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Boost-Commit : |
Subject: [Boost-commit] svn:boost r57096 - in sandbox/statistics/survival_model/libs/statistics/survival/model: doc example src
From: erwann.rogard_at_[hidden]
Date: 2009-10-23 10:56:23
Author: e_r
Date: 2009-10-23 10:56:22 EDT (Fri, 23 Oct 2009)
New Revision: 57096
URL: http://svn.boost.org/trac/boost/changeset/57096
Log:
m
Text files modified:
sandbox/statistics/survival_model/libs/statistics/survival/model/doc/readme.txt | 2
sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.cpp | 230 ++++++++++++++-------------------------
sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.h | 13 ++
sandbox/statistics/survival_model/libs/statistics/survival/model/src/main.cpp | 16 ++
4 files changed, 109 insertions(+), 152 deletions(-)
Modified: sandbox/statistics/survival_model/libs/statistics/survival/model/doc/readme.txt
==============================================================================
--- sandbox/statistics/survival_model/libs/statistics/survival/model/doc/readme.txt (original)
+++ sandbox/statistics/survival_model/libs/statistics/survival/model/doc/readme.txt 2009-10-23 10:56:22 EDT (Fri, 23 Oct 2009)
@@ -29,7 +29,6 @@
/boost_1_39_0/
/sandbox/statistics/arithmetic/
-/sandbox/statistics/non_par/
/sandbox/statistics/importance_sampling/
/sandbox/statistics/importance_weights/
/sandbox/statistics/joint_dist/
@@ -41,6 +40,7 @@
/sandbox/statistics/arithmetic/
/sandbox/statistics/iterator/
/sandbox/statistics/dist_random/
+/sandbox/statistics/matrix_view/
/sandbox/statistics/scalar_dist/
/sandbox/statistics/standard_distribution/
/sandbox/statistics/survival_data/
Modified: sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.cpp
==============================================================================
--- sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.cpp (original)
+++ sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.cpp 2009-10-23 10:56:22 EDT (Fri, 23 Oct 2009)
@@ -5,11 +5,9 @@
// Software License, Version 1.0. (See accompanying file //
// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) //
///////////////////////////////////////////////////////////////////////////////
-#include <ostream>
#include <iomanip>
#include <fstream>
#include <stdexcept>
-#include <string> //needed?
#include <vector>
#include <limits>
#include <algorithm>
@@ -39,7 +37,17 @@
#include <libs/statistics/survival/model/example/posterior_analysis.h>
-void example_posterior_analysis(std::ostream& out){
+void example_posterior_analysis(
+ // TODO n_bath should be deduced from input (getline)
+ const long& n_batch, // = 5e4;
+ const long& n_batch_mod, // = 1e3;
+ const long& n_proposal, // = 1e4;
+ const long& n_t_pars, // = 1e4;
+ const double& entry_bound, // = const_::inf_;
+ const std::string& in_path, // = "/Users/erwann/projets/2009/Xcode/survival/build/Release/
+ const std::string& out_path, // = "/Users/erwann/projets/2009/Xcode/survival/build/Release/
+ std::ostream& out
+){
out << "-> example_posterior_analysis : ";
out.flush();
@@ -49,9 +57,9 @@
// Samples proposal draws
// Successively loads batches of records, and for each
// Creates events at a given time
- // Importance samples from the posterior as the target density
+ // Importance samples from the posterior density
// Saves the Cook-Gelman (cg) statistics for each.
- // Checks the cg data against U[0,1] using Kolmogorov Smirnov
+ // Checks the cg data against U[0,1] using the Kolmogorov Smirnov distance
using namespace boost;
using namespace statistics;
@@ -63,34 +71,45 @@
typedef std::string str_;
typedef double val_;
typedef std::vector<val_> vals_;
- typedef surv::constant<val_> const_;
// [ Input ]
typedef boost::archive::text_iarchive ia_;
typedef std::ifstream ifs_;
- const str_ input_path
- = "/Users/erwann/projets/2009/Xcode/survival/build/Release/";
- const str_ prior_path = input_path + "/prior";
- const str_ x_vals_path = input_path + "/x_vals";
- const str_ pars_path = input_path + "/pars";
- const str_ batches_path = input_path + "/batches";
-
- // Covariates
- typedef val_ x_;
- typedef vals_ x_vals_;
- typedef range_cycle<> range_cycle_;
- typedef range_cycle_::apply<x_vals_>::type x_cycle_;
- x_vals_ x_vals;
+ const str_ prior_path = in_path + "prior";
+ const str_ xm_mngr_path = in_path + "covariates_model_mngr";
+ const str_ pr_mngrs_path = in_path + "par_records_mngrs_path";
+
+ // [ Model ]
+ typedef val_ x_;
+ typedef val_ par_;
+ typedef surv::model::exponential::model<val_> model_;
+ typedef model::model_covariate_parameter_<model_,x_,par_> mcp_;
+ typedef surv::data::default_covariates_model_mngr<
+ x_,
+ model_
+ > xm_mngr_;
+ xm_mngr_ xm_mngr;
{
- ifs_ ifs(x_vals_path.c_str());
+ ifs_ ifs(xm_mngr_path.c_str());
ia_ ia(ifs);
- ia >> x_vals;
+ ia >> xm_mngr;
+ }
+ typedef val_ par_;
+ typedef surv::data::default_parameter_records_mngr<
+ val_,
+ par_
+ > pr_mngr_;
+ pr_mngr_ pr_mngr;
+ ifs_ ifs_pr_mngrs( pr_mngrs_path.c_str() );
+ if(!ifs_pr_mngrs.good()){
+ str_ str = "error opening : ";
+ str.append( pr_mngrs_path );
+ throw std::runtime_error(str);
}
- x_cycle_ x_cycle;
+ ia_ ia_pr_mngrs( ifs_pr_mngrs );
- // Prior
- typedef math::normal_distribution<val_> mprior_;
+ typedef math::normal_distribution<val_> mprior_;
mprior_ mprior;
{
typedef math::meta_distribution_primitives<mprior_>::type prim_;
@@ -101,110 +120,39 @@
mprior = prim;
}
- // Records
- // TODO n_bath should be deduced from input (getline)
- const long n_batch = 5e4;
-
- typedef surv::data::record<val_> record_;
- typedef std::vector<record_> records_;
- typedef range_size<records_>::type size_type;
- typedef range_iterator<records_>::type it_record_;
-
- records_ records;
- ifs_ ifs_batches(batches_path.c_str());
- if(!ifs_batches.good()){
- str_ str = "error opening : ";
- str.append( batches_path );
- throw std::runtime_error(str);
- }
- ia_ ia_batches(ifs_batches);
-
- // True pars
- typedef val_ par_;
- typedef vals_ pars_;
- const long n_true_pars_kss = -1;//n_batch;
- pars_ true_pars;
- true_pars.reserve(n_batch);
- {
- ifs_ ifs_pars(pars_path.c_str());
- if(!ifs_pars.good()){
- str_ str = "error opening : ";
- str.append( pars_path );
- throw std::runtime_error(str);
- }
- ia_ ia_pars(ifs_pars);
-
- for(long i = 0; i< n_batch; i++){
- val_ par;
- ia_pars >> par;
- true_pars.push_back(par);
- }
- }
- if(n_true_pars_kss>0){ // Check that F_n(true_pars) agrees with mprior
- BOOST_ASSERT( n_batch % n_true_pars_kss == 0);
- vals_ true_pars_kss;
- true_pars_kss.reserve(n_true_pars_kss);
- e_cdf::sequential_kolmogorov_smirnov_distance(
- mprior,
- boost::begin(true_pars),
- boost::end(true_pars),
- n_true_pars_kss,
- std::back_inserter(true_pars_kss)
- );
- out << "true pars kss : ";
- std::copy(
- boost::begin( true_pars_kss ),
- boost::end( true_pars_kss ),
- std::ostream_iterator<val_>(out," ")
- );
- out << std::endl;
- }
-
// [ Output ]
typedef boost::archive::text_oarchive oa_;
typedef std::ofstream ofs_;
-
- const char* t_pars_path = "./t_pars";
- const char* cg_path = "./cg";
- const char* ks_path = "./kss";
+ const str_ t_pars_path = out_path + "t_pars";
+ const str_ cg_path = out_path + "cg";
+ const str_ ks_path = out_path + "kss";
// Cg
- ofs_ ofs_cg( cg_path );
+ ofs_ ofs_cg( cg_path.c_str() );
vals_ cgs; cgs.reserve(n_batch);
// Targets
- const long n_t_pars = 1e4;
+ typedef std::vector<par_> pars_;
pars_ t_pars( n_t_pars );
- ofs_ ofs_t_pars(t_pars_path);
+ ofs_ ofs_t_pars(t_pars_path.c_str());
oa_ oa_t_pars(ofs_t_pars);
- // [ Local ]
-
- // Monitoring
- const long n_batch_mod = 1e3;
-
// Events
- const val_ entry_bound = const_::inf_;
- typedef surv::data::event<val_> event_;
- typedef std::vector<event_> events_;
- typedef range_iterator<events_>::type it_event_;
+ typedef surv::data::responses_mngr<val_> y_mngr_;
+ y_mngr_ y_mngr;
// Urng
typedef boost::mt19937 urng_;
urng_ urng;
- // Unif
- typedef math::uniform_distribution<val_> munif_;
-
// Proposal
typedef mprior_ mproposal_;
- const long n_proposal = 1e4;
// This one size fits all proposal is likely to result in a small ESS. You
// can monitor the ESS by calling out << pws. Ultimately, uniformity of
// the Cook-Gelman will determine if either the computations are wrong
// or if n_proposal is too small. n_proposal = 1e4 works fine for N(0,5).
- mproposal_ mproposal = mprior;
- pars_ p_pars (n_proposal);
+ mproposal_ mproposal = mprior;
+ pars_ p_pars(n_proposal);
vals_ p_lpdfs(n_proposal);
// Weights
@@ -212,18 +160,20 @@
typedef model::importance_sampler<val_> model_is_;
model_is_ model_is( max_log );
- // typedef iw::prepare_weights<val_> pws_;
- // pws_ pws( max_log );
vals_ iws;
iws.reserve( n_proposal );
// Model
typedef surv::model::exponential::model<val_> model_;
- model_ model;
- typedef model::prior_model_dataset_<mprior_,model_,x_cycle_,events_> pmd_;
+ typedef model::prior_model_dataset_<
+ mprior_,
+ xm_mngr_::model_wrapper_type::model_type,
+ xm_mngr_::covariates_type,
+ y_mngr_::responses_type
+ > pmd_;
{ // [ Proposal sample ]
- const long n_p_pars_kss = -1;//n_batch;
+ const long n_p_pars_kss = -1; //n_batch;
boost::timer t;
generate_function_n<math::fun_wrap::log_unnormalized_pdf_>(
@@ -234,52 +184,33 @@
urng
);
- if(n_p_pars_kss>0){ // Check that F_n(p_pars) agrees with mproposal
- BOOST_ASSERT( n_batch % n_p_pars_kss == 0 );
- vals_ p_pars_kss;
- p_pars_kss.reserve(n_p_pars_kss);
- e_cdf::sequential_kolmogorov_smirnov_distance(
- mproposal,
- boost::begin(p_pars),
- boost::end(p_pars),
- n_p_pars_kss,
- std::back_inserter(p_pars_kss)
- );
- out << "p_pars kss : ";
- std::copy(
- boost::begin( p_pars_kss ),
- boost::end( p_pars_kss ),
- std::ostream_iterator<val_>(out," ")
- );
- out << std::endl;
- }
-
BOOST_ASSERT( size(p_pars) == size(p_lpdfs) );
}
// Loops over batches
for(unsigned i = 0; i<n_batch; i++){
- records.clear();
- ia_batches >> records;
- events_ events;
- events.reserve( size(records) );
- surv::data::events(
- begin(records),
- end(records),
- entry_bound,
- std::back_inserter(events)
+ ia_pr_mngrs >> pr_mngr;
+ y_mngr.clear_responses();
+ y_mngr.update_responses(
+ boost::begin( pr_mngr.records() ),
+ boost::end( pr_mngr.records() ),
+ entry_bound
+ );
+ xm_mngr.update_covariates(
+ boost::size(
+ y_mngr.responses()
+ )
);
- size_type n_event = size( events );
- x_cycle = range_cycle_::make( x_vals, 0, n_event );
- BOOST_ASSERT( size( x_cycle ) >= n_event );
- x_cycle.advance_end( - ( size( x_cycle ) - n_event ) );
- BOOST_ASSERT( size( x_cycle ) == n_event );
-
{ // [ Posterior sample ]
boost::timer t;
- pmd_ pmd( mprior, model, x_cycle, events);
- iws.resize( size( p_pars ) );
+ pmd_ pmd(
+ mprior,
+ xm_mngr.model_wrapper().model(),
+ xm_mngr.covariates(),
+ y_mngr.responses()
+ );
+ iws.resize( boost::size( p_pars ) );
t_pars.clear();
t_pars.resize( n_t_pars );
@@ -300,7 +231,7 @@
val_ plt = e_cdf::proportion_less_than(
boost::begin( t_pars ),
boost::end( t_pars ),
- true_pars[i]
+ pr_mngr.parameter_wrapper().parameter()
);
cgs.push_back( plt );
ofs_cg << plt << ' ';
@@ -318,6 +249,7 @@
}// loop over batches
{ // Kolmorov Smirnov of the cgs
+ typedef math::uniform_distribution<val_> munif_;
long n_ks = n_batch;
BOOST_ASSERT( n_batch % n_ks == 0 );
vals_ kss;
@@ -329,7 +261,7 @@
n_ks,
std::back_inserter(kss)
);
- ofs_ ofs_ks(ks_path);
+ ofs_ ofs_ks(ks_path.c_str());
std::copy(
boost::begin( kss ),
boost::end( kss ),
Modified: sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.h
==============================================================================
--- sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.h (original)
+++ sandbox/statistics/survival_model/libs/statistics/survival/model/example/posterior_analysis.h 2009-10-23 10:56:22 EDT (Fri, 23 Oct 2009)
@@ -8,7 +8,18 @@
#ifndef LIBS_SURVIVAL_EXAMPLE_MODEL_POSTERIOR_ANALYSIS_HPP_ER_2009
#define LIBS_SURVIVAL_EXAMPLE_MODEL_POSTERIOR_ANALYSIS_HPP_ER_2009
#include <ostream>
+#include <string>
-void example_posterior_analysis(std::ostream&);
+void example_posterior_analysis(
+ // TODO n_bath should be deduced from input (getline)
+ const long& n_batch, // = 5e4;
+ const long& n_batch_mod, // = 1e3;
+ const long& n_proposal, // = 1e4;
+ const long& n_t_pars, // = 1e4;
+ const double& entry_bound, // = const_::inf_;
+ const std::string& in_path, // = "/Users/erwann/projets/2009/Xcode/survival/build/Release/
+ const std::string& out_path, // = "/Users/erwann/projets/2009/Xcode/survival/build/Release/
+ std::ostream& out
+);
#endif
\ No newline at end of file
Modified: sandbox/statistics/survival_model/libs/statistics/survival/model/src/main.cpp
==============================================================================
--- sandbox/statistics/survival_model/libs/statistics/survival/model/src/main.cpp (original)
+++ sandbox/statistics/survival_model/libs/statistics/survival/model/src/main.cpp 2009-10-23 10:56:22 EDT (Fri, 23 Oct 2009)
@@ -6,13 +6,27 @@
// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) //
///////////////////////////////////////////////////////////////////////////////
#include <iostream>
+#include <boost/statistics/survival/constant.hpp>
#include <libs/statistics/survival/model/example/exponential.h>
#include <libs/statistics/survival/model/example/posterior_analysis.h>
int main(){
+ using namespace boost;
example_exponential(std::cout);
- example_posterior_analysis(std::cout);
+ typedef statistics::survival::constant<double> const_;
+
+ example_posterior_analysis(
+ // TODO n_bath should be deduced from input (getline)
+ 5e4, // n_batch,
+ 1e3, // n_batch_mod,
+ 1e4, // n_proposal,
+ 1e4, // n_t_pars,
+ const_::inf_, //entry_bound
+ "/Users/erwann/projets/2009/Xcode/survival/build/Release/", // in_path
+ "/Users/erwann/projets/2009/Xcode/survival/build/Release/", // out_path
+ std::cout
+ );
return 0;
}
\ No newline at end of file
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