ASIR: Auxiliary Particle Filter. More...

#include <asirfilter.h>

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

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:

Uses currently a particular version of important sampling
Still uses the the system pdf as "actual" proposal density, which amongs others means the results will be suboptimal in case of a log concave measurement density.

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

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

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:

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

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

Constructor & Destructor Documentation

Member Function Documentation

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