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Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

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3<title>mixpp: bdm::PF Class Reference</title>
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23      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
24      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
25    </ul>
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[261]27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1PF.html">PF</a>
[259]28  </div>
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30<div class="contents">
[270]31<h1>bdm::PF Class Reference</h1><!-- doxytag: class="bdm::PF" --><!-- doxytag: inherits="bdm::BM" --><code>#include &lt;<a class="el" href="libPF_8h-source.html">libPF.h</a>&gt;</code>
[259]32<p>
33<div class="dynheader">
34Inheritance diagram for bdm::PF:</div>
35<div class="dynsection">
36<p><center><img src="classbdm_1_1PF__inherit__graph.png" border="0" usemap="#bdm_1_1PF__inherit__map" alt="Inheritance graph"></center>
37<map name="bdm_1_1PF__inherit__map">
[269]38<area shape="rect" href="classbdm_1_1MPF.html" title="Marginalized Particle filter." alt="" coords="5,239,152,265"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="40,84,117,111"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="23,7,135,33"></map>
[259]39<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
40
41<p>
[270]42<a href="classbdm_1_1PF-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
43Trivial particle filter with proposal density equal to parameter evolution model.
44<p>
45Posterior density is represented by a weighted empirical density (<code><a class="el" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a></code> ). <table border="0" cellpadding="0" cellspacing="0">
[259]46<tr><td></td></tr>
47<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[270]48<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="db2ed4517083f83de9d61750a87274de"></a><!-- doxytag: member="bdm::PF::PF" ref="db2ed4517083f83de9d61750a87274de" args="(mpdf &amp;par0, mpdf &amp;obs0, int n0)" -->
49&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#db2ed4517083f83de9d61750a87274de">PF</a> (<a class="el" href="classbdm_1_1mpdf.html">mpdf</a> &amp;par0, <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> &amp;obs0, int n0)</td></tr>
[259]50
51<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
52<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f1988db4c3f602d187a6c15ec89cb1e"></a><!-- doxytag: member="bdm::PF::set_est" ref="6f1988db4c3f602d187a6c15ec89cb1e" args="(const epdf &amp;epdf0)" -->
53void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#6f1988db4c3f602d187a6c15ec89cb1e">set_est</a> (const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;epdf0)</td></tr>
54
55<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set posterior density by sampling from epdf0. <br></td></tr>
56<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#638946eea22d4964bf9350286bb4efd8">bayes</a> (const vec &amp;dt)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#638946eea22d4964bf9350286bb4efd8"></a><br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78a9f6809827be1d9bfe215d03b1c6ed"></a><!-- doxytag: member="bdm::PF::__w" ref="78a9f6809827be1d9bfe215d03b1c6ed" args="()" -->
60vec *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#78a9f6809827be1d9bfe215d03b1c6ed">__w</a> ()</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[270]63<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
64<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a> ()</td></tr>
65
66<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::PF::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
68virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
71<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr>
72
73<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::PF::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
74vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
75
76<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[270]77<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::PF::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
78virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr>
[259]79
[270]80<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_112.png">. <br></td></tr>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::PF::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
82virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
[259]83
[270]84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
85<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[269]86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::PF::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[270]87const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
[269]88
89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::PF::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
[270]90void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
[269]91
[259]92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::PF::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[270]93double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[259]94
95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::PF::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
[270]96void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[259]97
[270]98<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="963258c4c2dd05be001003b19aceefef"></a><!-- doxytag: member="bdm::PF::_epdf" ref="963258c4c2dd05be001003b19aceefef" args="() const =0" -->
99virtual const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_epdf</b> () const =0</td></tr>
[259]100
[270]101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4ed0f8b880e606316ae800f3a011c3a6"></a><!-- doxytag: member="bdm::PF::_e" ref="4ed0f8b880e606316ae800f3a011c3a6" args="() const =0" -->
102virtual const <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const =0</td></tr>
103
[259]104<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eeafaf9b8ad75fe62ee9fd6369e3f7fe"></a><!-- doxytag: member="bdm::PF::n" ref="eeafaf9b8ad75fe62ee9fd6369e3f7fe" args="" -->
106int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe">n</a></td></tr>
107
108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">number of particles; <br></td></tr>
109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc049265b9086cad7071f98d00a2b9af"></a><!-- doxytag: member="bdm::PF::est" ref="dc049265b9086cad7071f98d00a2b9af" args="" -->
110<a class="el" href="classbdm_1_1eEmp.html">eEmp</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af">est</a></td></tr>
111
112<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density <br></td></tr>
113<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f5149d5522d1095d39240c4c607f61a3"></a><!-- doxytag: member="bdm::PF::_w" ref="f5149d5522d1095d39240c4c607f61a3" args="" -->
114vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3">_w</a></td></tr>
115
116<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer into <code><a class="el" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a></code> <br></td></tr>
117<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="914bd66025692c4018dbd482cb3c47c1"></a><!-- doxytag: member="bdm::PF::_samples" ref="914bd66025692c4018dbd482cb3c47c1" args="" -->
118Array&lt; vec &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1">_samples</a></td></tr>
119
120<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer into <code><a class="el" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a></code> <br></td></tr>
121<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cf3a1b2a407012e47ac878e3aa2fbf34"></a><!-- doxytag: member="bdm::PF::par" ref="cf3a1b2a407012e47ac878e3aa2fbf34" args="" -->
122<a class="el" href="classbdm_1_1mpdf.html">mpdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34">par</a></td></tr>
123
124<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Parameter evolution model. <br></td></tr>
125<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c58b8fa634272c3f48845a9020ba55aa"></a><!-- doxytag: member="bdm::PF::obs" ref="c58b8fa634272c3f48845a9020ba55aa" args="" -->
126<a class="el" href="classbdm_1_1mpdf.html">mpdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa">obs</a></td></tr>
127
128<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation model. <br></td></tr>
[269]129<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::PF::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
130<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr>
131
132<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
[259]133<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::PF::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
134double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
135
136<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
137<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::PF::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
138bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
139
140<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>
141</table>
[270]142<hr><h2>Member Function Documentation</h2>
[259]143<a class="anchor" name="638946eea22d4964bf9350286bb4efd8"></a><!-- doxytag: member="bdm::PF::bayes" ref="638946eea22d4964bf9350286bb4efd8" args="(const vec &amp;dt)" -->
144<div class="memitem">
145<div class="memproto">
146      <table class="memname">
147        <tr>
148          <td class="memname">void bdm::PF::bayes           </td>
149          <td>(</td>
150          <td class="paramtype">const vec &amp;&nbsp;</td>
151          <td class="paramname"> <em>dt</em>          </td>
152          <td>&nbsp;)&nbsp;</td>
153          <td><code> [virtual]</code></td>
154        </tr>
155      </table>
156</div>
157<div class="memdoc">
158
159<p>
160Incremental Bayes rule.
161<p>
162<dl compact><dt><b>Parameters:</b></dt><dd>
163  <table border="0" cellspacing="2" cellpadding="0">
164    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
165  </table>
166</dl>
167
168<p>Implements <a class="el" href="classbdm_1_1BM.html#60b1779a577367c369a932cabd3a6188">bdm::BM</a>.</p>
169
170<p>Reimplemented in <a class="el" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14">bdm::MPF&lt; BM_T &gt;</a>.</p>
171
[270]172<p>References <a class="el" href="libBM_8h-source.html#l00333">bdm::mpdf::_e()</a>, <a class="el" href="libPF_8h-source.html#l00036">_samples</a>, <a class="el" href="libPF_8h-source.html#l00034">_w</a>, <a class="el" href="libPF_8h-source.html#l00032">est</a>, <a class="el" href="classbdm_1_1epdf.html#a8e39e2ff5e5cf5471bc159530d3b2d3">bdm::epdf::evallog()</a>, <a class="el" href="libBM_8h-source.html#l00318">bdm::mpdf::evallogcond()</a>, <a class="el" href="libPF_8h-source.html#l00030">n</a>, <a class="el" href="libPF_8h-source.html#l00040">obs</a>, <a class="el" href="libPF_8h-source.html#l00038">par</a>, <a class="el" href="libEF_8cpp-source.html#l00184">bdm::eEmp::resample()</a>, and <a class="el" href="libBM_8h-source.html#l00302">bdm::mpdf::samplecond()</a>.</p>
[259]173
174</div>
175</div><p>
[270]176<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::PF::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" -->
[259]177<div class="memitem">
178<div class="memproto">
179      <table class="memname">
180        <tr>
[270]181          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
[259]182          <td>(</td>
[270]183          <td class="paramname">          </td>
[259]184          <td>&nbsp;)&nbsp;</td>
[270]185          <td><code> [inline, virtual, inherited]</code></td>
[259]186        </tr>
187      </table>
188</div>
189<div class="memdoc">
190
191<p>
[270]192Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a>(){<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
193</pre></div> 
194<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p>
[259]195
196</div>
197</div><p>
[270]198<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::PF::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
[259]199<div class="memitem">
200<div class="memproto">
201      <table class="memname">
202        <tr>
[270]203          <td class="memname">virtual double bdm::BM::logpred           </td>
[259]204          <td>(</td>
[270]205          <td class="paramtype">const vec &amp;&nbsp;</td>
206          <td class="paramname"> <em>dt</em>          </td>
[259]207          <td>&nbsp;)&nbsp;</td>
[270]208          <td> const<code> [inline, virtual, inherited]</code></td>
[259]209        </tr>
210      </table>
211</div>
212<div class="memdoc">
213
214<p>
[270]215Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
216<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p>
[259]217
[270]218<p>Referenced by <a class="el" href="libBM_8h-source.html#l00608">bdm::BM::logpred_m()</a>.</p>
219
[259]220</div>
221</div><p>
222<hr>The documentation for this class was generated from the following files:<ul>
[261]223<li><a class="el" href="libPF_8h-source.html">libPF.h</a><li>libPF.cpp</ul>
[259]224</div>
[270]225<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:02 2009 for mixpp by&nbsp;
[259]226<a href="http://www.doxygen.org/index.html">
227<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
228</body>
229</html>
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