Bayesian Filtering Library
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ASIR: Auxiliary Particle Filter. More...
#include <asirfilter.h>
Public Member Functions | |
virtual void | ProposalSet (ConditionalPdf< StateVar, StateVar > *const cpdf) |
Set the proposal density. More... | |
ConditionalPdf< StateVar, StateVar > * | ProposalGet () |
Get a pointer to the proposal density. More... | |
virtual MCPdf< StateVar > * | PostGet () |
Get Posterior density. More... | |
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) More... | |
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) More... | |
virtual bool | Update (SystemModel< StateVar > *const sysmodel, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Full Update (system without inputs/sensing params) More... | |
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) More... | |
virtual bool | Update (SystemModel< StateVar > *const sysmodel, const StateVar &u) |
System Update (system with inputs) More... | |
virtual bool | Update (SystemModel< StateVar > *const sysmodel) |
System Update (system without inputs) More... | |
virtual bool | Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Measurement Update (system with "sensing params") More... | |
virtual bool | Update (MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z) |
Measurement Update (system without "sensing params") More... | |
int | TimeStepGet () const |
Get current time. More... | |
Protected Member Functions | |
virtual bool | ProposalStepInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Proposal step. More... | |
virtual bool | UpdateWeightsInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Update Weights. More... | |
virtual bool | DynamicResampleStep () |
Resample if necessary. More... | |
virtual bool | StaticResampleStep () |
Resample if wanted. More... | |
virtual bool | Resample () |
Actual Resampling happens here;. | |
Protected Attributes | |
ConditionalPdf< StateVar, StateVar > * | _proposal |
Pointer to the Proposal Density. More... | |
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. More... | |
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. More... | |
int | _timestep |
Represents the current timestep of the filter. More... | |
Standard Stream Objects | |
virtual void | UpdateInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s) |
Actual implementation of updateinternal. | |
ASIRFilter (MCPdf< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS) | |
Constructor. More... | |
virtual | ~ASIRFilter () |
Destructor. | |
ASIR: Auxiliary Particle Filter.
This is a possible implementation of a particle filter, which in some/many cases will yield better results, since measures are taken to make the proposal density more similar to the posterior. See
@Article{ pitt_auxiliary, author = {Pitt, M. and Shephard, N.}, title = {Filtering via simulation: auxiliary particle filter}, journal = {Journal of the American Statistical Association}, year = {1999}, note = {forthcoming} }
for more details.
Note that this particular implementation:
Particular issue with of proposalstep in case of ASIR filter... The current implementation uses the approximation (see p. 11 of the Pitt and Shephard paper, we use their notation here —
denoting the state and
denoting the measurement)
where
is the mean value of the system pdf.
Note that the ASIR needs the measurementmodel for its proposalstep, to obtain a better proposal. Note also that normally, the ASIR performs better that the standard SIR filter in case of outliers, but worse for "normal data" (due to the extra resampling stage).
Definition at line 79 of file asirfilter.h.
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Resample if necessary.
Definition at line 272 of file particlefilter.h.
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Get Posterior density.
Get the current Posterior density
Reimplemented from Filter< StateVar, MeasVar >.
Definition at line 390 of file particlefilter.h.
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inherited |
Get a pointer to the proposal density.
Definition at line 139 of file particlefilter.h.
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virtualinherited |
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 133 of file particlefilter.h.
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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 145 of file particlefilter.h.
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Resample if wanted.
Definition at line 308 of file particlefilter.h.
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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 201 of file particlefilter.h.
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protectedinherited |
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
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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.
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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.
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