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27 | <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1PF.html">PF</a> |
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28 | </div> |
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30 | <div class="contents"> |
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31 | <h1>bdm::PF Class Reference</h1><!-- doxytag: class="bdm::PF" --><!-- doxytag: inherits="bdm::BM" --><code>#include <<a class="el" href="libPF_8h-source.html">libPF.h</a>></code> |
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32 | <p> |
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33 | <div class="dynheader"> |
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34 | Inheritance diagram for bdm::PF:</div> |
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35 | <div class="dynsection"> |
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36 | <p><center><img src="classbdm_1_1PF__inherit__graph.png" border="0" usemap="#bdm_1_1PF__inherit__map" alt="Inheritance graph"></center> |
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37 | <map name="bdm_1_1PF__inherit__map"> |
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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> |
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39 | <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> |
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40 | |
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41 | <p> |
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42 | <a href="classbdm_1_1PF-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2> |
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43 | Trivial particle filter with proposal density equal to parameter evolution model. |
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44 | <p> |
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45 | Posterior 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"> |
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46 | <tr><td></td></tr> |
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47 | <tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> |
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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 &par0, mpdf &obs0, int n0)" --> |
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49 | </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> &par0, <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> &obs0, int n0)</td></tr> |
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50 | |
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51 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Default constructor. <br></td></tr> |
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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 &epdf0)" --> |
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53 | void </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> &epdf0)</td></tr> |
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54 | |
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55 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Set posterior density by sampling from epdf0. <br></td></tr> |
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56 | <tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#638946eea22d4964bf9350286bb4efd8">bayes</a> (const vec &dt)</td></tr> |
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57 | |
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58 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Incremental Bayes rule. <a href="#638946eea22d4964bf9350286bb4efd8"></a><br></td></tr> |
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59 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78a9f6809827be1d9bfe215d03b1c6ed"></a><!-- doxytag: member="bdm::PF::__w" ref="78a9f6809827be1d9bfe215d03b1c6ed" args="()" --> |
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60 | vec * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#78a9f6809827be1d9bfe215d03b1c6ed">__w</a> ()</td></tr> |
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61 | |
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62 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
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63 | <tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr> |
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64 | <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a> ()</td></tr> |
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65 | |
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66 | <tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> |
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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 &Dt)" --> |
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68 | virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &Dt)</td></tr> |
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69 | |
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70 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> |
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71 | <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &dt) const </td></tr> |
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72 | |
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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 &dt) const " --> |
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74 | vec </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &dt) const </td></tr> |
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75 | |
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76 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix version of logpred. <br></td></tr> |
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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 " --> |
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78 | virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr> |
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79 | |
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80 | <tr><td class="mdescLeft"> </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> |
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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 " --> |
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82 | virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr> |
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83 | |
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84 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> |
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85 | <tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> |
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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 " --> |
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87 | const <a class="el" href="classbdm_1_1RV.html">RV</a> & </td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> |
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88 | |
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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 &rv)" --> |
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90 | void </td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &rv)</td></tr> |
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91 | |
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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 " --> |
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93 | double </td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> |
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94 | |
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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)" --> |
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96 | void </td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> |
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97 | |
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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" --> |
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99 | virtual const <a class="el" href="classbdm_1_1epdf.html">epdf</a> & </td><td class="memItemRight" valign="bottom"><b>_epdf</b> () const =0</td></tr> |
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100 | |
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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" --> |
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102 | virtual const <a class="el" href="classbdm_1_1epdf.html">epdf</a> * </td><td class="memItemRight" valign="bottom"><b>_e</b> () const =0</td></tr> |
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103 | |
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104 | <tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> |
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105 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eeafaf9b8ad75fe62ee9fd6369e3f7fe"></a><!-- doxytag: member="bdm::PF::n" ref="eeafaf9b8ad75fe62ee9fd6369e3f7fe" args="" --> |
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106 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe">n</a></td></tr> |
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107 | |
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108 | <tr><td class="mdescLeft"> </td><td class="mdescRight">number of particles; <br></td></tr> |
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109 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc049265b9086cad7071f98d00a2b9af"></a><!-- doxytag: member="bdm::PF::est" ref="dc049265b9086cad7071f98d00a2b9af" args="" --> |
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110 | <a class="el" href="classbdm_1_1eEmp.html">eEmp</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af">est</a></td></tr> |
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111 | |
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112 | <tr><td class="mdescLeft"> </td><td class="mdescRight">posterior density <br></td></tr> |
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113 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f5149d5522d1095d39240c4c607f61a3"></a><!-- doxytag: member="bdm::PF::_w" ref="f5149d5522d1095d39240c4c607f61a3" args="" --> |
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114 | vec & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3">_w</a></td></tr> |
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115 | |
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116 | <tr><td class="mdescLeft"> </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> |
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117 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="914bd66025692c4018dbd482cb3c47c1"></a><!-- doxytag: member="bdm::PF::_samples" ref="914bd66025692c4018dbd482cb3c47c1" args="" --> |
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118 | Array< vec > & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1">_samples</a></td></tr> |
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119 | |
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120 | <tr><td class="mdescLeft"> </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> |
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121 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cf3a1b2a407012e47ac878e3aa2fbf34"></a><!-- doxytag: member="bdm::PF::par" ref="cf3a1b2a407012e47ac878e3aa2fbf34" args="" --> |
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122 | <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34">par</a></td></tr> |
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123 | |
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124 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Parameter evolution model. <br></td></tr> |
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125 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c58b8fa634272c3f48845a9020ba55aa"></a><!-- doxytag: member="bdm::PF::obs" ref="c58b8fa634272c3f48845a9020ba55aa" args="" --> |
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126 | <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa">obs</a></td></tr> |
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127 | |
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128 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Observation model. <br></td></tr> |
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129 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::PF::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> |
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130 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr> |
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131 | |
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132 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Random variable of the data (optional). <br></td></tr> |
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133 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::PF::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" --> |
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134 | double </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr> |
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135 | |
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136 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> |
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137 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::PF::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" --> |
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138 | bool </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr> |
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139 | |
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140 | <tr><td class="mdescLeft"> </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> |
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141 | </table> |
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142 | <hr><h2>Member Function Documentation</h2> |
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143 | <a class="anchor" name="638946eea22d4964bf9350286bb4efd8"></a><!-- doxytag: member="bdm::PF::bayes" ref="638946eea22d4964bf9350286bb4efd8" args="(const vec &dt)" --> |
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144 | <div class="memitem"> |
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145 | <div class="memproto"> |
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146 | <table class="memname"> |
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147 | <tr> |
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148 | <td class="memname">void bdm::PF::bayes </td> |
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149 | <td>(</td> |
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150 | <td class="paramtype">const vec & </td> |
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151 | <td class="paramname"> <em>dt</em> </td> |
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152 | <td> ) </td> |
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153 | <td><code> [virtual]</code></td> |
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154 | </tr> |
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155 | </table> |
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156 | </div> |
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157 | <div class="memdoc"> |
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158 | |
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159 | <p> |
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160 | Incremental Bayes rule. |
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161 | <p> |
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162 | <dl compact><dt><b>Parameters:</b></dt><dd> |
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163 | <table border="0" cellspacing="2" cellpadding="0"> |
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164 | <tr><td valign="top"></td><td valign="top"><em>dt</em> </td><td>vector of input data </td></tr> |
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165 | </table> |
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166 | </dl> |
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167 | |
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168 | <p>Implements <a class="el" href="classbdm_1_1BM.html#60b1779a577367c369a932cabd3a6188">bdm::BM</a>.</p> |
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169 | |
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170 | <p>Reimplemented in <a class="el" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14">bdm::MPF< BM_T ></a>.</p> |
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171 | |
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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> |
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173 | |
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174 | </div> |
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175 | </div><p> |
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176 | <a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::PF::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" --> |
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177 | <div class="memitem"> |
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178 | <div class="memproto"> |
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179 | <table class="memname"> |
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180 | <tr> |
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181 | <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_ </td> |
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182 | <td>(</td> |
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183 | <td class="paramname"> </td> |
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184 | <td> ) </td> |
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185 | <td><code> [inline, virtual, inherited]</code></td> |
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186 | </tr> |
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187 | </table> |
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188 | </div> |
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189 | <div class="memdoc"> |
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190 | |
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191 | <p> |
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192 | Copy 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>);} |
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193 | </pre></div> |
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194 | <p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p> |
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195 | |
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196 | </div> |
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197 | </div><p> |
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198 | <a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::PF::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &dt) const " --> |
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199 | <div class="memitem"> |
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200 | <div class="memproto"> |
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201 | <table class="memname"> |
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202 | <tr> |
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203 | <td class="memname">virtual double bdm::BM::logpred </td> |
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204 | <td>(</td> |
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205 | <td class="paramtype">const vec & </td> |
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206 | <td class="paramname"> <em>dt</em> </td> |
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207 | <td> ) </td> |
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208 | <td> const<code> [inline, virtual, inherited]</code></td> |
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209 | </tr> |
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210 | </table> |
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211 | </div> |
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212 | <div class="memdoc"> |
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213 | |
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214 | <p> |
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215 | Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. |
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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> |
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217 | |
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218 | <p>Referenced by <a class="el" href="libBM_8h-source.html#l00608">bdm::BM::logpred_m()</a>.</p> |
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219 | |
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220 | </div> |
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221 | </div><p> |
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222 | <hr>The documentation for this class was generated from the following files:<ul> |
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223 | <li><a class="el" href="libPF_8h-source.html">libPF.h</a><li>libPF.cpp</ul> |
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224 | </div> |
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225 | <hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:02 2009 for mixpp by |
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226 | <a href="http://www.doxygen.org/index.html"> |
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227 | <img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address> |
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228 | </body> |
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229 | </html> |
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