StochasticProcess.h
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00001 /***************************************************************************** 00002 * Copyright (C) 2011 by Benjamin Hadorn (b_hadorn@bluewin.ch) 00003 ***************************************************************************** 00004 * Project : Zeus Math Library 00005 * Module : StochasticProcess 00006 * Package : Zeus.ZeusMath.Stochastic 00007 * Author : Benjamin Hadorn 00008 * Date : 27.12.2011 00009 * System : Zeus-Framework 00010 ***************************************************************************** 00011 * Licence: * 00012 * This library is free software; you can redistribute it and/or modify * 00013 * it under the terms of the GNU Lesser General Public License as * 00014 * published by the Free Software Foundation; either version * 00015 * 2.1 of the License, or (at your option) any later version. * 00016 * * 00017 * This library is distributed in the hope that it will be useful, * 00018 * but WITHOUT ANY WARRANTY; without even the implied warranty of * 00019 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * 00020 * GNU Lesser General Public License for more details. * 00021 * * 00022 * You should have received a copy of the GNU Lesser General Public * 00023 * License along with this library; if not, write to the Free Software * 00024 * Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110, USA * 00025 *****************************************************************************/ 00026 00027 /***************************************************************************** 00028 * Changes: 00029 * 27.12.2011 bha: created zeus 2.0 00030 *****************************************************************************/ 00031 00032 #ifndef StochasticProcessH 00033 #define StochasticProcessH 00034 00035 #include <zeusmath/System/Matrix.h> 00036 #include <zeusmath/System/Vector.h> 00037 00038 BEGIN_NAMESPACE_Zeus 00039 00040 /****************************************************************************/ 00045 /****************************************************************************/ 00046 zeusmath_class TStochasticProcess 00047 { 00048 public: 00049 TStochasticProcess(const IMatrix& rMatrix); 00050 virtual ~TStochasticProcess(); 00051 00052 bool isValid() const; 00053 TVector getProbabilities(const IVector& rSource, Int iRuns = 1) const; 00054 TVector getLongTermProbabilities(const IVector& rSource) const; 00055 Float getLongTermEntropy() const; 00056 Float getConditionalEntropy(Int iSteps = 1) const; 00057 00058 private: 00060 TMatrix m_TransMatrix; 00062 mutable bool m_bCalcPI; 00064 mutable TMatrix m_PI; 00065 00066 void calcPI() const; 00067 00068 }; 00069 00070 //INLINE METHODS 00071 /****************************************************************************/ 00074 /****************************************************************************/ 00075 inline Float TStochasticProcess::getLongTermEntropy() const 00076 { 00077 if (!m_bCalcPI && isValid()) 00078 { 00079 calcPI(); 00080 } 00081 return m_PI.getEntropy(); 00082 } 00083 00084 00085 END_NAMESPACE_Zeus 00086 00087 #endif