Particular particle filter: Proposal PDF = Optimal Importance function. More...

#include <optimalimportancefilter.h>

Inheritance diagram for BFL::Optimalimportancefilter< StateVar, MeasVar >:

Public Member Functions
	OptimalImportanceFilter (MCPdf< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
	Constructor. More...

	OptimalImportanceFilter (const OptimalImportanceFilter< StateVar, MeasVar > &filt)
	Copy constructor. More...

virtual void	Update (SystemModel< StateVar > const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z, const StateVar &s)

virtual void	Update (SystemModel< StateVar > const sysmodel, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z, const StateVar &s)

virtual void	Update (SystemModel< StateVar > const sysmodel, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z)

virtual void	Update (SystemModel< StateVar > const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z)

virtual void	Update (SystemModel< StateVar > *const sysmodel, const StateVar &u)
	Only sysupdate. More...

virtual void	Update (SystemModel< StateVar > *const sysmodel)

virtual void	Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
	Only measupdate. More...

virtual void	Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z)

virtual	~OptimalImportanceFilter ()
	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	ConstructProposal (SystemModel< StateVar > const sysmodel, MeasurementModel< MeasVar, StateVar > const measmodel)
	Construct Optimal importance density from a sys and meas. model. 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	UpdateInternal (SystemModel< StateVar > const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z, const StateVar &s)
	Actual implementation of Update, varies along filters. 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::Optimalimportancefilter< StateVar, MeasVar >

Particular particle filter: Proposal PDF = Optimal Importance function.

This is one (simple) particular implementation of a particle filter, in which the proposal density is equal to the pdf $P(x_k | x_{k-1}, z_k)$ . Note that this pdf can only be easily (analytically) determined for a limited class of models! The current implementation focusses on systems with a linear measurement model.

See also

@Article{         doucet98bis,
author =       {Doucet, Arnaud and Godsill, Simon and Andrieu, Christophe},
title =        {On Sequential Monte Carlo Sampling Methods for
                Bayesian Filtering},
journal =      {Statistics and Computing},
year =         {2000},
volume =       {10},
number =       {3},
pages =        {197--208},
}

for a more thorough discussion about all these issues and the possible suboptimal alternatives in case one is not able to sample from the optimal importance function.

Definition at line 67 of file optimalimportancefilter.h.