work/mixpp/bdm/estim/libPF.h

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#ifndef PF_H
#define PF_H

#include <itpp/itbase.h>
#include "../stat/libEF.h"
#include "../math/libDC.h"

using namespace itpp;

class PF : public BM {
protected:
        int n;
        eEmp est;
        vec &_w;
        Array<vec> &_samples;
        mpdf &par;
        mpdf &obs;
public:
        PF ( const RV &rv0, mpdf &par0,  mpdf &obs0, int n0 ) :BM ( rv0 ),
                        n ( n0 ),est ( rv0,n ),_w ( est._w() ),_samples ( est._samples() ),
                        par ( par0 ), obs ( obs0 ) {};

        void set_est ( const epdf &epdf0 );
        void bayes ( const vec &dt );
};

template<class BM_T>

class MPF : public PF {
        BM_T* Bms[1000];


class mpfepdf : public epdf  {
        protected:
                eEmp &E;
                vec &_w;
                Array<epdf*> Coms;
        public:
                mpfepdf ( eEmp &E0, const RV &rvc ) :
                                epdf ( RV( ) ), E ( E0 ),  _w ( E._w() ),
                                Coms ( _w.length() ) {
                        rv.add ( E._rv() );
                        rv.add ( rvc );
                };

                void set_elements ( int &i, double wi, epdf* ep )
                {_w ( i ) =wi; Coms ( i ) =ep;};

                vec mean() const {
                        // ugly
                        vec pom=zeros ( ( Coms ( 0 )->_rv() ).count() );

                        for ( int i=0; i<_w.length(); i++ ) {pom += Coms ( i )->mean() * _w ( i );}

                        return concat ( E.mean(),pom );
                }

                vec sample() const {it_error ( "Not implemented" );return 0;}

                double evalpdflog ( const vec &val ) const {it_error ( "not implemented" ); return 0.0;}
        };

        mpfepdf jest;

public:
        MPF ( const RV &rvlin, const RV &rvpf, mpdf &par0, mpdf &obs0, int n, const BM_T &BMcond0 ) : PF ( rvpf ,par0,obs0,n ),jest ( est,rvlin ) {
                //
                //TODO test if rv and BMcond.rv are compatible.
                rv.add ( rvlin );
                //

                if ( n>1000 ) it_error ( "increase 1000 here!" );

                for ( int i=0;i<n;i++ ) {
                        Bms[i] = new BM_T ( BMcond0 ); //copy constructor
                        epdf& pom=Bms[i]->_epdf();
                        jest.set_elements ( i,1.0/n,&pom );
                }
        };

        ~MPF() {
        }

        void bayes ( const vec &dt );
        epdf& _epdf() {return jest;}
        void set_est ( const epdf& epdf0 ) {
                PF::set_est ( epdf0 );  // sample params in condition
                // copy conditions to BMs

                for ( int i=0;i<n;i++ ) {Bms[i]->condition ( _samples ( i ) );}
        }
};

template<class BM_T>
void MPF<BM_T>::bayes ( const vec &dt ) {
        int i;
        vec lls ( n );
        ivec ind;
        double mlls=-std::numeric_limits<double>::infinity();

        for ( i=0;i<n;i++ ) {
                //generate new samples from paramater evolution model;
                _samples ( i ) = par.samplecond ( _samples ( i ), lls ( i ) );
                Bms[i]->condition ( _samples ( i ) );
                Bms[i]->bayes ( dt );
                lls ( i ) = Bms[i]->_ll(); // lls above is also in proposal her must be lls(i) =, not +=!!

                if ( lls ( i ) >mlls ) mlls=lls ( i ); //find maximum likelihood (for numerical stability)
        }

        // compute weights
        for ( i=0;i<n;i++ ) {
                _w ( i ) *= exp ( lls ( i ) - mlls ); // multiply w by likelihood
        }

        _w /=sum(_w); //?

        double eff = 1.0/( _w*_w );
        if ( eff < ( 0.1*n ) ) {
                ind = est.resample();
                // Resample Bms!

                for ( i=0;i<n;i++ ) {
                        if ( ind ( i ) !=i ) {//replace the current Bm by a new one
                                //fixme this would require new assignment operator
                                // *Bms[i] = *Bms[ind ( i ) ];
                                
                                // poor-man's solution: replicate constructor here
                                // copied from MPF::MPF
                                delete Bms[i];
                                Bms[i] = new BM_T ( *Bms[ind ( i ) ] ); //copy constructor
                                epdf& pom=Bms[i]->_epdf();
                                jest.set_elements ( i,1.0/n,&pom );
                        }
                };
                cout << '.'; 
        }
}

#endif // KF_H

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