bdm::MPF< BM_T > Class Template Reference
Marginalized Particle filter. More...
Detailed Description
template<class BM_T>
class bdm::MPF< BM_T >
Marginalized Particle filter.
Trivial version: proposal = parameter evolution, observation model is not used. (it is assumed to be part of BM).
#include <particles.h>
Classes | |
| class | mpfepdf |
| internal class for MPDF providing composition of eEmp with external components | |
Public Member Functions | |
| MPF () | |
| Default constructor. | |
| void | set_parameters (mpdf *par0, mpdf *obs0, int n0, RESAMPLING_METHOD rm=SYSTEMATIC) |
| void | set_statistics (const epdf &epdf0, const BM_T *BMcond0) |
| void | bayes (const vec &dt) |
| Incremental Bayes rule. | |
| const epdf & | posterior () const |
| void | set_options (const string &opt) |
Set postrior of rvc to samples from epdf0. Statistics of BMs are not re-computed! Use only for initialization! | |
| const BM * | _BM (int i) |
| Access function. | |
| vec * | __w () |
| access function | |
| void | from_setting (const Setting &set) |
| This method arrange instance properties according the data stored in the Setting structure. | |
| virtual string | to_string () |
| This method returns a basic info about the current instance. | |
| virtual void | to_setting (Setting &set) const |
| This method save all the instance properties into the Setting structure. | |
| virtual void | validate () |
| This method TODO. | |
Constructors | |
| void | set_statistics (const vec w0, const epdf &epdf0) |
Constructors | |
| virtual BM * | _copy_ () const |
Mathematical operations | |
| virtual void | bayesB (const mat &Dt) |
| Batch Bayes rule (columns of Dt are observations). | |
| virtual double | logpred (const vec &dt) const |
| vec | logpred_m (const mat &dt) const |
| Matrix version of logpred. | |
| virtual epdf * | epredictor () const |
Constructs a predictive density  . | |
| virtual mpdf * | predictor () const |
Constructs conditional density of 1-step ahead predictor  . | |
Access to attributes | |
| const RV & | _drv () const |
| void | set_drv (const RV &rv) |
| void | set_rv (const RV &rv) |
| double | _ll () const |
| void | set_evalll (bool evl0) |
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. | |
| RESAMPLING_METHOD | resmethod |
| which resampling method will be used | |
| RV | drv |
| Random variable of the data (optional). | |
| 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. | |
Options | |
| bool | opt_L_smp |
| Log all samples. | |
| bool | opt_L_wei |
| Log all samples. | |
Extension to conditional BM | |
This extension is useful e.g. in Marginalized Particle Filter (bdm::MPF). Alternatively, it can be used for automated connection to DS when the condition is observed | |
| const RV & | _rvc () const |
| access function | |
| virtual void | condition (const vec &val) |
Substitute val for rvc. | |
| RV | rvc |
| Name of extension variable. | |
Logging of results | |
|
| |
| virtual void | log_add (logger &L, const string &name="") |
| Add all logged variables to a logger. | |
| virtual void | logit (logger &L) |
| ivec | LIDs |
| IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. | |
| ivec | LFlags |
| Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. | |
Member Function Documentation
| virtual BM* bdm::BM::_copy_ | ( | ) | const [inline, virtual, inherited] |
Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype:
BM* _copy_() const {return new BM(*this);}
Reimplemented in bdm::ARX, bdm::KalmanCh, bdm::EKFCh, and bdm::BMEF.
| void bdm::MPF< BM_T >::bayes | ( | const vec & | dt | ) | [inline, virtual] |
Incremental Bayes rule.
- Parameters:
-
dt vector of input data
Reimplemented from bdm::PF.
References bdm::PF::_samples, bdm::PF::_w, bdm::PF::est, bdm::mpdf::evallogcond(), bdm::PF::par, bdm::eEmp::resample(), bdm::PF::resmethod, and bdm::mpdf::samplecond().
| virtual double bdm::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 bdm::ARX, bdm::MixEF, and bdm::multiBM.
References bdm_error.
Referenced by bdm::BM::logpred_m().
The documentation for this class was generated from the following file:
