Public Member Functions | Protected Member Functions | List of all members
BFL::ASIRFilter< StateVar, MeasVar > Class Template Reference

ASIR: Auxiliary Particle Filter. More...

#include <asirfilter.h>

Inheritance diagram for BFL::ASIRFilter< StateVar, MeasVar >:
Inheritance graph
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Public Member Functions

 ASIRFilter (MCPdf< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
 Constructor. More...
 
virtual ~ASIRFilter ()
 Destructor. More...
 
- Public Member Functions inherited from BFL::ParticleFilter< StateVar, MeasVar >
 ParticleFilter (MCPdf< StateVar > *prior, ConditionalPdf< StateVar, StateVar > *proposal, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
 Constructor. More...
 
 ParticleFilter (MCPdf< StateVar > *prior, MCPdf< StateVar > *post, ConditionalPdf< StateVar, StateVar > *proposal, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
 Constructor. More...
 
 ParticleFilter (const ParticleFilter< StateVar, MeasVar > &filt)
 Copy Constructor. More...
 
virtual MCPdf< StateVar > * PostGet ()
 Get Posterior density. More...
 
ConditionalPdf< StateVar, StateVar > * ProposalGet ()
 Get a pointer to the proposal density. More...
 
virtual void ProposalSet (ConditionalPdf< StateVar, StateVar > *const cpdf)
 Set the proposal density. More...
 
virtual ~ParticleFilter ()
 Destructor. More...
 
- Public Member Functions inherited from BFL::Filter< StateVar, MeasVar >
 Filter (Pdf< StateVar > *prior)
 Constructor. More...
 
 Filter (const Filter< StateVar, MeasVar > &filt)
 copy constructor More...
 
virtual void Reset (Pdf< StateVar > *prior)
 Reset Filter. More...
 
int TimeStepGet () const
 Get current time. More...
 
virtual bool Update (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Full Update (system with inputs/sensing params) More...
 
virtual bool Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Full Update (system without inputs, with sensing params) More...
 
virtual bool Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z)
 Full Update (system without inputs/sensing params) More...
 
virtual bool Update (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z)
 Full Update (system with inputs, without sensing params) More...
 
virtual bool Update (SystemModel< StateVar > *const sysmodel, const StateVar &u)
 System Update (system with inputs) More...
 
virtual bool Update (SystemModel< StateVar > *const sysmodel)
 System Update (system without inputs) More...
 
virtual bool Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Measurement Update (system with "sensing params") More...
 
virtual bool Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z)
 Measurement Update (system without "sensing params") More...
 
virtual ~Filter ()
 destructor More...
 

Protected Member Functions

virtual void UpdateInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Actual implementation of updateinternal. More...
 
- Protected Member Functions inherited from BFL::ParticleFilter< StateVar, MeasVar >
virtual bool DynamicResampleStep ()
 Resample if necessary. More...
 
virtual bool ProposalStepInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Proposal step. More...
 
virtual bool Resample ()
 Actual Resampling happens here;. More...
 
virtual bool StaticResampleStep ()
 Resample if wanted. More...
 
virtual bool UpdateWeightsInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Update Weights. More...
 

Additional Inherited Members

- Protected Attributes inherited from BFL::ParticleFilter< StateVar, MeasVar >
bool _created_post
 created own post More...
 
bool _dynamicResampling
 Dynamic resampling or fixed period resampling? More...
 
vector< WeightedSample< StateVar > > _new_samples
 While updating store list of new samples. More...
 
vector< Sample< StateVar > > _new_samples_unweighted
 While resampling. More...
 
vector< WeightedSample< StateVar > >::iterator _ns_it
 Iterator for new list of samples. More...
 
vector< WeightedSample< StateVar > > _old_samples
 While updating store list of old samples. More...
 
vector< WeightedSample< StateVar > >::iterator _os_it
 Iterator for old list of samples. More...
 
ConditionalPdf< StateVar, StateVar > * _proposal
 Pointer to the Proposal Density. More...
 
bool _proposal_depends_on_meas
 Proposal depends on last measurement? More...
 
int _resamplePeriod
 Number of timestep between resampling from the Posterior Pdf. More...
 
int _resampleScheme
 Which resample algorithm (see top of particle.h for #defines) More...
 
double _resampleThreshold
 Threshold used when dynamic resampling. More...
 
WeightedSample< StateVar_sample
 While updating use sample<StateVar> More...
 
- Protected Attributes inherited from BFL::Filter< StateVar, MeasVar >
Pdf< StateVar > * _post
 Pointer to the Posterior Pdf. More...
 
Pdf< StateVar > * _prior
 prior Pdf More...
 
int _timestep
 Represents the current timestep of the filter. More...
 

Detailed Description

template<typename StateVar, typename MeasVar>
class BFL::ASIRFilter< StateVar, MeasVar >

ASIR: Auxiliary Particle Filter.

This is a possible implementation of a particle filter, which in some/many cases will yield better results, since measures are taken to make the proposal density more similar to the posterior. See

@Article{         pitt_auxiliary,
author  = {Pitt, M. and Shephard, N.},
title   = {Filtering via simulation: auxiliary particle filter},
journal = {Journal of the American Statistical Association},
year    = {1999},
note    = {forthcoming}
}

for more details.

Note that this particular implementation:

Particular issue with of proposalstep in case of ASIR filter... The current implementation uses the approximation (see p. 11 of the Pitt and Shephard paper, we use their notation here —

\[ \alpha \]

denoting the state and

\[ y \]

denoting the measurement)

\[ f(y_{t+1} | \alpha_{t+1}) \approx f(y_{t+1} | \mu_{t+1}) \]

where

\[ \mu \]

is the mean value of the system pdf.

Note that the ASIR needs the measurementmodel for its proposalstep, to obtain a better proposal. Note also that normally, the ASIR performs better that the standard SIR filter in case of outliers, but worse for "normal data" (due to the extra resampling stage).

Definition at line 79 of file asirfilter.h.

Constructor & Destructor Documentation

template<typename StateVar , typename MeasVar >
BFL::ASIRFilter< SVar, MVar >::ASIRFilter ( MCPdf< StateVar > *  prior,
int  resampleperiod = 0,
double  resamplethreshold = 0,
int  resamplescheme = DEFAULT_RS 
)

Constructor.

Precondition
you created the necessary models and the prior
Parameters
priorpointer to the Monte Carlo Pdf prior density
resampleperiodfixed resampling period (if desired)
resamplethresholdthreshold used when dynamic resampling
resampleschemeresampling scheme, see header file for different defines and their meaning

Definition at line 26 of file asirfilter.cpp.

template<typename SVar , typename MVar >
BFL::ASIRFilter< SVar, MVar >::~ASIRFilter ( )
virtual

Destructor.

Definition at line 44 of file asirfilter.cpp.

Member Function Documentation

template<typename StateVar , typename MeasVar >
void BFL::ASIRFilter< SVar, MVar >::UpdateInternal ( SystemModel< StateVar > *const  sysmodel,
const StateVar u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar z,
const StateVar s 
)
protectedvirtual

Actual implementation of updateinternal.

Reimplemented from BFL::ParticleFilter< StateVar, MeasVar >.

Definition at line 48 of file asirfilter.cpp.


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


bfl
Author(s): Klaas Gadeyne, Wim Meeussen, Tinne Delaet and many others. See web page for a full contributor list. ROS package maintained by Wim Meeussen.
autogenerated on Mon Jun 10 2019 12:48:01