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import matplotlib.pyplot as plt
from System.system_simulator import SystemSimulator
from ..Estimator_Likelihood.estimator_likelihood import EstimatorLikelihood
class ConditionalProbabilityUpdate:
def __init__(self, λs):
# Estimator likelihood simulators initialization
self.λs = λs
# model probabilities initialization
self.model_probabilities = np.ones(len(self.λs)) / len(self.λs)
def update(self, pdvs: ndarray) -> ndarray:
"""
Update the model probabilities using Bayes' theorem.
"""
# Calculate the marginal likelihood of z (the normalization factor):
norm_factor = np.sum(pdvs * self.model_probabilities)
# Update the model probabilities (posterior probabilities) using Bayes' theorem:
self.model_probabilities = (pdvs * self.model_probabilities) / norm_factor
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return self.model_probabilities
########### Testbench ###########
def ensure_positive_semidefinite(matrix):
symmetric_matrix = (matrix + matrix.T) / 2
eigvals = np.linalg.eigvalsh(symmetric_matrix)
min_eigval = min(eigvals)
if min_eigval < 0:
symmetric_matrix += np.eye(symmetric_matrix.shape[0]) * (-min_eigval + 1e-8)
return symmetric_matrix
def run_estimator_likelihood_simulation(Q_scale, R_scale, λ_true, λ_variants, num_simulations=100, num_steps=100, dt=0.1):
# np.random.seed(42)
k_values = np.random.uniform(1.0, 5.0, num_simulations)
b_values = np.random.uniform(1.0, 5.0, num_simulations)
H = np.array([[1, 0]])
Q_values = [ensure_positive_semidefinite(np.eye(H.shape[1]) * Q_scale * np.random.uniform(0.01, 1.0)) for _ in range(num_simulations)]
R_values = [ensure_positive_semidefinite(np.eye(H.shape[0]) * R_scale * np.random.uniform(0.01, 1.0)) for _ in range(num_simulations)]
x0 = np.array([0.0, 0.0]).reshape(2, 1)
u = np.array([5.0]).reshape(1, 1)
probabilities_over_time = []
for i in range(num_simulations):
k = k_values[i]
b = b_values[i]
Q = Q_values[i]
R = R_values[i]
# Instantiate the true model
true_model = SystemSimulator(λ_true, k, b, dt, H, Q, R, x0, noisy=True)
# Instantiate model variants
estimator_likelihoods = [EstimatorLikelihood(λ_variant, k, b, dt, H, Q, R, x0, noisy=False) for λ_variant in λ_variants]
cond_prob_update = ConditionalProbabilityUpdate(λ_variants)
simulation_probabilities = []
for t in range(num_steps):
x_true, z = true_model.update(u)
pdvs = np.array([estimator.update(u, z) for estimator in estimator_likelihoods])
model_probabilities = cond_prob_update.update(pdvs)
simulation_probabilities.append(model_probabilities)
probabilities_over_time.append(simulation_probabilities)
return np.array(probabilities_over_time)
def plot_averaged_heatmaps(results, λ_variants):
num_steps = results[0][1].shape[1]
num_models = len(λ_variants)
for title_suffix, probabilities_over_time in results:
averaged_probabilities = np.mean(probabilities_over_time, axis=0)
plt.figure(figsize=(10, 6))
plt.imshow(averaged_probabilities.T, aspect='auto', cmap='hot', interpolation='nearest')
plt.colorbar(label='Probability')
plt.title(f'Averaged Heatmap of Model Probabilities over Time - {title_suffix}')
plt.xlabel('Time Step')
plt.ylabel('Model Index')
plt.yticks(ticks=range(num_models), labels=[f'λ = {λ}' for λ in λ_variants])
plt.show()
if __name__ == "__main__":
num_simulations = 100 # Increase for more robust averaging
num_steps = 400
dt = 0.1
# Define the true model parameter and variant parameters
λ_true = 25.0
λ_variants = [10.0, 15.0, 20.0, 25.0, 30.0, 35.0, 40.0]
# Define the scales for Q and R
large_scale = 50.0
small_scale = 0.1
results = []
# Run simulations for each combination of Q and R scales
combinations = [
('large_Q_large_R', large_scale, large_scale),
('large_Q_small_R', large_scale, small_scale),
('small_Q_large_R', small_scale, large_scale),
('small_Q_small_R', small_scale, small_scale)
]
for title_suffix, Q_scale, R_scale in combinations:
print(f"Running simulations for {title_suffix}")
probabilities_over_time = run_estimator_likelihood_simulation(Q_scale, R_scale, λ_true, λ_variants, num_simulations, num_steps, dt)
results.append((title_suffix, probabilities_over_time))
print(f"Completed simulations for {title_suffix}\n")
print(f"EstimatorLikelihood class Monte Carlo tests ({num_simulations} simulations) completed for all Q and R combinations.")
# Plot averaged heatmaps for each combination of Q and R scales
plot_averaged_heatmaps(results, λ_variants)