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19<h1>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
20<a name="l00013"></a>00013 <span class="preprocessor">#ifndef PF_H</span>
21<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define PF_H</span>
22<a name="l00015"></a>00015 <span class="preprocessor"></span>
23<a name="l00016"></a>00016
24<a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libEF.h"</span>
25<a name="l00018"></a>00018
26<a name="l00019"></a>00019 <span class="keyword">namespace </span>bdm{
27<a name="l00020"></a>00020
28<a name="l00027"></a><a class="code" href="classbdm_1_1PF.html">00027</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> {
29<a name="l00028"></a>00028 <span class="keyword">protected</span>:
30<a name="l00030"></a><a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe">00030</a>         <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>;
31<a name="l00032"></a><a class="code" href="classbdm_1_1PF.html#dc049265b9086cad7071f98d00a2b9af">00032</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>;
32<a name="l00034"></a><a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3">00034</a>         vec &amp;<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>;
33<a name="l00036"></a><a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1">00036</a>         Array&lt;vec&gt; &amp;<a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a>;
34<a name="l00038"></a><a class="code" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34">00038</a>         <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &amp;<a class="code" href="classbdm_1_1PF.html#cf3a1b2a407012e47ac878e3aa2fbf34" title="Parameter evolution model.">par</a>;
35<a name="l00040"></a><a class="code" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa">00040</a>         <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &amp;<a class="code" href="classbdm_1_1PF.html#c58b8fa634272c3f48845a9020ba55aa" title="Observation model.">obs</a>;
36<a name="l00041"></a>00041 <span class="keyword">public</span>:
37<a name="l00043"></a><a class="code" href="classbdm_1_1PF.html#df9e7dc54dbe1c78a4aa503c42f7f8c4">00043</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> &amp;rv0, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &amp;par0,  <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &amp;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 ),
38<a name="l00044"></a>00044                         <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>() ),
39<a name="l00045"></a>00045                         <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 ) {};
40<a name="l00046"></a>00046
41<a name="l00048"></a>00048         <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> &amp;epdf0 );
42<a name="l00049"></a>00049         <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 &amp;dt );
43<a name="l00051"></a><a class="code" href="classbdm_1_1PF.html#78a9f6809827be1d9bfe215d03b1c6ed">00051</a>         vec* <a class="code" href="classbdm_1_1PF.html#78a9f6809827be1d9bfe215d03b1c6ed" title="access function">__w</a>(){<span class="keywordflow">return</span> &amp;<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>;}
44<a name="l00052"></a>00052 };
45<a name="l00053"></a>00053
46<a name="l00060"></a>00060 <span class="keyword">template</span>&lt;<span class="keyword">class</span> BM_T&gt;
47<a name="l00061"></a>00061
48<a name="l00062"></a><a class="code" href="classbdm_1_1MPF.html">00062</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> {
49<a name="l00063"></a>00063         BM_T* Bms[10000];
50<a name="l00064"></a>00064
51<a name="l00066"></a>00066
52<a name="l00067"></a>00067 <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>  {
53<a name="l00068"></a>00068         <span class="keyword">protected</span>:
54<a name="l00069"></a>00069                 <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &amp;E;
55<a name="l00070"></a>00070                 vec &amp;<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>;
56<a name="l00071"></a>00071                 Array&lt;const epdf*&gt; Coms;
57<a name="l00072"></a>00072         <span class="keyword">public</span>:
58<a name="l00073"></a>00073                 mpfepdf ( <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> &amp;E0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvc ) :
59<a name="l00074"></a>00074                                 <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() ),
60<a name="l00075"></a>00075                                 Coms ( <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length() ) {
61<a name="l00076"></a>00076                         <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() );
62<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> ( rvc );
63<a name="l00078"></a>00078                 };
64<a name="l00079"></a>00079
65<a name="l00080"></a>00080                 <span class="keywordtype">void</span> set_elements ( <span class="keywordtype">int</span> &amp;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 )
66<a name="l00081"></a>00081                 {<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i ) =wi; Coms ( i ) =ep;};
67<a name="l00082"></a>00082
68<a name="l00083"></a>00083                 vec mean()<span class="keyword"> const </span>{
69<a name="l00084"></a>00084                         <span class="comment">// ugly</span>
70<a name="l00085"></a>00085                         vec pom=zeros ( ( Coms ( 0 )-&gt;<a class="code" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793" title="access function">_rv</a>() ).count() );
71<a name="l00086"></a>00086                         <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0; i&lt;<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length(); i++ ) {pom += Coms ( i )-&gt;mean() * <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i );}
72<a name="l00087"></a>00087                         <span class="keywordflow">return</span> <a class="code" href="namespacebdm.html#b9016687c0e874ca5cdcf75ae28811aa" title="Concat two random variables.">concat</a> ( E.mean(),pom );
73<a name="l00088"></a>00088                 }
74<a name="l00089"></a>00089                 vec variance()<span class="keyword"> const </span>{
75<a name="l00090"></a>00090                         <span class="comment">// ugly</span>
76<a name="l00091"></a>00091                         vec pom=zeros ( ( Coms ( 0 )-&gt;<a class="code" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793" title="access function">_rv</a>() ).count() );
77<a name="l00092"></a>00092                         vec pom2=zeros ( ( Coms ( 0 )-&gt;<a class="code" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793" title="access function">_rv</a>() ).count() );
78<a name="l00093"></a>00093                         <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0; i&lt;<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length(); i++ ) {
79<a name="l00094"></a>00094                                 pom += Coms ( i )-&gt;mean() * <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i );
80<a name="l00095"></a>00095                                 pom2 += (Coms ( i )-&gt;variance() + pow(Coms(i)-&gt;mean(),2)) * <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( i );}
81<a name="l00096"></a>00096                         <span class="keywordflow">return</span> <a class="code" href="namespacebdm.html#b9016687c0e874ca5cdcf75ae28811aa" title="Concat two random variables.">concat</a> ( E.variance(),pom2-pow(pom,2) );
82<a name="l00097"></a>00097                 }
83<a name="l00098"></a>00098
84<a name="l00099"></a>00099                 vec sample()<span class="keyword"> const </span>{it_error ( <span class="stringliteral">"Not implemented"</span> );<span class="keywordflow">return</span> 0;}
85<a name="l00100"></a>00100
86<a name="l00101"></a>00101                 <span class="keywordtype">double</span> evallog ( <span class="keyword">const</span> vec &amp;val )<span class="keyword"> const </span>{it_error ( <span class="stringliteral">"not implemented"</span> ); <span class="keywordflow">return</span> 0.0;}
87<a name="l00102"></a>00102         };
88<a name="l00103"></a>00103
89<a name="l00105"></a>00105         mpfepdf jest;
90<a name="l00106"></a>00106
91<a name="l00107"></a>00107 <span class="keyword">public</span>:
92<a name="l00109"></a><a class="code" href="classbdm_1_1MPF.html#e2a00c2399599c3613ab632fc36a1f79">00109</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> &amp;rvlin, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvpf, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &amp;par0, <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &amp;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 &amp;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 ) {
93<a name="l00110"></a>00110                 <span class="comment">//</span>
94<a name="l00111"></a>00111                 <span class="comment">//TODO test if rv and BMcond.rv are compatible.</span>
95<a name="l00112"></a>00112                 <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 );
96<a name="l00113"></a>00113                 <span class="comment">//</span>
97<a name="l00114"></a>00114
98<a name="l00115"></a>00115                 <span class="keywordflow">if</span> ( n&gt;10000 ) {it_error ( <span class="stringliteral">"increase 10000 here!"</span> );}
99<a name="l00116"></a>00116
100<a name="l00117"></a>00117                 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i&lt;n;i++ ) {
101<a name="l00118"></a>00118                         Bms[i] = <span class="keyword">new</span> BM_T ( BMcond0 ); <span class="comment">//copy constructor</span>
102<a name="l00119"></a>00119                         <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>&amp; pom=Bms[i]-&gt;_epdf();
103<a name="l00120"></a>00120                         jest.set_elements ( i,1.0/n,&amp;pom );
104<a name="l00121"></a>00121                 }
105<a name="l00122"></a>00122         };
106<a name="l00123"></a>00123
107<a name="l00124"></a>00124         ~<a class="code" href="classbdm_1_1MPF.html" title="Marginalized Particle filter.">MPF</a>() {
108<a name="l00125"></a>00125         }
109<a name="l00126"></a>00126
110<a name="l00127"></a>00127         <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 &amp;dt );
111<a name="l00128"></a><a class="code" href="classbdm_1_1MPF.html#2da4cbf7645da52ad5630ada411e3f9f">00128</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>&amp; <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;}
112<a name="l00129"></a><a class="code" href="classbdm_1_1MPF.html#1401874aa88a7a3f2593070646779af2">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#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> &amp;jest;} <span class="comment">//Fixme: is it useful?</span>
113<a name="l00131"></a><a class="code" href="classbdm_1_1MPF.html#dcecdaf2acbbee51acf3018a70989a7e">00131</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>&amp; epdf0 ) {
114<a name="l00132"></a>00132                 <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>
115<a name="l00133"></a>00133                 <span class="comment">// copy conditions to BMs</span>
116<a name="l00134"></a>00134
117<a name="l00135"></a>00135                 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i&lt;<a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>;i++ ) {Bms[i]-&gt;condition ( <a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( i ) );}
118<a name="l00136"></a>00136         }
119<a name="l00137"></a>00137
120<a name="l00139"></a><a class="code" href="classbdm_1_1MPF.html#82b5a34d9ed0e78452f98d2ecbf1e93c">00139</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];}
121<a name="l00140"></a>00140 };
122<a name="l00141"></a>00141
123<a name="l00142"></a>00142 <span class="keyword">template</span>&lt;<span class="keyword">class</span> BM_T&gt;
124<a name="l00143"></a><a class="code" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14">00143</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html" title="Marginalized Particle filter.">MPF&lt;BM_T&gt;::bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) {
125<a name="l00144"></a>00144         <span class="keywordtype">int</span> i;
126<a name="l00145"></a>00145         vec lls ( <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> );
127<a name="l00146"></a>00146         vec llsP ( <a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> );
128<a name="l00147"></a>00147         ivec ind;
129<a name="l00148"></a>00148         <span class="keywordtype">double</span> mlls=-std::numeric_limits&lt;double&gt;::infinity();
130<a name="l00149"></a>00149
131<a name="l00150"></a>00150 <span class="preprocessor">        #pragma omp parallel for</span>
132<a name="l00151"></a>00151 <span class="preprocessor"></span>        <span class="keywordflow">for</span> ( i=0;i&lt;<a class="code" href="classbdm_1_1PF.html#eeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>;i++ ) {   
133<a name="l00152"></a>00152                 <span class="comment">//generate new samples from paramater evolution model;</span>
134<a name="l00153"></a>00153                 <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 ) );
135<a name="l00154"></a>00154                 Bms[i]-&gt;condition ( <a class="code" href="classbdm_1_1PF.html#914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( i ) );
136<a name="l00155"></a>00155                 Bms[i]-&gt;bayes ( dt );
137<a name="l00156"></a>00156                 lls ( i ) = Bms[i]-&gt;_ll(); <span class="comment">// lls above is also in proposal her must be lls(i) =, not +=!!</span>
138<a name="l00157"></a>00157                 <span class="keywordflow">if</span> ( lls ( i ) &gt;mlls ) mlls=lls ( i ); <span class="comment">//find maximum likelihood (for numerical stability)</span>
139<a name="l00158"></a>00158         }
140<a name="l00159"></a>00159
141<a name="l00160"></a>00160         <span class="keywordtype">double</span> sum_w=0.0;
142<a name="l00161"></a>00161         <span class="comment">// compute weights</span>
143<a name="l00162"></a>00162 <span class="preprocessor">        #pragma omp parallel for</span>
144<a name="l00163"></a>00163 <span class="preprocessor"></span>        <span class="keywordflow">for</span> ( i=0;i&lt;n;i++ ) {
145<a name="l00164"></a>00164                 <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>
146<a name="l00165"></a>00165                 sum_w+=<a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>(i);
147<a name="l00166"></a>00166         }
148<a name="l00167"></a>00167
149<a name="l00168"></a>00168         <span class="keywordflow">if</span> ( sum_w  &gt;0.0 ) {
150<a name="l00169"></a>00169                 <a class="code" href="classbdm_1_1PF.html#f5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> /=sum_w; <span class="comment">//?</span>
151<a name="l00170"></a>00170         } <span class="keywordflow">else</span> {
152<a name="l00171"></a>00171                 cout&lt;&lt;<span class="stringliteral">"sum(w)==0"</span>&lt;&lt;endl;
153<a name="l00172"></a>00172         }
154<a name="l00173"></a>00173
155<a name="l00174"></a>00174
156<a name="l00175"></a>00175         <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> );
157<a name="l00176"></a>00176         <span class="keywordflow">if</span> ( eff &lt; ( 0.3*n ) ) {
158<a name="l00177"></a>00177                 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>();
159<a name="l00178"></a>00178                 <span class="comment">// Resample Bms!</span>
160<a name="l00179"></a>00179
161<a name="l00180"></a>00180 <span class="preprocessor">                #pragma omp parallel for</span>
162<a name="l00181"></a>00181 <span class="preprocessor"></span>                <span class="keywordflow">for</span> ( i=0;i&lt;n;i++ ) {
163<a name="l00182"></a>00182                         <span class="keywordflow">if</span> ( ind ( i ) !=i ) {<span class="comment">//replace the current Bm by a new one</span>
164<a name="l00183"></a>00183                                 <span class="comment">//fixme this would require new assignment operator</span>
165<a name="l00184"></a>00184                                 <span class="comment">// *Bms[i] = *Bms[ind ( i ) ];</span>
166<a name="l00185"></a>00185
167<a name="l00186"></a>00186                                 <span class="comment">// poor-man's solution: replicate constructor here</span>
168<a name="l00187"></a>00187                                 <span class="comment">// copied from MPF::MPF</span>
169<a name="l00188"></a>00188                                 <span class="keyword">delete</span> Bms[i];
170<a name="l00189"></a>00189                                 Bms[i] = <span class="keyword">new</span> BM_T ( *Bms[ind ( i ) ] ); <span class="comment">//copy constructor</span>
171<a name="l00190"></a>00190                                 <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>&amp; pom=Bms[i]-&gt;_epdf();
172<a name="l00191"></a>00191                                 jest.set_elements ( i,1.0/n,&amp;pom );
173<a name="l00192"></a>00192                         }
174<a name="l00193"></a>00193                 };
175<a name="l00194"></a>00194                 cout &lt;&lt; <span class="charliteral">'.'</span>;
176<a name="l00195"></a>00195         }
177<a name="l00196"></a>00196 }
178<a name="l00197"></a>00197
179<a name="l00198"></a>00198 }
180<a name="l00199"></a>00199 <span class="preprocessor">#endif // KF_H</span>
181<a name="l00200"></a>00200 <span class="preprocessor"></span>
182<a name="l00201"></a>00201
183</pre></div></div>
184<hr size="1"><address style="text-align: right;"><small>Generated on Fri Feb 6 15:29:45 2009 for mixpp by&nbsp;
185<a href="http://www.doxygen.org/index.html">
186<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
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