unitn.it>
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50 % compute log-likelihood terms first, all at once does not cancel the
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Daniele Nicolodi <nicolodi@science.unitn.it>
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51 % imag part when multiplying x.*conj(x)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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52 in1 = in(1).data.getY;
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53 f = in(1).data.getX;
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54 in2 = in(2).data.getY;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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55 out1 = out(1).data.getY;
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56
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57 v1v1 = conj(out1 - h11.*in1 - h12.*in2).*(out1 - h11.*in1 - h12.*in2);
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58
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59 loglk = sum(InvS11.*v1v1);
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60
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61 elseif(numel(out) == 2) % 2 input / 2 output case
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62 f = in(1).x;
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63
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Daniele Nicolodi <nicolodi@science.unitn.it>
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64 % evaluate models
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Daniele Nicolodi <nicolodi@science.unitn.it>
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65 h11 = model(1).setParams(params,xn).double;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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66 h12 = model(2).setParams(params,xn).double;
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67 h21 = model(3).setParams(params,xn).double;
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68 h22 = model(4).setParams(params,xn).double;
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69
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70 % spectra to variance
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Daniele Nicolodi <nicolodi@science.unitn.it>
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71 C11 = (N*fs/2)*noise(1).y;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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72 C22 = (N*fs/2)*noise(2).y;
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73 C12 = (N*fs/2)*noise(3).y;
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74 C21 = (N*fs/2)*noise(4).y;
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75
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Daniele Nicolodi <nicolodi@science.unitn.it>
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76 % compute elements of inverse cross-spectrum matrix
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Daniele Nicolodi <nicolodi@science.unitn.it>
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77 InvS11 = (C22./(C11.*C22 - C12.*C21));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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78 InvS22 = (C11./(C11.*C22 - C12.*C21));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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79 InvS12 = (C21./(C11.*C22 - C12.*C21));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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80 InvS21 = (C12./(C11.*C22 - C12.*C21));
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81
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Daniele Nicolodi <nicolodi@science.unitn.it>
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82 % compute log-likelihood terms first, all at once does not cancel the
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Daniele Nicolodi <nicolodi@science.unitn.it>
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83 % imag part when multiplying x.*conj(x)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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84 in1 = in(1).data.getY;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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85 in2 = in(2).data.getY;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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86 out1 = out(1).data.getY;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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87 out2 = out(2).data.getY;
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88
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89 v1v1 = conj(out1 - h11.*in1 - h12.*in2).*(out1 - h11.*in1 - h12.*in2);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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90 v2v2 = conj(out2 - h21.*in1 - h22.*in2).*(out2 - h21.*in1 - h22.*in2);
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91 v1v2 = conj(out1 - h11.*in1 - h12.*in2).*(out2 - h21.*in1 - h22.*in2);
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92 v2v1 = conj(out2 - h21.*in1 - h22.*in2).*(out1 - h11.*in1 - h12.*in2);
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93
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Daniele Nicolodi <nicolodi@science.unitn.it>
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94 loglk = sum(InvS11.*v1v1 + InvS22.*v2v2 - InvS12.*v1v2 - InvS21.*v2v1);
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95 end
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96 end
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97
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98 end
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99