Definition:
class rsc { public: // build objects int nbX; int nbY; int nbParams; bool outsideOption; double* dist_pars; arma::mat zeta; arma::mat aux_ord; arma::cube aux_Influence_lhs; arma::cube aux_Influence_rhs; arma::cube aux_DinvPsigma; arma::cube aux_Psigma; double (*aux_cdf_eps)(double x, double* dist_pars); double (*aux_quant_eps)(double x, double* dist_pars); double (*aux_pdf_eps)(double x, double* dist_pars); double (*aux_pot_eps)(double x, double* dist_pars); arma::vec (*aux_cdf_eps_vec)(arma::vec x, double* dist_pars); arma::vec (*aux_quant_eps_vec)(arma::vec x, double* dist_pars); arma::vec (*aux_pdf_eps_vec)(arma::vec x, double* dist_pars); arma::vec (*aux_pot_eps_vec)(arma::vec x, double* dist_pars); // input objects arma::mat U; arma::mat mu; // equilibrium objects arma::mat U_sol; arma::mat mu_sol; // member functions ~rsc(){}; rsc(){}; explicit rsc(int nbX_inp, int nbY_inp); explicit rsc(arma::mat zeta_inp, bool outsideOption_inp); explicit rsc(arma::mat zeta_inp, double alpha, double beta); void build(int nbX_inp, int nbY_inp); void build(arma::mat zeta_inp, bool outsideOption_inp); void build_beta(arma::mat zeta_inp, double alpha, double beta); double G(const arma::vec& n); double G(const arma::vec& n, const arma::mat& U_inp, arma::mat& mu_out); double Gx(const arma::mat& U_x_inp, arma::mat& mu_x_out, int x); double Gstar(const arma::vec& n); double Gstar(const arma::vec& n, const arma::mat& mu_inp, arma::mat& U_out); double Gstarx(const arma::mat& mu_x_inp, arma::mat &U_x_out, int x); double Gbar(const arma::mat& Ubar, const arma::mat& mubar, const arma::vec& n, arma::mat& U_out, arma::mat& mu_out); double Gbarx(const arma::vec& Ubar_x, const arma::vec& mubar_x, arma::mat& U_x_out, arma::mat& mu_x_out, int x); arma::mat D2Gstar(const arma::vec& n, bool xFirst); void D2Gstar(arma::mat &H, const arma::vec& n, bool xFirst); void D2Gstar(arma::mat &H, const arma::vec& n, const arma::mat& mu_inp, bool xFirst); void dtheta_NablaGstar(arma::mat& ret, const arma::vec& n, arma::mat* dtheta, bool x_first); empirical simul(); empirical simul(int* nbDraws, int* seed); void simul(empirical& obj_out); void simul(empirical& obj_out, int* nbDraws, int* seed); private: double cdf (double x); arma::vec cdf (arma::vec x); double pdf (double x); arma::vec pdf (arma::vec x); double quantile (double x); arma::vec quantile (arma::vec x); double pot (double x); arma::vec pot (arma::vec x); static double Gbar_opt_objfn(const arma::vec& vals_inp, arma::vec* grad, void* opt_data); static double Gbar_opt_constr(const arma::vec& vals_inp, arma::vec* grad, void* constr_data); static double Gstarx(arma::vec& U_x, const arma::vec& mu_x_inp, const arma::mat& zeta, const arma::mat& aux_DinvPsigma, const arma::mat& aux_Psigma, const arma::mat& aux_Influence_lhs, const arma::mat& aux_Influence_rhs, arma::vec (*pot_eps_vec)(arma::vec pot_inp, double* dist_pars), arma::vec (*quantile_eps_vec)(arma::vec quant_inp, double* dist_pars), double* dist_pars, int nbY, int x); };
Example:
arma::mat U(2,3); U << 1.6 << 3.2 << 1.1 << arma::endr << 2.9 << 1.0 << 3.1 << arma::endr; arma::mat mu(2,3); mu << 1.0 << 3.0 << 1.0 << arma::endr << 2.0 << 1.0 << 3.0 << arma::endr; // // setup RSC class object int nbX = U.n_rows; int nbY = U.n_cols; arma::vec n = arma::sum(mu,1) + 1.0; arma::mat z_temp(1,nbY+1); z_temp(0,0) = 0.1; z_temp(0,1) = 0.2; z_temp(0,2) = 0.3; z_temp(0,3) = 0.0; arma::mat zeta = arma::ones(nbX,1) * z_temp; arma::cout << "zeta: \n" << zeta << arma::endl; // // RSC object trame::rsc rsc_obj; rsc_obj.U = U; rsc_obj.mu = mu; rsc_obj.build_beta(zeta,2.0,2.0); // // empirical object: int sim_seed = 1777; int n_draws = 1000; trame::empirical rsc_sim; rsc_obj.simul(rsc_sim, &n_draws, &sim_seed); rsc_sim.U = U; rsc_sim.mu = mu; // // first compute optimal assignment (mu) double G_val = rsc_obj.G(n); double G_sim_val = rsc_sim.G(n); std::cout << "G(U) and G-sim(U): \n" << G_val << " and " << G_sim_val << std::endl; arma::cout << "\nG -> mu: \n" << rsc_obj.mu_sol << arma::endl; arma::cout << "G-sim -> mu: \n" << rsc_sim.mu_sol << arma::endl; // // solution to dual problem U* double Gstar_val = rsc_obj.Gstar(n); double Gstar_sim_val = rsc_sim.Gstar(n); std::cout << "G*(mu) and G*-sim(mu): \n" << Gstar_val << " and " << Gstar_sim_val << std::endl; arma::cout << "\n\\nabla G*(\\nabla G(U)): \n" << rsc_obj.U_sol << arma::endl; arma::cout << "\\nabla G-sim*(\\nabla G-sim(U)): \n" << rsc_sim.U_sol << arma::endl; // // Gbar arma::mat mu_bar(2,3); mu_bar.fill(2); arma::mat U_bar_temp, mu_bar_temp; arma::mat U_bar_sim_temp, mu_bar_sim_temp; double val_Gbar = rsc_obj.Gbar(U,mu_bar,n,U_bar_temp,mu_bar_temp); double val_Gbar_sim = rsc_sim.Gbar(U,mu_bar,n,U_bar_sim_temp,mu_bar_sim_temp); std::cout << "Gbar val: \n" << val_Gbar << std::endl; std::cout << "Gbar-sim val: \n" << val_Gbar_sim << std::endl;