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

ASIR: Auxiliary Particle Filter. More...

#include <asirfilter.h>

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

List of all members.

Public Member Functions

 ASIRFilter (MCPdf< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
virtual ~ASIRFilter ()

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.

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)

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


\[ \mu \]

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 


you created the necessary models and the prior
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]


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 
) [protected, virtual]

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:

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 Thu Feb 11 2016 22:31:57