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author | Daniele Nicolodi <nicolodi@science.unitn.it> |
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date | Mon, 05 Dec 2011 18:04:34 +0100 |
parents | f0afece42f48 |
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % % modelselect.m - method to compute the Bayes Factor using % reverse jump mcmc algorithm % % call - Bxy = modelselect(out,pl) % % inputs - out: matrix objects with measured outputs % pl: parameter list % % outputs - Bxy: an array of AOs containing the evolution % of the Bayes factors. (comparing each model % with each other) % % % <a href="matlab:utils.helper.displayMethodInfo('matrix','modelselect')">Parameters Description</a> % % N. Karnesis 27/09/2011 % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% function varargout = modelselect(varargin) % Check if this is a call for parameters if utils.helper.isinfocall(varargin{:}) varargout{1} = getInfo(varargin{3}); return end import utils.const.* utils.helper.msg(msg.PROC3, 'running %s/%s', mfilename('class'), mfilename); % Method can not be used as a modifier if nargout == 0 error('### mcmc cannot be used as a modifier. Please give an output variable.'); end % Collect input variable names in_names = cell(size(varargin)); for ii = 1:nargin,in_names{ii} = inputname(ii);end % Collect all AOs smodels and plists [mtxs, mtxs_invars] = utils.helper.collect_objects(varargin(:), 'matrix', in_names); pl = utils.helper.collect_objects(varargin(:), 'plist', in_names); % Combine plists pl = parse(pl, getDefaultPlist); % Get parameters N = find(pl, 'N'); Tc = find(pl,'Tc'); xi = find(pl,'heat'); param = find(pl,'FitParams'); cvar = find(pl, 'cov'); rng = find(pl,'range'); flim = find(pl,'frequencies'); fsout = find(pl,'fsout'); search = find(pl,'search'); xo = find(pl,'x0'); mtxin = find(pl,'input'); mdlin = find(pl,'models'); mdlFreqDependent = find(pl,'modelFreqDependent'); nse = find(pl,'noise'); jumps = find(pl,'jumps'); parplot = find(pl,'plot'); debug = find(pl,'debug'); outModel = find(pl,'outModel'); inModel = find(pl,'inModel1'); outNames = find(pl,'outNames'); inNames = find(pl,'inNames'); anneal = find(pl,'anneal'); DeltaL = find(pl,'DeltaL'); SNR0 = find(pl,('SNR0')); nummodels = numel(mdlin); % Decide on a deep copy or a modify in = copy(mtxin, nargout); out = copy(mtxs, nargout); for k = 1:nummodels mdl(k) = copy(mdlin{1,k}, nargout); nparam(k) = numel(param{1,k}); % lighten the model mdl(k).clearHistory; if isa(mdl(k), 'ssm') mdl(k).clearNumParams; mdl(k).clearAllUnits; mdl(k).params.simplify; end end % Check input parameters if isempty(rng) error('### Please define a search range ''range'''); end if isempty(param) error('### Please define the parameters ''param'''); end if size(mdl(1)) ~= size(nse) error('### Parameters ''model'' and ''noise'' must be the same dimension'); end if size(in) ~= size(out) error('### Number of input and output experiments must be the same'); end % Get range for parameters for jj = 1:nummodels for i = 1:numel(param{1,jj}) rang{1,jj}(:,i) = rng{1,jj}{i}'; end end % Get number of experiments nexp = numel(in); switch class(mdl) case 'matrix' % Check model sizes for k = 1:nummodels if (isempty(outModel) && isempty(inModel)) if (~(numel(in(1).objs) == mdl(k).ncols) || ~(numel(out(1).objs) == mdl(k).nrows)) error('Check model or input/output sizes'); end elseif isempty(inModel) if (~(numel(in(1).objs) == mdl(k).ncols) || ~(size(outModel,2) == mdl(k).nrows) || ~(size(outModel,1) == numel(out(1).objs))) error('Check model or input/output sizes'); end elseif isempty(outModel) if (~(numel(in(1).objs) == size(inModel,2)) || ~(size(inModel,1) == mdl(k).ncols) || ~(numel(out(1).objs) == mdl(k).nrows)) error('Check model or input/output sizes'); end else if (~(numel(in(1).objs) == size(inModel,2)) || ~(size(inModel,1) == mdl(k).ncols) || ~(size(outModel,2) == mdl(k).nrows) || ~(numel(out(1).objs) == size(outModel,1))) error('Check model or input/output sizes'); end end end case 'ssm' inNames = find(pl,'inNames'); outNames = find(pl,'outNames'); if( (numel(inNames) ~= numel(in(1).objs)) || numel(outNames) ~= numel(out(1).objs)) error('Check model inNames and outNames, they do not match with the input objects') end otherwise error('### Model must be either from the ''matrix'' or the ''ssm'' class. Please check the inputs') end %%%%%%%%%%%%%%%%%%%%%%%%%%%% Frequency domain pre-process %%%%%%%%%%%%%%%%%%%%%%%% utils.helper.msg(msg.IMPORTANT, 'Computing frequency domain objects', mfilename('class'), mfilename); for k = 1:nexp if((numel(out(1).objs) == 2) && (numel(in(1).objs) == 2)) % previous code done by miquel % optional resampling (not matrix/resample method yet) if ~isempty(fsout) for i = 1:numel(in(k).objs(:)) in(k).objs(i).resample(plist('fsout',fsout)); out(k).objs(i).resample(plist('fsout',fsout)); end end % fft fin(k) = fft(in(k)); fout(k) = fft(out(k)); Nsamples = length(fin(k).getObjectAtIndex(1).x); fs = fin(k).getObjectAtIndex(1).fs; if (isempty(outModel)) % Get rid of fft f =0, reduce frequency range if needed if ~isempty(flim) fin(k) = split(fin(k),plist('frequencies',[flim(1) flim(end)])); fout(k) = split(fout(k),plist('frequencies',[flim(1) flim(end)])); end elseif (~isempty(outModel)) % Get rid of fft f =0, reduce frequency range if needed if ~isempty(flim) fin(k) = split(fin(k),plist('frequencies',[flim(1) flim(end)])); fout(k) = split(fout(k),plist('frequencies',[flim(1) flim(end)])); if(~isempty(outModel)) for lll=1:size(outModel,1) for kkk=1:size(outModel,2) outModel(lll,kkk) = split(outModel(lll,kkk),plist('frequencies',[flim(1) flim(end)])); end end end if(~isempty(inModel)) inModel = split(inModel,plist('frequencies',[flim(1) flim(end)])); end end end % use signal fft to get frequency vector. Take into account signal % could be empty or set to zero % 1st channel if all(fin(k).getObjectAtIndex(1,1).y == 0) || isempty(fin(k).getObjectAtIndex(1,1).y) i1 = ao(plist('type','fsdata','xvals',0,'yvals',0)); % rebuild input with new zeroed signal fin(k) = matrix(i1,fin(k).getObjectAtIndex(2,1),plist('shape',[2 1])); else freqs = fin(k).getObjectAtIndex(1,1).x; end % 2nd channel if all(fin(k).getObjectAtIndex(2,1).y == 0) || isempty(fin(k).getObjectAtIndex(2,1).y) i2 = ao(plist('type','fsdata','xvals',0,'yvals',0)); % rebuild input with new zeroed signal fin(k) = matrix(fin(k).getObjectAtIndex(1,1),i2,plist('shape',[2 1])); else freqs = fin(k).getObjectAtIndex(2,1).x; end % Compute psd n1 = Nsamples*fs/2*psd(nse(k).getObjectAtIndex(1,1), pl); n2 = Nsamples*fs/2*psd(nse(k).getObjectAtIndex(2,1), pl); n12 = Nsamples*fs/2*cpsd(nse(k).getObjectAtIndex(1,1),nse(k).getObjectAtIndex(2,1), pl); % interpolate noise to fft frequencies S11 = interp(n1,plist('vertices',freqs)); S12 = interp(n12,plist('vertices',freqs)); S22 = interp(n2,plist('vertices',freqs)); S21 = conj(S12); % build cross-spectrum matrix mnse(k) = matrix(S11,S21,S12,S22,plist('shape',[2 2])); elseif((numel(out(1).objs) == 1) && (numel(in(1).objs) == 1)) % optional resampling (not matrix/resample method yet) if ~isempty(fsout) for i = 1:numel(in(k).objs(:)) in(k).objs(i).resample(plist('fsout',fsout)); out(k).objs(i).resample(plist('fsout',fsout)); end end % fft fin(k) = fft(in(k)); fout(k) = fft(out(k)); Nsamples = length(fin(k).getObjectAtIndex(1).x); fs = fin(k).getObjectAtIndex(1).fs; if (isempty(outModel)) % Get rid of fft f =0, reduce frequency range if needed if ~isempty(flim) fin(k) = split(fin(k),plist('frequencies',[flim(1) flim(end)])); fout(k) = split(fout(k),plist('frequencies',[flim(1) flim(end)])); end elseif (~isempty(outModel)) % Get rid of fft f =0, reduce frequency range if needed if ~isempty(flim) fin(k) = split(fin(k),plist('frequencies',[flim(1) flim(end)])); fout(k) = split(fout(k),plist('frequencies',[flim(1) flim(end)])); if(~isempty(outModel)) for lll=1:size(outModel,1) for kkk=1:size(outModel,2) outModel(lll,kkk) = split(outModel(lll,kkk),plist('frequencies',[flim(1) flim(end)])); end end end if(~isempty(inModel)) inModel = split(inModel,plist('frequencies',[flim(1) flim(end)])); end end end % use signal fft to get frequency vector. Take into account signal % could be empty or set to zero % 1st and only channel if all(fin(k).getObjectAtIndex(1,1).y == 0) || isempty(fin(k).getObjectAtIndex(1,1).y) i1 = ao(plist('type','fsdata','xvals',0,'yvals',0)); % rebuild input with new zeroed signal fin(k) = matrix(i1,fin(k).getObjectAtIndex(2,1),plist('shape',[2 1])); else freqs = fin(k).getObjectAtIndex(1,1).x; end % Compute psd n1 = Nsamples*fs/2*psd(nse(k).getObjectAtIndex(1,1), pl); % interpolate noise to fft frequencies S11 = interp(n1,plist('vertices',freqs)); % build cross-spectrum matrix mnse(k) = matrix(S11); else error('### Sorry, implemented only for 2 inputs - 2 outputs and 1 input - 1 output only...') end switch class(mdl) case 'matrix' for jj = 1:nummodels for i = 1:numel(mdl(jj).objs) if (mdlFreqDependent) % set Xvals mdl(jj).objs(i).setXvals(freqs); % set alias mdl(jj).objs(i).assignalias(mdl(jj).objs(i),plist('xvals',freqs)); else mdl(jj).objs(i).setXvals(1); end end end case 'ssm' if k < 2 for jj = 1:nummodels mdl(jj).clearNumParams; spl = plist('set', 'for bode', ... 'outputs', outNames, ... 'inputs', inNames); % first optimise our model for the case in hand mdl(jj).reorganize(spl); % make it lighter mdl(jj).optimiseForFitting(); end end end % add lines to the matrix of models. Each line corresponds to one % experiment mmdl(k,:) = mdl; end [Bxy LogLambda] = utils.math.rjsample(mmdl,fin,fout,mnse,cvar,N,rang,param,Tc,xi,xo,search,jumps,parplot,debug,inNames,outNames,anneal,SNR0,DeltaL,inModel,outModel); % Set output numfactors = 0; for gg = 1:(nummodels) for dd = gg+1:(nummodels) numfactors = numfactors + 1; BayesFactor(numfactors) = ao(Bxy{gg,dd}); BayesFactor(numfactors).setName(sprintf('B%d%d',gg,dd)); BayesFactor(numfactors).procinfo = plist('Likelihoods',LogLambda); end end output = {BayesFactor}; varargout = output(1:nargout); end %-------------------------------------------------------------------------- % Get Info Object %-------------------------------------------------------------------------- function ii = getInfo(varargin) if nargin == 1 && strcmpi(varargin{1}, 'None') sets = {}; pl = []; else sets = {'Default'}; pl = getDefaultPlist; end % Build info object ii = minfo(mfilename, 'ao', 'ltpda', utils.const.categories.sigproc, '$Id: mcmc.m,v 1.33 2011/07/31 17:38:34 nikos Exp $', sets, pl); end %-------------------------------------------------------------------------- % Get Default Plist %-------------------------------------------------------------------------- function plout = getDefaultPlist() persistent pl; if exist('pl', 'var')==0 || isempty(pl) pl = buildplist(); end plout = pl; end function pl = buildplist() pl = plist(); % inNames p = param({'inNames','Input names. Used for ssm models'}, paramValue.EMPTY_STRING); pl.append(p); % outNames p = param({'outNames','Output names. Usde for ssm models'}, paramValue.EMPTY_STRING); pl.append(p); %Model p = param({'model','An array input of models.'}, paramValue.EMPTY_STRING); pl.append(p); % Param p = param({'FitParams','A cell array of evaluated parameters for each model.'}, paramValue.EMPTY_DOUBLE); pl.append(p); % Input p = param({'input','A matrix array of input signals.'}, paramValue.EMPTY_STRING); pl.append(p); pl = plist.MCH_FIT_PLIST; % N p = param({'N','number of samples of the chain.'}, paramValue.DOUBLE_VALUE(1000)); pl.append(p); % Sigma p = param({'cov','Cell array containing the covariances of the gaussian jumping distribution for each model.'}, paramValue.DOUBLE_VALUE(1e-4)); pl.append(p); % Noise p = param({'noise','A matrix array of noise spectrum (PSD) used to compute the likelihood.'}, paramValue.EMPTY_STRING); pl.append(p); % Search p = param({'modelFreqDependent','Set to true to use frequency dependent s models, set to false when using constant models'}, paramValue.TRUE_FALSE); pl.append(p); % Search p = param({'search','Set to true to use bigger jumps in parameter space during annealing and cool down.'}, paramValue.TRUE_FALSE); pl.append(p); % Frequencies p = param({'frequencies','Range of frequencies where the analysis is performed. If an array, only first and last are used'}, paramValue.EMPTY_DOUBLE); pl.append(p); % Resample p = param({'fsout','Desired sampling frequency to resample the input time series'}, paramValue.EMPTY_DOUBLE); pl.append(p); % heat p = param({'heat','The heat index flattening likelihood surface during annealing.'}, paramValue.DOUBLE_VALUE(1)); pl.append(p); % Tc p = param({'Tc','An array of two values setting the initial and final value for the cooling down.'}, paramValue.EMPTY_STRING); pl.append(p); % initial values p = param({'x0','The proposed initial values (cell array again).'}, paramValue.EMPTY_DOUBLE); pl.append(p); % ranges p = param({'range','ranges'}, paramValue.EMPTY_DOUBLE); pl.append(p); % jumps p = param({'jumps','An array of four numbers setting the rescaling of the covariance matrix during the search phase.',... 'The first value is the one applied by default, the following thhree apply just when the chain sample is',... 'mod(10), mod(25) and mod(100) respectively.'}, paramValue.EMPTY_DOUBLE); pl.append(p); % heat p = param({'plot','If set equal to one, the evolution of the Bayes factor is plotted every 500 steps.'}, paramValue.EMPTY_DOUBLE); pl.append(p); % debug p = param({'debug','Set to true to get debug information of the MCMC process.'}, paramValue.FALSE_TRUE); pl.append(p); % outModel p = param({'outModel','Output model. Still under test'}, paramValue.EMPTY_STRING); pl.append(p); p = param({'anneal',['Choose type of annealing during sampling. Default value is ',... 'simulated annealing. Choose "thermo" for annealing with a thermostat.',... ' SNR is computed and if it is larger than a fixed value SNR0 (provided also in the plist), ',... 'then the chains are heated by a factor of (SNR(1)/SNR0)^2. Choosing "simple" ',... 'the deviation of the loglikelihood of every 10 points in the chains is stored. If this deviation ',... 'is larger or smaller than two fixed values the chains are cooled or heated respectively.']}, {1, {'simul','thermo', 'simple'}, paramValue.SINGLE}); pl.append(p); p = param({'SNR0','Fixed value for thermostated annealing.'}, {1, {200}, paramValue.OPTIONAL}); pl.append(p); p = param({'DeltaL',['Deviation of Loglikelihood for 10 points of the chains. Used for',... 'the "simple" choice of annealing with a thermostat.']}, {1, {[100 600 2 3]}, paramValue.OPTIONAL}); pl.append(p); end