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PairCopulaFit.cpp
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#include "VineCopulaCPP_header.hpp"
typedef struct {
int family;
double *U;
double *V;
unsigned int n;
} my_data;
double ObjectiveFunction(unsigned n, const double *x, double *grad, void *data)
{
my_data *data_for_func = (my_data *) data;
double CLL = PairCopulaNegLL(data_for_func->family,x,data_for_func->U,data_for_func->V,data_for_func->n);
return CLL;
}
void PairCopulaFit_Rotated_Obs(double *theta,int family, int rotation, double *U,double *V,unsigned int n)
{
switch(rotation){
case 0: case 180:
{
return PairCopulaFit(theta, family, U, V, n);
break;
}
case 90: case 270:
{
return PairCopulaFit(theta, family, V, U, n);
break;
}
}
}
void PairCopulaFit_Rotated_Obs(double *bounds,double *theta,int family, int rotation, double *U,double *V,unsigned int n)
{
switch(rotation){
case 0: case 180:
{
return PairCopulaFit(bounds, theta, family, U, V, n);
break;
}
case 90: case 270:
{
return PairCopulaFit(bounds, theta, family, V, U, n);
break;
}
}
}
void PairCopulaFit(double *theta,int family, int rotation, double *U,double *V,unsigned int n)
{
std::vector<double> bounds(120);
LoadDefaultBounds(&bounds[0]);
PairCopulaFit(&bounds[0],theta,family,rotation,U,V,n);
return;
}
void PairCopulaFit(double *bounds,double *theta,int family, int rotation, double *U,double *V,unsigned int n)
{
if(rotation>0)
{
Rotate_Obs(U,V,rotation,n);
}
switch(rotation){
case 0: case 180:
{
return PairCopulaFit(theta, family, U, V, n);
break;
}
case 90: case 270:
{
return PairCopulaFit(theta, family, V, U, n);
break;
}
}
}
void PairCopulaFit(double *theta,int family, double *U,double *V,unsigned int n)
{
std::vector<double> bounds(120);
LoadDefaultBounds(&bounds[0]);
PairCopulaFit(&bounds[0],theta,family,U,V,n);
return;
}
void PairCopulaFit(double *bounds,double *theta,int family, double *U,double *V,unsigned int n)
{
if (family == 0)
{
return;
}
else
{
nlopt::opt opt;
std::vector<double> lb(1);
std::vector<double> ub(1);
std::vector<double> x(1);
// Depending on the family associate outputs and upper and lower bounds
switch(family){
case 18:
{
opt = nlopt::opt(nlopt::LN_BOBYQA,3);
lb.resize(3);
ub.resize(3);
x.resize(3);
break;
}
case 3: case 4: case 5: case 6: case 12: case 16: case 17: case 19:
{
opt = nlopt::opt(nlopt::LN_BOBYQA,2);
lb.resize(2);
ub.resize(2);
x.resize(2);
break;
}
default:
{
opt = nlopt::opt(nlopt::LN_BOBYQA,1);
}
}
// Getting the lower and upper bounds
switch(family){
case 1:
{
// AMH
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 0;
break;
}
case 2:
{
// AsymFGM
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 0.5;
break;
}
case 3:
{
// BB1
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 0.5;
x[1] = 2;
break;
}
case 4:
{
// BB6
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 2;
x[1] = 2;
break;
}
case 5:
{
// BB7
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 2;
x[1] = 0.25;
break;
}
case 6:
{
// BB8
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 2;
x[1] = 0.25;
break;
}
case 7:
{
//Clayton
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 5;
break;
}
case 8:
{
// FGM
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 0;
break;
}
case 9:
{
// Frank
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 5;
break;
}
case 10:
{
// Gaussian
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 0;
break;
}
case 11:
{
// Gumbel
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 5;
break;
}
case 12:
{
// IteratedFGM
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 0;
x[1] = 0;
break;
}
case 13:
{
// Joe
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 5;
break;
}
case 14:
{
// PartialFrank
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
break;
}
case 15:
{
// Plackett
lb[0] = bounds[(int) family*6];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
opt.set_upper_bounds(ub);
x[0] = 5;
break;
}
case 16:
{
// Tawn1
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 5;
x[1] = 0.5;
break;
}
case 17:
{
// Tawn2
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 5;
x[1] = 0.5;
break;
}
case 18:
{
// Tawn
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
lb[2] = bounds[(int) family*6+4];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
ub[2] = bounds[(int) family*6+5];
opt.set_upper_bounds(ub);
x[0] = 2;
x[1] = 0.5;
x[2] = 0.5;
break;
}
case 19:
{
// t
lb[0] = bounds[(int) family*6];
lb[1] = bounds[(int) family*6+2];
opt.set_lower_bounds(lb);
ub[0] = bounds[(int) family*6+1];
ub[1] = bounds[(int) family*6+3];
opt.set_upper_bounds(ub);
x[0] = 0.5;
x[1] = 5;
break;
}
}
my_data data = {family,U,V,n};
opt.set_min_objective(ObjectiveFunction,&data);
opt.set_xtol_rel(1e-5);
double minf;
try
{
nlopt::result result = opt.optimize(x, minf);
//opt.optimize(x, minf);
}
catch(nlopt::roundoff_limited) {
//mexWarnMsgTxt("Halted because roundoff errors limited progress.");
}
//mexPrintf("result code = %i \n", opt.last_optimize_result());
void nlopt_destroy(nlopt_opt opt);
switch(family){
case 3: case 4: case 5: case 6: case 12: case 16: case 17: case 19:
{
theta[0] = x[0];
theta[1] = x[1];
break;
}
case 18:
{
theta[0] = x[0];
theta[1] = x[1];
theta[2] = x[2];
break;
}
default:
{
theta[0] = x[0];
break;
}
}
}
return;
}