Mercurial > hg > ltpda

annotate m-toolbox/classes/+utils/@math/loglikelihood_ssm.m @ 3:960fe1aa1c10 database-connection-manager

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Add LTPDADatabaseConnectionManager implementation. Java code
author Daniele Nicolodi <nicolodi@science.unitn.it>
date Mon, 05 Dec 2011 16:20:06 +0100
parents f0afece42f48
children
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Daniele Nicolodi <nicolodi@science.unitn.it>
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1 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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2 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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3 % Compute log-likelihood for SSM objects
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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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6 %
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7 % $Id: loglikelihood_ssm.m,v 1.3 2011/11/16 08:52:49 nikos Exp $
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8 %
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9 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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10 function [loglk snr]= loglikelihood_ssm(xn,in,out,noise,model,params,inNames,outNames, spl, Amats, Bmats, Cmats, Dmats)
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11
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12 loglk = 0;
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13 snr = 0;
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14 switch class(in)
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15 case 'ao'
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16 % parameters
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17 fs = noise(1).fs;
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18 N = length(noise(1).y);
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19
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20 if (numel(in) == 1 && numel(out) == 1)
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21 xn = double(xn);
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22
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23 spl = plist('set', 'for bode', ...
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24 'outputs', outNames, ...
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25 'inputs', inNames, ...
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26 'reorganize', false,...
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27 'f', in(1).x);
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28
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29 eval = copy(model,1);
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30
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31 % set parameter values
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32 eval.doSetParameters(params, xn);
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33
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34 % make numeric
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35 eval.doSubsParameters(params, true);
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36
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37 % do bode
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38 h11 = bode(eval, spl, 'internal');
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39
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40 f = in.x;
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41 % spectra to variance
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42 C11 = (N*fs/2)*noise(1).y;
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43
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44 % compute elements of inverse cross-spectrum matrix
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45 InvS11 = 1./C11;
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46
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47 % 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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48 % imag part when multiplying x.*conj(x)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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49 v1v1 = conj(out(1).y - h11.y.*in(1).y).*(out(1).y - h11.y.*in(1).y);
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50
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51 tmplt = h11.*in(1).y;
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52
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53 %computing SNR
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54 snrexp = utils.math.stnr(tmplt,0,out(1).y,0,InvS11,0,0,0);
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55
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56 snr = snr + 20*log10(snrexp);
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57
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58 log1exp = sum(InvS11.*v1v1);
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59
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60 loglk = loglk + log1exp;
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61
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62 elseif (numel(in) == 2 && numel(out) == 2)
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63
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64 f = in(1).x;
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65
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66 xn = double(xn);
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67
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68 spl = plist('set', 'for bode', ...
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69 'outputs', outNames, ...
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70 'inputs', inNames, ...
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71 'reorganize', false,...
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72 'f', in(1).x);
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73
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74 eval = copy(model,1);
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75
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76 % set parameter values
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77 eval.doSetParameters(params, xn);
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78
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79 % make numeric
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80 eval.doSubsParameters(params);
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81
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82 % do bode
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83 h = bode(eval, spl, 'internal');
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84 h11 = h(1);
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85 h12 = h(2);
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86 h21 = h(3);
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87 h22 = h(4);
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88
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89 % spectra to variance
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Daniele Nicolodi <nicolodi@science.unitn.it>
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90 C11 = (N*fs/2)*noise(1).y;
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91 C22 = (N*fs/2)*noise(2).y;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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92 C12 = (N*fs/2)*noise(3).y;
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93 C21 = (N*fs/2)*noise(4).y;
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94
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95 % compute elements of inverse cross-spectrum matrix
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Daniele Nicolodi <nicolodi@science.unitn.it>
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96 InvS11 = (C22./(C11.*C22 - C12.*C21));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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97 InvS22 = (C11./(C11.*C22 - C12.*C21));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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98 InvS12 = (C21./(C11.*C22 - C12.*C21));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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99 InvS21 = (C12./(C11.*C22 - C12.*C21));
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100
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101 % 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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102 % imag part when multiplying x.*conj(x)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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103 v1v1 = conj(out(1).y - h11.y.*in(1).y - h12.y.*in(2).y).*(out(1).y - h11.y.*in(1).y - h12.y.*in(2).y);
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104 v2v2 = conj(out(2).y - h21.y.*in(1).y - h22.y.*in(2).y).*(out(2).y - h21.y.*in(1).y - h22.y.*in(2).y);
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105 v1v2 = conj(out(1).y - h11.y.*in(1).y - h12.y.*in(2).y).*(out(2).y - h21.y.*in(1).y - h22.y.*in(2).y);
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106 v2v1 = conj(out(2).y - h21.y.*in(1).y - h22.y.*in(2).y).*(out(1).y - h11.y.*in(1).y - h12.y.*in(2).y);
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107
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108 tmplt1 = h11.*in(1).y + h12.*in(2).y;
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109 tmplt2 = h21.*in(1).y + h22.*in(2).y;
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110
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111 %computing SNR
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112 snrexp = utils.math.stnr(tmplt1,tmplt2,out(1).y,out(2).y,InvS11,InvS22,InvS12,InvS21);
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113
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114 snr = snr + 20*log10(snrexp);
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115
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116 log1exp = sum(InvS11.*v1v1 + InvS22.*v2v2 - InvS12.*v1v2 - InvS21.*v2v1);
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117
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118 loglk = loglk + log1exp;
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119
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120 else
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121 error('This method is only implemented for 1 input / 1 output model or for 2 inputs / 2 outputs models');
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122 end
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123
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124 case 'matrix'
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125 % parameters
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126
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127 fs = in(1).objs(1).fs;
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128
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129 % num. experiments
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130 nexp = numel(in);
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131
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132 noutChannels = numel(out(1).objs);
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133
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134 N = length(noise(1).objs(1).y);
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135
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136 loglk = 0;
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137 for nnn = 1:nexp
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138
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139 if ((numel(in(1).objs) == 1) && numel(out(1).objs) == 1)
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140
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141 freqs = in(nnn).objs(1).data.getX;
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142
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143 xn = double(xn);
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144
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145 spl = plist('set', 'for bode', ...
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146 'outputs', outNames, ...
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147 'inputs', inNames, ...
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148 'reorganize', false,...
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149 'f', freqs);
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150
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151
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152 eval = copy(model(nnn),1);
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153
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154 % set parameter values
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155 eval.doSetParameters(params, xn);
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156
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157 % make numeric
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158 eval.doSubsParameters(params, true);
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159
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
160 % do bode
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
161 h(:,1) = bode(eval, spl, 'internal');
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
162
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
163 for j = 1:noutChannels^2
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
164 % spectra to variance
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
165 % (N*fs/2)* this multiplication is done now in mcmc
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
166 C(:,j) = noise(nnn).objs(j).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
167 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
168
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
169 % compute elements of inverse cross-spectrum matrix
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
170 InvS11 = 1./C(:,1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
171
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
172
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
173 % compute log-likelihood terms first, all at once does not cancel the
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
174 % imag part when multiplying x.*conj(x)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
175 in1 = in(nnn).objs(1).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
176 out1 = out(nnn).objs(1).data.getY;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
177
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
178 % matrix index convention: H(1,1)->h(1) H(2,1)->h(2) H(1,2)->h(3) H(2,2)->h(4)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
179 v1v1 = conj(out1 - h.getObjectAtIndex(1,1).y.*in1).*(out1 - h.getObjectAtIndex(1,1).y.*in1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
180
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
181 tmplt = h.getObjectAtIndex(1,1).y.*in1;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
182
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
183 %computing SNR
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
184 snrexp = utils.math.stnr(tmplt,0,out1,0,InvS11,0,0,0);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
185
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
186 snr = snr + 20*log10(snrexp);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
187
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
188 log1exp = sum(InvS11.*v1v1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
189
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
190 loglk = loglk + log1exp;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
191
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
192 elseif ((numel(in(1).objs) == 2) && numel(out(1).objs) == 2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
193
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
194 freqs = in(nnn).objs(1).data.getX;
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
195
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
196 xn = double(xn);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
197
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
198 spl.pset('f', freqs);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
199
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
200 eval = model(nnn);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
201 eval.setA(Amats);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
202 eval.setB(Bmats);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
203 eval.setC(Cmats);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
204 eval.setD(Dmats);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
205
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
206 % set parameter values
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
207 eval.doSetParameters(params, xn);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
208
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
209 % make numeric
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
210 eval.doSubsParameters(params, true);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
211
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
212 % do bode
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
213 [h1 h2 h3 h4] = bode(eval, spl);
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
214
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
215 for j = 1:noutChannels^2
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
216 % spectra to variance
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
217 % (N*fs/2)* this multiplication is done now in mcmc
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
218 C(:,j) = noise(nnn).objs(j).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
219 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
220
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
221 % compute elements of inverse cross-spectrum matrix
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
222 detm = (C(:,1).*C(:,4) - C(:,2).*C(:,3));
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
223 InvS11 = C(:,4)./detm; %1 4
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Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
224 InvS22 = C(:,1)./detm; %4 1
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
225 InvS12 = C(:,2)./detm; %2 2
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
226 InvS21 = C(:,3)./detm; %3 3
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
227
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
228 % compute log-likelihood terms first, all at once does not cancel the
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
229 % imag part when multiplying x.*conj(x)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
230 in1 = in(nnn).objs(1).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
231 in2 = in(nnn).objs(2).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
232 out1 = out(nnn).objs(1).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
233 out2 = out(nnn).objs(2).data.getY;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
234
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
235 % matrix index convention: H(1,1)->h(1) H(2,1)->h(2) H(1,2)->h(3) H(2,2)->h(4)
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
236 v1v1 = conj(out1 - h1.*in1 - h3.*in2).*(out1 - h1.*in1 - h3.*in2);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
237 v2v2 = conj(out2 - h2.*in1 - h4.*in2).*(out2 - h2.*in1 - h4.*in2);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
238 v1v2 = conj(out1 - h1.*in1 - h3.*in2).*(out2 - h2.*in1 - h4.*in2);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
239 v2v1 = conj(out2 - h2.*in1 - h4.*in2).*(out1 - h1.*in1 - h3.*in2);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
240
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
241 tmplt1 = h1.*in1 + h3.*in2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
242 tmplt2 = h2.*in1 + h4.*in2;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
243
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
244 %computing SNR
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
245 snrexp = utils.math.stnr(tmplt1,tmplt2,out1,out2,InvS11,InvS22,InvS12,InvS21);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
246
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
247 snr = snr + 20*log10(snrexp);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
248
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
249 log1exp = sum(InvS11.*v1v1 + InvS22.*v2v2 - InvS12.*v1v2 - InvS21.*v2v1);
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
250
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
251 loglk = loglk + log1exp;
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
252 else
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
253 error('This method is only implemented for 1 input / 1 output model or for 2 inputs / 2 outputs models');
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
254 end
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
255
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
256
f0afece42f48 Import.
Daniele Nicolodi <nicolodi@science.unitn.it>
parents:
diff changeset
257
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 end
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