Rao-Blackwellized/Marginal Particle Filter with inner HMMs. More...

#include <rbpf.h>

Inheritance diagram for pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >:

Collaboration diagram for pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >:

Public Types
using	sssv = Eigen::Matrix< float_t, dimss, 1 >

using	nsssv = Eigen::Matrix< float_t, dimnss, 1 >

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

using	nsssMat = Eigen::Matrix< float_t, dimnss, dimnss >

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

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

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

using	cfModType = hmm< dimnss, dimy, float_t, debug >

using	arrayMod = std::array< cfModType, nparts >

Public Types inherited from pf::bases::rbpf_base< float_t, dimss, dimnss, dimy >
using	obs_sized_vec = Eigen::Matrix< float_t, dimobs, 1 >

using	sampled_state_sized_vec = Eigen::Matrix< float_t, dim_s_state, 1 >

using	not_sampled_state_sized_vec = Eigen::Matrix< float_t, dim_ns_state, 1 >

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

using	func = std::function< const dynamic_matrix(const not_sampled_state_sized_vec &, const sampled_state_sized_vec &)>

using	func_vec = std::vector< func >

Public Member Functions
	rbpf_hmm (const unsigned int &resamp_sched=1)
	The constructor. More...

virtual	~rbpf_hmm ()
	The (virtual) destructor.

void	filter (const osv &data, const std::vector< std::function< const Mat(const nsssv &x1tLogProbs, const sssv &x2t)> > &fs=std::vector< std::function< const Mat(const nsssv &, const sssv &)> >())
	Filter. More...

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

std::vector< Mat >	getExpectations () const
	Get vector of expectations. More...

virtual float_t	logMuEv (const sssv &x21)=0
	Evaluates the first time state density. More...

virtual sssv	q1Samp (const osv &y1)=0
	Sample from the first sampler. More...

virtual nsssv	initHMMLogProbVec (const sssv &x21)=0
	Provides the initial mean vector for each HMM filter object. More...

virtual nsssMat	initHMMLogTransMat (const sssv &x21)=0
	Provides the transition matrix for each HMM filter object. More...

virtual sssv	qSamp (const sssv &x2tm1, const osv &yt)=0
	Samples the time t second component. More...

virtual float_t	logQ1Ev (const sssv &x21, const osv &y1)=0
	Evaluates the proposal density of the second state component at time 1. More...

virtual float_t	logFEv (const sssv &x2t, const sssv &x2tm1)=0
	Evaluates the state transition density for the second state component. More...

virtual float_t	logQEv (const sssv &x2t, const sssv &x2tm1, const osv &yt)=0
	Evaluates the proposal density at time t > 1. More...

virtual void	updateHMM (cfModType &aModel, const osv &yt, const sssv &x2t)=0
	How to update your inner HMM filter object at each time. More...

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

virtual	~rbpf_base ()
	virtual destructor

Private Attributes
unsigned int	m_now

float_t	m_lastLogCondLike

unsigned int	m_rs

arrayMod	m_p_innerMods

arrayVec	m_p_samps

arrayfloat_t	m_logUnNormWeights

resamp_t	m_resampler

std::vector< Mat >	m_expectations

Additional Inherited Members
Static Public Attributes inherited from pf::bases::rbpf_base< float_t, dimss, dimnss, dimy >
static constexpr unsigned int	dim_sampled_state

static constexpr unsigned int	dim_not_sampled_state

static constexpr unsigned int	dim_obs

Detailed Description

template<size_t nparts, size_t dimnss, size_t dimss, size_t dimy, typename resamp_t, typename float_t, bool debug = false>
class pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >

Rao-Blackwellized/Marginal Particle Filter with inner HMMs.

Author: t

Member Typedef Documentation

◆ arrayfloat_t

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::arrayfloat_t = std::array<float_t,nparts>

array of weights

◆ arrayMod

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::arrayMod = std::array<cfModType,nparts>

array of model objects

◆ arrayVec

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::arrayVec = std::array<sssv,nparts>

array of samples

◆ cfModType

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::cfModType = hmm<dimnss,dimy,float_t,debug>

closed-form model type

◆ Mat

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::Mat = Eigen::Matrix<float_t,Eigen::Dynamic,Eigen::Dynamic>

Dynamic size matrix

◆ nsssMat

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::nsssMat = Eigen::Matrix<float_t,dimnss,dimnss>

"not sampled state size matrix"

◆ nsssv

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::nsssv = Eigen::Matrix<float_t,dimnss,1>

"not sampled state size vector"

◆ osv

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::osv = Eigen::Matrix<float_t,dimy,1>

"observation size vector"

◆ sssv

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

using pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::sssv = Eigen::Matrix<float_t,dimss,1>

"sampled state size vector"

Constructor & Destructor Documentation

◆ rbpf_hmm()

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

pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::rbpf_hmm ( const unsigned int & resamp_sched = 1 )

The constructor.

constructor.

Parameters

resamp_sched how often to resample (e.g. once every resamp_sched time periods)

Member Function Documentation

◆ filter()

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

void pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::filter	(	const osv &	data,
		const std::vector< std::function< const Mat(const nsssv &x1tLogProbs, const sssv &x2t)> > &	fs = `std::vector<std::function<const Mat(const nsssv&, const sssv&)> >()`
	)

Filter.

filters everything based on a new data point.

Parameters

data	the most recent time series observation.
fs	a vector of functions computing E[h(x_1t, x_2t^i)\| x_2t^i,y_1:t] to be averaged to yield E[h(x_1t, x_2t)\|,y_1:t]. Will access the probability vector of x_1t

◆ getExpectations()

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

auto pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::getExpectations

Get vector of expectations.

Returns: vector of expectations

◆ getLogCondLike()

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

float_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::getLogCondLike

Get the latest conditional likelihood.

Returns: the latest conditional likelihood.

◆ initHMMLogProbVec()

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

virtual nsssv pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::initHMMLogProbVec ( const sssv & x21 )

pure virtual

Provides the initial mean vector for each HMM filter object.

provides the initial probability vector for each HMM filter object.

Parameters

x21	the second state componenent at time 1.

Returns: a Vec representing the probability of each state element.

◆ initHMMLogTransMat()

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

virtual nsssMat pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::initHMMLogTransMat ( const sssv & x21 )

pure virtual

Provides the transition matrix for each HMM filter object.

provides the transition matrix for each HMM filter object.

Parameters

x21	the second state component at time 1.

Returns: a transition matrix where element (ij) is the probability of transitioning from state i to state j.

◆ logFEv()

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

virtual float_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::logFEv	(	const sssv &	x2t,
		const sssv &	x2tm1
	)

pure virtual

Evaluates the state transition density for the second state component.

Parameters

x2t	the current second state component.
x2tm1	the previous second state component.

Returns: a float_t evaluation.

◆ logMuEv()

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

virtual float_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::logMuEv ( const sssv & x21 )

pure virtual

Evaluates the first time state density.

evaluates mu.

Parameters

x21	component two at time 1

Returns: a float_t evaluation

◆ logQ1Ev()

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

virtual float_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::logQ1Ev	(	const sssv &	x21,
		const osv &	y1
	)

pure virtual

Evaluates the proposal density of the second state component at time 1.

Parameters

x21	the second state component at time 1 you sampled.
y1	time 1 observation.

Returns: a float_t evaluation of the density.

◆ logQEv()

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

virtual float_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::logQEv	(	const sssv &	x2t,
		const sssv &	x2tm1,
		const osv &	yt
	)

pure virtual

Evaluates the proposal density at time t > 1.

Parameters

x2t	the current second state component.
x2tm1	the previous second state component.
yt	the current time series observation.

Returns: a float_t evaluation.

◆ q1Samp()

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

virtual sssv pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::q1Samp ( const osv & y1 )

pure virtual

Sample from the first sampler.

samples the second component of the state at time 1.

Parameters

y1	most recent datum.

Returns: a sssv sample for x21.

◆ qSamp()

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

virtual sssv pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::qSamp	(	const sssv &	x2tm1,
		const osv &	yt
	)

pure virtual

Samples the time t second component.

Parameters

x2tm1	the previous time's second state component.
yt	the current observation.

Returns: a Vec sample of the second state component at the current time.

◆ updateHMM()

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

virtual void pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::updateHMM	(	cfModType &	aModel,
		const osv &	yt,
		const sssv &	x2t
	)

pure virtual

How to update your inner HMM filter object at each time.

Parameters

aModel	a HMM filter object describing the conditional closed-form model.
yt	the current time series observation.
x2t	the current second state component.

Member Data Documentation

◆ m_expectations

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

std::vector<Mat> pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_expectations

private

the vector of expectations

◆ m_lastLogCondLike

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

float_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_lastLogCondLike

private

last conditional likelihood

◆ m_logUnNormWeights

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

arrayfloat_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_logUnNormWeights

private

the array of unnormalized log-weights

◆ m_now

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

unsigned int pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_now

private

the current time period

◆ m_p_innerMods

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

arrayMod pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_p_innerMods

private

the array of inner closed-form models

◆ m_p_samps

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

arrayVec pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_p_samps

private

the array of samples for the second state portion

◆ m_resampler

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

resamp_t pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_resampler

private

the resampler object

◆ m_rs

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

unsigned int pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >::m_rs

private

resampling schedue

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

include/pf/rbpf.h

Public Types

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

template<size_t nparts, size_t dimnss, size_t dimss, size_t dimy, typename resamp_t, typename float_t, bool debug = false> class pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >

Member Typedef Documentation

◆ arrayfloat_t

◆ arrayMod

◆ arrayVec

◆ cfModType

◆ Mat

◆ nsssMat

◆ nsssv

◆ osv

◆ sssv

Constructor & Destructor Documentation

◆ rbpf_hmm()

Member Function Documentation

◆ filter()

◆ getExpectations()

◆ getLogCondLike()

◆ initHMMLogProbVec()

◆ initHMMLogTransMat()

◆ logFEv()

◆ logMuEv()

◆ logQ1Ev()

◆ logQEv()

◆ q1Samp()

◆ qSamp()

◆ updateHMM()

Member Data Documentation

◆ m_expectations

◆ m_lastLogCondLike

◆ m_logUnNormWeights

◆ m_now

◆ m_p_innerMods

◆ m_p_samps

◆ m_resampler

◆ m_rs

template<size_t nparts, size_t dimnss, size_t dimss, size_t dimy, typename resamp_t, typename float_t, bool debug = false>
class pf::filters::rbpf_hmm< nparts, dimnss, dimss, dimy, resamp_t, float_t, debug >