Particular mixture particle filter : Proposal PDF = SystemPDF. More...

#include <mixtureBootstrapFilter.h>

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

Public Member Functions
	MixtureBootstrapFilter (Mixture< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS, int maintainMixturePeriod=1)
	Constructor. More...

	MixtureBootstrapFilter (Mixture< StateVar > prior, Mixture< StateVar > post, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS, int maintainMixturePeriod=1)
	Constructor. More...

virtual	~MixtureBootstrapFilter ()
	Destructor. More...

Public Member Functions inherited from BFL::MixtureParticleFilter< StateVar, MeasVar >
	MixtureParticleFilter (Mixture< StateVar > prior, ConditionalPdf< StateVar, StateVar > proposal, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS, int maintainMixturePeriod=1)
	Constructor. More...

	MixtureParticleFilter (Mixture< StateVar > prior, Mixture< StateVar > post, ConditionalPdf< StateVar, StateVar > *proposal, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS, int maintainMixturePeriod=1)
	Constructor. More...

	MixtureParticleFilter (const MixtureParticleFilter< StateVar, MeasVar > &filt)
	Copy Constructor. More...

virtual Mixture< 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 void	Reset (Mixture< StateVar > *prior)
	Reset Filter. More...

virtual	~MixtureParticleFilter ()
	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 bool	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::MixtureParticleFilter< StateVar, MeasVar >
virtual bool	DynamicResampleStep ()
	Resample if necessary. More...

virtual bool	DynamicResampleStepOne (int component)
	Resampling for one component. More...

virtual bool	MaintainMixture ()
	Actual mixture maintainance happens here;. More...

virtual bool	MaintainMixtureStep ()
	Maintain Mixture if wanted. 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	ProposalStepInternalOne (int component, SystemModel< StateVar > const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z, const StateVar &s)
	Proposal step for one component. More...

virtual bool	Resample ()
	Actual Resampling happens here;. More...

virtual bool	ResampleOne (int component)
	Actual Resampling for one component;. 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...

virtual bool	UpdateWeightsInternalOne (int component, SystemModel< StateVar > const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > const measmodel, const MeasVar &z, const StateVar &s)
	Update Weights for one component. More...

Additional Inherited Members
Protected Attributes inherited from BFL::MixtureParticleFilter< StateVar, MeasVar >
bool	_created_post
	created own post More...

bool	_dynamicResampling
	Dynamic resampling or fixed period resampling? More...

int	_maintainMixturePeriod
	Number of timestep between mixture maintainance of the Posterior. More...

vector< vector< Sample< StateVar > > >	_new_samples_unweightedVec
	While resampling. More...

vector< vector< WeightedSample< StateVar > > >	_new_samplesVec
	While updating store list of new samples. More...

vector< Probability >	_newMixtureWeights
	Vector containing the new mixture weights during update step. More...

vector< WeightedSample< StateVar > >::iterator	_ns_it
	Iterator for new list of samples. More...

vector< vector< WeightedSample< StateVar > > >	_old_samplesVec
	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...

vector< Probability >	_sumWeights
	Vector containing the sum of weights during update step. 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::MixtureBootstrapFilter< StateVar, MeasVar >

Particular mixture particle filter : Proposal PDF = SystemPDF.

This is one (simple) particular implementation of a particle filter, in which the proposal density is equal to the pdf describing the system model (aka as SystemPdf), and involving a resampling step

The reason why I chose the name bootstrap filter is the fact that this is the name used in the book by Doucet et al.

@Book{            doucet_book,
editor  = {Doucet, Arnaud and de Freytas, Nando and Gordon, Neil},
title           = {{S}equential {M}onte {C}arlo {M}ethods in {P}ractice},
publisher       = {Springer--Verlag},
year            = {2001},
series  = {Statistics for engineering and information science},
month           = {january},
annote  = {see http://www-sigproc.eng.cam.ac.uk/~ad2/book.html}
}

(and I presume this will become a/the standard book about particle filtering). Typical for the bootstrap filter is the fact that the proposal density is chosen to be the SystemPdf of the SystemModel. So there is no proposal density in the constructor here

Todo:: The implementation is very slow for the moment. It would probably be much faster to add a vector<WeightedSample> to the private members of this class.

See also: Pdf

Definition at line 71 of file mixtureBootstrapFilter.h.

Constructor & Destructor Documentation

◆ MixtureBootstrapFilter() [1/2]

template<typename StateVar, typename MeasVar>

BFL::MixtureBootstrapFilter< StateVar, MeasVar >::MixtureBootstrapFilter	(	Mixture< StateVar > *	prior,
		int	resampleperiod = `0`,
		double	resamplethreshold = `0`,
		int	resamplescheme = `DEFAULT_RS`,
		int	maintainMixturePeriod = `1`
	)

Constructor.

Precondition: you created the necessary models and the prior

Parameters

prior	pointer to the Monte Carlo Pdf prior density
resampleperiod	fixed resampling period (if desired)
resamplethreshold	threshold used when dynamic resampling
resamplescheme	resampling scheme, see header file for different defines and their meaning
maintainMixturePeriod	fixed mixture maintainance period

◆ MixtureBootstrapFilter() [2/2]

template<typename StateVar, typename MeasVar>

BFL::MixtureBootstrapFilter< StateVar, MeasVar >::MixtureBootstrapFilter	(	Mixture< StateVar > *	prior,
		Mixture< StateVar > *	post,
		int	resampleperiod = `0`,
		double	resamplethreshold = `0`,
		int	resamplescheme = `DEFAULT_RS`,
		int	maintainMixturePeriod = `1`
	)

Constructor.

Precondition: you created the necessary models and the prior

Parameters

prior	pointer to the Monte Carlo Pdf prior density
post	pointer to the Monte Carlo Pdf post density
resampleperiod	fixed resampling period (if desired)
resamplethreshold	threshold used when dynamic resampling
resamplescheme	resampling scheme, see header file for different defines and their meaning
maintainMixturePeriod	fixed mixture maintainance period

◆ ~MixtureBootstrapFilter()

template<typename SVar , typename MVar >

BFL::MixtureBootstrapFilter< SVar, MVar >::~MixtureBootstrapFilter ( )

virtual

Destructor.

Definition at line 63 of file mixtureBootstrapFilter.cpp.

Member Function Documentation

◆ UpdateInternal()

template<typename StateVar, typename MeasVar>

bool BFL::MixtureBootstrapFilter< 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::MixtureParticleFilter< StateVar, MeasVar >.

Definition at line 66 of file mixtureBootstrapFilter.cpp.

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

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

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

Constructor & Destructor Documentation

◆ MixtureBootstrapFilter() [1/2]

◆ MixtureBootstrapFilter() [2/2]

◆ ~MixtureBootstrapFilter()

Member Function Documentation

◆ UpdateInternal()

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