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3<title>mixpp: PF Class Reference</title>
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[8]25</div>
[91]26<div class="contents">
[32]27<h1>PF Class Reference</h1><!-- doxytag: class="PF" --><!-- doxytag: inherits="BM" -->Trivial particle filter with proposal density equal to parameter evolution model. 
[8]28<a href="#_details">More...</a>
29<p>
30<code>#include &lt;<a class="el" href="libPF_8h-source.html">libPF.h</a>&gt;</code>
31<p>
32<div class="dynheader">
33Inheritance diagram for PF:</div>
34<div class="dynsection">
[19]35<p><center><img src="classPF__inherit__graph.png" border="0" usemap="#PF__inherit__map" alt="Inheritance graph"></center>
36<map name="PF__inherit__map">
[91]37<area shape="rect" href="classMPF.html" title="Marginalized Particle filter." alt="" coords="5,156,112,180"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="39,7,79,31"></map>
[19]38<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
39<div class="dynheader">
40Collaboration diagram for PF:</div>
41<div class="dynsection">
42<p><center><img src="classPF__coll__graph.png" border="0" usemap="#PF__coll__map" alt="Collaboration graph"></center>
43<map name="PF__coll__map">
[91]44<area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="5,148,45,172"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="68,6,105,30"><area shape="rect" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies." alt="" coords="63,198,113,222"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="128,96,173,120"><area shape="rect" href="classeEmp.html" title="Weighted empirical density." alt="" coords="137,198,193,222"></map>
[19]45<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
[8]46
47<p>
48<a href="classPF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
49<tr><td></td></tr>
50<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[33]51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e99f0d866721405dd281e315ecb690aa"></a><!-- doxytag: member="PF::PF" ref="e99f0d866721405dd281e315ecb690aa" args="(const RV &amp;rv0, mpdf &amp;par0, mpdf &amp;obs0, int n0)" -->
52&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#e99f0d866721405dd281e315ecb690aa">PF</a> (const <a class="el" href="classRV.html">RV</a> &amp;rv0, <a class="el" href="classmpdf.html">mpdf</a> &amp;par0, <a class="el" href="classmpdf.html">mpdf</a> &amp;obs0, int n0)</td></tr>
[8]53
[33]54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="04d38fbcc0348b558212f530d9ec183e"></a><!-- doxytag: member="PF::set_est" ref="04d38fbcc0348b558212f530d9ec183e" args="(const epdf &amp;epdf0)" -->
56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#04d38fbcc0348b558212f530d9ec183e">set_est</a> (const <a class="el" href="classepdf.html">epdf</a> &amp;epdf0)</td></tr>
[19]57
[33]58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set posterior density by sampling from epdf0. <br></td></tr>
[32]59<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#64f636bbd63bea9efd778214e6b631d3">bayes</a> (const vec &amp;dt)</td></tr>
[19]60
[32]61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#64f636bbd63bea9efd778214e6b631d3"></a><br></td></tr>
[234]62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="140a073d5236684078b09021892d3b20"></a><!-- doxytag: member="PF::__w" ref="140a073d5236684078b09021892d3b20" args="()" -->
63vec *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#140a073d5236684078b09021892d3b20">__w</a> ()</td></tr>
64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[171]66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0186270f75189677f390fe088a9947e9"></a><!-- doxytag: member="PF::bayesB" ref="0186270f75189677f390fe088a9947e9" args="(const mat &amp;Dt)" -->
67virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#0186270f75189677f390fe088a9947e9">bayesB</a> (const mat &amp;Dt)</td></tr>
[28]68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
[171]70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8554809fec160bee279bcd5fa14ead5c"></a><!-- doxytag: member="PF::_epdf" ref="8554809fec160bee279bcd5fa14ead5c" args="() const =0" -->
71virtual const <a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#8554809fec160bee279bcd5fa14ead5c">_epdf</a> () const =0</td></tr>
[28]72
[210]73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a reference to the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="db500c4836f883c175a3cf3ab5a3ce24"></a><!-- doxytag: member="PF::_e" ref="db500c4836f883c175a3cf3ab5a3ce24" args="() const =0" -->
75virtual const <a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#db500c4836f883c175a3cf3ab5a3ce24">_e</a> () const =0</td></tr>
76
[28]77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. Use with care! <br></td></tr>
[171]78<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#8a8ce6df431689964c41cc6c849cfd06">logpred</a> (const vec &amp;dt) const </td></tr>
79
[180]80<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd0660f2a1a344b56ac39802708ff165"></a><!-- doxytag: member="PF::logpred_m" ref="cd0660f2a1a344b56ac39802708ff165" args="(const mat &amp;dt) const " -->
81vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#cd0660f2a1a344b56ac39802708ff165">logpred_m</a> (const mat &amp;dt) const </td></tr>
82
83<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[210]84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5594d68ee9aa6fc8c1e79019da5c9d56"></a><!-- doxytag: member="PF::predictor" ref="5594d68ee9aa6fc8c1e79019da5c9d56" args="(const RV &amp;rv) const " -->
85virtual <a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5594d68ee9aa6fc8c1e79019da5c9d56">predictor</a> (const <a class="el" href="classRV.html">RV</a> &amp;<a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a>) const </td></tr>
[180]86
87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
[33]88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="PF::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
89const <a class="el" href="classRV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#126bd2595c48e311fc2a7ab72876092a">_rv</a> () const </td></tr>
90
91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="PF::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
93double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
94
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[171]96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1ffa9f23669aabecc3760c06c6987522"></a><!-- doxytag: member="PF::set_evalll" ref="1ffa9f23669aabecc3760c06c6987522" args="(bool evl0)" -->
97void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#1ffa9f23669aabecc3760c06c6987522">set_evalll</a> (bool evl0)</td></tr>
98
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
100<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classBM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#eb58c81d6a7b75b05fc6f276eed78887">_copy_</a> (bool changerv=false)</td></tr>
101
[32]102<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2c2f44ed7a4eaa42e07bdb58d503f280"></a><!-- doxytag: member="PF::n" ref="2c2f44ed7a4eaa42e07bdb58d503f280" args="" -->
104int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">n</a></td></tr>
105
106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">number of particles; <br></td></tr>
[33]107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1a0a09e309da997f63ae8e30d1e9806b"></a><!-- doxytag: member="PF::est" ref="1a0a09e309da997f63ae8e30d1e9806b" args="" -->
108<a class="el" href="classeEmp.html">eEmp</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b">est</a></td></tr>
[32]109
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density <br></td></tr>
[33]111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5c87aba508df321ff26536ced64dbb3a"></a><!-- doxytag: member="PF::_w" ref="5c87aba508df321ff26536ced64dbb3a" args="" -->
112vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#5c87aba508df321ff26536ced64dbb3a">_w</a></td></tr>
[32]113
114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer into <code><a class="el" href="classeEmp.html" title="Weighted empirical density.">eEmp</a></code> <br></td></tr>
[33]115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cf7dad75e31215780a746c30e71ad9c5"></a><!-- doxytag: member="PF::_samples" ref="cf7dad75e31215780a746c30e71ad9c5" args="" -->
116Array&lt; vec &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5">_samples</a></td></tr>
[32]117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer into <code><a class="el" href="classeEmp.html" title="Weighted empirical density.">eEmp</a></code> <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d92ac103f88f8c21e197e90af5695a09"></a><!-- doxytag: member="PF::par" ref="d92ac103f88f8c21e197e90af5695a09" args="" -->
120<a class="el" href="classmpdf.html">mpdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#d92ac103f88f8c21e197e90af5695a09">par</a></td></tr>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Parameter evolution model. <br></td></tr>
123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd0a687a4515333d6809147335854e77"></a><!-- doxytag: member="PF::obs" ref="dd0a687a4515333d6809147335854e77" args="" -->
124<a class="el" href="classmpdf.html">mpdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#dd0a687a4515333d6809147335854e77">obs</a></td></tr>
125
126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation model. <br></td></tr>
127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="PF::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
128<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a></td></tr>
129
130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
[28]131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="PF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
132double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
133
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="PF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
136bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
137
[171]138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr>
[8]139</table>
140<hr><a name="_details"></a><h2>Detailed Description</h2>
[32]141Trivial particle filter with proposal density equal to parameter evolution model.
[8]142<p>
[32]143Posterior density is represented by a weighted empirical density (<code><a class="el" href="classeEmp.html" title="Weighted empirical density.">eEmp</a></code> ). <hr><h2>Member Function Documentation</h2>
144<a class="anchor" name="64f636bbd63bea9efd778214e6b631d3"></a><!-- doxytag: member="PF::bayes" ref="64f636bbd63bea9efd778214e6b631d3" args="(const vec &amp;dt)" -->
[19]145<div class="memitem">
146<div class="memproto">
147      <table class="memname">
148        <tr>
[32]149          <td class="memname">void PF::bayes           </td>
[19]150          <td>(</td>
151          <td class="paramtype">const vec &amp;&nbsp;</td>
[28]152          <td class="paramname"> <em>dt</em>          </td>
153          <td>&nbsp;)&nbsp;</td>
[139]154          <td><code> [virtual]</code></td>
[19]155        </tr>
156      </table>
157</div>
158<div class="memdoc">
159
160<p>
161Incremental Bayes rule.
162<p>
163<dl compact><dt><b>Parameters:</b></dt><dd>
164  <table border="0" cellspacing="2" cellpadding="0">
165    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
166  </table>
167</dl>
168
[32]169<p>Implements <a class="el" href="classBM.html#a892eff438aab2dd1a9e2efcb7fb5bdf">BM</a>.</p>
170
171<p>Reimplemented in <a class="el" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">MPF&lt; BM_T &gt;</a>.</p>
172
[234]173<p>References <a class="el" href="libPF_8h-source.html#l00040">_samples</a>, <a class="el" href="libPF_8h-source.html#l00038">_w</a>, <a class="el" href="libPF_8h-source.html#l00036">est</a>, <a class="el" href="libBM_8h-source.html#l00242">mpdf::evallogcond()</a>, <a class="el" href="libPF_8h-source.html#l00034">n</a>, <a class="el" href="libPF_8h-source.html#l00044">obs</a>, <a class="el" href="libPF_8h-source.html#l00042">par</a>, <a class="el" href="libEF_8cpp-source.html#l00166">eEmp::resample()</a>, and <a class="el" href="libBM_8h-source.html#l00226">mpdf::samplecond()</a>.</p>
[91]174
[19]175</div>
176</div><p>
[171]177<a class="anchor" name="8a8ce6df431689964c41cc6c849cfd06"></a><!-- doxytag: member="PF::logpred" ref="8a8ce6df431689964c41cc6c849cfd06" args="(const vec &amp;dt) const " -->
178<div class="memitem">
179<div class="memproto">
180      <table class="memname">
181        <tr>
182          <td class="memname">virtual double BM::logpred           </td>
183          <td>(</td>
184          <td class="paramtype">const vec &amp;&nbsp;</td>
185          <td class="paramname"> <em>dt</em>          </td>
186          <td>&nbsp;)&nbsp;</td>
187          <td> const<code> [inline, virtual, inherited]</code></td>
188        </tr>
189      </table>
190</div>
191<div class="memdoc">
192
193<p>
194Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
195<p>Reimplemented in <a class="el" href="classARX.html#e7f9e7823aec9bf7ddc3b42d9b3304c4">ARX</a>, <a class="el" href="classMixEF.html#424ca64f36d4e41de7a7e7ae921d35ea">MixEF</a>, and <a class="el" href="classmultiBM.html#13e26a61757278981fd8cac9a7ef91eb">multiBM</a>.</p>
196
[234]197<p>Referenced by <a class="el" href="libBM_8h-source.html#l00442">BM::logpred_m()</a>.</p>
[180]198
[171]199</div>
200</div><p>
201<a class="anchor" name="eb58c81d6a7b75b05fc6f276eed78887"></a><!-- doxytag: member="PF::_copy_" ref="eb58c81d6a7b75b05fc6f276eed78887" args="(bool changerv=false)" -->
202<div class="memitem">
203<div class="memproto">
204      <table class="memname">
205        <tr>
206          <td class="memname">virtual <a class="el" href="classBM.html">BM</a>* BM::_copy_           </td>
207          <td>(</td>
208          <td class="paramtype">bool&nbsp;</td>
209          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
210          <td>&nbsp;)&nbsp;</td>
211          <td><code> [inline, virtual, inherited]</code></td>
212        </tr>
213      </table>
214</div>
215<div class="memdoc">
216
217<p>
218Copy function required in vectors, Arrays of <a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: BM* <a class="el" href="classBM.html#eb58c81d6a7b75b05fc6f276eed78887">_copy_()</a>{<a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }
[210]219<p>Reimplemented in <a class="el" href="classARX.html#5de61fbd4f97fa3216760b1f733f5af0">ARX</a>, and <a class="el" href="classBMEF.html#97f5312efe4a5bedb86d2daec59d8651">BMEF</a>.</p>
[171]220
221</div>
222</div><p>
[19]223<hr>The documentation for this class was generated from the following files:<ul>
[145]224<li>work/git/mixpp/bdm/estim/<a class="el" href="libPF_8h-source.html">libPF.h</a><li>work/git/mixpp/bdm/estim/libPF.cpp</ul>
[91]225</div>
[234]226<hr size="1"><address style="text-align: right;"><small>Generated on Thu Jan 15 10:51:26 2009 for mixpp by&nbsp;
[8]227<a href="http://www.doxygen.org/index.html">
[139]228<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
[8]229</body>
230</html>
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