PF Class Reference

Trivial particle filter with proposal density equal to parameter evolution model. More...

#include <libPF.h>

Inheritance diagram for PF:

[legend]

Collaboration diagram for PF:

[legend]

List of all members.

Public Member Functions
	PF (const RV &rv0, mpdf &par0, mpdf &obs0, int n0)
	Default constructor.
void	set_est (const epdf &epdf0)
	Set posterior density by sampling from epdf0.
void	bayes (const vec &dt)
	Incremental Bayes rule.
void	bayes (mat Dt)
	Batch Bayes rule (columns of Dt are observations).
virtual epdf &	_epdf ()=0
	Returns a pointer to the epdf representing posterior density on parameters. Use with care!
const RV &	_rv () const
	access function
double	_ll () const
	access function
Protected Attributes
int	n
	number of particles;
eEmp	est
	posterior density
vec &	_w
	pointer into eEmp
Array< vec > &	_samples
	pointer into eEmp
mpdf &	par
	Parameter evolution model.
mpdf &	obs
	Observation model.
RV	rv
	Random variable of the posterior.
double	ll
	Logarithm of marginalized data likelihood.
bool	evalll
	If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save time.

---

Detailed Description

Trivial particle filter with proposal density equal to parameter evolution model.

Posterior density is represented by a weighted empirical density (eEmp ).

---

Member Function Documentation

void PF::bayes

(

const vec &

dt

)

[virtual]

Incremental Bayes rule.

Parameters:

dt

vector of input data

Implements BM.

Reimplemented in MPF< BM_T >.

References _samples, _w, est, mpdf::evalcond(), n, obs, par, eEmp::resample(), and mpdf::samplecond().

---

The documentation for this class was generated from the following files:

• work/git/mixpp/bdm/estim/libPF.h
• work/git/mixpp/bdm/estim/libPF.cpp