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annotate m-toolbox/classes/+utils/@math/rjsample.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
parents f0afece42f48
children bc767aaa99a8
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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>
parents:
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2 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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3 % Reverse Jump MCMC for the computation of Bayes Factor
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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4 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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5 % N. Karnesis 27/09/2011
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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6 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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7 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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8
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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9
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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10 function [Bxy LogL] = rjsample(model,in,out,nse,cov,number,limit,param,Tc,xi,xo,search,jumps,parplot,dbg_info,inNames,outNames,anneal,SNR0,DeltaL,inModel,outModel)
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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>
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12 import utils.const.*
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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 % initialize
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Daniele Nicolodi <nicolodi@science.unitn.it>
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15 summ = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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16 nacc = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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17 heat = xi;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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18 rejected = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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19 nummodels = numel(model(1,:));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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20 legen = [];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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21
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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22 % assigning colors to curves (if not, all curves are blue)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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23 for gg = 1:(nummodels)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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24 coloor(gg,:) = rand(1,3);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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25 for dd = gg+1:(nummodels)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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26 colour{gg,dd} = rand(1,3);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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27 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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28 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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29
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Daniele Nicolodi <nicolodi@science.unitn.it>
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30 % 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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31 spl = plist('outputs', outNames, ...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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32 'inputs', inNames, ...
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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33 'reorganize', false,...
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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34 'numeric output',true);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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35
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Daniele Nicolodi <nicolodi@science.unitn.it>
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36 nrej = 0;
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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 for k = 1:nummodels
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Daniele Nicolodi <nicolodi@science.unitn.it>
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39 if ~search
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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40 for ii = 1:nummodels
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Daniele Nicolodi <nicolodi@science.unitn.it>
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41 smpl(ii) = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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42 mnacc(:,ii) = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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43 nacc = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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44 sumsamples = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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45 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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46 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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47 % compute loglikelihood for starting model and values
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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48 switch class(model)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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49 case 'matrix'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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50 smpl(k) = utils.math.loglikelihood_matrix(xo{k},in,out,nse,model(:,k),param{k},inModel,outModel);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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51 case 'smodel'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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52 smpl(k) = utils.math.loglikelihood(xo{k},in,out,nse,model(:,k),param{k});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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53 case 'ssm'
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Daniele Nicolodi <nicolodi@science.unitn.it>
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54 Amats{k} = model(:,k).amats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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55 Bmats{k} = model(:,k).bmats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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56 Cmats{k} = model(:,k).cmats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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57 Dmats{k} = model(:,k).dmats;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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58 smpl(k) = utils.math.loglikelihood_ssm(xo{k},in,out,nse,model(:,k),param{k},inNames,outNames, spl, Amats{k}, Bmats{k}, Cmats{k}, Dmats{k});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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59 otherwise
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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60 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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61 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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62 mnacc(:,k) = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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63 nacc = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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64 sumsamples = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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65 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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66 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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67
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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68 utils.helper.msg(msg.IMPORTANT, 'Starting Reverse Jump MCMC ', mfilename('class'), mfilename);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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69
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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70 T = Tc(1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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71 hjump = 0;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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72
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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73
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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74 % initialize (choose starting model)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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75 k = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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76 % compute loglikelihood for starting model and values
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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77 switch class(model)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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78 case 'matrix'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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79 loglk1mdl1 = utils.math.loglikelihood_matrix(xo{k},in,out,nse,model(:,k),param{k},inModel,outModel);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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80 case 'smodel'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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81 loglk1mdl1 = utils.math.loglikelihood(xo{k},in,out,nse,model(:,k),param{k});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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82 case 'ssm'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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83 loglk1mdl1 = utils.math.loglikelihood_ssm(xo{k},in,out,nse,model(:,k),param{k},inNames,outNames, spl, Amats{k}, Bmats{k}, Cmats{k}, Dmats{k});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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84 otherwise
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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85 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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86 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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87
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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88 % main loop
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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89 while(nacc<number)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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90
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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91 % propose new point in the parameter space for model k
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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92 [xn hjump] = propose(xo{k},cov{k},search,Tc,jumps,hjump,nacc,sumsamples);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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93
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
94 % check if out of limits
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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95 if( any(xn < limit{k}(1,:)) || any(xn > limit{k}(2,:)))
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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96
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
97 loglk2mdl1 = inf;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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98
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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99 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
100 % switch depending on model class (new likelihood)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
101 switch class(model)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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102 case 'ssm'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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103 [loglk2mdl1 SNR] = utils.math.loglikelihood_ssm(xn,in,out,nse,model(:,k),param{k},inNames,outNames, spl, Amats{k}, Bmats{k}, Cmats{k}, Dmats{k});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
104 case 'smodel'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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105 loglk2mdl1 = utils.math.loglikelihood(xn,in,out,nse,model(:,k),param{k});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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106 case 'matrix'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
107 [loglk2mdl1 SNR] = utils.math.loglikelihood_matrix(xn,in,out,nse,model(:,k),param{k},inModel,outModel);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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108 otherwise
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
109 error('### Model must be from the ''ssm'' class. Please check the inputs')
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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:
diff changeset
111
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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112 % compute annealing
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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113 if ~isempty(Tc)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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114 if nacc <= Tc(1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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115 betta = 1/2 * 10^(-xi*(1-Tc(1)/Tc(2)));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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116 elseif Tc(1) < nacc && nacc <= Tc(2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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117 betta = 1/2 * 10^(-xi*(1-nacc/Tc(2)));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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118 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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119 % compute heat factor
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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120 switch anneal
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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121 case 'simul'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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122 betta = 1/2;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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123 case 'thermo'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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124 if (0 <= SNR && SNR <= SNR0)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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125 heat = 1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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126 elseif (SNR > SNR0)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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127 heat = (SNR/SNR0)^2;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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128 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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129 betta = 1/2 * 10^(-heat*(1-nacc/number));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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130 case 'simple'
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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131 if (nacc > 10 && mod(nacc,10) == 0)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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132 deltalogp = std(smpl(nacc-10:nacc,1));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
133 if deltalogp <= DeltaL(1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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134 T = T + DeltaL(3);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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135 elseif deltalogp >= DeltaL(2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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136 T = T - DeltaL(4);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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137 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
138 heat = Tc(1)/T;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
139 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
140 betta = 1/2 * 10^(-heat*(1-nacc/number));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
141 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
142 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
143 else
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
144 betta = 1/2;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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145 end
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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 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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148
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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149 % metropolis
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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150 [xo x0 loglk1mdl1 rj] = mhsmpl(k,betta,xn,xo,loglk1mdl1,loglk2mdl1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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151
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
152 % update parameters (dimension matching)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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153 if ~rj
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
154 for gg = 1:nummodels
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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155 xo{gg} = updateparams(param,xo,k,gg);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
156 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
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157 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
158
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
159 % draw random integer to jump into model
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
160 % (supposed equal probability to jump to any model including the present one)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
161 k_new = randi(nummodels,1);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
162
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
163 % propose new point in new model k'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
164 xn_new = propose(xo{k_new},cov{k_new},search,Tc,jumps,hjump,nacc,sumsamples);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
165
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
166 % check if out of limits for new model
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
167 if( any(xn_new < limit{k_new}(1,:)) || any(xn_new > limit{k_new}(2,:)))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
168
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
169 loglk2mdl2 = inf;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
170
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
171 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
172 % switch depending on model class (new likelihood for proposed model k')
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
173 switch class(model(k_new))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
174 case 'ssm'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
175 [loglk2mdl2 SNR] = utils.math.loglikelihood_ssm(xn_new,in,out,nse,model(:,k_new),param{k_new},inNames,outNames, spl, Amats{k_new}, Bmats{k_new}, Cmats{k_new}, Dmats{k_new});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
176 case 'smodel'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
177 loglk2mdl2 = utils.math.loglikelihood(xn_new,in,out,nse,model(:,k_new),param{k_new});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
178 case 'matrix'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
179 [loglk2mdl2 SNR] = utils.math.loglikelihood_matrix(xn_new,in,out,nse,model(:,k_new),param{k_new},inModel,outModel);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
180 otherwise
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
181 error('### Model must be from the ''ssm'' class. Please check the inputs')
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 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
184
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
185 % calculate proposal densities
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
186 logq1 = logprpsl(xo{k},x0,cov{k});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
187 logq2 = logprpsl(xn_new,xo{k_new},cov{k_new});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
188
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
189 % ratio (independent proposals => Jacobian = 1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
190 logr = (logq2 + loglk2mdl2 - loglk2mdl1 - logq1) ;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
191 % decide if sample in new model is accepted or not
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
192 if logr < 0
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
193 xo{k_new} = xn_new;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
194 nacc = nacc+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
195 sumsamples = nacc + rejected;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
196 mnacc(nacc,:) = mnacc(nacc-1,:);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
197 mnacc(nacc,k_new) = mnacc(nacc-1,k_new) + 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
198 smpl(nacc,k_new) = loglk2mdl2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
199 if (k ~= k_new) smpl(nacc,k) = loglk2mdl1; end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
200 k = k_new;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
201 % update parameters again
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
202 for gg = 1:nummodels
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
203 xo{gg} = updateparams(param,xo,k,gg);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
204 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
205 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
206 utils.helper.msg(msg.IMPORTANT, sprintf('acc new k: %d loglik: %d SNR: %d betta: %d ratio: %d ',k_new,loglk2mdl2,SNR,betta,logr));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
207 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
208 elseif rand(1) > (1 - exp(-logr))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
209 xo{k_new} = xn_new;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
210 nacc = nacc+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
211 sumsamples = nacc + rejected;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
212 mnacc(nacc,:) = mnacc(nacc-1,:);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
213 mnacc(nacc,k_new) = mnacc(nacc-1,k_new) + 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
214 smpl(nacc,k_new) = loglk2mdl2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
215 if (k ~= k_new) smpl(nacc,k) = loglk2mdl1; end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
216 k = k_new;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
217 % update parameters again
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
218 for gg = 1:nummodels
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
219 xo{gg} = updateparams(param,xo,k,gg);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
220 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
221 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
222 utils.helper.msg(msg.IMPORTANT, sprintf('acc new k: %d loglik: %d SNR: %d betta: %d ratio: %d ',k_new,loglk2mdl2,SNR,betta,logr));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
223 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
224 elseif isnan(logr)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
225 rejected = rejected + 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
226 sumsamples = nacc + rejected;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
227 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
228 utils.helper.msg(msg.IMPORTANT, sprintf('rejected: %d out of bounds ',rejected));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
229 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
230 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
231 nacc = nacc+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
232 sumsamples = nacc + rejected;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
233 mnacc(nacc,:) = mnacc(nacc-1,:);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
234 mnacc(nacc,k) = mnacc(nacc-1,k) + 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
235 if (k ~= k_new) smpl(nacc,k_new) = loglk2mdl2; end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
236 % printing on screen the correct things
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
237 if rj
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
238 smpl(nacc,k) = loglk1mdl1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
239 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
240 utils.helper.msg(msg.IMPORTANT, sprintf('acc old k: %d loglik: %d SNR: %d betta: %d ratio: %d ',k,loglk1mdl1,SNR,betta,logr));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
241 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
242 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
243 smpl(nacc,k) = loglk2mdl1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
244 if (k ~= k_new) smpl(nacc,k_new) = loglk2mdl2; end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
245 xo{k} = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
246 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
247 utils.helper.msg(msg.IMPORTANT, sprintf('acc old k: %d loglik: %d SNR: %d betta: %d ratio: %d ',k,loglk2mdl1,SNR,betta,logr));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
248 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
249 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
250 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
251
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
252 str = [];
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
253 % printing to screen the following: "acc(#_of_model): # of points in
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
254 % model #_of_model" for ii = 1:nummodels
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
255 if dbg_info
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
256 for ii = 1:nummodels
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
257 str = [str sprintf('acc%d: %d ',ii,mnacc(nacc,ii))];
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 utils.helper.msg(msg.IMPORTANT, str);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
260 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
261
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
262 % the handshake problem
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
263 for gg = 1:(nummodels)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
264 for dd = gg+1:(nummodels)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
265 %calculate Bayes Factor
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
266 Bxy{gg,dd}(nacc,1) = mnacc(nacc,gg)/mnacc(nacc,dd);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
267 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
268 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
269
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
270 % plot Bayes factor
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
271 if (parplot && (mod(summ,500) == 0) && (nacc ~= 0))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
272 figure(1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
273 for gg = 1:(nummodels)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
274 for dd = gg+1:(nummodels)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
275 legen = [legen ; sprintf('B%d%d',gg,dd)]; % legend
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
276 plot(Bxy{gg,dd}(:,1),'color',colour{gg,dd})
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
277 legend(legen)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
278 hold on
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
279 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
280 end
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 hold off
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
283 legen = [];
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
284
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
285 % plot LogLikelihood for each model
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
286 if (parplot && (mod(summ,100) == 0) && (nacc ~= 0))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
287 figure (2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
288 for jj = 3:(nummodels+2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
289 %if (mnacc(nacc,jj-2) ~= 0)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
290 plot(smpl(:,jj-2),'color',coloor(jj-2,:))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
291 legen = [legen ; sprintf('model%d',jj-2)]; % legend
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
292 legend(legen)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
293 hold on
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
294 %end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
295 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
296 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
297 hold off
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
298 legen = [];
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
299
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
300 % sum of points (used for plotting mainly -> avoid repeated ploting).
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
301 summ = summ+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
302 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
303 LogL = smpl;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
304 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
305
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
306 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
307 % metropolis algorithm
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
308 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
309 function [xo x0 loglk1 rejected] = mhsmpl(k,betta,xn,xo,loglk1,loglk2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
310
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
311 x0 = xo{k};
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
312 logalpha = betta*(loglk2 - loglk1);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
313
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
314 if logalpha < 0
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
315 xo{k} = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
316 loglk1 = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
317 rejected = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
318 elseif rand(1) > (1 - exp(-logalpha))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
319 xo{k} = xn;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
320 loglk1 = loglk2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
321 rejected = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
322 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
323 rejected = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
324 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
325
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
326 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
327
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
328 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
329 % compute LogLikelihood
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
330 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
331 % function logL = LogLamda(k,param,model,inNames,outNames,spl,Amats,Bmats,Dmats,Cmats)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
332 %
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
333 % switch class(model(k_new))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
334 % case 'ssm'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
335 % logL = utils.math.loglikelihood_ssm(xn_new,in,out,nse,model(:,k_new),param{k_new},inNames,outNames, spl, Amats{k_new}, Bmats{k_new}, Cmats{k_new}, Dmats{k_new});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
336 % case 'smodel'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
337 % logL = utils.math.loglikelihood(xn_new,in,out,nse,model(:,k_new),param{k_new});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
338 % case 'matrix'
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
339 % [logL SNR] = utils.math.loglikelihood_matrix(xn_new,in,out,nse,model(:,k_new),param{k_new},inModel,outModel);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
340 % otherwise
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
341 % error('### Model must be from the ''ssm'' class. Please check the inputs')
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
342 % end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
343 %
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
344 %
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
345 % end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
346
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
347 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
348 % propose a new jump function
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
349 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
350 function [xn hjump]= propose(xo,cov,search,Tc,jumps,hjump,nacc,sumsamples)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
351
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
352 if search
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
353 if nacc <= Tc(1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
354
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
355 if(mod(sumsamples,5) == 0 && mod(sumsamples,25) ~= 0 && mod(sumsamples,40) ~= 0 && hjump ~= 1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
356 hjump = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
357 xn = mvnrnd(xo,jumps(2)^2*cov);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
358 elseif(mod(sumsamples,20) == 0 && mod(sumsamples,50) ~= 0 && hjump ~= 1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
359 hjump = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
360 xn = mvnrnd(xo,jumps(3)^2*cov);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
361 elseif(mod(sumsamples,10) == 0 && hjump ~= 1)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
362 hjump = 1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
363 xn = mvnrnd(xo,jumps(4)^2*cov);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
364 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
365 hjump = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
366 xn = mvnrnd(xo,jumps(1)^2*cov);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
367 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
368 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
369 xn = mvnrnd(xo,cov);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
370 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
371 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
372 xn = mvnrnd(xo,cov);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
373 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
374
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
375
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
376 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
377
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
378 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
379 % update parameters function (dimension matching)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
380 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
381 function xn= updateparams(param,xo,k,kn)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
382
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
383 % dimension difference of models
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
384 dimdif = abs(size(param{kn},2) - size(param{k},2));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
385 % mark the different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
386 difparams = setxor(param{kn},param{k});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
387 % total number of different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
388 totalnumdifpar = numel(difparams);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
389 kk = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
390
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
391 % case: dimension difference equals the # of different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
392 % and dim(model(k')) > dim(model(k))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
393 if (dimdif == totalnumdifpar && size(param{kn},2) > size(param{k},2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
394
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
395 xn = zeros(size(xo{kn}));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
396 for ii = 1:min(size(difparams,2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
397 compvec{ii} = strcmp(difparams{ii},param{kn});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
398 position(ii) = find(compvec{ii}); % mark the positions of the different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
399 xn(position(ii)) = xo{kn}(position(ii));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
400 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
401 for jj = 1:size(param{kn},2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
402 if (jj ~= position)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
403 kk = kk+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
404 xn(jj) = xo{k}(kk);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
405 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
406 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
407
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
408 % case: dimension difference equals the # of different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
409 % and dim(model(k')) < dim(model(k))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
410 elseif (dimdif == totalnumdifpar && size(param{kn},2) < size(param{k},2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
411
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
412 xn = zeros(size(xo{kn}));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
413 for ii = 1:min(size(difparams,2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
414 compvec{ii} = strcmp(difparams{ii},param{k});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
415 position(ii) = find(compvec{ii});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
416 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
417 for jj = 1:size(param{k},2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
418 if (jj ~= position)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
419 kk = kk+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
420 xn(kk) = xo{k}(jj);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
421 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
422 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
423
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
424 % case: dimension difference is smaller than the # of different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
425 % and dim(model(k')) > dim(model(k))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
426 elseif (dimdif < totalnumdifpar && size(param{kn},2) > size(param{k},2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
427
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
428 xn = zeros(size(xo{kn}));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
429 for ii = 1:min(size(difparams,2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
430 compvec{ii} = strcmp(difparams{ii},param{kn});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
431 if any(compvec{ii})
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
432 position(ii) = find(compvec{ii});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
433 xn(position(ii)) = xo{kn}(position(ii));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
434 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
435 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
436 for jj = 1:size(param{kn},2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
437 if (jj ~= position)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
438 kk = kk+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
439 xn(jj) = xo{k}(kk);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
440 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
441 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
442
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
443 % case: dimension difference is smaller than the # of different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
444 % and dim(model(k')) < dim(model(k))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
445 elseif (dimdif < totalnumdifpar && size(param{kn},2) < size(param{k},2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
446
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
447 xn = zeros(size(xo{kn}));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
448 for ii = 1:size(param{kn},2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
449 compvec{ii} = strcmp(param{kn}{ii},param{k});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
450 if any(compvec{ii})
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
451 position(ii) = find(compvec{ii});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
452 %xn(position(ii)) = xo{k}(position(ii));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
453 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
454 kk = kk+1;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
455 compvec{ii} = strcmp(param{kn}{ii},param{kn});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
456 position2(kk) = find(compvec{ii});
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
457 xn(position2(kk)) = xo{kn}(position2(kk));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
458 position(ii) = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
459 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
460 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
461 kk = 0;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
462 for jj = 1:size(param{kn},2)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
463 if (position(jj) ~= 0)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
464 xn(jj) = xo{k}(position(jj));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
465 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
466 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
467
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
468 % case: dimension difference is smaller than the # of different parameters
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
469 % and dim(model(k')) = dim(model(k))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
470 elseif (dimdif < totalnumdifpar && size(param{kn},2) == size(param{k},2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
471
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
472 xn = zeros(size(xo{kn}));
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
473 for ii = 1:min(size(difparams,2))
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
474 compvec{ii} = strcmp(difparams{ii},param{kn});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
475 if any(compvec{ii})
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
476 position(ii) = find(compvec{ii});
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
477 xn(position(ii)) = xo{kn}(position(ii));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
478 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
479 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
480 for jj = 1:size(param{kn},2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
481 if (jj ~= position)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
482 kk = kk+1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
483 xn(jj) = xo{k}(kk);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
484 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
485 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
486
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
487 % case: new model proposed is the same as the previous one (k' == k).
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
488 % That means we perform again the metropolis algorithm.
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
489 elseif (totalnumdifpar == 0 && size(param{kn},2) == size(param{k},2))
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
490
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
491 xn = xo{k};
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
492
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
493 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
494
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
495 % propose the new set of points in the new parameter space
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
496 %[xn hjump]= propose(xn,cov{kn},search,Tc,jumps,hjump,nacc,sumsamples);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
497
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
498 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
499
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
500 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
501 % compute proposal density
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
502 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
503 function logq = logprpsl(X,mean,cov)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
504
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
505 logq = log(mvnpdf(X,mean,cov));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
506 if (logq == -Inf) logq = 0; end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
507
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
508 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
509