| 26 | | <a name="l00027"></a><a class="code" href="classPF.html">00027</a> <span class="keyword">class </span><a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> : <span class="keyword">public</span> <a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> { |
| 27 | | <a name="l00028"></a>00028 <span class="keyword">protected</span>: |
| 28 | | <a name="l00030"></a><a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">00030</a> <span class="keywordtype">int</span> <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>; |
| 29 | | <a name="l00032"></a><a class="code" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0">00032</a> <a class="code" href="classeEmp.html" title="Weighted empirical density.">eEmp</a> <a class="code" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0" title="posterior density">ePdf</a>; |
| 30 | | <a name="l00034"></a><a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0">00034</a> vec &<a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0" title="pointer into eEmp ">w</a>; |
| 31 | | <a name="l00036"></a><a class="code" href="classPF.html#361743a0b5b89de1a29e91d1343b2565">00036</a> Array<vec> &<a class="code" href="classPF.html#361743a0b5b89de1a29e91d1343b2565" title="pointer into eEmp ">samples</a>; |
| 32 | | <a name="l00038"></a><a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09">00038</a> <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &<a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a>; |
| 33 | | <a name="l00040"></a><a class="code" href="classPF.html#dd0a687a4515333d6809147335854e77">00040</a> <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &<a class="code" href="classPF.html#dd0a687a4515333d6809147335854e77" title="Observation model.">obs</a>; |
| 34 | | <a name="l00041"></a>00041 <span class="keyword">public</span>: |
| 35 | | <a name="l00042"></a>00042 <a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &rv0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &par0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &obs0, <span class="keywordtype">int</span> <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ) :<a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a>(rv0), |
| 36 | | <a name="l00043"></a>00043 n ( 1 ),<a class="code" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0" title="posterior density">ePdf</a> ( rv0 ),<a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0" title="pointer into eEmp ">w</a> ( <a class="code" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0" title="posterior density">ePdf</a>._w() ),<a class="code" href="classPF.html#361743a0b5b89de1a29e91d1343b2565" title="pointer into eEmp ">samples</a> ( <a class="code" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0" title="posterior density">ePdf</a>._samples() ), |
| 37 | | <a name="l00044"></a>00044 <a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a> ( par0 ), <a class="code" href="classPF.html#dd0a687a4515333d6809147335854e77" title="Observation model.">obs</a> ( obs0 ) {}; |
| 38 | | <a name="l00045"></a>00045 <span class="comment">// void set_parametres(mpdf &par0, mpdf &obs0) {par=&par0;obs=&obs0;};</span> |
| 39 | | <a name="l00046"></a>00046 <span class="keywordtype">void</span> set_est ( <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* &epdf0 ); |
| 40 | | <a name="l00047"></a>00047 <span class="comment">//TODO remove or implement bayes()!</span> |
| 41 | | <a name="l00048"></a>00048 <span class="keywordtype">void</span> <a class="code" href="classPF.html#64f636bbd63bea9efd778214e6b631d3" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
| 42 | | <a name="l00049"></a>00049 }; |
| 43 | | <a name="l00050"></a>00050 |
| 44 | | <a name="l00057"></a>00057 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
| 45 | | <a name="l00058"></a><a class="code" href="classMPF.html">00058</a> <span class="keyword">class </span><a class="code" href="classMPF.html" title="Marginalized Particle filter.">MPF</a> : <span class="keyword">public</span> <a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> { |
| 46 | | <a name="l00059"></a>00059 BM_T* Bms[1000]; |
| 47 | | <a name="l00060"></a>00060 <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rvc; |
| 48 | | <a name="l00061"></a>00061 <a class="code" href="classemix.html" title="Weighted mixture of epdfs with external owned components.">emix</a> est; |
| 49 | | <a name="l00062"></a>00062 <span class="keyword">public</span>: |
| 50 | | <a name="l00064"></a><a class="code" href="classMPF.html#827a66609cf69a832535d52233f76fa0">00064</a> <a class="code" href="classMPF.html#827a66609cf69a832535d52233f76fa0" title="Default constructor.">MPF</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &rv0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &par0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &obs0, <span class="keywordtype">int</span> <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>, <span class="keyword">const</span> BM_T &BMcond0 ) : |
| 51 | | <a name="l00065"></a>00065 <a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> ( rv0,par0,obs0,n ), est(rv0,<a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0" title="pointer into eEmp ">w</a>) { |
| 52 | | <a name="l00066"></a>00066 <span class="comment">//</span> |
| 53 | | <a name="l00067"></a>00067 <span class="keywordflow">if</span> (n>1000) it_error(<span class="stringliteral">"increase 1000 here!"</span>); |
| 54 | | <a name="l00068"></a>00068 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<n;i++ ) { |
| 55 | | <a name="l00069"></a>00069 Bms[i] = <span class="keyword">new</span> BM_T(BMcond0); <span class="comment">//copy constructor</span> |
| 56 | | <a name="l00070"></a>00070 <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
| 57 | | <a name="l00071"></a>00071 est.<a class="code" href="classemix.html#599366d678152cfb0703da697b6b1de1">set_parameters</a>(i,&pom); |
| 58 | | <a name="l00072"></a>00072 } |
| 59 | | <a name="l00073"></a>00073 }; |
| 60 | | <a name="l00074"></a>00074 ~<a class="code" href="classMPF.html" title="Marginalized Particle filter.">MPF</a>() { |
| 61 | | <a name="l00075"></a>00075 } |
| 62 | | <a name="l00076"></a>00076 <span class="keywordtype">void</span> <a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623" title="Incremental Bayes rule.">bayes</a> (<span class="keyword">const</span> vec &dt ); |
| 63 | | <a name="l00077"></a><a class="code" href="classMPF.html#549e08268a46a250f21a33d06f19276a">00077</a> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& <a class="code" href="classMPF.html#549e08268a46a250f21a33d06f19276a" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>(){<span class="keywordflow">return</span> est;} |
| 64 | | <a name="l00078"></a>00078 }; |
| 65 | | <a name="l00079"></a>00079 |
| 66 | | <a name="l00080"></a>00080 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
| 67 | | <a name="l00081"></a><a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">00081</a> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623" title="Incremental Bayes rule.">MPF<BM_T>::bayes</a>( <span class="keyword">const</span> vec &dt) { |
| 68 | | <a name="l00082"></a>00082 <span class="keywordtype">int</span> i; |
| 69 | | <a name="l00083"></a>00083 vec lls(<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>); |
| 70 | | <a name="l00084"></a>00084 ivec ind; |
| 71 | | <a name="l00085"></a>00085 <span class="keywordtype">double</span> mlls=-std::numeric_limits<double>::infinity(), sum=0.0; |
| 72 | | <a name="l00086"></a>00086 |
| 73 | | <a name="l00087"></a>00087 <span class="keywordflow">for</span> ( i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) { |
| 74 | | <a name="l00088"></a>00088 <span class="comment">//generate new samples from paramater evolution model;</span> |
| 75 | | <a name="l00089"></a>00089 <a class="code" href="classPF.html#361743a0b5b89de1a29e91d1343b2565" title="pointer into eEmp ">samples</a>(i) = <a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a>.<a class="code" href="classmpdf.html#c20c796f8d0a201f0897299150e45a41" title="Returns the required moment of the epdf.">samplecond</a>( <a class="code" href="classPF.html#361743a0b5b89de1a29e91d1343b2565" title="pointer into eEmp ">samples</a>( i ), lls(i) ); |
| 76 | | <a name="l00090"></a>00090 <span class="keywordflow">if</span> (lls(i)>mlls) mlls=lls(i); <span class="comment">//find maximum</span> |
| 77 | | <a name="l00091"></a>00091 } |
| 78 | | <a name="l00092"></a>00092 <span class="comment">// compute weights </span> |
| 79 | | <a name="l00093"></a>00093 <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
| 80 | | <a name="l00094"></a>00094 <a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0" title="pointer into eEmp ">w</a>(i) *= exp( lls(i) - mlls); <span class="comment">// multiply w by likelihood</span> |
| 81 | | <a name="l00095"></a>00095 } |
| 82 | | <a name="l00096"></a>00096 <span class="comment">//renormalize</span> |
| 83 | | <a name="l00097"></a>00097 <span class="keywordflow">for</span> ( i=0;i<n;i++ ){sum+=<a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0" title="pointer into eEmp ">w</a>( i );}; |
| 84 | | <a name="l00098"></a>00098 <a class="code" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0" title="pointer into eEmp ">w</a>( i ) /=sum; <span class="comment">//?</span> |
| 85 | | <a name="l00099"></a>00099 |
| 86 | | <a name="l00100"></a>00100 ind = <a class="code" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0" title="posterior density">ePdf</a>.<a class="code" href="classeEmp.html#77268292fc4465cb73ddbfb1f2932a59" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a>(); |
| 87 | | <a name="l00101"></a>00101 |
| 88 | | <a name="l00102"></a>00102 } |
| 89 | | <a name="l00103"></a>00103 |
| 90 | | <a name="l00104"></a>00104 <span class="preprocessor">#endif // KF_H</span> |
| 91 | | <a name="l00105"></a>00105 <span class="preprocessor"></span> |
| | 26 | <a name="l00028"></a><a class="code" href="classPF.html">00028</a> <span class="keyword">class </span><a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> : <span class="keyword">public</span> <a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> { |
| | 27 | <a name="l00029"></a>00029 <span class="keyword">protected</span>: |
| | 28 | <a name="l00031"></a><a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">00031</a> <span class="keywordtype">int</span> <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>; |
| | 29 | <a name="l00033"></a><a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b">00033</a> <a class="code" href="classeEmp.html" title="Weighted empirical density.">eEmp</a> <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>; |
| | 30 | <a name="l00035"></a><a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a">00035</a> vec &<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>; |
| | 31 | <a name="l00037"></a><a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5">00037</a> Array<vec> &<a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a>; |
| | 32 | <a name="l00039"></a><a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09">00039</a> <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &<a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a>; |
| | 33 | <a name="l00041"></a><a class="code" href="classPF.html#dd0a687a4515333d6809147335854e77">00041</a> <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &<a class="code" href="classPF.html#dd0a687a4515333d6809147335854e77" title="Observation model.">obs</a>; |
| | 34 | <a name="l00042"></a>00042 <span class="keyword">public</span>: |
| | 35 | <a name="l00044"></a><a class="code" href="classPF.html#e99f0d866721405dd281e315ecb690aa">00044</a> <a class="code" href="classPF.html#e99f0d866721405dd281e315ecb690aa" title="Default constructor.">PF</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &rv0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &par0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &obs0, <span class="keywordtype">int</span> n0 ) :<a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> ( rv0 ), |
| | 36 | <a name="l00045"></a>00045 <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ( n0 ),<a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a> ( rv0,<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ),<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>.<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>() ),<a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>.<a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a>() ), |
| | 37 | <a name="l00046"></a>00046 <a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a> ( par0 ), <a class="code" href="classPF.html#dd0a687a4515333d6809147335854e77" title="Observation model.">obs</a> ( obs0 ) {}; |
| | 38 | <a name="l00047"></a>00047 |
| | 39 | <a name="l00049"></a>00049 <span class="keywordtype">void</span> <a class="code" href="classPF.html#04d38fbcc0348b558212f530d9ec183e" title="Set posterior density by sampling from epdf0.">set_est</a> ( <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> &epdf0 ); |
| | 40 | <a name="l00050"></a>00050 <span class="keywordtype">void</span> <a class="code" href="classPF.html#64f636bbd63bea9efd778214e6b631d3" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
| | 41 | <a name="l00051"></a>00051 }; |
| | 42 | <a name="l00052"></a>00052 |
| | 43 | <a name="l00059"></a>00059 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
| | 44 | <a name="l00060"></a>00060 |
| | 45 | <a name="l00061"></a><a class="code" href="classMPF.html">00061</a> <span class="keyword">class </span><a class="code" href="classMPF.html" title="Marginalized Particle filter.">MPF</a> : <span class="keyword">public</span> <a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> { |
| | 46 | <a name="l00062"></a>00062 BM_T* Bms[1000]; |
| | 47 | <a name="l00063"></a>00063 |
| | 48 | <a name="l00065"></a>00065 |
| | 49 | <a name="l00066"></a>00066 <span class="keyword">class </span>mpfepdf : <span class="keyword">public</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> { |
| | 50 | <a name="l00067"></a>00067 <span class="keyword">protected</span>: |
| | 51 | <a name="l00068"></a>00068 <a class="code" href="classeEmp.html" title="Weighted empirical density.">eEmp</a> &E; |
| | 52 | <a name="l00069"></a>00069 vec &<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>; |
| | 53 | <a name="l00070"></a>00070 Array<epdf*> Coms; |
| | 54 | <a name="l00071"></a>00071 <span class="keyword">public</span>: |
| | 55 | <a name="l00072"></a>00072 mpfepdf ( <a class="code" href="classeEmp.html" title="Weighted empirical density.">eEmp</a> &E0, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &rvc ) : |
| | 56 | <a name="l00073"></a>00073 <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> ( <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a>( ) ), E ( E0 ), <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( E._w() ), |
| | 57 | <a name="l00074"></a>00074 Coms ( <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>.length() ) { |
| | 58 | <a name="l00075"></a>00075 <a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>.<a class="code" href="classRV.html#4fc941a5ebc9f82aa372f54f2e02dab2" title="Add (concat) another variable to the current one.">add</a> ( E._rv() ); |
| | 59 | <a name="l00076"></a>00076 <a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>.<a class="code" href="classRV.html#4fc941a5ebc9f82aa372f54f2e02dab2" title="Add (concat) another variable to the current one.">add</a> ( rvc ); |
| | 60 | <a name="l00077"></a>00077 }; |
| | 61 | <a name="l00078"></a>00078 |
| | 62 | <a name="l00079"></a>00079 <span class="keywordtype">void</span> set_elements ( <span class="keywordtype">int</span> &i, <span class="keywordtype">double</span> wi, <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>* ep ) |
| | 63 | <a name="l00080"></a>00080 {<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i ) =wi; Coms ( i ) =ep;}; |
| | 64 | <a name="l00081"></a>00081 |
| | 65 | <a name="l00082"></a>00082 vec mean()<span class="keyword"> const </span>{ |
| | 66 | <a name="l00083"></a>00083 <span class="comment">// ugly</span> |
| | 67 | <a name="l00084"></a>00084 vec pom=zeros ( ( Coms ( 0 )-><a class="code" href="classBM.html#126bd2595c48e311fc2a7ab72876092a" title="access function">_rv</a>() ).count() ); |
| | 68 | <a name="l00085"></a>00085 |
| | 69 | <a name="l00086"></a>00086 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0; i<<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>.length(); i++ ) {pom += Coms ( i )->mean() * <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i );} |
| | 70 | <a name="l00087"></a>00087 |
| | 71 | <a name="l00088"></a>00088 <span class="keywordflow">return</span> concat ( E.mean(),pom ); |
| | 72 | <a name="l00089"></a>00089 } |
| | 73 | <a name="l00090"></a>00090 |
| | 74 | <a name="l00091"></a>00091 vec sample()<span class="keyword"> const </span>{it_error ( <span class="stringliteral">"Not implemented"</span> );<span class="keywordflow">return</span> 0;} |
| | 75 | <a name="l00092"></a>00092 |
| | 76 | <a name="l00093"></a>00093 <span class="keywordtype">double</span> evalpdflog ( <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;} |
| | 77 | <a name="l00094"></a>00094 }; |
| | 78 | <a name="l00095"></a>00095 |
| | 79 | <a name="l00097"></a>00097 mpfepdf jest; |
| | 80 | <a name="l00098"></a>00098 |
| | 81 | <a name="l00099"></a>00099 <span class="keyword">public</span>: |
| | 82 | <a name="l00101"></a><a class="code" href="classMPF.html#fc5e11e11eec3195e3c6503937bf02bd">00101</a> <a class="code" href="classMPF.html#fc5e11e11eec3195e3c6503937bf02bd" title="Default constructor.">MPF</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &rvlin, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &rvpf, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &par0, <a class="code" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> &obs0, <span class="keywordtype">int</span> <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>, <span class="keyword">const</span> BM_T &BMcond0 ) : <a class="code" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model...">PF</a> ( rvpf ,par0,obs0,n ),jest ( <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>,rvlin ) { |
| | 83 | <a name="l00102"></a>00102 <span class="comment">//</span> |
| | 84 | <a name="l00103"></a>00103 <span class="comment">//TODO test if rv and BMcond.rv are compatible.</span> |
| | 85 | <a name="l00104"></a>00104 <a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>.<a class="code" href="classRV.html#4fc941a5ebc9f82aa372f54f2e02dab2" title="Add (concat) another variable to the current one.">add</a> ( rvlin ); |
| | 86 | <a name="l00105"></a>00105 <span class="comment">//</span> |
| 93 | | </pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:40 2008 for mixpp by |
| | 88 | <a name="l00107"></a>00107 <span class="keywordflow">if</span> ( n>1000 ) it_error ( <span class="stringliteral">"increase 1000 here!"</span> ); |
| | 89 | <a name="l00108"></a>00108 |
| | 90 | <a name="l00109"></a>00109 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<n;i++ ) { |
| | 91 | <a name="l00110"></a>00110 Bms[i] = <span class="keyword">new</span> BM_T ( BMcond0 ); <span class="comment">//copy constructor</span> |
| | 92 | <a name="l00111"></a>00111 <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
| | 93 | <a name="l00112"></a>00112 jest.set_elements ( i,1.0/n,&pom ); |
| | 94 | <a name="l00113"></a>00113 } |
| | 95 | <a name="l00114"></a>00114 }; |
| | 96 | <a name="l00115"></a>00115 |
| | 97 | <a name="l00116"></a>00116 ~<a class="code" href="classMPF.html" title="Marginalized Particle filter.">MPF</a>() { |
| | 98 | <a name="l00117"></a>00117 } |
| | 99 | <a name="l00118"></a>00118 |
| | 100 | <a name="l00119"></a>00119 <span class="keywordtype">void</span> <a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &dt ); |
| | 101 | <a name="l00120"></a><a class="code" href="classMPF.html#549e08268a46a250f21a33d06f19276a">00120</a> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& <a class="code" href="classMPF.html#549e08268a46a250f21a33d06f19276a" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>() {<span class="keywordflow">return</span> jest;} |
| | 102 | <a name="l00122"></a><a class="code" href="classMPF.html#7c66e1c1c0e45fc4ae765133cb3a1553">00122</a> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#7c66e1c1c0e45fc4ae765133cb3a1553" 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="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& epdf0 ) { |
| | 103 | <a name="l00123"></a>00123 <a class="code" href="classPF.html#04d38fbcc0348b558212f530d9ec183e" title="Set posterior density by sampling from epdf0.">PF::set_est</a> ( epdf0 ); <span class="comment">// sample params in condition</span> |
| | 104 | <a name="l00124"></a>00124 <span class="comment">// copy conditions to BMs</span> |
| | 105 | <a name="l00125"></a>00125 |
| | 106 | <a name="l00126"></a>00126 <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) {Bms[i]->condition ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) );} |
| | 107 | <a name="l00127"></a>00127 } |
| | 108 | <a name="l00128"></a>00128 }; |
| | 109 | <a name="l00129"></a>00129 |
| | 110 | <a name="l00130"></a>00130 <span class="keyword">template</span><<span class="keyword">class</span> BM_T> |
| | 111 | <a name="l00131"></a><a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">00131</a> <span class="keywordtype">void</span> <a class="code" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623" title="Incremental Bayes rule.">MPF<BM_T>::bayes</a> ( <span class="keyword">const</span> vec &dt ) { |
| | 112 | <a name="l00132"></a>00132 <span class="keywordtype">int</span> i; |
| | 113 | <a name="l00133"></a>00133 vec lls ( <a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a> ); |
| | 114 | <a name="l00134"></a>00134 ivec ind; |
| | 115 | <a name="l00135"></a>00135 <span class="keywordtype">double</span> mlls=-std::numeric_limits<double>::infinity(); |
| | 116 | <a name="l00136"></a>00136 |
| | 117 | <a name="l00137"></a>00137 <span class="keywordflow">for</span> ( i=0;i<<a class="code" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280" title="number of particles;">n</a>;i++ ) { |
| | 118 | <a name="l00138"></a>00138 <span class="comment">//generate new samples from paramater evolution model;</span> |
| | 119 | <a name="l00139"></a>00139 <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) = <a class="code" href="classPF.html#d92ac103f88f8c21e197e90af5695a09" title="Parameter evolution model.">par</a>.<a class="code" href="classmpdf.html#b0193a350c97933ddf15b15a130da352" title="Returns the required moment of the epdf.">samplecond</a> ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ), lls ( i ) ); |
| | 120 | <a name="l00140"></a>00140 Bms[i]->condition ( <a class="code" href="classPF.html#cf7dad75e31215780a746c30e71ad9c5" title="pointer into eEmp ">_samples</a> ( i ) ); |
| | 121 | <a name="l00141"></a>00141 Bms[i]->bayes ( dt ); |
| | 122 | <a name="l00142"></a>00142 lls ( i ) = Bms[i]->_ll(); <span class="comment">// lls above is also in proposal her must be lls(i) =, not +=!!</span> |
| | 123 | <a name="l00143"></a>00143 |
| | 124 | <a name="l00144"></a>00144 <span class="keywordflow">if</span> ( lls ( i ) >mlls ) mlls=lls ( i ); <span class="comment">//find maximum likelihood (for numerical stability)</span> |
| | 125 | <a name="l00145"></a>00145 } |
| | 126 | <a name="l00146"></a>00146 |
| | 127 | <a name="l00147"></a>00147 <span class="comment">// compute weights</span> |
| | 128 | <a name="l00148"></a>00148 <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
| | 129 | <a name="l00149"></a>00149 <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ( i ) *= exp ( lls ( i ) - mlls ); <span class="comment">// multiply w by likelihood</span> |
| | 130 | <a name="l00150"></a>00150 } |
| | 131 | <a name="l00151"></a>00151 |
| | 132 | <a name="l00152"></a>00152 <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> /=sum(<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>); <span class="comment">//?</span> |
| | 133 | <a name="l00153"></a>00153 |
| | 134 | <a name="l00154"></a>00154 <span class="keywordtype">double</span> eff = 1.0/( <a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a>*<a class="code" href="classPF.html#5c87aba508df321ff26536ced64dbb3a" title="pointer into eEmp ">_w</a> ); |
| | 135 | <a name="l00155"></a>00155 <span class="keywordflow">if</span> ( eff < ( 0.1*n ) ) { |
| | 136 | <a name="l00156"></a>00156 ind = <a class="code" href="classPF.html#1a0a09e309da997f63ae8e30d1e9806b" title="posterior density">est</a>.<a class="code" href="classeEmp.html#77268292fc4465cb73ddbfb1f2932a59" title="Function performs resampling, i.e. removal of low-weight samples and duplication...">resample</a>(); |
| | 137 | <a name="l00157"></a>00157 <span class="comment">// Resample Bms!</span> |
| | 138 | <a name="l00158"></a>00158 |
| | 139 | <a name="l00159"></a>00159 <span class="keywordflow">for</span> ( i=0;i<n;i++ ) { |
| | 140 | <a name="l00160"></a>00160 <span class="keywordflow">if</span> ( ind ( i ) !=i ) {<span class="comment">//replace the current Bm by a new one</span> |
| | 141 | <a name="l00161"></a>00161 <span class="comment">//fixme this would require new assignment operator</span> |
| | 142 | <a name="l00162"></a>00162 <span class="comment">// *Bms[i] = *Bms[ind ( i ) ];</span> |
| | 143 | <a name="l00163"></a>00163 |
| | 144 | <a name="l00164"></a>00164 <span class="comment">// poor-man's solution: replicate constructor here</span> |
| | 145 | <a name="l00165"></a>00165 <span class="comment">// copied from MPF::MPF</span> |
| | 146 | <a name="l00166"></a>00166 <span class="keyword">delete</span> Bms[i]; |
| | 147 | <a name="l00167"></a>00167 Bms[i] = <span class="keyword">new</span> BM_T ( *Bms[ind ( i ) ] ); <span class="comment">//copy constructor</span> |
| | 148 | <a name="l00168"></a>00168 <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>& pom=Bms[i]->_epdf(); |
| | 149 | <a name="l00169"></a>00169 jest.set_elements ( i,1.0/n,&pom ); |
| | 150 | <a name="l00170"></a>00170 } |
| | 151 | <a name="l00171"></a>00171 }; |
| | 152 | <a name="l00172"></a>00172 cout << <span class="charliteral">'.'</span>; |
| | 153 | <a name="l00173"></a>00173 } |
| | 154 | <a name="l00174"></a>00174 } |
| | 155 | <a name="l00175"></a>00175 |
| | 156 | <a name="l00176"></a>00176 <span class="preprocessor">#endif // KF_H</span> |
| | 157 | <a name="l00177"></a>00177 <span class="preprocessor"></span> |
| | 158 | <a name="l00178"></a>00178 |
| | 159 | </pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 5 15:40:00 2008 for mixpp by |
