root/library/bdm/estim/particles.cpp @ 477

#include "particles.h"

namespace bdm {

using std::endl;

void PF::bayes ( const vec &dt ) {
        int i;
        vec lls ( n );
        ivec ind;
        double mlls = -std::numeric_limits<double>::infinity(), sum = 0.0;

        for ( i = 0; i < n; i++ ) {
                //generate new samples from paramater evolution model;
                _samples ( i ) = par->samplecond ( _samples ( i ) );
                lls ( i ) = par->e()->evallog ( _samples ( i ) );
                lls ( i ) *= obs->evallogcond ( dt, _samples ( i ) );

                if ( lls ( i ) > mlls ) mlls = lls ( i ); //find maximum
        }

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

        //renormalize
        for ( i = 0; i < n; i++ ) {
                sum += _w ( i );
        };

        _w ( i ) /= sum; //?

        ind = est.resample ( resmethod );

}

// void PF::set_est ( const epdf &epdf0 ) {
//      int i;
//
//      for ( i=0;i<n;i++ ) {
//              _samples ( i ) = epdf0.sample();
//      }
// }


}
//MPF::MPF:{}