update dev from main

Project.toml

@@ -6,6 +6,7 @@ authors = [ "Peter Thestrup Waade [email protected]",
             "Christoph Mathys [email protected]"]
 version = "0.5.4"
 
+
 [deps]
 ActionModels = "320cf53b-cc3b-4b34-9a10-0ecb113566a3"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

docs/Project.toml

@@ -13,5 +13,6 @@ JET = "c3a54625-cd67-489e-a8e7-0a5a0ff4e31b"
 JuliaFormatter = "98e50ef6-434e-11e9-1051-2b60c6c9e899"
 Literate = "98b081ad-f1c9-55d3-8b20-4c87d4299306"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
+Pluto = "c3e4b0f8-55cb-11ea-2926-15256bba5781"
 StatsPlots = "f3b207a7-027a-5e70-b257-86293d7955fd"
 Turing = "fce5fe82-541a-59a6-adf8-730c64b5f9a0"

docs/julia_files/tutorials/sinoid_transform.jl

@@ -0,0 +1,186 @@
+### A Pluto.jl notebook ###
+# v0.19.45
+
+using Markdown
+using InteractiveUtils
+
+# ╔═╡ e47a29a4-38b0-4f19-972a-7c1c3e83c2f7
+using Pkg;
+Pkg.activate("../../"); #Activate the docs environment
+
+# ╔═╡ 5ae02fee-48f1-11ef-209c-539e778f577d
+using HierarchicalGaussianFiltering, Distributions, StatsPlots
+
+# ╔═╡ ff1abe62-b477-4c34-927d-4cc758981d60
+nodes = [
+    ContinuousInput(name = "u"),
+    ContinuousState(name = "x1"),
+    ContinuousState(name = "x2"),
+]
+
+# ╔═╡ b53c65b6-24fb-4df0-85e8-c94e973f92d1
+sine_transform = NonlinearTransform(
+    function (x, parameters::Dict)
+        sin(x)
+    end, #base function
+    function (x, parameters::Dict)
+        cos(x)
+    end, #first derivative
+    function (x, parameters::Dict)
+        -sin(x)
+    end, #second derivative
+    Dict(), #no parameters
+)
+
+# ╔═╡ c1e30a10-e9f9-4348-92b5-85fdc0be00b0
+begin
+    edges_linear =
+        Dict(("u", "x1") => ObservationCoupling(), ("x1", "x2") => DriftCoupling())
+
+    edges_nonlinear = Dict(
+        ("u", "x1") => ObservationCoupling(),
+        ("x1", "x2") => DriftCoupling(1, sine_transform),
+    )
+
+end
+
+# ╔═╡ ec6ceba5-d202-4345-bce8-fc0dada2a019
+begin
+    hgf_linear = init_hgf(nodes = nodes, edges = edges_linear, verbose = false)
+    hgf_nonlinear = init_hgf(nodes = nodes, edges = edges_nonlinear, verbose = false)
+end
+
+# ╔═╡ d2e95dab-7312-4835-b780-91571ba83239
+parameters = Dict(
+    ("x1", "autoconnection_strength") => 0,
+    ("x1", "volatility") => -4,
+    ("x2", "volatility") => -4,
+    ("u", "input_noise") => log(0.25),
+)
+
+# ╔═╡ e319c480-cb6d-41fd-a4ec-892a12b95a06
+begin
+    set_parameters!(hgf_linear, parameters)
+
+    set_parameters!(hgf_nonlinear, parameters)
+end
+
+# ╔═╡ cb170251-4dce-4e75-b457-40f2fb959a5b
+begin
+
+    sample_rate = 20
+
+    inputs = sin.(collect(0:1/sample_rate:35))
+
+    inputs = rand(Normal(0, 0.25), length(inputs)) + inputs
+    plot(inputs)
+end
+
+# ╔═╡ 847373ac-647d-43a3-93a1-92af9772dce0
+begin
+    reset!(hgf_linear)
+    give_inputs!(hgf_linear, inputs)
+    reset!(hgf_nonlinear)
+    give_inputs!(hgf_nonlinear, inputs)
+end
+
+# ╔═╡ c7f92940-18c8-4212-8808-8b29d9b870a1
+plot_settings = (; label = "", title = "")
+
+# ╔═╡ 5835d516-f822-4128-900b-16d09b550cb7
+
+plot(
+    plot_trajectory(hgf_linear, "u"; plot_settings..., title = "inputs"),
+    plot_trajectory(
+        hgf_linear,
+        ("u", "prediction");
+        plot_settings...,
+        title = "u prediction",
+    ),
+    plot_trajectory(hgf_linear, ("x1"); plot_settings..., title = "x1 posterior"),
+    plot_trajectory(hgf_linear, ("x2"); plot_settings..., title = "x2 posterior"),
+)
+
+# ╔═╡ f1ad8c91-7642-4478-8091-bbcecc9f2bcf
+
+plot(
+    plot_trajectory(hgf_nonlinear, "u"; plot_settings..., title = "inputs"),
+    plot_trajectory(
+        hgf_nonlinear,
+        ("u", "prediction");
+        plot_settings...,
+        title = "u prediction",
+    ),
+    plot_trajectory(hgf_nonlinear, ("x1"); plot_settings..., title = "x1 posterior"),
+    plot_trajectory(hgf_nonlinear, ("x2"); plot_settings..., title = "x2 posterior"),
+)
+
+# ╔═╡ 50330bc3-e74d-4cfc-908a-a56acbcdd2bc
+begin
+    μ₁_linear = get_history(hgf_linear, ("x1", "posterior_mean"))
+
+    #Band mu1 between -1 and 1 (the noise makes it occasionally jump over)
+    μ₁_linear = min.(μ₁_linear, 1.0)
+    μ₁_linear = max.(μ₁_linear, -1.0)
+
+    μ₂_linear = get_history(hgf_linear, ("x2", "posterior_mean"))
+
+
+
+    μ₁_nonlinear = get_history(hgf_nonlinear, ("x1", "posterior_mean"))
+
+    #Band mu1 between -1 and 1 (the noise makes it occasionally jump over)
+    μ₁_nonlinear = min.(μ₁_nonlinear, 1.0)
+    μ₁_nonlinear = max.(μ₁_nonlinear, -1.0)
+
+    μ₂_nonlinear = get_history(hgf_nonlinear, ("x2", "posterior_mean"))
+end
+
+# ╔═╡ fa51e10d-3ab3-487c-90bc-9362956f563a
+#Plot sine transformed x2 against x1 - should be equal
+plot(
+    plot(sin.(μ₂_linear) - μ₁_linear, title = "linear"),
+    plot(sin.(μ₂_nonlinear) - μ₁_nonlinear, title = "nonlinear"),
+)
+
+# ╔═╡ c52a0167-e780-47fc-901c-44cf84b973d4
+#Plot asine transformed x1 against x2 - should be equal
+plot(
+    plot(asin.(μ₁_linear) - μ₂_linear, title = "linear"),
+    plot(asin.(μ₁_nonlinear) - μ₂_nonlinear, title = "nonlinear"),
+)
+#The linear fares worse
+
+# ╔═╡ af36ec40-ca4f-4aff-ae35-439adc5cae89
+begin
+    linear_plt = plot(asin.(μ₁_linear), label = "μ₁ asin")
+    plot!(μ₂_linear, label = "μ₂", title = "linear")
+
+    nonlinear_plt = plot(asin.(μ₁_nonlinear), label = "μ₁ asin")
+    plot!(μ₂_nonlinear, label = "μ₂", title = "nonlinear")
+
+    plot(linear_plt, nonlinear_plt)
+end
+
+# ╔═╡ 0a6546fe-9f5e-4d2a-8c02-59d96332b0a9
+###NEXT STEPS: PREDICT FURTHER IN THE FUTURE
+
+# ╔═╡ Cell order:
+# ╠═e47a29a4-38b0-4f19-972a-7c1c3e83c2f7
+# ╠═5ae02fee-48f1-11ef-209c-539e778f577d
+# ╠═ff1abe62-b477-4c34-927d-4cc758981d60
+# ╠═b53c65b6-24fb-4df0-85e8-c94e973f92d1
+# ╠═c1e30a10-e9f9-4348-92b5-85fdc0be00b0
+# ╠═ec6ceba5-d202-4345-bce8-fc0dada2a019
+# ╠═d2e95dab-7312-4835-b780-91571ba83239
+# ╠═e319c480-cb6d-41fd-a4ec-892a12b95a06
+# ╠═cb170251-4dce-4e75-b457-40f2fb959a5b
+# ╠═847373ac-647d-43a3-93a1-92af9772dce0
+# ╠═c7f92940-18c8-4212-8808-8b29d9b870a1
+# ╠═5835d516-f822-4128-900b-16d09b550cb7
+# ╠═f1ad8c91-7642-4478-8091-bbcecc9f2bcf
+# ╠═50330bc3-e74d-4cfc-908a-a56acbcdd2bc
+# ╠═fa51e10d-3ab3-487c-90bc-9362956f563a
+# ╠═c52a0167-e780-47fc-901c-44cf84b973d4
+# ╠═af36ec40-ca4f-4aff-ae35-439adc5cae89
+# ╠═0a6546fe-9f5e-4d2a-8c02-59d96332b0a9

src/create_hgf/hgf_structs.jl

@@ -40,7 +40,9 @@ struct EnhancedUpdate <: HGFUpdateType end
 #Types for specifying nonlinear transformations
 abstract type CouplingTransform end
 
-Base.@kwdef mutable struct LinearTransform <: CouplingTransform end
+Base.@kwdef mutable struct LinearTransform <: CouplingTransform
+    parameters::Dict = Dict()
+end
 
 Base.@kwdef mutable struct NonlinearTransform <: CouplingTransform
     base_function::Function

test/testsuite/test_nonlinear_transforms.jl

@@ -1,5 +1,6 @@
 using Test
 using HierarchicalGaussianFiltering
+using Distributions
 
 @testset "Testing nonlinear transforms" begin
 
@@ -36,6 +37,19 @@ using HierarchicalGaussianFiltering
 
         hgf = init_hgf(nodes = nodes, edges = edges, verbose = false)
 
-        update_hgf!(hgf, 1)
+        set_parameters!(
+            hgf,
+            Dict(
+                ("u", "input_noise") => 4,
+                ("x1", "autoconnection_strength") => 0
+            ),
+        )
+
+        inputs = sin.(collect(0:1/20:1000/20))
+
+        #Add gaussian noise
+        inputs = rand(Normal(0, 0.5), length(inputs)) + inputs
+
+        give_inputs!(hgf, inputs)
     end
 end