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Added internals using modified library.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,132 @@ | ||
| /* | ||
| * Est_AutoCorr.cpp | ||
| * | ||
| * Created on: March 3, 2015 | ||
| * Author: dstuck | ||
| */ | ||
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| #include "Est_AutoCorr.h" | ||
| #include "armadillo" | ||
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| Est_AutoCorr::Est_AutoCorr() { | ||
| } | ||
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| Est_AutoCorr::Est_AutoCorr(int maxH) : maxHist(maxH) { | ||
| //hist = new deque<double>(); | ||
| //totalStats = Stats(); | ||
| Stats tempStats = Stats(); | ||
| for(int i=0; i<maxH; i++) { | ||
| corrStats.push_back(tempStats); | ||
| } | ||
| nSamples=0; | ||
| } | ||
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| Est_AutoCorr::~Est_AutoCorr() { | ||
| //delete hist; | ||
| } | ||
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| void Est_AutoCorr::Reset() { | ||
| for(int i=0;i<corrStats.size();i++) { | ||
| corrStats[i].Reset(); | ||
| } | ||
| //delete hist; | ||
| //hist = new deque<double>(); | ||
| hist.clear(); | ||
| nSamples = 0; | ||
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| } | ||
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| void Est_AutoCorr::AddVal(double newVal) { | ||
| //Add val to history | ||
| hist.push_front(newVal); | ||
| if(hist.size()>maxHist) { | ||
| hist.pop_back(); | ||
| } | ||
| nSamples++; | ||
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| totalStats.AddVal(newVal); | ||
| double newMean = totalStats.GetMean(); | ||
| newVal -= newMean; | ||
| int count=0; | ||
| for(deque<double>::iterator iter=hist.begin(); iter!=hist.end(); iter++) { | ||
| corrStats[count].AddVal((*iter-newMean) * newVal); | ||
| count++; | ||
| } | ||
| } | ||
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| vector<double> Est_AutoCorr::GetCorr() { | ||
| if(nSamples<maxHist) { | ||
| cout << "DES Warning: number of samples less than max history in Est_AutoCorr" << endl; | ||
| cout << nSamples << " < " << maxHist << endl; | ||
| } | ||
| vector<double> corrFunc (maxHist, 0.0); | ||
| //double var = totalStats.GetVariance(); | ||
| double var = corrStats[0].GetMean()/double(nSamples); | ||
| //var /= min(maxHist,nSamples); | ||
| // cout << "totalStats.GetVariance() =" << totalStats.GetVariance() << endl; | ||
| // cout << "corrStats[0].GetVariance() = " << corrStats[0].GetVariance() << endl; | ||
| // cout << "var = " << var << endl; | ||
| // cout << "corrStats[0] mean = " << corrStats[0].GetMean() << endl;; | ||
| for(int i=0; i<min(maxHist,nSamples); i++) { | ||
| corrFunc[i] = corrStats[i].GetMean()/var/double(nSamples-i); | ||
| } | ||
| return corrFunc; | ||
| } | ||
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| double Est_AutoCorr::GetTau() { | ||
| // if(nSamples<maxHist) { | ||
| // cout << "DES Warning: number of samples less than max history in Est_AutoCorr" << endl; | ||
| // cout << nSamples << " < " << maxHist << endl; | ||
| // } | ||
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| // Compute corrFunction | ||
| arma::vec logCorr(GetCorr()); | ||
| logCorr.print("logCorr"); | ||
| cout << "nSamples = " << nSamples << endl; | ||
| //find(logCorr < 0.1, 1).print("first < 0.1") | ||
| arma::uvec firstIncrease = find(logCorr < 0.1, 1); | ||
| int stopIndex; | ||
| if(firstIncrease.size() == 1) { | ||
| stopIndex = arma::as_scalar(find(logCorr < 0.1, 1)); | ||
| } | ||
| else { | ||
| cout << "Warning: AutoCorr never increases in Est_AutoCorr!" << endl; | ||
| stopIndex = min(nSamples,maxHist); | ||
| } | ||
| cout << "Below 0.1 at " << stopIndex << endl; | ||
| bool found=false; | ||
| int i = 0; | ||
| while(!found && i<corrStats.size()-1) { | ||
| i++; | ||
| found = logCorr(i-1) < logCorr(i); | ||
| } | ||
| cout << "first turn up at " << i << endl; | ||
| if(i < stopIndex) { | ||
| if(logCorr(i) < 0.3) { | ||
| stopIndex = i; | ||
| } | ||
| else { | ||
| cout << "Warning: Autocorrelation function turns up while above 0.3 in Est_AutoCorr.cpp" << endl; | ||
| stopIndex = (stopIndex+i)/2; | ||
| } | ||
| } | ||
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| //stopIndex += i; | ||
| //stopIndex /= 2; | ||
| cout << "Final stop index = " << stopIndex << endl; | ||
| logCorr = logCorr.subvec(0,stopIndex); | ||
| int nHist = logCorr.size(); | ||
| logCorr = log(abs(logCorr)); | ||
| arma::vec tStep = logCorr; | ||
| for(int i=0; i<nHist; i++) { | ||
| tStep(i) = double(i); | ||
| } | ||
| tStep.print("index"); | ||
| logCorr.print("logCorr"); | ||
| double tau = -1.0/arma::as_scalar(tStep.t()*logCorr)*double(nHist*(nHist-1)*(2*nHist-1))/6.0; | ||
| cout << "tau = " << tau << endl; | ||
|
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| exit(-1); | ||
|
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| return tau; | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,36 @@ | ||
| /* | ||
| * Est_AutoCorr.h | ||
| * | ||
| * Created on: March 3, 2015 | ||
| * Author: dstuck | ||
| */ | ||
|
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| #ifndef EST_AUTOCORR_H_ | ||
| #define EST_AUTOCORR_H_ | ||
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| #include<cmath> | ||
| #include<deque> | ||
| #include<vector> | ||
| #include "armadillo" | ||
| #include "Stats.h" | ||
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| using namespace std; | ||
|
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| class Est_AutoCorr { | ||
| public: | ||
| Est_AutoCorr(); | ||
| Est_AutoCorr(int); | ||
| virtual ~Est_AutoCorr(); | ||
| void Reset(); | ||
| void AddVal(double); | ||
| vector<double> GetCorr(); | ||
| double GetTau(); | ||
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| int maxHist; | ||
| int nSamples; | ||
| deque<double> hist; | ||
| Stats totalStats; | ||
| vector<Stats> corrStats; | ||
| }; | ||
|
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| #endif /* EST_AUTOCORR_H_ */ |
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