A base-class for Auxiliary Particle Filtering. Filtering only, no smoothing. More...

#include <auxiliary_pf.h>

Inheritance diagram for pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >:

Collaboration diagram for pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >:

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Public Member Functions
	APF (const unsigned int &rs=1)
	The constructor. More...

virtual	~APF ()
	The (virtual) destructor.

float_t	getLogCondLike () const
	Get the latest log conditional likelihood. More...

std::vector< Mat >	getExpectations () const
	return all stored expectations (taken with respect to $p(x_t\|y_{1:t})$ More...

void	filter (const osv &data, const std::vector< std::function< const Mat(const ssv &)> > &fs=std::vector< std::function< const Mat(const ssv &)> >())
	Use a new datapoint to update the filtering distribution (or smoothing if pathLength > 0). More...

virtual float_t	logMuEv (const ssv &x1)=0
	Evaluates the log of mu. More...

virtual ssv	propMu (const ssv &xtm1)=0
	Evaluates the proposal distribution taking a Eigen::Matrix<float_t,dimx,1> from the previous time's state, and returning a state for the current time. More...

virtual ssv	q1Samp (const osv &y1)=0
	Samples from q1. More...

virtual ssv	fSamp (const ssv &xtm1)=0
	Samples from f. More...

virtual float_t	logQ1Ev (const ssv &x1, const osv &y1)=0
	Evaluates the log of q1. More...

virtual float_t	logGEv (const osv &yt, const ssv &xt)=0
	Evaluates the log of g. More...

Public Member Functions inherited from pf::bases::pf_base< float_t, dimy, dimx >
virtual void	filter (const obs_sized_vec &data, const func_vec &fs=func_vec())=0
	the filtering function that must be defined More...

virtual float_t	getLogCondLike () const=0
	the getter method that must be defined (for conditional log-likelihood) More...

virtual	~pf_base ()
	virtual destructor

Protected Attributes
std::array< ssv, nparts >	m_particles
	particle samples

std::array< float_t, nparts >	m_logUnNormWeights
	particle unnormalized weights

unsigned int	m_now
	curren time

float_t	m_logLastCondLike
	log p(y_t\|y_{1:t-1}) or log p(y1)

unsigned int	m_rs
	the resampling schedule

resamp_t	m_resampler
	resampler object (default ctor'd)

rvsamp::k_gen< nparts, float_t >	m_kGen
	k generator object (default ctor'd)

std::vector< Mat >	m_expectations
	expectations E[h(x_t) \| y_{1:t}] for user defined "h"s

Private Types
using	ssv = Eigen::Matrix< float_t, dimx, 1 >

using	osv = Eigen::Matrix< float_t, dimy, 1 >

using	Mat = Eigen::Matrix< float_t, Eigen::Dynamic, Eigen::Dynamic >

using	arrayfloat_t = std::array< float_t, nparts >

using	arrayVec = std::array< ssv, nparts >

using	arrayUInt = std::array< unsigned int, nparts >

Additional Inherited Members
Public Types inherited from pf::bases::pf_base< float_t, dimy, dimx >
using	float_type = float_t

using	obs_sized_vec = Eigen::Matrix< float_t, dimobs, 1 >

using	state_sized_vec = Eigen::Matrix< float_t, dimstate, 1 >

using	dynamic_matrix = Eigen::Matrix< float_t, Eigen::Dynamic, Eigen::Dynamic >

using	func = std::function< const dynamic_matrix(const state_sized_vec &)>

using	func_vec = std::vector< func >

Static Public Attributes inherited from pf::bases::pf_base< float_t, dimy, dimx >
static constexpr unsigned int	dim_obs

static constexpr unsigned int	dim_state

Detailed Description

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t, typename float_t, bool debug = false>
class pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >

A base-class for Auxiliary Particle Filtering. Filtering only, no smoothing.

Author: taylor

Member Typedef Documentation

◆ arrayfloat_t

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

using pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::arrayfloat_t = std::array<float_t, nparts>

private

type alias for array of float_ts

◆ arrayUInt

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

using pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::arrayUInt = std::array<unsigned int, nparts>

private

type alias for array of unsigned ints

◆ arrayVec

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

using pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::arrayVec = std::array<ssv, nparts>

private

type alias for array of state vectors

◆ Mat

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

using pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::Mat = Eigen::Matrix<float_t,Eigen::Dynamic,Eigen::Dynamic>

private

type alias for linear algebra stuff (dimension of the state ^2)

◆ osv

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

using pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::osv = Eigen::Matrix<float_t,dimy,1>

private

"observation size vector" type alias for linear algebra stuff

◆ ssv

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

using pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::ssv = Eigen::Matrix<float_t,dimx,1>

private

"state size vector" type alias for linear algebra stuff

Constructor & Destructor Documentation

◆ APF()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug>

pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::APF ( const unsigned int & rs = 1 )

The constructor.

Parameters

rs	resampling schedule (e.g. resample every rs time points).

Member Function Documentation

◆ filter()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug>

void pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::filter	(	const osv &	data,
		const std::vector< std::function< const Mat(const ssv &)> > &	fs = `std::vector<std::function<const Mat(const ssv&)> >()`
	)

Use a new datapoint to update the filtering distribution (or smoothing if pathLength > 0).

Parameters

data	a Eigen::Matrix<float_t,dimy,1> representing the data
fs	a std::vector of callback functions that are used to calculate expectations with respect to the filtering distribution.

◆ fSamp()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

virtual ssv pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::fSamp ( const ssv & xtm1 )

pure virtual

Samples from f.

Parameters

xtm1	a Eigen::Matrix<float_t,dimx,1> representing the previous time's state.

Returns: a Eigen::Matrix<float_t,dimx,1> state sample for the current time.

◆ getExpectations()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug>

auto pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::getExpectations

return all stored expectations (taken with respect to $p(x_t|y_{1:t})$

Returns: return a std::vector<Mat> of expectations. How many depends on how many callbacks you gave to

◆ getLogCondLike()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug>

float_t pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::getLogCondLike

Get the latest log conditional likelihood.

Returns: a float_t of the most recent conditional likelihood.

◆ logGEv()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

virtual float_t pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::logGEv	(	const osv &	yt,
		const ssv &	xt
	)

pure virtual

Evaluates the log of g.

Parameters

yt	a Eigen::Matrix<float_t,dimy,1> representing time t's data observation.
xt	a Eigen::Matrix<float_t,dimx,1> representing time t's state.

Returns: a float_t evaluation.

◆ logMuEv()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

virtual float_t pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::logMuEv ( const ssv & x1 )

pure virtual

Evaluates the log of mu.

Parameters

x1	a Eigen::Matrix<float_t,dimx,1> representing time 1's state.

Returns: a float_t evaluation.

◆ logQ1Ev()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

virtual float_t pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::logQ1Ev	(	const ssv &	x1,
		const osv &	y1
	)

pure virtual

Evaluates the log of q1.

Parameters

x1	a Eigen::Matrix<float_t,dimx,1> representing time 1's state.
y1	a Eigen::Matrix<float_t,dimy,1> representing time 1's data observation.

Returns: a float_t evaluation.

◆ propMu()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

virtual ssv pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::propMu ( const ssv & xtm1 )

pure virtual

Evaluates the proposal distribution taking a Eigen::Matrix<float_t,dimx,1> from the previous time's state, and returning a state for the current time.

Parameters

xtm1	a Eigen::Matrix<float_t,dimx,1> representing the previous time's state.

Returns: a Eigen::Matrix<float_t,dimx,1> representing a likely current time state, to be used by the observation density.

◆ q1Samp()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t , typename float_t , bool debug = false>

virtual ssv pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >::q1Samp ( const osv & y1 )

pure virtual

Samples from q1.

Parameters

y1	a Eigen::Matrix<float_t,dimy,1> representing time 1's data point.

Returns: a Eigen::Matrix<float_t,dimx,1> sample for time 1's state.

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

include/pf/auxiliary_pf.h

Public Member Functions

Protected Attributes

Private Types

Additional Inherited Members

Detailed Description

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t, typename float_t, bool debug = false> class pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >

Member Typedef Documentation

◆ arrayfloat_t

◆ arrayUInt

◆ arrayVec

◆ Mat

◆ osv

◆ ssv

Constructor & Destructor Documentation

◆ APF()

Member Function Documentation

◆ filter()

◆ fSamp()

◆ getExpectations()

◆ getLogCondLike()

◆ logGEv()

◆ logMuEv()

◆ logQ1Ev()

◆ propMu()

◆ q1Samp()

template<size_t nparts, size_t dimx, size_t dimy, typename resamp_t, typename float_t, bool debug = false>
class pf::filters::APF< nparts, dimx, dimy, resamp_t, float_t, debug >