root/bdm/estim/libPF.cpp @ 278

#include "libPF.h"

namespace bdm{

using std::endl;

void PF::bayes ( const vec &dt ) {
        int i;
        vec lls ( n );
        ivec ind;
        double mlls=-std::numeric_limits<double>::infinity(), sum=0.0;

        for ( i=0;i<n;i++ ) {
                //generate new samples from paramater evolution model;
                _samples ( i ) = par->samplecond ( _samples ( i ));
                lls(i )= par->_e()->evallog(_samples(i));
                lls ( i ) *= obs->evallogcond ( dt,_samples ( i ) );

                if ( lls ( i ) >mlls ) mlls=lls ( i ); //find maximum
        }

        // compute weights
        for ( i=0;i<n;i++ ) {
                _w ( i ) *= exp ( lls ( i ) - mlls ); // multiply w by likelihood
        }

        //renormalize
        for ( i=0;i<n;i++ ) {sum+=_w ( i );};

        _w ( i ) /=sum; //?

        ind = est.resample();

}

void PF::set_est ( const epdf &epdf0 ) {
        int i;

        for ( i=0;i<n;i++ ) {
                _samples ( i ) = epdf0.sample();
        }
}

}
//MPF::MPF:{}