Proposal Density for non-linear systems with additive Gaussian Noise (using a (analytic) Filter) More...

#include <filterproposaldensity.h>

Inheritance diagram for BFL::FilterProposalDensity:

[legend]

Public Member Functions
virtual MatrixWrapper::SymmetricMatrix	CovarianceGet () const
	Get the Covariance Matrix E[(x - E[x])^2] of the Analytic pdf. More...

virtual MatrixWrapper::Matrix	dfGet (unsigned int i) const
	returns derivative from function to n-th conditional variable More...

virtual MatrixWrapper::ColumnVector	ExpectedValueGet () const
	Get the expected value E[x] of the pdf. More...

	FilterProposalDensity (AnalyticSystemModelGaussianUncertainty SysModel, AnalyticMeasurementModelGaussianUncertainty MeasModel)
	Constructor. More...

	FilterProposalDensity (const FilterProposalDensity &fpd)
	Copy constructor. More...

void	MeasurementModelSet (AnalyticMeasurementModelGaussianUncertainty *MeasModel)
	Set Measurementmodel. More...

void	SampleCovSet (MatrixWrapper::SymmetricMatrix &cov)
	Set SampleCov. More...

void	SystemModelSet (AnalyticSystemModelGaussianUncertainty *SysModel)
	Set SystemModel. More...

virtual	~FilterProposalDensity ()
	Destructor. More...

Public Member Functions inherited from BFL::AnalyticConditionalGaussian
	AnalyticConditionalGaussian (int dim=0, int num_conditional_arguments=0)
	Constructor. More...

virtual	~AnalyticConditionalGaussian ()
	Destructor. More...

Public Member Functions inherited from BFL::ConditionalGaussian
virtual ConditionalGaussian *	Clone () const
	Clone function. More...

	ConditionalGaussian (int dim=0, int num_conditional_arguments=0)
	Constructor. More...

virtual Probability	ProbabilityGet (const MatrixWrapper::ColumnVector &input) const
	Get the probability of a certain argument. More...

virtual bool	SampleFrom (Sample< MatrixWrapper::ColumnVector > &sample, int method=DEFAULT, void *args=NULL) const

virtual bool	SampleFrom (std::vector< Sample< MatrixWrapper::ColumnVector > > &samples, const int num_samples, int method=DEFAULT, void *args=NULL) const

virtual	~ConditionalGaussian ()
	Destructor. More...

Public Member Functions inherited from BFL::ConditionalPdf< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector >
const MatrixWrapper::ColumnVector &	ConditionalArgumentGet (unsigned int n_argument) const
	Get the n-th argument of the list. More...

virtual void	ConditionalArgumentSet (unsigned int n_argument, const MatrixWrapper::ColumnVector &argument)
	Set the n-th argument of the list. More...

const std::vector< MatrixWrapper::ColumnVector > &	ConditionalArgumentsGet () const
	Get the whole list of conditional arguments. More...

virtual void	ConditionalArgumentsSet (std::vector< MatrixWrapper::ColumnVector > ConditionalArguments)
	Set the whole list of conditional arguments. More...

	ConditionalPdf (int dimension=0, unsigned int num_conditional_arguments=0)
	Constructor. More...

unsigned int	NumConditionalArgumentsGet () const
	Get the Number of conditional arguments. More...

virtual void	NumConditionalArgumentsSet (unsigned int numconditionalarguments)
	Set the Number of conditional arguments. More...

virtual	~ConditionalPdf ()
	Destructor. More...

Public Member Functions inherited from BFL::BFL::Pdf< MatrixWrapper::ColumnVector >
unsigned int	DimensionGet () const
	Get the dimension of the argument. More...

virtual void	DimensionSet (unsigned int dim)
	Set the dimension of the argument. More...

	Pdf (unsigned int dimension=0)
	Constructor. More...

virtual bool	SampleFrom (vector< Sample< MatrixWrapper::ColumnVector > > &list_samples, const unsigned int num_samples, int method=DEFAULT, void *args=NULL) const
	Draw multiple samples from the Pdf (overloaded) More...

virtual bool	SampleFrom (Sample< MatrixWrapper::ColumnVector > &one_sample, int method=DEFAULT, void *args=NULL) const
	Draw 1 sample from the Pdf: More...

virtual	~Pdf ()
	Destructor. More...

Protected Member Functions
virtual void	FilterStep () const
	internal method More...

Protected Attributes
Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > *	_filter

AnalyticMeasurementModelGaussianUncertainty *	_measmodel

MatrixWrapper::SymmetricMatrix	_sample_cov

AnalyticSystemModelGaussianUncertainty *	_sysmodel

Gaussian *	_TmpPrior

Protected Attributes inherited from BFL::ConditionalGaussian
ColumnVector	_diff

Matrix	_Low_triangle

ColumnVector	_Mu

ColumnVector	_samples

ColumnVector	_SampleValue

Detailed Description

Proposal Density for non-linear systems with additive Gaussian Noise (using a (analytic) Filter)

Calculates an importance density for all systems of the form

$x_k = f(x_{k-1}[,u_k]) + v_k, \quad v_k \sim N(0, \Sigma_v)$

$z_k = h(x_k[,s_k]) + w_k, \quad w_k \sim N(0, \Sigma_w)$

This means all systems with a system equation and measurement equation that use a AnalyticConditionalGaussian Class. It uses a Filter to generate a proposal

Definition at line 40 of file filterproposaldensity.h.

Constructor & Destructor Documentation

BFL::FilterProposalDensity::FilterProposalDensity	(	AnalyticSystemModelGaussianUncertainty *	SysModel,
		AnalyticMeasurementModelGaussianUncertainty *	MeasModel
	)

Constructor.

Parameters

SysModel
MeasModel

BFL::FilterProposalDensity::FilterProposalDensity ( const FilterProposalDensity & fpd )

Copy constructor.

Parameters

fpd

Bug:: Not implemented yet

virtual BFL::FilterProposalDensity::~FilterProposalDensity ( )

virtual

Destructor.

Member Function Documentation

virtual MatrixWrapper::SymmetricMatrix BFL::FilterProposalDensity::CovarianceGet ( ) const

virtual

Get the Covariance Matrix E[(x - E[x])^2] of the Analytic pdf.

Get first order statistic (Covariance) of this AnalyticPdf

Returns: The Covariance of the Pdf (a SymmetricMatrix of dim DIMENSION)

Todo:: extend this more general to n-th order statistic

Bug:: Discrete pdfs should not be able to use this!

Reimplemented from BFL::BFL::Pdf< MatrixWrapper::ColumnVector >.

virtual MatrixWrapper::Matrix BFL::FilterProposalDensity::dfGet ( unsigned int i ) const

virtual

returns derivative from function to n-th conditional variable

Parameters

i	Number of the conditional variable to use for partial derivation

Returns: Partial derivative with respect to conditional variable i

Reimplemented from BFL::AnalyticConditionalGaussian.

virtual MatrixWrapper::ColumnVector BFL::FilterProposalDensity::ExpectedValueGet ( ) const

virtual

Get the expected value E[x] of the pdf.

Get low order statistic (Expected Value) of this AnalyticPdf

Returns: The Expected Value of the Pdf (a ColumnVector with DIMENSION rows)

Note: No set functions here! This can be useful for analytic functions, but not for sample based representations!; For certain discrete Pdfs, this function has no meaning, what is the average between yes and no?

Reimplemented from BFL::BFL::Pdf< MatrixWrapper::ColumnVector >.

virtual void BFL::FilterProposalDensity::FilterStep ( ) const

protectedvirtual

internal method

void BFL::FilterProposalDensity::MeasurementModelSet ( AnalyticMeasurementModelGaussianUncertainty * MeasModel )

Set Measurementmodel.

Parameters

MeasModel

void BFL::FilterProposalDensity::SampleCovSet ( MatrixWrapper::SymmetricMatrix & cov )

Set SampleCov.

Parameters

cov

void BFL::FilterProposalDensity::SystemModelSet ( AnalyticSystemModelGaussianUncertainty * SysModel )

Set SystemModel.

Parameters

SysModel

Member Data Documentation

Filter<MatrixWrapper::ColumnVector,MatrixWrapper::ColumnVector>* BFL::FilterProposalDensity::_filter

mutableprotected

Definition at line 82 of file filterproposaldensity.h.

AnalyticMeasurementModelGaussianUncertainty* BFL::FilterProposalDensity::_measmodel

protected

Definition at line 85 of file filterproposaldensity.h.

MatrixWrapper::SymmetricMatrix BFL::FilterProposalDensity::_sample_cov

protected

Definition at line 87 of file filterproposaldensity.h.

AnalyticSystemModelGaussianUncertainty* BFL::FilterProposalDensity::_sysmodel

protected

Definition at line 84 of file filterproposaldensity.h.

Gaussian* BFL::FilterProposalDensity::_TmpPrior

mutableprotected

Definition at line 81 of file filterproposaldensity.h.

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

filterproposaldensity.h

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation