public void Update(double omega, double[] alpha, double[] rate)
{
this.omega = omega;
Blas.Dcopy(ndim, alpha, this.alpha);
Blas.Dcopy(ndim, rate, this.rate);
TransformCanonicalForm();
SetScaledRate();
}
public HErlangParam(int m, double omega, double[] alpha, int[] shape, double[] rate)
{
this.m = m;
this.alpha = new double[m];
this.shape = new int[m];
Array.Copy(shape, this.shape, m);
this.rate = new double[m];
Blas.Dcopy(m, alpha, this.alpha);
Blas.Dcopy(m, rate, this.rate);
}
public void CopyTo(IModelParam other)
{
OriginalParam v = other as OriginalParam;
if (n == v.n)
{
Blas.Dcopy(n, param, v.param);
}
else
{
throw new InvalidCastException();
}
}
public void CopyTo(IModelParam p)
{
HErlangParam v = p as HErlangParam;
if (m == v.m)
{
v.omega = omega;
Blas.Dcopy(m, alpha, v.alpha);
Array.Copy(shape, v.shape, m);
Blas.Dcopy(m, rate, v.rate);
}
else
{
throw new InvalidCastException();
}
}
public void CopyTo(IModelParam p)
{
CPHParam v = p as CPHParam;
if (ndim == v.ndim)
{
v.omega = omega;
v.lambda = lambda;
Blas.Dcopy(ndim, alpha, v.alpha);
Blas.Dcopy(ndim, rate, v.rate);
Blas.Dcopy(ndim, scaledRate, v.scaledRate);
}
else
{
throw new InvalidCastException();
}
}
public CPHDist(int ndim, GetParamVec alphaFunc, GetParamVec rateFunc,
GetParam lambdaFunc, GetParamVec scaledRateFunc, double epsi)
{
this.ndim = ndim;
this.alphaFunc = alphaFunc;
this.rateFunc = rateFunc;
this.lambdaFunc = lambdaFunc;
this.epsi = epsi;
cache_x = new double[ndim];
cache_t = 0.0;
Blas.Dcopy(ndim, Alpha, cache_x);
max_right = 10;
prob = new double[max_right + 1];
unif = new CPHUniformization(ndim, lambdaFunc, scaledRateFunc);
}
private void CalcProb(double t)
{
double dt;
if (t < cache_t)
{
dt = t;
Blas.Dcopy(ndim, Alpha, cache_x);
}
else
{
dt = t - cache_t;
}
int right = AllocProb(dt);
unif.DoForward(dt, cache_x, right, prob);
cache_t = t;
}
// markov operation
public void DoBackward(double t, double[] x, int right, double[] prob)
{
//int right;
//if (t > maxt)
//{
// right = setMaxT(t);
//}
//else
//{
// right = PoiDist.getRightBound(lambda * t, epsi);
//}
double weight = PoiDist.CompProb(Lambda * t, 0, right, prob);
Blas.Dcopy(ndim, x, xi);
Blas.Fill(ndim, x, 0.0);
Blas.Daxpy(ndim, prob[0], xi, x);
for (int l = 1; l <= right; l++)
{
Blas.Dcopy(ndim, xi, tmp);
DgemvNoTrans(1.0, tmp, 0.0, xi);
Blas.Daxpy(ndim, prob[l], xi, x);
}
Blas.Dscal(ndim, 1.0 / weight, x);
}
public void DoSojournForward(double t, double[] f, double[] b, double[] h, int right, double[] prob, double[][] vc)
{
//int right;
//if (t > maxt)
//{
// right = setMaxT(t);
//}
//else
//{
// right = PoiDist.getRightBound(lambda * t, epsi);
//}
double weight = PoiDist.CompProb(Lambda * t, 0, right + 1, prob);
// forward and backward
Blas.Fill(ndim, vc[right + 1], 0.0);
Blas.Daxpy(ndim, prob[right + 1], b, vc[right + 1]);
for (int l = right; l >= 1; l--)
{
DgemvNoTrans(1.0, vc[l + 1], 0.0, vc[l]);
Blas.Daxpy(ndim, prob[l], b, vc[l]);
}
Blas.Dcopy(ndim, f, xi);
Blas.Fill(ndim, f, 0.0);
Blas.Daxpy(ndim, prob[0], xi, f);
Blas.Fill(ndim * 2, h, 0.0);
Dger(1.0, xi, vc[1], h);
for (int l = 1; l <= right; l++)
{
Blas.Dcopy(ndim, xi, tmp);
DgemvTrans(1.0, tmp, 0.0, xi);
Blas.Daxpy(ndim, prob[l], xi, f);
Dger(1.0, xi, vc[l + 1], h);
}
Blas.Dscal(ndim, 1.0 / weight, f);
Blas.Dscal(ndim * 2, 1.0 / Lambda / weight, h);
}
private void SetScaledRate()
{
lambda = Blas.Amax(ndim, rate) * factor;
Blas.Dcopy(ndim, rate, scaledRate);
Blas.Dscal(ndim, 1.0 / lambda, scaledRate);
}
public void ClearCache()
{
// System.Console.WriteLine("clear cache");
cache_t = 0.0;
Blas.Dcopy(ndim, Alpha, cache_x);
}
public double Emstep(SRMData data)
{
int dsize = data.Size;
double[] time = data.Time;
int[] num = data.Fault;
int[] type = data.Type;
int x;
double t, llf, tmpv;
int right = PoiDist.GetRightBound(param.Lambda * NMath.Max(time), epsi);
double[] prob = new double[right + 2];
double[][] vc = Array2.Create(right + 2, ndim);
// initialize for estep
eno = 0.0;
Blas.Fill(ndim, eb, 0.0);
Blas.Fill(ndim, eb2, 0.0);
Blas.Fill(ndim * 2, en, 0.0);
// backward: compute eb
Blas.Fill(ndim, vb[0], 1.0);
Blas.Fill(ndim, vb2[0], 0.0);
vb2[0][ndim - 1] = param.Rate[ndim - 1];
llf = 0.0;
for (int k = 1; k <= dsize; k++)
{
t = time[k - 1]; // dat.getTime(k);
x = num[k - 1]; // dat.getNumber(k);
Blas.Dcopy(ndim, vb[k - 1], vb[k]);
cuni.DoBackward(t, vb[k], right, prob);
if (x != 0)
{
Blas.Dcopy(ndim, vb[k - 1], tmp);
Blas.Daxpy(ndim, -1.0, vb[k], tmp);
blf[k] = Blas.Ddot(ndim, param.Alpha, tmp);
llf += x * NMath.Log(param.Omega * blf[k]) - NMath.Lgamma(x + 1);
eno += x;
Blas.Daxpy(ndim, x / blf[k], tmp, eb);
}
else
{
blf[k] = 1.0; // to avoid NaN
}
Blas.Dcopy(ndim, vb2[k - 1], vb2[k]);
cuni.DoBackward(t, vb2[k], right, prob);
if (type[k - 1] == 1) // (dat.getType(k) == 1)
{
blf2[k] = Blas.Ddot(ndim, param.Alpha, vb2[k]);
llf += NMath.Log(param.Omega * blf2[k]);
eno += 1.0;
Blas.Daxpy(ndim, 1.0 / blf2[k], vb2[k], eb2);
}
}
barblf = Blas.Ddot(ndim, param.Alpha, vb[dsize]);
llf += -param.Omega * (1.0 - barblf);
Blas.Daxpy(ndim, param.Omega, vb[dsize], eb);
// compute pi2
tmpv = 0.0;
for (int i = 0; i < ndim - 1; i++)
{
tmpv += param.Alpha[i];
pi2[i] = tmpv / param.Rate[i];
}
pi2[ndim - 1] = 1.0 / param.Rate[ndim - 1];
// sojourn:
Blas.Fill(ndim, tmp, 0.0);
Blas.Daxpy(ndim, -num[dsize - 1] / blf[dsize] + param.Omega, pi2, tmp);
if (type[dsize - 1] == 1)
{
Blas.Daxpy(ndim, 1.0 / blf2[dsize], param.Alpha, tmp);
}
cuni.DoSojournForward(time[dsize - 1], tmp, vb2[dsize - 1], h0, right, prob, vc);
Blas.Daxpy(ndim * 2, 1.0, h0, en);
for (int k = dsize - 1; k >= 1; k--)
{
Blas.Daxpy(ndim, num[k] / blf[k + 1] - num[k - 1] / blf[k], pi2, tmp);
if (type[k - 1] == 1)
{
Blas.Daxpy(ndim, 1.0 / blf2[k], param.Alpha, tmp);
}
cuni.DoSojournForward(time[k - 1], tmp, vb2[k - 1], h0, right, prob, vc);
Blas.Daxpy(ndim * 2, 1.0, h0, en);
}
/* concrete algorithm: M-step */
for (int i = 0; i < ndim - 1; i++)
{ // <-- not <=ndim!
ey[i] = param.Rate[i]
* (en[2 * i + 1] + eb[i + 1] * pi2[i])
/ (en[2 * i] + eb[i] * pi2[i]);
}
tmpv = en[2 * (ndim - 1)] + eb[ndim - 1] * pi2[ndim - 1];
double sum = 0.0;
for (int i = 0; i < ndim; i++)
{
eb[i] = param.Alpha[i] * (eb[i] + eb2[i]);
sum += eb[i];
}
ey[ndim - 1] = sum / tmpv;
for (int i = 0; i < ndim; i++)
{
eb[i] /= sum;
}
param.Update(eno + param.Omega * barblf, eb, ey);
return(llf);
}