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| [145] | 18 | <h1>work/git/mixpp/bdm/estim/libPF.h</h1><a href="libPF_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 |
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| [8] | 19 | <a name="l00013"></a>00013 <span class="preprocessor">#ifndef PF_H</span> |
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| 20 | <a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define PF_H</span> |
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| 21 | <a name="l00015"></a>00015 <span class="preprocessor"></span> |
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| 22 | <a name="l00016"></a>00016 <span class="preprocessor">#include <itpp/itbase.h></span> |
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| [32] | 23 | <a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libEF.h"</span> |
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| [19] | 24 | <a name="l00018"></a>00018 <span class="preprocessor">#include "../math/libDC.h"</span> |
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| [8] | 25 | <a name="l00019"></a>00019 |
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| [255] | 26 | <a name="l00020"></a>00020 <span class="keyword">namespace </span>bdm{ |
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| [8] | 27 | <a name="l00021"></a>00021 |
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| [255] | 28 | <a name="l00028"></a><a class="code" href="classbdm_1_1PF.html">00028</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1PF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> { |
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| 29 | <a name="l00029"></a>00029 <span class="keyword">protected</span>: |
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| 30 | <a name="l00031"></a><a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe">00031</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>; |
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| 31 | <a name="l00033"></a><a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af">00033</a> <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> <a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>; |
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| 32 | <a name="l00035"></a><a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3">00035</a> vec &<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>; |
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| 33 | <a name="l00037"></a><a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1">00037</a> Array<vec> &<a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a>; |
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| 34 | <a name="l00039"></a><a class="code" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34">00039</a> <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &<a class="code" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34" title="Parameter evolution model.">par</a>; |
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| 35 | <a name="l00041"></a><a class="code" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa">00041</a> <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &<a class="code" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa" title="Observation model.">obs</a>; |
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| 36 | <a name="l00042"></a>00042 <span class="keyword">public</span>: |
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| 37 | <a name="l00044"></a><a class="code" href="classbdm_1_1PF.html#df9e7dc54dbe1c78a4aa503c42f7f8c4">00044</a> <a class="code" href="classbdm_1_1PF.html#df9e7dc54dbe1c78a4aa503c42f7f8c4" title="Default constructor.">PF</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rv0, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &par0, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &obs0, <span class="keywordtype">int</span> n0 ) :<a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> ( rv0 ), |
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| 38 | <a name="l00045"></a>00045 <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> ( n0 ),<a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a> ( rv0,<a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> ),<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( <a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>() ),<a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( <a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a>() ), |
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| 39 | <a name="l00046"></a>00046 <a class="code" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34" title="Parameter evolution model.">par</a> ( par0 ), <a class="code" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa" title="Observation model.">obs</a> ( obs0 ) {}; |
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| 40 | <a name="l00047"></a>00047 |
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| 41 | <a name="l00049"></a>00049 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#6f1988db4c3f602d187a6c15ec89cb1e" title="Set posterior density by sampling from epdf0.">set_est</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &epdf0 ); |
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| 42 | <a name="l00050"></a>00050 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#638946eea22d4964bf9350286bb4efd8" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
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| 43 | <a name="l00052"></a><a class="code" href="classbdm_1_1PF.html#78a9f6809827be1d9bfe215d03b1c6ed">00052</a> vec* <a class="code" href="classbdm_1_1PF.html#78a9f6809827be1d9bfe215d03b1c6ed" title="access function">__w</a>(){<span class="keywordflow">return</span> &<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>;} |
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| 44 | <a name="l00053"></a>00053 }; |
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| 45 | <a name="l00054"></a>00054 |
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| 46 | <a name="l00061"></a>00061 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
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| 47 | <a name="l00062"></a>00062 |
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| 48 | <a name="l00063"></a><a class="code" href="classbdm_1_1MPF.html">00063</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1MPF.html" title="Marginalized Particle filter.">MPF</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1PF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> { |
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| 49 | <a name="l00064"></a>00064 BM_T* Bms[10000]; |
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| [234] | 50 | <a name="l00065"></a>00065 |
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| [255] | 51 | <a name="l00067"></a>00067 |
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| 52 | <a name="l00068"></a>00068 <span class="keyword">class </span>mpfepdf : <span class="keyword">public</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> { |
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| 53 | <a name="l00069"></a>00069 <span class="keyword">protected</span>: |
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| 54 | <a name="l00070"></a>00070 <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &E; |
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| 55 | <a name="l00071"></a>00071 vec &<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>; |
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| 56 | <a name="l00072"></a>00072 Array<const epdf*> Coms; |
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| 57 | <a name="l00073"></a>00073 <span class="keyword">public</span>: |
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| 58 | <a name="l00074"></a>00074 mpfepdf ( <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &E0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvc ) : |
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| 59 | <a name="l00075"></a>00075 <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> ( <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a>( ) ), E ( E0 ), <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( E._w() ), |
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| 60 | <a name="l00076"></a>00076 Coms ( <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length() ) { |
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| 61 | <a name="l00077"></a>00077 <a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>.<a class="code" href="classbdm_1_1RV.html#87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a> ( E._rv() ); |
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| 62 | <a name="l00078"></a>00078 <a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>.<a class="code" href="classbdm_1_1RV.html#87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a> ( rvc ); |
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| 63 | <a name="l00079"></a>00079 }; |
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| 64 | <a name="l00080"></a>00080 |
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| 65 | <a name="l00081"></a>00081 <span class="keywordtype">void</span> set_elements ( <span class="keywordtype">int</span> &i, <span class="keywordtype">double</span> wi, <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* ep ) |
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| 66 | <a name="l00082"></a>00082 {<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i ) =wi; Coms ( i ) =ep;}; |
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| [234] | 67 | <a name="l00083"></a>00083 |
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| [255] | 68 | <a name="l00084"></a>00084 vec mean()<span class="keyword"> const </span>{ |
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| 69 | <a name="l00085"></a>00085 <span class="comment">// ugly</span> |
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| 70 | <a name="l00086"></a>00086 vec pom=zeros ( ( Coms ( 0 )-><a class="code" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793" title="access function">_rv</a>() ).count() ); |
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| 71 | <a name="l00087"></a>00087 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0; i<<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length(); i++ ) {pom += Coms ( i )->mean() * <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i );} |
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| 72 | <a name="l00088"></a>00088 <span class="keywordflow">return</span> concat ( E.mean(),pom ); |
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| 73 | <a name="l00089"></a>00089 } |
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| 74 | <a name="l00090"></a>00090 vec variance()<span class="keyword"> const </span>{ |
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| 75 | <a name="l00091"></a>00091 <span class="comment">// ugly</span> |
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| 76 | <a name="l00092"></a>00092 vec pom=zeros ( ( Coms ( 0 )-><a class="code" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793" title="access function">_rv</a>() ).count() ); |
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| 77 | <a name="l00093"></a>00093 vec pom2=zeros ( ( Coms ( 0 )-><a class="code" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793" title="access function">_rv</a>() ).count() ); |
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| 78 | <a name="l00094"></a>00094 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0; i<<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length(); i++ ) { |
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| 79 | <a name="l00095"></a>00095 pom += Coms ( i )->mean() * <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i ); |
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| 80 | <a name="l00096"></a>00096 pom2 += (Coms ( i )->variance() + pow(Coms(i)->mean(),2)) * <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i );} |
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| 81 | <a name="l00097"></a>00097 <span class="keywordflow">return</span> concat ( E.variance(),pom2-pow(pom,2) ); |
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| 82 | <a name="l00098"></a>00098 } |
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| 83 | <a name="l00099"></a>00099 |
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| 84 | <a name="l00100"></a>00100 vec sample()<span class="keyword"> const </span>{it_error ( <span class="stringliteral">"Not implemented"</span> );<span class="keywordflow">return</span> 0;} |
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| 85 | <a name="l00101"></a>00101 |
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| 86 | <a name="l00102"></a>00102 <span class="keywordtype">double</span> evallog ( <span class="keyword">const</span> vec &val )<span class="keyword"> const </span>{it_error ( <span class="stringliteral">"not implemented"</span> ); <span class="keywordflow">return</span> 0.0;} |
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| 87 | <a name="l00103"></a>00103 }; |
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| [234] | 88 | <a name="l00104"></a>00104 |
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| [255] | 89 | <a name="l00106"></a>00106 mpfepdf jest; |
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| [234] | 90 | <a name="l00107"></a>00107 |
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| [255] | 91 | <a name="l00108"></a>00108 <span class="keyword">public</span>: |
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| 92 | <a name="l00110"></a><a class="code" href="classbdm_1_1MPF.html#e2a00c2399599c3613ab632fc36a1f79">00110</a> <a class="code" href="classbdm_1_1MPF.html#e2a00c2399599c3613ab632fc36a1f79" title="Default constructor.">MPF</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvlin, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &rvpf, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &par0, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &obs0, <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>, <span class="keyword">const</span> BM_T &BMcond0 ) : <a class="code" href="classbdm_1_1PF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> ( rvpf ,par0,obs0,n ),jest ( <a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>,rvlin ) { |
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| 93 | <a name="l00111"></a>00111 <span class="comment">//</span> |
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| 94 | <a name="l00112"></a>00112 <span class="comment">//TODO test if rv and BMcond.rv are compatible.</span> |
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| 95 | <a name="l00113"></a>00113 <a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>.<a class="code" href="classbdm_1_1RV.html#87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a> ( rvlin ); |
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| [234] | 96 | <a name="l00114"></a>00114 <span class="comment">//</span> |
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| [255] | 97 | <a name="l00115"></a>00115 |
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| 98 | <a name="l00116"></a>00116 <span class="keywordflow">if</span> ( n>10000 ) {it_error ( <span class="stringliteral">"increase 10000 here!"</span> );} |
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| 99 | <a name="l00117"></a>00117 |
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| 100 | <a name="l00118"></a>00118 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<n;i++ ) { |
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| 101 | <a name="l00119"></a>00119 Bms[i] = <span class="keyword">new</span> BM_T ( BMcond0 ); <span class="comment">//copy constructor</span> |
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| 102 | <a name="l00120"></a>00120 <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
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| 103 | <a name="l00121"></a>00121 jest.set_elements ( i,1.0/n,&pom ); |
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| 104 | <a name="l00122"></a>00122 } |
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| 105 | <a name="l00123"></a>00123 }; |
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| 106 | <a name="l00124"></a>00124 |
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| 107 | <a name="l00125"></a>00125 ~<a class="code" href="classbdm_1_1MPF.html" title="Marginalized Particle filter.">MPF</a>() { |
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| 108 | <a name="l00126"></a>00126 } |
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| [234] | 109 | <a name="l00127"></a>00127 |
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| [255] | 110 | <a name="l00128"></a>00128 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
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| 111 | <a name="l00129"></a><a class="code" href="classbdm_1_1MPF.html#2da4cbf7645da52ad5630ada411e3f9f">00129</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& <a class="code" href="classbdm_1_1MPF.html#2da4cbf7645da52ad5630ada411e3f9f" title="Returns a reference to the epdf representing posterior density on parameters.">_epdf</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> jest;} |
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| 112 | <a name="l00130"></a><a class="code" href="classbdm_1_1MPF.html#1401874aa88a7a3f2593070646779af2">00130</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* <a class="code" href="classbdm_1_1MPF.html#1401874aa88a7a3f2593070646779af2" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_e</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> &jest;} <span class="comment">//Fixme: is it useful?</span> |
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| 113 | <a name="l00132"></a><a class="code" href="classbdm_1_1MPF.html#dcecdaf2acbbee51acf3018a70989a7e">00132</a> <span class="comment"></span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#dcecdaf2acbbee51acf3018a70989a7e" title="Set postrior of rvc to samples from epdf0. Statistics of Bms are not re-computed!...">set_est</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& epdf0 ) { |
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| 114 | <a name="l00133"></a>00133 <a class="code" href="classbdm_1_1PF.html#6f1988db4c3f602d187a6c15ec89cb1e" title="Set posterior density by sampling from epdf0.">PF::set_est</a> ( epdf0 ); <span class="comment">// sample params in condition</span> |
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| 115 | <a name="l00134"></a>00134 <span class="comment">// copy conditions to BMs</span> |
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| 116 | <a name="l00135"></a>00135 |
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| 117 | <a name="l00136"></a>00136 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<<a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>;i++ ) {Bms[i]->condition ( <a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( i ) );} |
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| 118 | <a name="l00137"></a>00137 } |
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| [234] | 119 | <a name="l00138"></a>00138 |
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| [255] | 120 | <a name="l00140"></a><a class="code" href="classbdm_1_1MPF.html#82b5a34d9ed0e78452f98d2ecbf1e93c">00140</a> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1MPF.html#82b5a34d9ed0e78452f98d2ecbf1e93c" title="Access function.">_BM</a>(<span class="keywordtype">int</span> i){<span class="keywordflow">return</span> Bms[i];} |
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| 121 | <a name="l00141"></a>00141 }; |
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| 122 | <a name="l00142"></a>00142 |
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| 123 | <a name="l00143"></a>00143 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
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| 124 | <a name="l00144"></a><a class="code" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14">00144</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html" title="Marginalized Particle filter.">MPF<BM_T>::bayes</a> ( <span class="keyword">const</span> vec &dt ) { |
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| 125 | <a name="l00145"></a>00145 <span class="keywordtype">int</span> i; |
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| 126 | <a name="l00146"></a>00146 vec lls ( <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> ); |
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| 127 | <a name="l00147"></a>00147 vec llsP ( <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> ); |
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| 128 | <a name="l00148"></a>00148 ivec ind; |
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| 129 | <a name="l00149"></a>00149 <span class="keywordtype">double</span> mlls=-std::numeric_limits<double>::infinity(); |
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| 130 | <a name="l00150"></a>00150 |
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| 131 | <a name="l00151"></a>00151 <span class="preprocessor"> #pragma omp parallel for</span> |
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| 132 | <a name="l00152"></a>00152 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<<a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>;i++ ) { |
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| 133 | <a name="l00153"></a>00153 <span class="comment">//generate new samples from paramater evolution model;</span> |
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| 134 | <a name="l00154"></a>00154 <a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( i ) = <a class="code" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34" title="Parameter evolution model.">par</a>.<a class="code" href="classbdm_1_1mpdf.html#e4848a428d8ef0549c6e4a9ed386d9f2" title="Returns a sample from the density conditioned on cond, .">samplecond</a> ( <a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( i ), llsP ( i ) ); |
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| 135 | <a name="l00155"></a>00155 Bms[i]->condition ( <a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( i ) ); |
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| 136 | <a name="l00156"></a>00156 Bms[i]->bayes ( dt ); |
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| 137 | <a name="l00157"></a>00157 lls ( i ) = Bms[i]->_ll(); <span class="comment">// lls above is also in proposal her must be lls(i) =, not +=!!</span> |
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| 138 | <a name="l00158"></a>00158 <span class="keywordflow">if</span> ( lls ( i ) >mlls ) mlls=lls ( i ); <span class="comment">//find maximum likelihood (for numerical stability)</span> |
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| 139 | <a name="l00159"></a>00159 } |
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| 140 | <a name="l00160"></a>00160 |
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| 141 | <a name="l00161"></a>00161 <span class="keywordtype">double</span> sum_w=0.0; |
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| 142 | <a name="l00162"></a>00162 <span class="comment">// compute weights</span> |
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| 143 | <a name="l00163"></a>00163 <span class="preprocessor"> #pragma omp parallel for</span> |
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| 144 | <a name="l00164"></a>00164 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
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| 145 | <a name="l00165"></a>00165 <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i ) *= exp ( lls ( i ) - mlls ); <span class="comment">// multiply w by likelihood</span> |
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| 146 | <a name="l00166"></a>00166 sum_w+=<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>(i); |
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| 147 | <a name="l00167"></a>00167 } |
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| 148 | <a name="l00168"></a>00168 |
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| 149 | <a name="l00169"></a>00169 <span class="keywordflow">if</span> ( sum_w >0.0 ) { |
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| 150 | <a name="l00170"></a>00170 <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> /=sum_w; <span class="comment">//?</span> |
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| 151 | <a name="l00171"></a>00171 } <span class="keywordflow">else</span> { |
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| 152 | <a name="l00172"></a>00172 cout<<<span class="stringliteral">"sum(w)==0"</span><<endl; |
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| 153 | <a name="l00173"></a>00173 } |
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| 154 | <a name="l00174"></a>00174 |
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| 155 | <a name="l00175"></a>00175 |
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| 156 | <a name="l00176"></a>00176 <span class="keywordtype">double</span> eff = 1.0/ ( <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>*<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ); |
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| 157 | <a name="l00177"></a>00177 <span class="keywordflow">if</span> ( eff < ( 0.3*n ) ) { |
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| 158 | <a name="l00178"></a>00178 ind = <a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1eEmp.html#f06ce255de5dbb2313f52ee51f82ba3d" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a>(); |
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| 159 | <a name="l00179"></a>00179 <span class="comment">// Resample Bms!</span> |
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| 160 | <a name="l00180"></a>00180 |
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| 161 | <a name="l00181"></a>00181 <span class="preprocessor"> #pragma omp parallel for</span> |
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| 162 | <a name="l00182"></a>00182 <span class="preprocessor"></span> <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
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| 163 | <a name="l00183"></a>00183 <span class="keywordflow">if</span> ( ind ( i ) !=i ) {<span class="comment">//replace the current Bm by a new one</span> |
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| 164 | <a name="l00184"></a>00184 <span class="comment">//fixme this would require new assignment operator</span> |
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| 165 | <a name="l00185"></a>00185 <span class="comment">// *Bms[i] = *Bms[ind ( i ) ];</span> |
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| 166 | <a name="l00186"></a>00186 |
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| 167 | <a name="l00187"></a>00187 <span class="comment">// poor-man's solution: replicate constructor here</span> |
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| 168 | <a name="l00188"></a>00188 <span class="comment">// copied from MPF::MPF</span> |
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| 169 | <a name="l00189"></a>00189 <span class="keyword">delete</span> Bms[i]; |
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| 170 | <a name="l00190"></a>00190 Bms[i] = <span class="keyword">new</span> BM_T ( *Bms[ind ( i ) ] ); <span class="comment">//copy constructor</span> |
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| 171 | <a name="l00191"></a>00191 <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
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| 172 | <a name="l00192"></a>00192 jest.set_elements ( i,1.0/n,&pom ); |
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| 173 | <a name="l00193"></a>00193 } |
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| 174 | <a name="l00194"></a>00194 }; |
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| 175 | <a name="l00195"></a>00195 cout << <span class="charliteral">'.'</span>; |
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| 176 | <a name="l00196"></a>00196 } |
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| 177 | <a name="l00197"></a>00197 } |
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| 178 | <a name="l00198"></a>00198 |
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| 179 | <a name="l00199"></a>00199 } |
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| 180 | <a name="l00200"></a>00200 <span class="preprocessor">#endif // KF_H</span> |
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| 181 | <a name="l00201"></a>00201 <span class="preprocessor"></span> |
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| 182 | <a name="l00202"></a>00202 |
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| [91] | 183 | </pre></div></div> |
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| [255] | 184 | <hr size="1"><address style="text-align: right;"><small>Generated on Tue Jan 27 16:29:52 2009 for mixpp by |
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| [8] | 185 | <a href="http://www.doxygen.org/index.html"> |
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| [139] | 186 | <img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address> |
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| [8] | 187 | </body> |
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| 188 | </html> |
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