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.
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
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 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:

Generated on Fri May 9 16:15:28 2008 for mixpp by  doxygen 1.5.5