#include <optimalimportancefilter.h>
Public Member Functions | |
OptimalImportanceFilter (MCPdf< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS) | |
Constructor. | |
virtual | ~OptimalImportanceFilter () |
Destructor. | |
OptimalImportanceFilter (const OptimalImportanceFilter< StateVar, MeasVar > &filt) | |
Copy constructor. | |
virtual void | 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). | |
virtual void | Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Full Update (system without inputs, with sensing params). | |
virtual void | Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Full Update (system without inputs/sensing params). | |
virtual void | Update (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Full Update (system with inputs, without sensing params). | |
virtual void | Update (SystemModel< StateVar > *const sysmodel, const StateVar &u) |
Only sysupdate. | |
virtual void | Update (SystemModel< StateVar > *const sysmodel) |
System Update (system without inputs). | |
virtual void | Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Only measupdate. | |
virtual void | Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Measurement Update (system without "sensing params"). | |
virtual void | ProposalSet (ConditionalPdf< StateVar, StateVar > *const cpdf) |
Set the proposal density. | |
ConditionalPdf< StateVar, StateVar > * | ProposalGet () |
Get a pointer to the proposal density. | |
virtual MCPdf< StateVar > * | PostGet () |
Get Posterior density. | |
virtual void | Reset (Pdf< StateVar > *prior) |
Reset Filter. | |
int | TimeStepGet () const |
Get current time. | |
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. | |
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. | |
virtual bool | ProposalStepInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Proposal step. | |
virtual bool | UpdateWeightsInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Update Weights. | |
virtual bool | DynamicResampleStep () |
Resample if necessary. | |
virtual bool | StaticResampleStep () |
Resample if wanted. | |
virtual bool | Resample () |
Actual Resampling happens here;. | |
Protected Attributes | |
ConditionalPdf< StateVar, StateVar > * | _proposal |
Pointer to the Proposal Density. | |
WeightedSample< StateVar > | _sample |
While updating use sample<StateVar>. | |
vector< WeightedSample < StateVar > > | _old_samples |
While updating store list of old samples. | |
vector< WeightedSample < StateVar > > | _new_samples |
While updating store list of new samples. | |
vector< Sample< StateVar > > | _new_samples_unweighted |
While resampling. | |
vector< WeightedSample < StateVar > >::iterator | _os_it |
Iterator for old list of samples. | |
vector< WeightedSample < StateVar > >::iterator | _ns_it |
Iterator for new list of samples. | |
int | _resamplePeriod |
Number of timestep between resampling from the Posterior Pdf. | |
double | _resampleThreshold |
Threshold used when dynamic resampling. | |
int | _resampleScheme |
Which resample algorithm (see top of particle.h for defines). | |
bool | _dynamicResampling |
Dynamic resampling or fixed period resampling? | |
bool | _proposal_depends_on_meas |
Proposal depends on last measurement? | |
bool | _created_post |
created own post | |
Pdf< StateVar > * | _prior |
prior Pdf | |
Pdf< StateVar > * | _post |
Pointer to the Posterior Pdf. | |
int | _timestep |
Represents the current timestep of the filter. |
This is one (simple) particular implementation of a particle filter, in which the proposal density is equal to the pdf . 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.
@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.
virtual void ConstructProposal | ( | SystemModel< StateVar > *const | sysmodel, | |
MeasurementModel< MeasVar, StateVar > *const | measmodel | |||
) | [protected, virtual] |
Construct Optimal importance density from a sys and meas. model.
sysmodel | system model to use | |
measmodel | measurement model to use for proposal construction |
virtual bool DynamicResampleStep | ( | ) | [protected, virtual, inherited] |
OptimalImportanceFilter | ( | MCPdf< StateVar > * | prior, | |
int | resampleperiod = 0 , |
|||
double | resamplethreshold = 0 , |
|||
int | resamplescheme = DEFAULT_RS | |||
) |
Constructor.
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 |
virtual MCPdf<StateVar >* PostGet | ( | ) | [virtual, inherited] |
Get Posterior density.
Get the current Posterior density
Reimplemented from Filter< StateVar,MeasVar >.
ConditionalPdf<StateVar ,StateVar >* ProposalGet | ( | ) | [inherited] |
Get a pointer to the proposal density.
virtual void ProposalSet | ( | ConditionalPdf< StateVar , StateVar > *const | cpdf | ) | [virtual, inherited] |
Set the proposal density.
cpdf | the new proposal density. The order of the conditional arguments is fixed and should be: x (state), u (input), z (measurement), s (sensor param). Off course all of them are optional |
virtual bool ProposalStepInternal | ( | SystemModel< StateVar > *const | sysmodel, | |
const StateVar & | u, | |||
MeasurementModel< MeasVar , StateVar > *const | measmodel, | |||
const MeasVar & | z, | |||
const StateVar & | s | |||
) | [protected, virtual, inherited] |
Proposal step.
Implementation of proposal step
sysmodel | pointer to the used system model | |
u | input param for proposal density | |
measmodel | pointer to the used measurementmodel | |
z | measurement param for proposal density | |
s | sensor param for proposal density |
virtual bool StaticResampleStep | ( | ) | [protected, virtual, inherited] |
int TimeStepGet | ( | ) | const [inherited] |
Get current time.
Get the current time of the filter
virtual void Update | ( | MeasurementModel< MeasVar, StateVar > *const | measmodel, | |
const MeasVar & | z | |||
) | [virtual] |
Measurement Update (system without "sensing params").
measmodel | pointer to the measurement model to use for update | |
z | measurement |
Reimplemented from Filter< StateVar,MeasVar >.
virtual void Update | ( | SystemModel< StateVar > *const | sysmodel | ) | [virtual] |
System Update (system without inputs).
sysmodel | pointer to the system model to use for update |
Reimplemented from Filter< StateVar,MeasVar >.
virtual void Update | ( | SystemModel< StateVar > *const | sysmodel, | |
const StateVar & | u, | |||
MeasurementModel< MeasVar, StateVar > *const | measmodel, | |||
const MeasVar & | z | |||
) | [virtual] |
Full Update (system with inputs, without sensing params).
sysmodel | pointer to the system model to use for update | |
u | input to the system | |
measmodel | pointer to the measurement model to use for update | |
z | measurement |
Reimplemented from Filter< StateVar,MeasVar >.
virtual void Update | ( | SystemModel< StateVar > *const | sysmodel, | |
MeasurementModel< MeasVar, StateVar > *const | measmodel, | |||
const MeasVar & | z | |||
) | [virtual] |
Full Update (system without inputs/sensing params).
sysmodel | pointer to the system model to use for update | |
measmodel | pointer to the measurement model to use for update | |
z | measurement |
Reimplemented from Filter< StateVar,MeasVar >.
virtual void Update | ( | SystemModel< StateVar > *const | sysmodel, | |
MeasurementModel< MeasVar, StateVar > *const | measmodel, | |||
const MeasVar & | z, | |||
const StateVar & | s | |||
) | [virtual] |
Full Update (system without inputs, with sensing params).
sysmodel | pointer to the system model to use for update | |
measmodel | pointer to the measurement model to use for update | |
z | measurement | |
s | "sensing parameter" |
Reimplemented from Filter< StateVar,MeasVar >.
virtual void Update | ( | SystemModel< StateVar > *const | sysmodel, | |
const StateVar & | u, | |||
MeasurementModel< MeasVar, StateVar > *const | measmodel, | |||
const MeasVar & | z, | |||
const StateVar & | s | |||
) | [virtual] |
Full Update (system with inputs/sensing params).
sysmodel | pointer to the system model to use for update | |
u | input to the system | |
measmodel | pointer to the measurement model to use for update | |
z | measurement | |
s | "sensing parameter" |
Reimplemented from Filter< StateVar,MeasVar >.
virtual bool UpdateInternal | ( | SystemModel< StateVar > *const | sysmodel, | |
const StateVar & | u, | |||
MeasurementModel< MeasVar , StateVar > *const | measmodel, | |||
const MeasVar & | z, | |||
const StateVar & | s | |||
) | [protected, virtual, inherited] |
Actual implementation of Update, varies along filters.
sysmodel | pointer to the used system model | |
u | input param for proposal density | |
measmodel | pointer to the used measurementmodel | |
z | measurement param for proposal density | |
s | sensor param for proposal density |
Implements Filter< StateVar,MeasVar >.
Reimplemented in ASIRFilter< StateVar, MeasVar >, and BootstrapFilter< StateVar, MeasVar >.
virtual bool UpdateWeightsInternal | ( | SystemModel< StateVar > *const | sysmodel, | |
const StateVar & | u, | |||
MeasurementModel< MeasVar , StateVar > *const | measmodel, | |||
const MeasVar & | z, | |||
const StateVar & | s | |||
) | [protected, virtual, inherited] |
Update Weights.
sysmodel | pointer to the used system model | |
u | input param for proposal density | |
measmodel | pointer to the used measurementmodel | |
z | measurement param for proposal density | |
s | sensor param for proposal density |
Pointer to the Posterior Pdf.
The Posterior Pdf represents the subjective belief of the person applying the filter AFTER processing inputs and measurements. A filter does not maintain the beliefs at all timesteps t, since this leads to non-constant (or ever growing if you prefer) memory requirements. However, it is possible, to copy the Posterior density at all timesteps in your application by means of the PostGet() member function
ConditionalPdf<StateVar ,StateVar >* _proposal [protected, inherited] |
Pointer to the Proposal Density.
Every particle filter (or more correct: every Sequential Importance Sampling method) uses a proposal density to do the forward sampling step
Definition at line 174 of file particlefilter.h.
int _resamplePeriod [protected, inherited] |
Number of timestep between resampling from the Posterior Pdf.
By choosing this period, one can avoid numerical instability (aka Degeneration of the particle filter
Definition at line 193 of file particlefilter.h.
int _timestep [protected, inherited] |