PF Class Reference

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

#include <libPF.h>

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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.
virtual void bayesB (const mat &Dt)
 Batch Bayes rule (columns of Dt are observations).
virtual const epdf_epdf () const =0
 Returns a pointer to the epdf representing posterior density on parameters. Use with care!
virtual double logpred (const vec &dt) const
const RV_rv () const
 access function
double _ll () const
 access function
void set_evalll (bool evl0)
 access function
virtual BM_copy_ (bool changerv=false)

Protected Attributes

int n
 number of particles;
eEmp est
 posterior density
vec & _w
 pointer into eEmp
Array< vec > & _samples
 pointer into eEmp
mpdfpar
 Parameter evolution model.
mpdfobs
 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 computational 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().

virtual double BM::logpred ( const vec &  dt  )  const [inline, virtual, inherited]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in ARX, MixEF, and multiBM.

virtual BM* BM::_copy_ ( bool  changerv = false  )  [inline, virtual, inherited]

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype: BM* _copy_(){BM Tmp*=new Tmp(this*); return Tmp; }

Reimplemented in ARX.

Referenced by MixEF::MixEF().


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

Generated on Tue Sep 23 16:00:55 2008 for mixpp by  doxygen 1.5.6