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active_integrate_logaware.m
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666 lines (566 loc) · 21.9 KB
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function out = active_integrate_logaware(funNLL, xmin, xmax, opts)
% ACTIVE_INTEGRATE_LOGAWARE
% Active GP-based integration with PROPER beta marginalization per BIMR
%
% CORRECTED VERSION: Matches BIMR paper exactly
% 1. For each θ: Marginalize β first -> P(D|M,θ)
% 2. Train GP on -log P(D|M,θ)
% 3. Integrate: P(D|M) = ∫ P(D|M,θ) P(θ|M) dθ
% ----------------- Basic setup -----------------
if nargin < 4, opts = struct(); end
if ~isfield(opts,'rngSeed'), opts.rngSeed = 42; end
if ~isfield(opts,'maxRounds'), opts.maxRounds = 40; end
if ~isfield(opts,'maxAddedMult'), opts.maxAddedMult = 160; end
if ~isfield(opts,'tolRelCI'), opts.tolRelCI = 0.03; end
if ~isfield(opts,'verbose'), opts.verbose = true; end
% Extract priors and model info from opts
if isfield(opts, 'priors') && isfield(opts, 'modelName')
priors = opts.priors;
modelName = opts.modelName;
have_priors = true;
else
priors = struct();
modelName = 'unknown';
have_priors = false;
warning('active_integrate_logaware:noPriors', ...
'No priors in opts - using uniform prior (may give incorrect evidence)');
end
xmin = xmin(:)'; xmax = xmax(:)';
d = numel(xmin);
rng(opts.rngSeed);
ln10 = log(10);
% ----------------- Beta grid for marginalization (BIMR Eq. 15-17) -----------------
beta_min = 0.05;
beta_max = 10.0;
N_beta = 100;
beta_grid = linspace(beta_min, beta_max, N_beta);
% Half-Cauchy prior P(β) = (2/π) × 1/(1+β²)
P_beta = (2/pi) ./ (1 + beta_grid.^2);
P_beta = P_beta / sum(P_beta); % Normalize for discrete approximation
% ----------------- Log-aware map -----------------
log_axes = (xmin > 0) & ((xmax ./ max(xmin, eps)) >= 100);
loga = zeros(1,d); logb = zeros(1,d); dx_du_lin = zeros(1,d);
for j = 1:d
if log_axes(j)
loga(j) = log10(max(xmin(j), eps));
logb(j) = log10(max(xmax(j), xmin(j)+eps));
else
dx_du_lin(j) = xmax(j) - xmin(j);
end
end
fromFeat = @(U) u2x_logaware(U, xmin, xmax, log_axes, loga, logb);
toFeat = @(X) x2u_logaware(X, xmin, xmax, log_axes, loga, logb);
jacobian = @(U) jac_logaware(U, xmin, xmax, log_axes, loga, logb, dx_du_lin);
% ----------------- Dimension-aware sizes -----------------
n0 = 10*d^2 + 5;
if d==1, Nacq = 16384;
elseif d==2, Nacq = 65536;
else, Nacq = 32768;
end
if isfield(opts, 'Nint_final_override')
Nint_final = opts.Nint_final_override;
else
Nint_final = 65536 * 2^(d-1);
end
maxRounds = opts.maxRounds;
KcapPerRound = 6 + 4*d;
maxAdded = opts.maxAddedMult * d;
fprintf('\n=== Starting Active Learning for %s (%dD) ===\n', upper(modelName), d);
% fprintf('Initial design: %d points\n', n0);
% fprintf('Max rounds: %d, Convergence tolerance: %.1f%%\n\n', maxRounds, 100*opts.tolRelCI);
% ----------------- Initial design (Sobol in U) -----------------
sob0 = scramble(sobolset(d),'MatousekAffineOwen');
U = net(sob0, n0);
X0 = fromFeat(U);
% Evaluate NLL for ALL beta values
% fprintf('Evaluating initial design with beta marginalization...\n');
NLL_beta = funNLL(X0, beta_grid); % Returns [n0 × N_beta] matrix
% Marginalize beta for each theta (BIMR Eq. 17)
% P(D|M,θ) = Σ_b P(D|M,θ,β_b) P(β_b)
% In log space: log P(D|M,θ) = logsumexp_b[-NLL(θ,β_b) + log P(β_b)]
log_P_D_given_theta = zeros(n0, 1);
best_beta_idx = zeros(n0, 1);
for i = 1:n0
log_terms = -NLL_beta(i,:) + log(P_beta);
[~, best_beta_idx(i)] = max(log_terms);
max_log = max(log_terms);
log_P_D_given_theta(i) = max_log + log(sum(exp(log_terms - max_log)));
end
% Target for GP: -log10 P(D|M,θ) with offset for numerical stability
N0 = max(log_P_D_given_theta); % Most likely theta (MAXIMUM log probability)
Y = -(log_P_D_given_theta - N0) / ln10;
Y_max = min(quantile(Y(isfinite(Y) & Y >= 0), 0.95),50);
Y = min(Y, Y_max);
% Acquisition grid
sobA = scramble(sobolset(d),'MatousekAffineOwen');
Uacq = net(sobA, Nacq);
wA = jacobian(Uacq) / Nacq;
% Final integration grid
sobF = scramble(sobolset(d),'MatousekAffineOwen');
Uint_final = net(sobF, Nint_final);
% ----------------- GP kernel choice -----------------
if d==1
kernelName = 'matern52';
elseif d==2
kernelName = 'ardsquaredexponential';
else
kernelName = 'ardrationalquadratic';
end
basisName = 'constant';
% Initial fit
fprintf('Fitting initial GP...\n');
gpr = trainGP(U, Y, kernelName, basisName);
% ----------------- Active loop -----------------
addedTotal = 0; rounds = 0;
while rounds < maxRounds && addedTotal < maxAdded
rounds = rounds + 1;
% Refit GP each round
gpr = trainGP(U, Y, kernelName, basisName);
% Posterior on acquisition grid
[muA, sdA] = predict(gpr, Uacq);
sdA = max(sdA, 1e-9);
% Expected integrand variance
A_var = (wA.^2) .* (sdA.^2);
% Mass concentration for tempering
kTop = max(1, round(0.01 * Nacq));
LmeanA = exp(-ln10 * muA); % Convert back to P(D|M,θ) scale
Lw_sorted = sort(LmeanA .* wA, 'descend');
shareTop = sum(Lw_sorted(1:kTop)) / max(sum(Lw_sorted), eps);
C = min(1, max(0, (shareTop - 0.01) / (0.60 - 0.01)));
switch d
case 1, gamma_hi = 0.95; gamma_lo = 0.80;
case 2, gamma_hi = 0.90; gamma_lo = 0.60;
otherwise, gamma_hi = 0.85; gamma_lo = 0.45;
end
gamma = gamma_hi - (gamma_hi - gamma_lo)*C;
A_var = A_var .^ gamma;
A_var = A_var / max(A_var + eps);
% EI and std stabilizers
yBest = max(Y);
Z = (muA - yBest) ./ sdA;
EI = (muA - yBest).*normcdf(Z) + sdA.*normpdf(Z);
EI(sdA<=1e-12) = 0; EI = EI / max(EI + eps);
A_std = sdA; A_std = A_std / max(A_std + eps);
% Auto-weights
mVar = mean(A_var); mEI = mean(EI); mStd = mean(A_std);
S = mVar + mEI + mStd + eps;
aVar = mVar/S; aEI = mEI/S; aStd = mStd/S;
% Final acquisition function
A = aVar*A_var + aEI*EI + aStd*A_std;
% MAP trust-region micro-batch
[ell_vec_raw, ~] = gp_lengthscale_vec(gpr, d);
ell_cap = 0.40 * sqrt(d);
ell_vec = min(ell_vec_raw, ell_cap);
switch d
case 1, step = (0.30 - 0.10*C) * ell_vec;
case 2, step = (0.28 - 0.10*C) * ell_vec;
otherwise, step = (0.22 - 0.10*C) * ell_vec;
end
switch d
case 1, qBase = 2;
case 2, qBase = 4;
otherwise, qBase = 4;
end
qLocal = min(KcapPerRound-3, max(1, qBase + round(3*C) + (d==3)*2));
[~, iMAP] = min(muA); % min of -log10 P = max of P
u0 = Uacq(iMAP,:);
localCands = u0;
[~, ax] = sort(ell_vec, 'descend'); maxAxes = min(d,2);
% Axial directions
for j = 1:maxAxes
a = ax(j);
u_plus = u0; u_minus = u0;
u_plus(a) = min(1, u0(a) + step(a));
u_minus(a) = max(0, u0(a) - step(a));
localCands = [localCands; u_plus; u_minus]; %#ok<AGROW>
end
% Diagonals
if d >= 2
a1 = ax(1); a2 = ax(min(2,d));
for s1 = [-1,1]
for s2 = [-1,1]
u_d = u0;
u_d(a1) = min(1, max(0, u0(a1) + s1*0.7*step(a1)));
u_d(a2) = min(1, max(0, u0(a2) + s2*0.7*step(a2)));
localCands = [localCands; u_d]; %#ok<AGROW>
end
end
end
keep = true(size(localCands,1),1);
for i=1:size(localCands,1)
keep(i) = isempty(U) || all(row_dist(localCands(i,:), U) > 0.02*median(ell_vec));
end
localU = unique(localCands(keep,:), 'rows', 'stable');
qLocal = min(qLocal, size(localU,1));
localU = localU(1:qLocal,:);
% Diversified batch
Krem = max(0, KcapPerRound - qLocal - 1);
if d==3, M = min(12000, Nacq);
elseif d==2, M = min(8000, Nacq);
else, M = min(4000, Nacq);
end
[~, ord] = sort(A, 'descend');
Ushort = Uacq(ord(1:M),:);
As = A(ord(1:M));
factors = [0.25 0.15 0.10 0.05 0.02 0.0];
newUdiv = [];
for f = factors
minSep_try = f * median(ell_vec);
newUdiv = fps_diversify(Ushort, As, U, minSep_try, Krem, ell_vec);
if ~isempty(newUdiv), break; end
end
% Global refresh
Kglob = max(0, KcapPerRound - size(localU,1) - size(newUdiv,1));
newUglob = [];
if Kglob > 0
onescore = ones(size(Ushort,1),1);
newUglob = fps_diversify(Ushort, onescore, U, 0.10*median(ell_vec), Kglob, ell_vec);
end
% Combined new batch
newU = [localU; newUdiv; newUglob];
if isempty(newU)
fprintf('Round %2d: spacing too tight - no new points.\n', rounds);
break;
end
% Evaluate and marginalize beta
X_new = fromFeat(newU);
NLL_beta_new = funNLL(X_new, beta_grid);
log_P_D_given_theta_new = zeros(size(newU,1), 1);
for i = 1:size(newU,1)
log_terms = -NLL_beta_new(i,:) + log(P_beta);
max_log = max(log_terms);
log_P_D_given_theta_new(i) = max_log + log(sum(exp(log_terms - max_log)));
end
newY = -(log_P_D_given_theta_new - N0) / ln10;
newY = min(newY, Y_max);
U = [U; newU];
Y = [Y; newY];
addedTotal = addedTotal + size(newU,1);
% DEBUG: Track Y statistics
% if mod(rounds, 5) == 0
% fprintf(' [DEBUG] Y stats after round %d: min=%.2f, max=%.2f, mean=%.2f, std=%.2f\n', ...
% rounds, min(Y), max(Y), mean(Y), std(Y));
% end
% Convergence
Y_range = Y_max - min(Y);
if Y_range < eps, Y_range = 1; end
max_sd = max(sdA);
mean_sd = mean(sdA);
max_sd_rel = max_sd / Y_range;
mean_sd_rel = mean_sd / Y_range;
fprintf('Round %2d: added %2d pts | Max GP std: %.2f%%, Mean GP std: %.2f%% | Total pts: %d\n', ...
rounds, size(newU,1), 100*max_sd_rel, 100*mean_sd_rel, size(U,1));
if max_sd_rel < 0.05
fprintf('Stop: GP sufficiently accurate (max_sd < 5%% of Y range)\n');
break;
end
end
% ----------------- Final GP fit -----------------
fprintf('\nFitting final GP with %d total points...\n', size(U,1));
gpr = trainGP(U, Y, kernelName, basisName);
% Final integration with high accuracy
if isfield(opts, 'R_final_override')
R_final = opts.R_final_override;
elseif d==1, R_final = 32;
elseif d==2, R_final = 16;
else, R_final = 12;
end
fprintf('Computing final RQMC integral (N=%d, R=%d)...\n', Nint_final, R_final);
fprintf('DEBUG N0=%.4e, min(Y)=%.2f, max(Y)=%.2f\n', N0, min(Y), max(Y));
% Integrate with prior: ∫ P(D|M,θ) P(θ|M) dθ
if have_priors
[logI_rel_bar, se_rqmc_final, CV_model_final] = ...
rqmc_integral_with_prior(gpr, Nint_final, R_final, jacobian, d, ...
modelName, priors, fromFeat,Y_max);
else
[logI_rel_bar, se_rqmc_final, CV_model_final] = ...
rqmc_integral_mean_and_SE(gpr, Nint_final, R_final, jacobian, d);
end
% True log evidence: log P(D|M) = N0 + logI_rel
logI_mean = N0 + logI_rel_bar;
% if opts.verbose
% fprintf('\n=== Evidence Calculation ===\n');
% fprintf('N0 (reference): %.6e\n', N0);
% fprintf('logI_rel: %.6e\n', logI_rel_bar);
% fprintf('logI_mean = N0 + logI_rel = %.6e\n', logI_mean);
% fprintf('log10(evidence) = %.6f\n', logI_mean / ln10);
% fprintf('===========================\n\n');
% end
% Total coefficient of variation
CV_total = sqrt(CV_model_final^2 + se_rqmc_final^2);
if isfinite(CV_total) && CV_total > 0
se_logI = CV_total;
CI95_log = [logI_mean - 1.96*se_logI, logI_mean + 1.96*se_logI];
else
se_logI = NaN;
CI95_log = [NaN, NaN];
end
% Log10 evidence
log10I_mean = logI_mean / ln10;
log10I_CI95 = CI95_log / ln10;
% Optional linear evidence
if logI_mean > log(realmax)
I_mean = Inf;
CI95_lin = [NaN, NaN];
elseif logI_mean < log(realmin)
I_mean = 0;
CI95_lin = [0, 0];
else
I_mean = exp(logI_mean);
I_sd_abs = I_mean * CV_total;
CI95_lin = [I_mean - 1.96*I_sd_abs, I_mean + 1.96*I_sd_abs];
end
fprintf('\n=== FINAL RESULTS for %s ===\n', upper(modelName));
fprintf('Total points: %d (added %d in %d rounds)\n', size(U,1), addedTotal, rounds);
fprintf('log10(Z) = %.6g (95%% CI: [%.6g, %.6g])\n', ...
log10I_mean, log10I_CI95(1), log10I_CI95(2));
% Find and report MAP
[~, mapIdx] = min(Y); % min of -log10 P = max of P
out.mapIdx = mapIdx;
mapTheta = fromFeat(U(mapIdx,:));
fprintf('MAP parameters: ');
for j = 1:numel(mapTheta)
fprintf('%.4g ', mapTheta(j));
end
fprintf('\n');
fprintf('================================\n\n');
% Optional 1D plot
if d==1 && opts.verbose
[muF_plot, sdF_plot] = predict(gpr, Uint_final);
muF_plot = muF_plot - min(muF_plot); % Center around MAP
Y_train_center = Y - min(Y);
xF = fromFeat(Uint_final(:,1));
[xF, ix] = sort(xF); muF_plot = muF_plot(ix); sdF_plot = sdF_plot(ix);
figure('Color','w','Units','normalized','Position',[0.18 0.20 0.60 0.55]);
hold on; box on;
g_lo = muF_plot - 1.96*sdF_plot;
g_hi = muF_plot + 1.96*sdF_plot;
fill([xF; flipud(xF)], [g_lo; flipud(g_hi)], [0.9 0.8 1.0], ...
'EdgeColor','none', 'FaceAlpha',0.4);
plot(xF, muF_plot, 'b-','LineWidth',2.0);
theta_train = fromFeat(U(:,1));
plot(theta_train, Y_train_center, 'ko','MarkerFaceColor','y','MarkerSize',5);
xlabel('Parameter');
ylabel('-log10 P(D|M,\theta) (shifted)');
title(sprintf('1D GP Surrogate - %s', upper(modelName)));
legend({'95% band','GP mean','Training pts'},'Location','best');
if xmin(1) > 0
set(gca,'XScale','log'); xlim([xmin(1) xmax(1)]);
end
grid on;
end
% ----------------- Pack outputs -----------------
out.logI_mean = logI_mean;
out.logI_CI95 = CI95_log;
out.log10I_mean = log10I_mean;
out.log10I_CI95 = log10I_CI95;
out.I_mean = I_mean;
out.CI95 = CI95_lin;
out.sigma_model = CV_model_final;
out.sigma_rqmc = se_rqmc_final;
out.U = U;
out.Y = Y;
out.gpr = gpr;
out.xmin = xmin;
out.xmax = xmax;
out.log_axes = log_axes;
out.NLL_ref = N0;
out.toFeat = toFeat;
out.fromFeat = fromFeat;
out.jacobian = jacobian;
end
%% ====================== LOCAL FUNCTIONS ======================
function mdl = trainGP(Uin, Yin, kernelName, basisName)
mdl = fitrgp(Uin, Yin, ...
'KernelFunction', kernelName, ...
'BasisFunction', basisName, ...
'Standardize', true);
end
function [ell_vec, sigmaF] = gp_lengthscale_vec(gpr, d)
KP = gpr.KernelInformation.KernelParameters;
if strncmpi(gpr.KernelFunction,'ard',3)
ell_vec = KP(1:d)'; sigmaF = KP(end);
else
ell_vec = KP(1)*ones(1,d); sigmaF = KP(end);
end
end
function newU = fps_diversify(Ucand, score, Uexist, minSep, Kmax, ell_vec)
N = size(Ucand,1);
if N==0 || Kmax<=0, newU = []; return; end
scale = 1 ./ max(ell_vec(:).', 1e-6);
Us = Ucand .* scale;
Es = Uexist .* scale;
if ~isempty(Es)
try
distE = min(pdist2(Us, Es, 'euclidean'), [], 2);
catch
distE = inf(N,1);
for j=1:size(Es,1)
distE = min(distE, sqrt(sum((Us-Es(j,:)).^2,2)));
end
end
else
distE = inf(N,1);
end
valid = find(distE > minSep);
if isempty(valid), newU = []; return; end
[~, k] = max(score(valid));
i0 = valid(k);
sel = i0;
newU = Ucand(i0,:);
while size(newU,1) < Kmax
if numel(sel)==1
distS = sqrt(sum((Us-Us(sel,:)).^2,2));
else
try
distS = min(pdist2(Us, Us(sel,:), 'euclidean'), [], 2);
catch
distS = inf(N,1);
for j=1:numel(sel)
distS = min(distS, sqrt(sum((Us-Us(sel(j),:)).^2,2)));
end
end
end
dmin = min(distE, distS);
candMask = dmin > minSep;
if ~any(candMask), break; end
util = score .* dmin;
util(~candMask) = -inf;
[best, ib] = max(util);
if ~isfinite(best), break; end
sel(end+1,1) = ib; %#ok<AGROW>
newU = [newU; Ucand(ib,:)]; %#ok<AGROW>
end
end
function d = row_dist(u, U)
du = U - u;
d = sqrt(sum(du.^2, 2));
end
function [logI_bar, se_rqmc, sd_model_bar] = rqmc_integral_mean_and_SE(gpr, N, R, jacobian_fn, d)
% RQMC integration WITHOUT prior weighting (fallback)
logIvals = zeros(R,1);
sob = scramble(sobolset(d),'MatousekAffineOwen');
ln10 = log(10);
for r = 1:R
U0 = net(sob, N);
shift = rand(1,d);
U = mod(U0 + shift, 1);
w = jacobian_fn(U) / N;
mu = predict(gpr, U);
% Convert from -log10 P back to P
log_w = log(w);
log_integrand = log_w - ln10 * mu; % log[w × P(D|M,θ)]
max_log = max(log_integrand);
logIvals(r) = max_log + log(sum(exp(log_integrand - max_log)));
end
max_logI = max(logIvals);
logI_bar = max_logI + log(mean(exp(logIvals - max_logI)));
se_rqmc = std(logIvals, 0) / sqrt(R);
sd_model_bar = 0;
end
function [logI_bar, se_rqmc, sd_model_bar] = rqmc_integral_with_prior(gpr, N, R, jacobian_fn, d, modelName, priors, fromFeat_fn,Y_max)
% RQMC integration WITH proper prior weighting P(θ|M)
logIvals = zeros(R,1);
sob = scramble(sobolset(d),'MatousekAffineOwen');
ln10 = log(10);
% Get prior function for this model
modelKey = normalize_model_name(modelName);
if isfield(priors, modelKey) && isfield(priors.(modelKey), 'prior_fn')
prior_fn = priors.(modelKey).prior_fn;
else
warning('No prior function for %s, using uniform', modelName);
prior_fn = @(theta) 0; % log(1) = 0
end
for r = 1:R
U0 = net(sob, N);
shift = rand(1,d);
U = mod(U0 + shift, 1);
w = jacobian_fn(U) / N;
mu = min(predict(gpr,U),Y_max);
% Evaluate prior P(θ|M) at each integration point
% NOTE: The prior_fn returns log of DISCRETE probability P(θ|M)
% The jacobian already includes the volume element ΔV(θ)
% So: integrand = [P(θ|M) / ΔV] × ΔV × P(D|M,θ) = P(θ|M) × P(D|M,θ)
logPrior_vec = zeros(N,1);
for i = 1:N
theta_i = fromFeat_fn(U(i,:));
try
logPrior_vec(i) = min(0,prior_fn(theta_i));
catch ME
logPrior_vec(i) = -inf;
end
end
if r == 1
fprintf('DEBUG logPrior: mean=%.2f, max=%.2f, min=%.2f\n', mean(logPrior_vec), max(logPrior_vec), min(logPrior_vec));
end
% Log integrand: log[w × P(D|M,θ) × P(θ|M)]
% where w = jacobian / N already includes volume element
log_w = log(w);
log_integrand = log_w - ln10 * mu + logPrior_vec;
% Stable logsumexp
valid = isfinite(log_integrand);
if any(valid)
max_log = max(log_integrand(valid));
logIvals(r) = max_log + log(sum(exp(log_integrand(valid) - max_log)));
else
logIvals(r) = -inf;
end
end
% Combine across scrambles
valid = isfinite(logIvals);
if ~any(valid)
logI_bar = -inf;
se_rqmc = inf;
sd_model_bar = 0;
return;
end
max_logI = max(logIvals(valid));
logI_bar = max_logI + log(mean(exp(logIvals(valid) - max_logI)));
se_rqmc = std(logIvals(valid), 0) / sqrt(sum(valid));
sd_model_bar = 0;
end
function key = normalize_model_name(modelName)
switch lower(modelName)
case {'newtonian', 'newt'}, key = 'Newt';
case 'nh', key = 'NH';
case 'kv', key = 'KV';
case 'qnh', key = 'qNH';
case {'linmax', 'max', 'lm'}, key = 'LM';
case 'qkv', key = 'qKV';
case 'sls', key = 'SLS';
otherwise, key = upper(modelName);
end
end
%% ====================== Coordinate Transforms ======================
function X = u2x_logaware(U, xmin_, xmax_, log_axes_, loga_, logb_)
U = double(U); X = zeros(size(U));
for j = 1:numel(xmin_)
if log_axes_(j)
X(:,j) = 10.^(loga_(j) + U(:,j).*(logb_(j)-loga_(j)));
else
X(:,j) = xmin_(j) + U(:,j).*(xmax_(j)-xmin_(j));
end
end
end
function U = x2u_logaware(X, xmin_, xmax_, log_axes_, loga_, logb_)
X = double(X); U = zeros(size(X));
for j = 1:numel(xmin_)
if log_axes_(j)
U(:,j) = (log10(max(X(:,j),eps)) - loga_(j)) ./ max(logb_(j)-loga_(j), eps);
else
U(:,j) = (X(:,j) - xmin_(j)) ./ max(xmax_(j)-xmin_(j), eps);
end
end
U = min(1, max(0, U));
end
function w = jac_logaware(U, xmin_, xmax_, log_axes_, loga_, logb_, dx_du_lin_)
X = u2x_logaware(U, xmin_, xmax_, log_axes_, loga_, logb_);
w = ones(size(U,1),1);
for j = 1:numel(xmin_)
if log_axes_(j)
w = w .* (log(10) * (logb_(j)-loga_(j)) .* X(:,j));
else
w = w .* dx_du_lin_(j);
end
end
end