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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
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3<title>mixpp: PF Class Reference</title>
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23<h1>PF Class Reference</h1><!-- doxytag: class="PF" --><!-- doxytag: inherits="BM" -->Trivial particle filter with proposal density equal to parameter evolution model. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libPF_8h-source.html">libPF.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for PF:</div>
30<div class="dynsection">
31<p><center><img src="classPF__inherit__graph.png" border="0" usemap="#PF__inherit__map" alt="Inheritance graph"></center>
32<map name="PF__inherit__map">
33<area shape="rect" href="classMPF.html" title="Marginalized Particle filter." alt="" coords="5,161,120,188"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="41,7,84,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for PF:</div>
37<div class="dynsection">
38<p><center><img src="classPF__coll__graph.png" border="0" usemap="#PF__coll__map" alt="Collaboration graph"></center>
39<map name="PF__coll__map">
40<area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="5,161,48,188"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="72,7,109,33"><area shape="rect" title="rv" alt="" coords="72,31,80,39"><area shape="rect" title="rv" alt="" coords="24,157,32,165"><area shape="rect" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies." alt="" coords="64,215,120,241"><area shape="rect" title="rv\nrvc" alt="" coords="87,31,95,39"><area shape="rect" title="rv\nrvc" alt="" coords="88,211,96,219"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="135,105,185,132"><area shape="rect" title="rv" alt="" coords="97,31,105,39"><area shape="rect" title="rv" alt="" coords="147,101,155,109"><area shape="rect" title="obs\npar" alt="" coords="88,239,96,247"><area shape="rect" title="obs\npar" alt="" coords="88,323,96,331"><area shape="rect" title="ep" alt="" coords="147,129,155,137"><area shape="rect" title="ep" alt="" coords="96,211,104,219"><area shape="rect" href="classeEmp.html" title="Weighted empirical density." alt="" coords="144,215,203,241"><area shape="rect" title="ePdf" alt="" coords="159,239,167,247"><area shape="rect" title="ePdf" alt="" coords="97,323,105,331"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classPF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
47<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e9604b7fc87ff5e61da4de4a04210bfc"></a><!-- doxytag: member="PF::PF" ref="e9604b7fc87ff5e61da4de4a04210bfc" args="(const RV &amp;rv0, mpdf &amp;par0, mpdf &amp;obs0, int n)" -->
48&nbsp;</td><td class="memItemRight" valign="bottom"><b>PF</b> (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 <a class="el" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">n</a>)</td></tr>
49
50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5caa2c15604338b773d7a8125e7a1b5"></a><!-- doxytag: member="PF::set_est" ref="c5caa2c15604338b773d7a8125e7a1b5" args="(const epdf *&amp;epdf0)" -->
51void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_est</b> (const <a class="el" href="classepdf.html">epdf</a> *&amp;epdf0)</td></tr>
52
53<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>
54
55<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#64f636bbd63bea9efd778214e6b631d3"></a><br></td></tr>
56<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="PF::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
57void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr>
58
59<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
60<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3dc45554556926bde996a267636abe55"></a><!-- doxytag: member="PF::_epdf" ref="3dc45554556926bde996a267636abe55" args="()=0" -->
61virtual <a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#3dc45554556926bde996a267636abe55">_epdf</a> ()=0</td></tr>
62
63<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>
64<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
65<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2c2f44ed7a4eaa42e07bdb58d503f280"></a><!-- doxytag: member="PF::n" ref="2c2f44ed7a4eaa42e07bdb58d503f280" args="" -->
66int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">n</a></td></tr>
67
68<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">number of particles; <br></td></tr>
69<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a2ac56d1e3ffbb4ff0b3f02e6399deb0"></a><!-- doxytag: member="PF::ePdf" ref="a2ac56d1e3ffbb4ff0b3f02e6399deb0" args="" -->
70<a class="el" href="classeEmp.html">eEmp</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0">ePdf</a></td></tr>
71
72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density <br></td></tr>
73<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a97d12da4d1832c0b0c6ec5877f921f0"></a><!-- doxytag: member="PF::w" ref="a97d12da4d1832c0b0c6ec5877f921f0" args="" -->
74vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0">w</a></td></tr>
75
76<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>
77<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="361743a0b5b89de1a29e91d1343b2565"></a><!-- doxytag: member="PF::samples" ref="361743a0b5b89de1a29e91d1343b2565" args="" -->
78Array&lt; vec &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#361743a0b5b89de1a29e91d1343b2565">samples</a></td></tr>
79
80<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>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d92ac103f88f8c21e197e90af5695a09"></a><!-- doxytag: member="PF::par" ref="d92ac103f88f8c21e197e90af5695a09" args="" -->
82<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>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Parameter evolution model. <br></td></tr>
85<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd0a687a4515333d6809147335854e77"></a><!-- doxytag: member="PF::obs" ref="dd0a687a4515333d6809147335854e77" args="" -->
86<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>
87
88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation model. <br></td></tr>
89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="PF::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
90<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>
91
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="PF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
94double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
95
96<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="PF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
98bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
99
100<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 time. <br></td></tr>
101</table>
102<hr><a name="_details"></a><h2>Detailed Description</h2>
103Trivial particle filter with proposal density equal to parameter evolution model.
104<p>
105Posterior 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>
106<a class="anchor" name="64f636bbd63bea9efd778214e6b631d3"></a><!-- doxytag: member="PF::bayes" ref="64f636bbd63bea9efd778214e6b631d3" args="(const vec &amp;dt)" -->
107<div class="memitem">
108<div class="memproto">
109      <table class="memname">
110        <tr>
111          <td class="memname">void PF::bayes           </td>
112          <td>(</td>
113          <td class="paramtype">const vec &amp;&nbsp;</td>
114          <td class="paramname"> <em>dt</em>          </td>
115          <td>&nbsp;)&nbsp;</td>
116          <td width="100%"><code> [virtual]</code></td>
117        </tr>
118      </table>
119</div>
120<div class="memdoc">
121
122<p>
123Incremental Bayes rule.
124<p>
125<dl compact><dt><b>Parameters:</b></dt><dd>
126  <table border="0" cellspacing="2" cellpadding="0">
127    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
128  </table>
129</dl>
130
131<p>Implements <a class="el" href="classBM.html#a892eff438aab2dd1a9e2efcb7fb5bdf">BM</a>.</p>
132
133<p>Reimplemented in <a class="el" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">MPF&lt; BM_T &gt;</a>.</p>
134
135</div>
136</div><p>
137<hr>The documentation for this class was generated from the following files:<ul>
138<li>work/mixpp/bdm/estim/<a class="el" href="libPF_8h-source.html">libPF.h</a><li>work/mixpp/bdm/estim/libPF.cpp</ul>
139<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:56 2008 for mixpp by&nbsp;
140<a href="http://www.doxygen.org/index.html">
141<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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