#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) |
virtual void | Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
virtual void | Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
virtual void | Update (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
virtual void | Update (SystemModel< StateVar > *const sysmodel, const StateVar &u) |
Only sysupdate. | |
virtual void | Update (SystemModel< StateVar > *const sysmodel) |
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) |
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. | |
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). | |
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). | |
virtual bool | Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Full Update (system without inputs/sensing params). | |
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). | |
virtual bool | Update (SystemModel< StateVar > *const sysmodel, const StateVar &u) |
System Update (system with inputs). | |
virtual bool | Update (SystemModel< StateVar > *const sysmodel) |
System Update (system without inputs). | |
virtual bool | Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Measurement Update (system with "sensing params"). | |
virtual bool | Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Measurement Update (system without "sensing params"). | |
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 |
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 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.
bool ProposalStepInternal | ( | SystemModel< SV > *const | sysmodel, | |
const SV & | u, | |||
MeasurementModel< MV, SV > *const | measmodel, | |||
const MV & | z, | |||
const SV & | s | |||
) | [inline, 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 |
Reimplemented in EKParticleFilter.
Definition at line 1028 of file particlefilter.h.
bool UpdateWeightsInternal | ( | SystemModel< SV > *const | sysmodel, | |
const SV & | u, | |||
MeasurementModel< MV, SV > *const | measmodel, | |||
const MV & | z, | |||
const SV & | s | |||
) | [inline, 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 |
Definition at line 1084 of file particlefilter.h.
bool DynamicResampleStep | ( | ) | [inline, protected, virtual, inherited] |
Resample if necessary.
Definition at line 1155 of file particlefilter.h.
bool StaticResampleStep | ( | ) | [inline, protected, virtual, inherited] |
Resample if wanted.
Definition at line 1191 of file particlefilter.h.
void ProposalSet | ( | ConditionalPdf< SV, SV > *const | cpdf | ) | [inline, 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 |
Definition at line 1016 of file particlefilter.h.
ConditionalPdf< SV, SV > * ProposalGet | ( | ) | [inline, inherited] |
Get a pointer to the proposal density.
Definition at line 1022 of file particlefilter.h.
MCPdf< SV > * PostGet | ( | ) | [inline, virtual, inherited] |
Get Posterior density.
Get the current Posterior density
Reimplemented from Filter.
Definition at line 1273 of file particlefilter.h.
bool Update | ( | SystemModel< SVar > *const | sysmodel, | |
const SVar & | u, | |||
MeasurementModel< MVar, SVar > *const | measmodel, | |||
const MVar & | z, | |||
const SVar & | s | |||
) | [inline, virtual, inherited] |
bool Update | ( | SystemModel< SVar > *const | sysmodel, | |
MeasurementModel< MVar, SVar > *const | measmodel, | |||
const MVar & | z, | |||
const SVar & | s | |||
) | [inline, virtual, inherited] |
bool Update | ( | SystemModel< SVar > *const | sysmodel, | |
MeasurementModel< MVar, SVar > *const | measmodel, | |||
const MVar & | z | |||
) | [inline, virtual, inherited] |
bool Update | ( | SystemModel< SVar > *const | sysmodel, | |
const SVar & | u, | |||
MeasurementModel< MVar, SVar > *const | measmodel, | |||
const MVar & | z | |||
) | [inline, virtual, inherited] |
bool Update | ( | SystemModel< SVar > *const | sysmodel, | |
const SVar & | u | |||
) | [inline, virtual, inherited] |
bool Update | ( | SystemModel< SVar > *const | sysmodel | ) | [inline, virtual, inherited] |
bool Update | ( | MeasurementModel< MVar, SVar > *const | measmodel, | |
const MVar & | z, | |||
const SVar & | s | |||
) | [inline, virtual, inherited] |
bool Update | ( | MeasurementModel< MVar, SVar > *const | measmodel, | |
const MVar & | z | |||
) | [inline, virtual, inherited] |
int TimeStepGet | ( | ) | const [inline, inherited] |
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.
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
int _timestep [protected, inherited] |