Optimalimportancefilter< StateVar, MeasVar > Class Template Reference

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

#include <optimalimportancefilter.h>

Inheritance diagram for Optimalimportancefilter< StateVar, MeasVar >:

ParticleFilter< StateVar, MeasVar > Filter< StateVar,MeasVar >

List of all members.

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.


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.


Member Function Documentation

virtual void ConstructProposal ( SystemModel< StateVar > *const   sysmodel,
MeasurementModel< MeasVar, StateVar > *const   measmodel 
) [protected, virtual]

Construct Optimal importance density from a sys and meas. model.

Parameters:
sysmodel system model to use
measmodel measurement model to use for proposal construction

virtual bool DynamicResampleStep (  )  [protected, virtual, inherited]

Resample if necessary.

Bug:
let the user implement her/his own resamplescheme

OptimalImportanceFilter ( 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

virtual MCPdf<StateVar >* PostGet (  )  [virtual, inherited]

Get Posterior density.

Get the current Posterior density

Returns:
a pointer to the current posterior

Reimplemented from Filter< StateVar,MeasVar >.

ConditionalPdf<StateVar ,StateVar >* ProposalGet (  )  [inherited]

Get a pointer to the proposal density.

Returns:
a pointer to the proposal density

virtual void ProposalSet ( ConditionalPdf< StateVar , StateVar > *const  cpdf  )  [virtual, inherited]

Set the proposal density.

Parameters:
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

Parameters:
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
Bug:
Make sampling method variable. See implementation.

virtual bool StaticResampleStep (  )  [protected, virtual, inherited]

Resample if wanted.

Bug:
let the user implement her/his own resamplescheme

int TimeStepGet (  )  const [inherited]

Get current time.

Get the current time of the filter

Returns:
the current timestep

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

Measurement Update (system without "sensing params").

Parameters:
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).

Parameters:
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).

Parameters:
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).

Parameters:
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).

Parameters:
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).

Parameters:
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.

Parameters:
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.

Parameters:
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


Member Data Documentation

Pdf<StateVar >* _post [protected, inherited]

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

See also:
PostGet()

Definition at line 95 of file filter.h.

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]

Represents the current timestep of the filter.

Todo:
Check wether this really belongs here

Definition at line 100 of file filter.h.


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

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