ltpda: m-toolbox/classes/@ao/mcmc

author	Daniele Nicolodi <nicolodi@science.unitn.it>
date	Wed, 23 Nov 2011 19:22:13 +0100
parents
children

rev	line source
0 f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	1 % MCMC_TD estimates paramters using a Monte Carlo Markov Chain.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	2 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	3 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	4 % DESCRIPTION: MCMC estimate the parameters of a given model given
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	5 % inputs, outputs and noise using a Metropolis algorithm.
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	6 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	7 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	8 % CALL: b = mcmc(out,pl)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	9 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	10 % INPUTS:
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	11 % out - analysis objects with measured outputs
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	12 % pl - parameter list
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	13 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	14 % OUTPUTS: b - pest object contatining estimate information
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	15 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	16 % <a href="matlab:utils.helper.displayMethodInfo('ao', 'mcmc_td')">Parameters Description</a>
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	17 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	18 % VERSION: $Id: mcmc_td.m,v 1.6 2011/04/08 08:56:12 hewitson Exp $
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	19 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	20 % References: "Catching supermassive black holes binaries without a net"
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	21 % N.J. Cornish, E.K. Porter, Phys.Rev.D 75, 021301, 2007
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	22 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	23 % TODO: multiple chain option not implemented yet
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	24 % metropolis/hastings not implemented
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	25 % empty initial values not implemented
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	26 %
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	27 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	28
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	29 function varargout = mcmc_td(varargin)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	30
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	31 % Check if this is a call for parameters
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	32 if utils.helper.isinfocall(varargin{:})
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	33 varargout{1} = getInfo(varargin{3});
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	34 return
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	35 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	36
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	37 import utils.const.*
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	38 utils.helper.msg(msg.PROC3, 'running %s/%s', mfilename('class'), mfilename);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	39
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	40 % Method can not be used as a modifier
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	41 if nargout == 0
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	42 error('### metropolis2D cannot be used as a modifier. Please give an output variable.');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	43 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	44
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	45 % Collect input variable names
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	46 in_names = cell(size(varargin));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	47 for ii = 1:nargin,in_names{ii} = inputname(ii);end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	48
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	49 % Collect all AOs smodels and plists
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	50 [as, ao_invars] = utils.helper.collect_objects(varargin(:), 'ao', in_names);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	51 pl = utils.helper.collect_objects(varargin(:), 'plist', in_names);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	52
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	53 % Decide on a deep copy or a modify
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	54 bs = copy(as, nargout);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	55
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	56 out = bs;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	57
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	58
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	59 % Combine plists
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	60 pl = parse(pl, getDefaultPlist);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	61
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	62
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	63 % Get parameters
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	64 N = find(pl, 'N');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	65 Tc = find(pl,'Tc');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	66 xi = find(pl,'heat');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	67 cvar = find(pl, 'cov');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	68 rng = find(pl,'range');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	69 search = find(pl,'search');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	70 simplex = find(pl,'simplex');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	71 x0 = find(pl,'x0');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	72 mdl = find(pl,'model');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	73 %nse = find(pl,'noise');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	74 jumps = find(pl,'jumps');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	75 parplot = find(pl,'plot');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	76 debug = find(pl,'debug');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	77
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	78 in = find(pl,'Input');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	79 inNames = find(pl,'inNames');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	80 outNames = find(pl,'outNames');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	81 Noise = find(pl,'Noise');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	82 parnames = find(pl,'parnames');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	83 cutbefore = find(pl,'cutbefore');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	84 cutafter = find(pl,'cutafter');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	85
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	86 % Check input parameters
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	87 if isempty(rng)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	88 error('### Please define a search range ''range''');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	89 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	90
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	91 if isempty(parnames)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	92 error('### Please define the parameters ''parnames''');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	93 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	94 nparam = numel(parnames);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	95
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	96
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	97 % Get range for parameters
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	98 for i = 1:nparam
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	99 range(:,i) = rng{i};
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	100 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	101
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	102
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	103
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	104 % do simplex
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	105 if simplex
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	106 if isempty(x0)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	107 error('### Simplex needs a starting guess. Please input a ''x0''.');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	108 else
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	109 switch class(mdl)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	110 case 'smodel'
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	111 %xo = fminsearch(@(x) utils.math.loglikehood(x,in,out,nse,mdl,param),xo,optimset('Display','iter'));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	112 case 'ssm'
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	113 x0 = fminsearch(@(x)utils.math.loglikehood_ssm_td(x,in,out,parnames,mdl,inNames,outNames,Noise,'cutbefore',cutbefore,'cutafter',cutafter),x0,optimset('Display','iter'));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	114 otherwise
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	115 error('### Model must be either from the ''smodel'' or the ''ssm'' class. Please check the inputs')
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	116 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	117
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	118 for i = 1:numel(parnames)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	119 fprintf('### Simplex estimate: %s = %d \n',parnames{i},x0(i))
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	120 %save('parameters_simplex.txt','x0','-ASCII')
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	121 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	122 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	123 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	124
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	125 % sample distribution
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	126 smpl = utils.math.mhsample_td(mdl,in,out,cvar,N,range,parnames,Tc,xi,x0,search,jumps,parplot,debug,inNames,outNames,Noise,cutbefore,cutafter);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	127
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	128 % statistics of the chain
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	129 if isempty(Tc)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	130 initial =1;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	131 else
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	132 initial = Tc(2)+1;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	133 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	134
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	135 mn = mean(smpl(initial:end,:));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	136 cv = cov(smpl(initial:end,:));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	137
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	138 cr = utils.math.cov2corr(cv);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	139
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	140 % compute pdf
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	141 for i = 1:nparam
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	142 [count,bin] = hist(smpl(initial:end,i));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	143 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	144
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	145 % create pest output
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	146 p = pest(mn);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	147 p.setName('metropolis2D');
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	148 p.setNames(parnames{:});
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	149 % add statistical info
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	150 p.setCov(cv);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	151 p.setCorr(cr);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	152 p.setDy(sqrt(diag(cv))); % need to change if non-gaussian
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	153 p.setPdf([reshape(bin, 1, []), reshape(count, 1, [])]); % not yet able to store bins
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	154 p.setChain(smpl);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	155 p.setModels(mdl);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	156 % set history
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	157 p.addHistory(getInfo('None'), pl, [ao_invars(:)], [bs(:).hist mdl(:).hist]);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	158
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	159 % Set output
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	160 varargout{1} = p;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	161
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	162 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	163
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	164
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	165
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	166 %--------------------------------------------------------------------------
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	167 % Get Info Object
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	168 %--------------------------------------------------------------------------
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	169 function ii = getInfo(varargin)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	170 if nargin == 1 && strcmpi(varargin{1}, 'None')
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	171 sets = {};
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	172 pl = [];
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	173 else
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	174 sets = {'Default'};
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	175 pl = getDefaultPlist;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	176 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	177 % Build info object
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	178 ii = minfo(mfilename, 'ao', 'ltpda', utils.const.categories.sigproc, '$Id: mcmc_td.m,v 1.6 2011/04/08 08:56:12 hewitson Exp $', sets, pl);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	179 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	180
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	181 %--------------------------------------------------------------------------
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	182 % Get Default Plist
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	183 %--------------------------------------------------------------------------
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	184 function plout = getDefaultPlist()
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	185 persistent pl;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	186 if exist('pl', 'var')==0 \|\| isempty(pl)
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	187 pl = buildplist();
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	188 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	189 plout = pl;
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	190 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	191
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	192 function pl = buildplist()
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	193 pl = plist();
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	194
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	195 % N
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	196 p = param({'N','number of samples of the chain.'}, paramValue.DOUBLE_VALUE(1000));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	197 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	198
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	199 % Sigma
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	200 p = param({'cov','covariance of the gaussian jumping distribution.'}, paramValue.DOUBLE_VALUE(1e-4));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	201 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	202
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	203 % Param
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	204 p = param({'parnames','A cell array of evaluated parameters.'}, paramValue.EMPTY_CELL);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	205 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	206
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	207
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	208 % Model
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	209 p = param({'model','The model for the system, at the moment only ssm is supported'}, paramValue.EMPTY_STRING);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	210 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	211
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	212 % Search
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	213 p = param({'search','Set to true to use bigger jumps in parameter space during annealing and cool down.'}, paramValue.TRUE_FALSE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	214 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	215
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	216 % Simplex
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	217 p = param({'simplex','Set to true to perform a simplex search to find the starting parameters of the MCMC chain.'}, paramValue.TRUE_FALSE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	218 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	219
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	220 % heat
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	221 p = param({'heat','The heat index flattening likelihood surface during annealing.'}, paramValue.DOUBLE_VALUE(1));
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	222 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	223
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	224 % Tc
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	225 p = param({'Tc','An array of two values setting the initial and final value for the cooling down.'}, paramValue.EMPTY_STRING);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	226 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	227
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	228 % x0
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	229 p = param({'x0','The proposed initial values.'}, paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	230 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	231
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	232 % jumps
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	233 p = param({'jumps','An array of four numbers setting the rescaling of the covariance matrix during the search phase.',...
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	234 'The first value is the one applied by default, the following thhree apply just when the chain sample is',...
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	235 'mod(10), mod(25) and mod(100) respectively.'}, paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	236 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	237
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	238 % plot
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	239 p = param({'plot','Select indexes of the parameters to be plotted.'}, paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	240 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	241
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	242 % debug
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	243 p = param({'debug','Set to true to get debug information of the MCMC process.'}, paramValue.FALSE_TRUE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	244 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	245
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	246 % Input
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	247 p = param({'Input','An array of analysis object containing the input signals'},paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	248 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	249
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	250 % inNames
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	251 p = param({'inNames','Cell array of input port names'}, paramValue.EMPTY_CELL);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	252 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	253
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	254 % outNames
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	255 p = param({'outNames','Cell array of output port names'}, paramValue.EMPTY_CELL);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	256 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	257
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	258
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	259 % Noise
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	260 p = param({'Noise','An array of analysis objects containg noise series'}, paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	261 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	262
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	263 % cutbefore
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	264 p = param({'cutbefore','the data samples to cut at the starting of the series'}, paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	265 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	266
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	267 % cutafter
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	268 p = param({'cutafter','the data samples to cut at the ending of the series'}, paramValue.EMPTY_DOUBLE);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	269 pl.append(p);
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	270
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	271
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	272 end
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	273
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	274
f0afece42f48 Import. Daniele Nicolodi <nicolodi@science.unitn.it> parents: diff changeset	275

0

f0afece42f48 Import.