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| 67 | <h1>particles.h</h1><a href="particles_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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| 68 | <a name="l00013"></a>00013 <span class="preprocessor">#ifndef PARTICLES_H</span> |
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| 69 | <a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define PARTICLES_H</span> |
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| 70 | <a name="l00015"></a>00015 <span class="preprocessor"></span> |
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| 71 | <a name="l00016"></a>00016 |
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| 72 | <a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/exp_family.h"</span> |
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| 73 | <a name="l00018"></a>00018 |
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| 74 | <a name="l00019"></a>00019 <span class="keyword">namespace </span>bdm { |
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| 75 | <a name="l00020"></a>00020 |
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| 76 | <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 a system, i.e. all uncertainty is modeled by probabilities.">BM</a> { |
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| 77 | <a name="l00028"></a>00028 <span class="keyword">protected</span>: |
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| 78 | <a name="l00030"></a><a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe">00030</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>; |
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| 79 | <a name="l00032"></a><a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af">00032</a> <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>; |
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| 80 | <a name="l00034"></a><a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3">00034</a> vec &<a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>; |
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| 81 | <a name="l00036"></a><a class="code" href="classbdm_1_1PF.html#a914bd66025692c4018dbd482cb3c47c1">00036</a> Array<vec> &<a class="code" href="classbdm_1_1PF.html#a914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a>; |
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| 82 | <a name="l00038"></a><a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff">00038</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> <a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>; |
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| 83 | <a name="l00040"></a><a class="code" href="classbdm_1_1PF.html#a77ed889e1b993df253e93059933d227d">00040</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> <a class="code" href="classbdm_1_1PF.html#a77ed889e1b993df253e93059933d227d" title="Observation model.">obs</a>; |
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| 84 | <a name="l00042"></a><a class="code" href="classbdm_1_1PF.html#a08cffd22d6e9501f283972245aeff8cd">00042</a> vec <a class="code" href="classbdm_1_1PF.html#a08cffd22d6e9501f283972245aeff8cd" title="internal structure storing loglikelihood of predictions">lls</a>; |
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| 85 | <a name="l00043"></a>00043 |
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| 86 | <a name="l00045"></a><a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52">00045</a> RESAMPLING_METHOD <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>; |
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| 87 | <a name="l00048"></a><a class="code" href="classbdm_1_1PF.html#ab16816e20f97f9bec993d1f25fc3d711">00048</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1PF.html#ab16816e20f97f9bec993d1f25fc3d711">res_threshold</a>; |
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| 88 | <a name="l00049"></a>00049 |
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| 89 | <a name="l00052"></a>00052 |
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| 90 | <a name="l00054"></a><a class="code" href="classbdm_1_1PF.html#a98ef9ff80c394fafd28680b7a3f831b1">00054</a> <span class="keywordtype">bool</span> <a class="code" href="classbdm_1_1PF.html#a98ef9ff80c394fafd28680b7a3f831b1" title="Log all samples.">opt_L_smp</a>; |
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| 91 | <a name="l00056"></a><a class="code" href="classbdm_1_1PF.html#a5a49463a88ee80771a464861df845ff6">00056</a> <span class="keywordtype">bool</span> <a class="code" href="classbdm_1_1PF.html#a5a49463a88ee80771a464861df845ff6" title="Log all samples.">opt_L_wei</a>; |
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| 92 | <a name="l00058"></a>00058 |
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| 93 | <a name="l00059"></a>00059 <span class="keyword">public</span>: |
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| 94 | <a name="l00062"></a>00062 <a class="code" href="classbdm_1_1PF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> ( ) : <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>(), <a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ( <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>() ), <a class="code" href="classbdm_1_1PF.html#a914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a> ( <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1PF.html#a914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a>() ), <a class="code" href="classbdm_1_1PF.html#a98ef9ff80c394fafd28680b7a3f831b1" title="Log all samples.">opt_L_smp</a> ( false ), <a class="code" href="classbdm_1_1PF.html#a5a49463a88ee80771a464861df845ff6" title="Log all samples.">opt_L_wei</a> ( false ) { |
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| 95 | <a name="l00063"></a>00063 <a class="code" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca" title="IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll].">LIDs</a>.set_size ( 5 ); |
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| 96 | <a name="l00064"></a>00064 }; |
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| 97 | <a name="l00065"></a>00065 |
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| 98 | <a name="l00066"></a>00066 <span class="keywordtype">void</span> set_parameters (<span class="keywordtype">int</span> n0, <span class="keywordtype">double</span> res_th0=0.5, RESAMPLING_METHOD rm = SYSTEMATIC ) { |
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| 99 | <a name="l00067"></a>00067 <a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> = n0; |
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| 100 | <a name="l00068"></a>00068 <a class="code" href="classbdm_1_1PF.html#ab16816e20f97f9bec993d1f25fc3d711">res_threshold</a> = res_th0; |
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| 101 | <a name="l00069"></a>00069 <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a> = rm; |
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| 102 | <a name="l00070"></a>00070 }; |
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| 103 | <a name="l00071"></a>00071 <span class="keywordtype">void</span> set_model ( shared_ptr<mpdf> par0, shared_ptr<mpdf> obs0) { |
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| 104 | <a name="l00072"></a>00072 <a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a> = par0; |
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| 105 | <a name="l00073"></a>00073 <a class="code" href="classbdm_1_1PF.html#a77ed889e1b993df253e93059933d227d" title="Observation model.">obs</a> = obs0; |
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| 106 | <a name="l00074"></a>00074 <span class="comment">// set values for posterior</span> |
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| 107 | <a name="l00075"></a>00075 <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.set_rv(<a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rv()); |
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| 108 | <a name="l00076"></a>00076 }; |
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| 109 | <a name="l00077"></a>00077 <span class="keywordtype">void</span> set_statistics ( <span class="keyword">const</span> vec w0, <span class="keyword">const</span> epdf &epdf0 ) { |
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| 110 | <a name="l00078"></a>00078 <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.set_statistics ( w0, epdf0 ); |
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| 111 | <a name="l00079"></a>00079 }; |
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| 112 | <a name="l00080"></a>00080 <span class="keywordtype">void</span> set_statistics ( <span class="keyword">const</span> eEmp &epdf0 ) { |
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| 113 | <a name="l00081"></a>00081 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(epdf0._rv().equal(<a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rv()),<span class="stringliteral">"Incompatibel input"</span>); |
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| 114 | <a name="l00082"></a>00082 <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>=epdf0; |
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| 115 | <a name="l00083"></a>00083 }; |
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| 116 | <a name="l00089"></a><a class="code" href="classbdm_1_1PF.html#abf104b869b5df8dd4a14bbe430d40488">00089</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#abf104b869b5df8dd4a14bbe430d40488">set_options</a> ( <span class="keyword">const</span> <span class="keywordtype">string</span> &opt ) { |
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| 117 | <a name="l00090"></a>00090 <a class="code" href="classbdm_1_1PF.html#abf104b869b5df8dd4a14bbe430d40488">BM::set_options</a> ( opt ); |
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| 118 | <a name="l00091"></a>00091 <a class="code" href="classbdm_1_1PF.html#a5a49463a88ee80771a464861df845ff6" title="Log all samples.">opt_L_wei</a> = ( opt.find ( <span class="stringliteral">"logweights"</span> ) != string::npos ); |
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| 119 | <a name="l00092"></a>00092 <a class="code" href="classbdm_1_1PF.html#a98ef9ff80c394fafd28680b7a3f831b1" title="Log all samples.">opt_L_smp</a> = ( opt.find ( <span class="stringliteral">"logsamples"</span> ) != string::npos ); |
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| 120 | <a name="l00093"></a>00093 } |
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| 121 | <a name="l00095"></a>00095 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a63282dc111d1afb32c194c955d966a15" title="bayes I - generate samples and add their weights to lls">bayes_gensmp</a>(); |
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| 122 | <a name="l00097"></a>00097 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#aec76b4d647ac7dc683d8c9a7b7611026" title="bayes II - compute weights of the">bayes_weights</a>(); |
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| 123 | <a name="l00099"></a><a class="code" href="classbdm_1_1PF.html#ac3443faad7159e742ef3cb0674a92634">00099</a> <span class="keyword">virtual</span> <span class="keywordtype">bool</span> <a class="code" href="classbdm_1_1PF.html#ac3443faad7159e742ef3cb0674a92634" title="important part of particle filtering - decide if it is time to perform resampling...">do_resampling</a>(){ |
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| 124 | <a name="l00100"></a>00100 <span class="keywordtype">double</span> eff = 1.0 / ( <a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> * <a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a> ); |
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| 125 | <a name="l00101"></a>00101 <span class="keywordflow">return</span> eff < ( <a class="code" href="classbdm_1_1PF.html#ab16816e20f97f9bec993d1f25fc3d711">res_threshold</a>*<a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a> ); |
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| 126 | <a name="l00102"></a>00102 } |
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| 127 | <a name="l00103"></a>00103 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a638946eea22d4964bf9350286bb4efd8" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
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| 128 | <a name="l00105"></a><a class="code" href="classbdm_1_1PF.html#a37cb95af19c7bd13eb3ec61f25923463">00105</a> vec& <a class="code" href="classbdm_1_1PF.html#a37cb95af19c7bd13eb3ec61f25923463" title="access function">__w</a>() { <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>; } |
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| 129 | <a name="l00107"></a><a class="code" href="classbdm_1_1PF.html#a82d221d771cbc3c15a37cb358d759734">00107</a> vec& <a class="code" href="classbdm_1_1PF.html#a82d221d771cbc3c15a37cb358d759734" title="access function">_lls</a>() { <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1PF.html#a08cffd22d6e9501f283972245aeff8cd" title="internal structure storing loglikelihood of predictions">lls</a>; } |
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| 130 | <a name="l00109"></a><a class="code" href="classbdm_1_1PF.html#ab4e4023b749c33fc6d6b97d805338721">00109</a> RESAMPLING_METHOD <a class="code" href="classbdm_1_1PF.html#ab4e4023b749c33fc6d6b97d805338721" title="access function">_resmethod</a>()<span class="keyword"> const </span>{ <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>; } |
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| 131 | <a name="l00111"></a><a class="code" href="classbdm_1_1PF.html#aee9553da1a05671f94f30e0e94ff42cd">00111</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a>& <a class="code" href="classbdm_1_1PF.html#aee9553da1a05671f94f30e0e94ff42cd" title="return correctly typed posterior (covariant return)">posterior</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>;} |
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| 132 | <a name="l00112"></a>00112 |
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| 133 | <a name="l00125"></a><a class="code" href="classbdm_1_1PF.html#a40d74160df73d152a9bcf044eac25663">00125</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a40d74160df73d152a9bcf044eac25663">from_setting</a>(<span class="keyword">const</span> Setting &<span class="keyword">set</span>){ |
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| 134 | <a name="l00126"></a>00126 <a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a> = UI::build<mpdf>(<span class="keyword">set</span>,<span class="stringliteral">"parameter_pdf"</span>,UI::compulsory); |
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| 135 | <a name="l00127"></a>00127 <a class="code" href="classbdm_1_1PF.html#a77ed889e1b993df253e93059933d227d" title="Observation model.">obs</a> = UI::build<mpdf>(<span class="keyword">set</span>,<span class="stringliteral">"observation_pdf"</span>,UI::compulsory); |
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| 136 | <a name="l00128"></a>00128 |
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| 137 | <a name="l00129"></a>00129 <a class="code" href="classbdm_1_1PF.html#a8ac867d4b88c2c6c73ae29d47f37d0bb" title="load prior information from set and set internal structures accordingly">prior_from_set</a>(<span class="keyword">set</span>); |
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| 138 | <a name="l00130"></a>00130 <a class="code" href="classbdm_1_1PF.html#a30f6a71f3e56ce25e4e0ecafa0ffbd8d" title="auxiliary function reading parameter &#39;resmethod&#39; from configuration file">resmethod_from_set</a>(<span class="keyword">set</span>); |
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| 139 | <a name="l00131"></a>00131 <span class="comment">// set resampling method</span> |
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| 140 | <a name="l00132"></a>00132 <span class="comment">//set drv</span> |
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| 141 | <a name="l00133"></a>00133 <span class="comment">//find potential input - what remains in rvc when we subtract rv</span> |
|---|
| 142 | <a name="l00134"></a>00134 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> u = <a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rvc().remove_time().subt( <a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rv() ); |
|---|
| 143 | <a name="l00135"></a>00135 <span class="comment">//find potential input - what remains in rvc when we subtract x_t</span> |
|---|
| 144 | <a name="l00136"></a>00136 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> obs_u = obs->_rvc().remove_time().subt( <a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rv() ); |
|---|
| 145 | <a name="l00137"></a>00137 |
|---|
| 146 | <a name="l00138"></a>00138 u.<a class="code" href="classbdm_1_1RV.html#a87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a>(obs_u); <span class="comment">// join both u, and check if they do not overlap</span> |
|---|
| 147 | <a name="l00139"></a>00139 |
|---|
| 148 | <a name="l00140"></a>00140 <a class="code" href="classbdm_1_1BM.html#af135ae6dce7e9f30c9f88229c7930b96" title="access function">set_drv</a>(concat(obs->_rv(),u) ); |
|---|
| 149 | <a name="l00141"></a>00141 } |
|---|
| 150 | <a name="l00143"></a><a class="code" href="classbdm_1_1PF.html#a30f6a71f3e56ce25e4e0ecafa0ffbd8d">00143</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a30f6a71f3e56ce25e4e0ecafa0ffbd8d" title="auxiliary function reading parameter &#39;resmethod&#39; from configuration file">resmethod_from_set</a>(<span class="keyword">const</span> Setting &<span class="keyword">set</span>){ |
|---|
| 151 | <a name="l00144"></a>00144 <span class="keywordtype">string</span> resmeth; |
|---|
| 152 | <a name="l00145"></a>00145 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(resmeth,<span class="keyword">set</span>,<span class="stringliteral">"resmethod"</span>,UI::optional)){ |
|---|
| 153 | <a name="l00146"></a>00146 <span class="keywordflow">if</span> (resmeth==<span class="stringliteral">"systematic"</span>) { |
|---|
| 154 | <a name="l00147"></a>00147 <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>= SYSTEMATIC; |
|---|
| 155 | <a name="l00148"></a>00148 } <span class="keywordflow">else</span> { |
|---|
| 156 | <a name="l00149"></a>00149 <span class="keywordflow">if</span> (resmeth==<span class="stringliteral">"multinomial"</span>){ |
|---|
| 157 | <a name="l00150"></a>00150 <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>=MULTINOMIAL; |
|---|
| 158 | <a name="l00151"></a>00151 } <span class="keywordflow">else</span> { |
|---|
| 159 | <a name="l00152"></a>00152 <span class="keywordflow">if</span> (resmeth==<span class="stringliteral">"stratified"</span>){ |
|---|
| 160 | <a name="l00153"></a>00153 <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>= STRATIFIED; |
|---|
| 161 | <a name="l00154"></a>00154 } <span class="keywordflow">else</span> { |
|---|
| 162 | <a name="l00155"></a>00155 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a>(<span class="stringliteral">"Unknown resampling method"</span>); |
|---|
| 163 | <a name="l00156"></a>00156 } |
|---|
| 164 | <a name="l00157"></a>00157 } |
|---|
| 165 | <a name="l00158"></a>00158 } |
|---|
| 166 | <a name="l00159"></a>00159 } <span class="keywordflow">else</span> { |
|---|
| 167 | <a name="l00160"></a>00160 <a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>=SYSTEMATIC; |
|---|
| 168 | <a name="l00161"></a>00161 }; |
|---|
| 169 | <a name="l00162"></a>00162 <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(<a class="code" href="classbdm_1_1PF.html#ab16816e20f97f9bec993d1f25fc3d711">res_threshold</a>, <span class="keyword">set</span>, <span class="stringliteral">"res_threshold"</span>, UI::optional)){ |
|---|
| 170 | <a name="l00163"></a>00163 <a class="code" href="classbdm_1_1PF.html#ab16816e20f97f9bec993d1f25fc3d711">res_threshold</a>=0.5; |
|---|
| 171 | <a name="l00164"></a>00164 } |
|---|
| 172 | <a name="l00165"></a>00165 } |
|---|
| 173 | <a name="l00167"></a><a class="code" href="classbdm_1_1PF.html#a8ac867d4b88c2c6c73ae29d47f37d0bb">00167</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a8ac867d4b88c2c6c73ae29d47f37d0bb" title="load prior information from set and set internal structures accordingly">prior_from_set</a>(<span class="keyword">const</span> Setting & <span class="keyword">set</span>){ |
|---|
| 174 | <a name="l00168"></a>00168 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<epdf></a> pri = UI::build<epdf>(<span class="keyword">set</span>,<span class="stringliteral">"prior"</span>,UI::compulsory); |
|---|
| 175 | <a name="l00169"></a>00169 |
|---|
| 176 | <a name="l00170"></a>00170 <a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a> *test_emp=<span class="keyword">dynamic_cast<</span><a class="code" href="classbdm_1_1eEmp.html" title="Weighted empirical density.">eEmp</a>*<span class="keyword">></span>(&(*pri)); |
|---|
| 177 | <a name="l00171"></a>00171 <span class="keywordflow">if</span> (test_emp) { <span class="comment">// given pdf is sampled</span> |
|---|
| 178 | <a name="l00172"></a>00172 <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>=*test_emp; |
|---|
| 179 | <a name="l00173"></a>00173 } <span class="keywordflow">else</span> { |
|---|
| 180 | <a name="l00174"></a>00174 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>; |
|---|
| 181 | <a name="l00175"></a>00175 <span class="keywordflow">if</span> (!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(n,<span class="keyword">set</span>,<span class="stringliteral">"n"</span>,UI::optional)){n=10;} |
|---|
| 182 | <a name="l00176"></a>00176 <span class="comment">// sample from prior</span> |
|---|
| 183 | <a name="l00177"></a>00177 set_statistics(ones(n)/n, *pri); |
|---|
| 184 | <a name="l00178"></a>00178 } |
|---|
| 185 | <a name="l00179"></a>00179 <span class="comment">//validate();</span> |
|---|
| 186 | <a name="l00180"></a>00180 } |
|---|
| 187 | <a name="l00181"></a>00181 |
|---|
| 188 | <a name="l00182"></a><a class="code" href="classbdm_1_1PF.html#a7ebbb12b5b01e8ac6985af0e04e0f0c2">00182</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a7ebbb12b5b01e8ac6985af0e04e0f0c2" title="This method TODO.">validate</a>(){ |
|---|
| 189 | <a name="l00183"></a>00183 <a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>=<a class="code" href="classbdm_1_1PF.html#af5149d5522d1095d39240c4c607f61a3" title="pointer into eEmp ">_w</a>.length(); |
|---|
| 190 | <a name="l00184"></a>00184 <a class="code" href="classbdm_1_1PF.html#a08cffd22d6e9501f283972245aeff8cd" title="internal structure storing loglikelihood of predictions">lls</a>=zeros(<a class="code" href="classbdm_1_1PF.html#aeeafaf9b8ad75fe62ee9fd6369e3f7fe" title="number of particles;">n</a>); |
|---|
| 191 | <a name="l00185"></a>00185 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rv()._dsize()>0) { |
|---|
| 192 | <a name="l00186"></a>00186 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(<a class="code" href="classbdm_1_1PF.html#a0b7ffedb2051161df6c102881afe41ff" title="Parameter evolution model.">par</a>->_rv()._dsize()==<a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>(),<span class="stringliteral">"Mismatch of RV and dimension of posterior"</span> ); |
|---|
| 193 | <a name="l00187"></a>00187 } |
|---|
| 194 | <a name="l00188"></a>00188 } |
|---|
| 195 | <a name="l00190"></a><a class="code" href="classbdm_1_1PF.html#a10fd6402c67ad3ee3a1a9a23fe91d7d7">00190</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1PF.html#a10fd6402c67ad3ee3a1a9a23fe91d7d7" title="resample posterior density (from outside - see MPF)">resample</a>(ivec &ind){ |
|---|
| 196 | <a name="l00191"></a>00191 <a class="code" href="classbdm_1_1PF.html#adc049265b9086cad7071f98d00a2b9af" title="posterior density">est</a>.<a class="code" href="classbdm_1_1eEmp.html#af59ed50888a31057ac2038d80f607d3d">resample</a>(ind,<a class="code" href="classbdm_1_1PF.html#a9932c7c5865954ef9a438afcbe944e52" title="which resampling method will be used">resmethod</a>); |
|---|
| 197 | <a name="l00192"></a>00192 } |
|---|
| 198 | <a name="l00194"></a><a class="code" href="classbdm_1_1PF.html#ad9a47fe83feff47b5c60c2f03117b4bb">00194</a> Array<vec>& <a class="code" href="classbdm_1_1PF.html#ad9a47fe83feff47b5c60c2f03117b4bb" title="access function">__samples</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1PF.html#a914bd66025692c4018dbd482cb3c47c1" title="pointer into eEmp ">_samples</a>;} |
|---|
| 199 | <a name="l00195"></a>00195 }; |
|---|
| 200 | <a name="l00196"></a>00196 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(PF); |
|---|
| 201 | <a name="l00197"></a>00197 |
|---|
| 202 | <a name="l00205"></a><a class="code" href="classbdm_1_1MPF.html">00205</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_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> { |
|---|
| 203 | <a name="l00206"></a>00206 <span class="keyword">protected</span>: |
|---|
| 204 | <a name="l00208"></a><a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563">00208</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<PF></a> <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>; |
|---|
| 205 | <a name="l00210"></a><a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae">00210</a> Array<BM*> <a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a>; |
|---|
| 206 | <a name="l00211"></a>00211 |
|---|
| 207 | <a name="l00213"></a>00213 |
|---|
| 208 | <a name="l00214"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html">00214</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html" title="internal class for MPDF providing composition of eEmp with external components">mpfepdf</a> : <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> { |
|---|
| 209 | <a name="l00216"></a>00216 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<PF></a> &pf; |
|---|
| 210 | <a name="l00218"></a>00218 Array<BM*> &BMs; |
|---|
| 211 | <a name="l00219"></a>00219 <span class="keyword">public</span>: |
|---|
| 212 | <a name="l00221"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a9aa9a7e99f913443a88d32365ac3e640">00221</a> <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a9aa9a7e99f913443a88d32365ac3e640" title="constructor">mpfepdf</a> (<a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<PF></a> &pf0, Array<BM*> &BMs0): <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>(), pf(pf0), BMs(BMs0) { }; |
|---|
| 213 | <a name="l00223"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a78e10feeacd2b7d1c29c5d1041832828">00223</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a78e10feeacd2b7d1c29c5d1041832828" title="a variant of set parameters - this time, parameters are read from BMs and pf">read_parameters</a>(){ |
|---|
| 214 | <a name="l00224"></a>00224 <a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a> = concat(pf->posterior()._rv(), BMs(0)->posterior()._rv()); |
|---|
| 215 | <a name="l00225"></a>00225 <a class="code" href="classbdm_1_1epdf.html#a16adac20ec7fe07e1ea0b27d917788ce" title="dimension of the random variable">dim</a> = pf->posterior().dimension() + BMs(0)->posterior().dimension(); |
|---|
| 216 | <a name="l00226"></a>00226 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(dim == <a class="code" href="classbdm_1_1epdf.html#a62c5b8ff71d9ebe6cd58d3c342eb1dc8" title="Description of the random variable.">rv</a>.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(), <span class="stringliteral">"Wrong name "</span>); |
|---|
| 217 | <a name="l00227"></a>00227 } |
|---|
| 218 | <a name="l00228"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a2c1be50c8a952cdac13a1a48d5a23188">00228</a> vec <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a2c1be50c8a952cdac13a1a48d5a23188" title="return expected value">mean</a>()<span class="keyword"> const </span>{ |
|---|
| 219 | <a name="l00229"></a>00229 <span class="keyword">const</span> vec &w = pf->posterior()._w(); |
|---|
| 220 | <a name="l00230"></a>00230 vec pom = zeros ( BMs(0)-><a class="code" href="classbdm_1_1MPF.html#a4f4cd8060351dc1a344974e86ffb876b" title="return posterior density">posterior</a> ().<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>() ); |
|---|
| 221 | <a name="l00231"></a>00231 <span class="comment">//compute mean of BMs</span> |
|---|
| 222 | <a name="l00232"></a>00232 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i < w.length(); i++ ) { |
|---|
| 223 | <a name="l00233"></a>00233 pom += BMs ( i )->posterior().mean() * w ( i ); |
|---|
| 224 | <a name="l00234"></a>00234 } |
|---|
| 225 | <a name="l00235"></a>00235 <span class="keywordflow">return</span> concat ( pf->posterior().mean(), pom ); |
|---|
| 226 | <a name="l00236"></a>00236 } |
|---|
| 227 | <a name="l00237"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a345b15545d3fa9cdcbcab616eaa66273">00237</a> vec <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a345b15545d3fa9cdcbcab616eaa66273" title="return expected variance (not covariance!)">variance</a>()<span class="keyword"> const </span>{ |
|---|
| 228 | <a name="l00238"></a>00238 <span class="keyword">const</span> vec &w = pf->posterior()._w(); |
|---|
| 229 | <a name="l00239"></a>00239 |
|---|
| 230 | <a name="l00240"></a>00240 vec pom = zeros ( BMs(0)-><a class="code" href="classbdm_1_1MPF.html#a4f4cd8060351dc1a344974e86ffb876b" title="return posterior density">posterior</a> ().<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>() ); |
|---|
| 231 | <a name="l00241"></a>00241 vec pom2 = zeros ( BMs(0)-><a class="code" href="classbdm_1_1MPF.html#a4f4cd8060351dc1a344974e86ffb876b" title="return posterior density">posterior</a> ().<a class="code" href="classbdm_1_1epdf.html#a7083a65f7b7a0d0d13b2c516bd2ec29c" title="Size of the random variable.">dimension</a>() ); |
|---|
| 232 | <a name="l00242"></a>00242 vec mea; |
|---|
| 233 | <a name="l00243"></a>00243 |
|---|
| 234 | <a name="l00244"></a>00244 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i < w.length(); i++ ) { |
|---|
| 235 | <a name="l00245"></a>00245 <span class="comment">// save current mean </span> |
|---|
| 236 | <a name="l00246"></a>00246 mea = BMs ( i )->posterior().mean(); |
|---|
| 237 | <a name="l00247"></a>00247 pom += mea * w ( i ); |
|---|
| 238 | <a name="l00248"></a>00248 <span class="comment">//compute variance</span> |
|---|
| 239 | <a name="l00249"></a>00249 pom2 += ( BMs ( i )->posterior().variance() + pow ( mea, 2 ) ) * w ( i ); |
|---|
| 240 | <a name="l00250"></a>00250 } |
|---|
| 241 | <a name="l00251"></a>00251 <span class="keywordflow">return</span> concat ( pf->posterior().variance(), pom2 - pow ( pom, 2 ) ); |
|---|
| 242 | <a name="l00252"></a>00252 } |
|---|
| 243 | <a name="l00253"></a>00253 |
|---|
| 244 | <a name="l00254"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a3db96ec592cc1d39195e5740694435bf">00254</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a3db96ec592cc1d39195e5740694435bf" title="Lower and upper bounds of percentage % quantile, returns mean-2*sigma as default...">qbounds</a> ( vec &lb, vec &ub, <span class="keywordtype">double</span> perc = 0.95 )<span class="keyword"> const </span>{ |
|---|
| 245 | <a name="l00255"></a>00255 <span class="comment">//bounds on particles</span> |
|---|
| 246 | <a name="l00256"></a>00256 vec lbp; |
|---|
| 247 | <a name="l00257"></a>00257 vec ubp; |
|---|
| 248 | <a name="l00258"></a>00258 pf->posterior().qbounds ( lbp, ubp ); |
|---|
| 249 | <a name="l00259"></a>00259 |
|---|
| 250 | <a name="l00260"></a>00260 <span class="comment">//bounds on Components</span> |
|---|
| 251 | <a name="l00261"></a>00261 <span class="keywordtype">int</span> dimC = BMs ( 0 )->posterior().dimension(); |
|---|
| 252 | <a name="l00262"></a>00262 <span class="keywordtype">int</span> j; |
|---|
| 253 | <a name="l00263"></a>00263 <span class="comment">// temporary</span> |
|---|
| 254 | <a name="l00264"></a>00264 vec lbc ( dimC ); |
|---|
| 255 | <a name="l00265"></a>00265 vec ubc ( dimC ); |
|---|
| 256 | <a name="l00266"></a>00266 <span class="comment">// minima and maxima</span> |
|---|
| 257 | <a name="l00267"></a>00267 vec Lbc ( dimC ); |
|---|
| 258 | <a name="l00268"></a>00268 vec Ubc ( dimC ); |
|---|
| 259 | <a name="l00269"></a>00269 Lbc = std::numeric_limits<double>::infinity(); |
|---|
| 260 | <a name="l00270"></a>00270 Ubc = -std::numeric_limits<double>::infinity(); |
|---|
| 261 | <a name="l00271"></a>00271 |
|---|
| 262 | <a name="l00272"></a>00272 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i < BMs.length(); i++ ) { |
|---|
| 263 | <a name="l00273"></a>00273 <span class="comment">// check Coms</span> |
|---|
| 264 | <a name="l00274"></a>00274 BMs ( i )->posterior().qbounds ( lbc, ubc ); |
|---|
| 265 | <a name="l00275"></a>00275 <span class="comment">//save either minima or maxima</span> |
|---|
| 266 | <a name="l00276"></a>00276 <span class="keywordflow">for</span> ( j = 0; j < dimC; j++ ) { |
|---|
| 267 | <a name="l00277"></a>00277 <span class="keywordflow">if</span> ( lbc ( j ) < Lbc ( j ) ) { |
|---|
| 268 | <a name="l00278"></a>00278 Lbc ( j ) = lbc ( j ); |
|---|
| 269 | <a name="l00279"></a>00279 } |
|---|
| 270 | <a name="l00280"></a>00280 <span class="keywordflow">if</span> ( ubc ( j ) > Ubc ( j ) ) { |
|---|
| 271 | <a name="l00281"></a>00281 Ubc ( j ) = ubc ( j ); |
|---|
| 272 | <a name="l00282"></a>00282 } |
|---|
| 273 | <a name="l00283"></a>00283 } |
|---|
| 274 | <a name="l00284"></a>00284 } |
|---|
| 275 | <a name="l00285"></a>00285 lb = concat ( lbp, Lbc ); |
|---|
| 276 | <a name="l00286"></a>00286 ub = concat ( ubp, Ubc ); |
|---|
| 277 | <a name="l00287"></a>00287 } |
|---|
| 278 | <a name="l00288"></a>00288 |
|---|
| 279 | <a name="l00289"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a3825c7817ee2b5bf92f12b899fc39863">00289</a> vec <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a3825c7817ee2b5bf92f12b899fc39863" title="Returns a sample, from density .">sample</a>()<span class="keyword"> const </span>{ |
|---|
| 280 | <a name="l00290"></a>00290 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> ( <span class="stringliteral">"Not implemented"</span> ); |
|---|
| 281 | <a name="l00291"></a>00291 <span class="keywordflow">return</span> vec(); |
|---|
| 282 | <a name="l00292"></a>00292 } |
|---|
| 283 | <a name="l00293"></a>00293 |
|---|
| 284 | <a name="l00294"></a><a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a64823e29b83f15bfcb144126e03f4f3f">00294</a> <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a64823e29b83f15bfcb144126e03f4f3f">evallog</a> ( <span class="keyword">const</span> vec &val )<span class="keyword"> const </span>{ |
|---|
| 285 | <a name="l00295"></a>00295 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> ( <span class="stringliteral">"not implemented"</span> ); |
|---|
| 286 | <a name="l00296"></a>00296 <span class="keywordflow">return</span> 0.0; |
|---|
| 287 | <a name="l00297"></a>00297 } |
|---|
| 288 | <a name="l00298"></a>00298 }; |
|---|
| 289 | <a name="l00299"></a>00299 |
|---|
| 290 | <a name="l00301"></a><a class="code" href="classbdm_1_1MPF.html#af50fc7db1d6255a0b5517549f727c6bd">00301</a> <a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html" title="internal class for MPDF providing composition of eEmp with external components">mpfepdf</a> <a class="code" href="classbdm_1_1MPF.html#af50fc7db1d6255a0b5517549f727c6bd" title="Density joining PF.est with conditional parts.">jest</a>; |
|---|
| 291 | <a name="l00302"></a>00302 |
|---|
| 292 | <a name="l00304"></a><a class="code" href="classbdm_1_1MPF.html#a9e2a4b7abf06feeeaaa56ad695e284ac">00304</a> <span class="keywordtype">bool</span> <a class="code" href="classbdm_1_1MPF.html#a9e2a4b7abf06feeeaaa56ad695e284ac" title="Log means of BMs.">opt_L_mea</a>; |
|---|
| 293 | <a name="l00305"></a>00305 |
|---|
| 294 | <a name="l00306"></a>00306 <span class="keyword">public</span>: |
|---|
| 295 | <a name="l00308"></a><a class="code" href="classbdm_1_1MPF.html#af45da512c659b40b21a74492a0c06853">00308</a> <a class="code" href="classbdm_1_1MPF.html#af45da512c659b40b21a74492a0c06853" title="Default constructor.">MPF</a> () : <a class="code" href="classbdm_1_1MPF.html#af50fc7db1d6255a0b5517549f727c6bd" title="Density joining PF.est with conditional parts.">jest</a> (<a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>,<a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a>) {}; |
|---|
| 296 | <a name="l00310"></a><a class="code" href="classbdm_1_1MPF.html#acea07b8861bcd1a82b63cc9c7383fbfd">00310</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#acea07b8861bcd1a82b63cc9c7383fbfd" title="set all parameters at once">set_parameters</a> ( <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> par0, <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> obs0, <span class="keywordtype">int</span> n0, RESAMPLING_METHOD rm = SYSTEMATIC ) { |
|---|
| 297 | <a name="l00311"></a>00311 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->set_model ( par0, obs0); |
|---|
| 298 | <a name="l00312"></a>00312 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->set_parameters(n0, rm ); |
|---|
| 299 | <a name="l00313"></a>00313 <a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a>.set_length ( n0 ); |
|---|
| 300 | <a name="l00314"></a>00314 } |
|---|
| 301 | <a name="l00316"></a><a class="code" href="classbdm_1_1MPF.html#ac3ecf10c8f2e9114c7a57f122890aa9a">00316</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#ac3ecf10c8f2e9114c7a57f122890aa9a" title="set a prototype of BM, copy it to as many times as there is particles in pf">set_BM</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> &BMcond0 ) { |
|---|
| 302 | <a name="l00317"></a>00317 |
|---|
| 303 | <a name="l00318"></a>00318 <span class="keywordtype">int</span> n=<a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->__w().length(); |
|---|
| 304 | <a name="l00319"></a>00319 <a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a>.set_length(n); |
|---|
| 305 | <a name="l00320"></a>00320 <span class="comment">// copy</span> |
|---|
| 306 | <a name="l00321"></a>00321 <span class="comment">//BMcond0 .condition ( pf->posterior()._sample ( 0 ) );</span> |
|---|
| 307 | <a name="l00322"></a>00322 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i < n; i++ ) { |
|---|
| 308 | <a name="l00323"></a>00323 <a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a> ( i ) = BMcond0.<a class="code" href="classbdm_1_1BM.html#a40f01563651c1e4fe926189e41a6b8ab" title="Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!...">_copy_</a>(); |
|---|
| 309 | <a name="l00324"></a>00324 } |
|---|
| 310 | <a name="l00325"></a>00325 }; |
|---|
| 311 | <a name="l00326"></a>00326 |
|---|
| 312 | <a name="l00327"></a>00327 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#a0fbe47b20c491f25030ef2875c148892" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
|---|
| 313 | <a name="l00328"></a><a class="code" href="classbdm_1_1MPF.html#a4f4cd8060351dc1a344974e86ffb876b">00328</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#a4f4cd8060351dc1a344974e86ffb876b" title="return posterior density">posterior</a>()<span class="keyword"> const </span>{ |
|---|
| 314 | <a name="l00329"></a>00329 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MPF.html#af50fc7db1d6255a0b5517549f727c6bd" title="Density joining PF.est with conditional parts.">jest</a>; |
|---|
| 315 | <a name="l00330"></a>00330 } |
|---|
| 316 | <a name="l00333"></a><a class="code" href="classbdm_1_1MPF.html#aada1bdb117bc78035fbb49765fa7ef10">00333</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#aada1bdb117bc78035fbb49765fa7ef10">set_options</a> ( <span class="keyword">const</span> <span class="keywordtype">string</span> &opt ) { |
|---|
| 317 | <a name="l00334"></a>00334 <a class="code" href="classbdm_1_1MPF.html#aada1bdb117bc78035fbb49765fa7ef10">BM::set_options</a>(opt); |
|---|
| 318 | <a name="l00335"></a>00335 <a class="code" href="classbdm_1_1MPF.html#a9e2a4b7abf06feeeaaa56ad695e284ac" title="Log means of BMs.">opt_L_mea</a> = ( opt.find ( <span class="stringliteral">"logmeans"</span> ) != string::npos ); |
|---|
| 319 | <a name="l00336"></a>00336 } |
|---|
| 320 | <a name="l00337"></a>00337 |
|---|
| 321 | <a name="l00339"></a><a class="code" href="classbdm_1_1MPF.html#a71608a6986f57dcfb935e016b97c0637">00339</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1MPF.html#a71608a6986f57dcfb935e016b97c0637" title="Access function.">_BM</a> ( <span class="keywordtype">int</span> i ) { |
|---|
| 322 | <a name="l00340"></a>00340 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a> ( i ); |
|---|
| 323 | <a name="l00341"></a>00341 } |
|---|
| 324 | <a name="l00342"></a>00342 |
|---|
| 325 | <a name="l00354"></a><a class="code" href="classbdm_1_1MPF.html#a9f74326b9ca3c888cb8eff1355ba3670">00354</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#a9f74326b9ca3c888cb8eff1355ba3670">from_setting</a>(<span class="keyword">const</span> Setting &<span class="keyword">set</span>){ |
|---|
| 326 | <a name="l00355"></a>00355 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> par = UI::build<mpdf>(<span class="keyword">set</span>,<span class="stringliteral">"parameter_pdf"</span>,UI::compulsory); |
|---|
| 327 | <a name="l00356"></a>00356 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<mpdf></a> obs= <span class="keyword">new</span> <a class="code" href="classbdm_1_1mpdf.html" title="Conditional probability density, e.g. modeling , where is random variable, rv, and...">mpdf</a>(); <span class="comment">// not used!!</span> |
|---|
| 328 | <a name="l00357"></a>00357 |
|---|
| 329 | <a name="l00358"></a>00358 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a> = <span class="keyword">new</span> <a class="code" href="classbdm_1_1PF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a>; |
|---|
| 330 | <a name="l00359"></a>00359 <span class="comment">// rpior must be set before BM</span> |
|---|
| 331 | <a name="l00360"></a>00360 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->prior_from_set(<span class="keyword">set</span>); |
|---|
| 332 | <a name="l00361"></a>00361 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->resmethod_from_set(<span class="keyword">set</span>); |
|---|
| 333 | <a name="l00362"></a>00362 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->set_model(par,obs); |
|---|
| 334 | <a name="l00363"></a>00363 |
|---|
| 335 | <a name="l00364"></a>00364 <a class="code" href="classbdm_1_1shared__ptr.html" title="A naive implementation of roughly a subset of the std::tr1::shared_ptr spec.">shared_ptr<BM></a> BM0 =UI::build<BM>(<span class="keyword">set</span>,<span class="stringliteral">"BM"</span>,UI::compulsory); |
|---|
| 336 | <a name="l00365"></a>00365 <a class="code" href="classbdm_1_1MPF.html#ac3ecf10c8f2e9114c7a57f122890aa9a" title="set a prototype of BM, copy it to as many times as there is particles in pf">set_BM</a>(*BM0); |
|---|
| 337 | <a name="l00366"></a>00366 |
|---|
| 338 | <a name="l00367"></a>00367 <span class="keywordtype">string</span> opt; |
|---|
| 339 | <a name="l00368"></a>00368 <span class="keywordflow">if</span> (<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(opt,<span class="keyword">set</span>,<span class="stringliteral">"options"</span>,UI::optional)){ |
|---|
| 340 | <a name="l00369"></a>00369 <a class="code" href="classbdm_1_1MPF.html#aada1bdb117bc78035fbb49765fa7ef10">set_options</a>(opt); |
|---|
| 341 | <a name="l00370"></a>00370 } |
|---|
| 342 | <a name="l00371"></a>00371 <span class="comment">//set drv</span> |
|---|
| 343 | <a name="l00372"></a>00372 <span class="comment">//find potential input - what remains in rvc when we subtract rv</span> |
|---|
| 344 | <a name="l00373"></a>00373 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> u = par->_rvc().remove_time().subt( par->_rv() ); |
|---|
| 345 | <a name="l00374"></a>00374 <a class="code" href="classbdm_1_1BM.html#af135ae6dce7e9f30c9f88229c7930b96" title="access function">set_drv</a>(concat(BM0->_drv(),u) ); |
|---|
| 346 | <a name="l00375"></a>00375 <a class="code" href="classbdm_1_1MPF.html#aa91b588de1b9690ca475c945d0f10f08" title="This method TODO.">validate</a>(); |
|---|
| 347 | <a name="l00376"></a>00376 } |
|---|
| 348 | <a name="l00377"></a><a class="code" href="classbdm_1_1MPF.html#aa91b588de1b9690ca475c945d0f10f08">00377</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MPF.html#aa91b588de1b9690ca475c945d0f10f08" title="This method TODO.">validate</a>(){ |
|---|
| 349 | <a name="l00378"></a>00378 <span class="keywordflow">try</span>{ |
|---|
| 350 | <a name="l00379"></a>00379 <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->validate(); |
|---|
| 351 | <a name="l00380"></a>00380 } <span class="keywordflow">catch</span> (std::exception &e){ |
|---|
| 352 | <a name="l00381"></a>00381 <span class="keywordflow">throw</span> <a class="code" href="classbdm_1_1UIException.html">UIException</a>(<span class="stringliteral">"Error in PF part of MPF:"</span>); |
|---|
| 353 | <a name="l00382"></a>00382 } |
|---|
| 354 | <a name="l00383"></a>00383 <a class="code" href="classbdm_1_1MPF.html#af50fc7db1d6255a0b5517549f727c6bd" title="Density joining PF.est with conditional parts.">jest</a>.<a class="code" href="classbdm_1_1MPF_1_1mpfepdf.html#a78e10feeacd2b7d1c29c5d1041832828" title="a variant of set parameters - this time, parameters are read from BMs and pf">read_parameters</a>(); |
|---|
| 355 | <a name="l00384"></a>00384 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i < <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->__w().length(); i++ ) { |
|---|
| 356 | <a name="l00385"></a>00385 <a class="code" href="classbdm_1_1MPF.html#ad496b1378a6fd715ee64608b1dcb75ae" title="Array of Bayesian models.">BMs</a> ( i )->condition ( <a class="code" href="classbdm_1_1MPF.html#a3bfa12c5566a0a38f30fec3a9eca1563" title="particle filter on non-linear variable">pf</a>->posterior()._sample ( i ) ); |
|---|
| 357 | <a name="l00386"></a>00386 } |
|---|
| 358 | <a name="l00387"></a>00387 } |
|---|
| 359 | <a name="l00388"></a>00388 |
|---|
| 360 | <a name="l00389"></a>00389 }; |
|---|
| 361 | <a name="l00390"></a>00390 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(MPF); |
|---|
| 362 | <a name="l00391"></a>00391 |
|---|
| 363 | <a name="l00392"></a>00392 } |
|---|
| 364 | <a name="l00393"></a>00393 <span class="preprocessor">#endif // KF_H</span> |
|---|
| 365 | <a name="l00394"></a>00394 <span class="preprocessor"></span> |
|---|
| 366 | <a name="l00395"></a>00395 |
|---|
| 367 | </pre></div></div> |
|---|
| 368 | <hr size="1"/><address style="text-align: right;"><small>Generated on Thu Oct 15 00:07:48 2009 for mixpp by |
|---|
| 369 | <a href="http://www.doxygen.org/index.html"> |
|---|
| 370 | <img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address> |
|---|
| 371 | </body> |
|---|
| 372 | </html> |
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