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MixtureBootstrapFilter< StateVar, MeasVar > Class Template Reference

Particular mixture particle filter : Proposal PDF = SystemPDF. More...

#include <mixtureBootstrapFilter.h>

Inheritance diagram for MixtureBootstrapFilter< StateVar, MeasVar >:
MixtureParticleFilter< StateVar, MeasVar > Filter< StateVar, MeasVar >

Public Member Functions

 MixtureBootstrapFilter (Mixture< StateVar > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS, int maintainMixturePeriod=1)
 Constructor.
 
 MixtureBootstrapFilter (Mixture< StateVar > *prior, Mixture< StateVar > *post, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS, int maintainMixturePeriod=1)
 Constructor.
 
virtual ~MixtureBootstrapFilter ()
 Destructor.
 
virtual void Reset (Mixture< StateVar > *prior)
 Reset Filter.
 
virtual void Reset (Pdf< StateVar > *prior)
 Reset Filter.
 
virtual void ProposalSet (ConditionalPdf< StateVar, StateVar > *const cpdf)
 Set the proposal density.
 
ConditionalPdf< StateVar, StateVar > * ProposalGet ()
 Get a pointer to the proposal density.
 
virtual Mixture< StateVar > * PostGet ()
 Get Posterior density.
 
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 bool UpdateInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Actual implementation of updateinternal.
 
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 ProposalStepInternalOne (int component, SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Proposal step for one component.
 
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 UpdateWeightsInternalOne (int component, SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)
 Update Weights for one component.
 
virtual bool DynamicResampleStep ()
 Resample if necessary.
 
virtual bool DynamicResampleStepOne (int component)
 Resampling for one component.
 
virtual bool StaticResampleStep ()
 Resample if wanted.
 
virtual bool Resample ()
 Actual Resampling happens here;.
 
virtual bool ResampleOne (int component)
 Actual Resampling for one component;.
 
virtual bool MaintainMixtureStep ()
 Maintain Mixture if wanted.
 
virtual bool MaintainMixture ()
 Actual mixture maintainance happens here;.
 

Protected Attributes

ConditionalPdf< StateVar, StateVar > * _proposal
 Pointer to the Proposal Density.
 
WeightedSample< StateVar > _sample
 While updating use sample<StateVar>
 
vector< vector< WeightedSample< StateVar > > > _old_samplesVec
 While updating store list of old samples.
 
vector< vector< WeightedSample< StateVar > > > _new_samplesVec
 While updating store list of new samples.
 
vector< vector< Sample< StateVar > > > _new_samples_unweightedVec
 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.
 
vector< Probability_newMixtureWeights
 Vector containing the new mixture weights during update step.
 
vector< Probability_sumWeights
 Vector containing the sum of weights during update step.
 
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
 
int _maintainMixturePeriod
 Number of timestep between mixture maintainance of the Posterior.
 
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::MixtureBootstrapFilter< StateVar, MeasVar >

Particular mixture particle filter : Proposal PDF = SystemPDF.

This is one (simple) particular implementation of a particle filter, in which the proposal density is equal to the pdf describing the system model (aka as SystemPdf), and involving a resampling step

The reason why I chose the name bootstrap filter is the fact that this is the name used in the book by Doucet et al.

@Book{            doucet_book,
editor  = {Doucet, Arnaud and de Freytas, Nando and Gordon, Neil},
title           = {{S}equential {M}onte {C}arlo {M}ethods in {P}ractice},
publisher       = {Springer--Verlag},
year            = {2001},
series  = {Statistics for engineering and information science},
month           = {january},
annote  = {see http://www-sigproc.eng.cam.ac.uk/~ad2/book.html}
}

(and I presume this will become a/the standard book about particle filtering). Typical for the bootstrap filter is the fact that the proposal density is chosen to be the SystemPdf of the SystemModel. So there is no proposal density in the constructor here

Todo:
The implementation is very slow for the moment. It would probably be much faster to add a vector<WeightedSample> to the private members of this class.
See also
Pdf

Definition at line 71 of file mixtureBootstrapFilter.h.

Constructor & Destructor Documentation

◆ MixtureBootstrapFilter() [1/2]

template<typename StateVar , typename MeasVar >
MixtureBootstrapFilter ( Mixture< StateVar > *  prior,
int  resampleperiod = 0,
double  resamplethreshold = 0,
int  resamplescheme = DEFAULT_RS,
int  maintainMixturePeriod = 1 
)

Constructor.

Precondition
you created the necessary models and the prior
Parameters
priorpointer to the Monte Carlo Pdf prior density
resampleperiodfixed resampling period (if desired)
resamplethresholdthreshold used when dynamic resampling
resampleschemeresampling scheme, see header file for different defines and their meaning
maintainMixturePeriodfixed mixture maintainance period

◆ MixtureBootstrapFilter() [2/2]

template<typename StateVar , typename MeasVar >
MixtureBootstrapFilter ( Mixture< StateVar > *  prior,
Mixture< StateVar > *  post,
int  resampleperiod = 0,
double  resamplethreshold = 0,
int  resamplescheme = DEFAULT_RS,
int  maintainMixturePeriod = 1 
)

Constructor.

Precondition
you created the necessary models and the prior
Parameters
priorpointer to the Monte Carlo Pdf prior density
postpointer to the Monte Carlo Pdf post density
resampleperiodfixed resampling period (if desired)
resamplethresholdthreshold used when dynamic resampling
resampleschemeresampling scheme, see header file for different defines and their meaning
maintainMixturePeriodfixed mixture maintainance period

Member Function Documentation

◆ DynamicResampleStepOne()

template<typename StateVar , typename MeasVar >
virtual bool DynamicResampleStepOne ( int  component)
protectedvirtualinherited

Resampling for one component.

Parameters
componentcomponent number of component to update
Bug:
let the user implement her/his own resamplescheme

◆ MaintainMixtureStep()

template<typename StateVar , typename MeasVar >
virtual bool MaintainMixtureStep ( )
protectedvirtualinherited

Maintain Mixture if wanted.

Bug:
let the user implement her/his own mixture maintaince scheme

◆ PostGet()

template<typename StateVar , typename MeasVar >
virtual Mixture< StateVar > * PostGet ( )
virtualinherited

Get Posterior density.

Get the current Posterior density

Returns
a pointer to the current posterior

Reimplemented from Filter< StateVar, MeasVar >.

◆ ProposalGet()

template<typename StateVar , typename MeasVar >
ConditionalPdf< StateVar, StateVar > * ProposalGet ( )
inherited

Get a pointer to the proposal density.

Returns
a pointer to the proposal density

◆ ProposalSet()

template<typename StateVar , typename MeasVar >
virtual void ProposalSet ( ConditionalPdf< StateVar, StateVar > *const  cpdf)
virtualinherited

Set the proposal density.

Parameters
cpdfthe 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

◆ ProposalStepInternal()

template<typename StateVar , typename MeasVar >
virtual bool ProposalStepInternal ( SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
protectedvirtualinherited

Proposal step.

Implementation of proposal step

Parameters
sysmodelpointer to the used system model
uinput param for proposal density
measmodelpointer to the used measurementmodel
zmeasurement param for proposal density
ssensor param for proposal density
Bug:
Make sampling method variable. See implementation.

◆ ProposalStepInternalOne()

template<typename StateVar , typename MeasVar >
virtual bool ProposalStepInternalOne ( int  component,
SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
protectedvirtualinherited

Proposal step for one component.

Implementation of proposal step

Parameters
componentcomponent number of component to update
sysmodelpointer to the used system model
uinput param for proposal density
measmodelpointer to the used measurementmodel
zmeasurement param for proposal density
ssensor param for proposal density
Bug:
Make sampling method variable. See implementation.

◆ ResampleOne()

template<typename StateVar , typename MeasVar >
virtual bool ResampleOne ( int  component)
protectedvirtualinherited

Actual Resampling for one component;.

Parameters
componentcomponent number of component to update

◆ StaticResampleStep()

template<typename StateVar , typename MeasVar >
virtual bool StaticResampleStep ( )
protectedvirtualinherited

Resample if wanted.

Bug:
let the user implement her/his own resamplescheme

◆ TimeStepGet()

template<typename StateVar , typename MeasVar >
int TimeStepGet ( ) const
inherited

Get current time.

Get the current time of the filter

Returns
the current timestep

◆ Update() [1/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z 
)
virtualinherited

Measurement Update (system without "sensing params")

Parameters
measmodelpointer to the measurement model to use for update
zmeasurement

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [2/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
virtualinherited

Measurement Update (system with "sensing params")

Parameters
measmodelpointer to the measurement model to use for update
zmeasurement
s"sensing parameter"

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [3/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( SystemModel< StateVar > *const  sysmodel)
virtualinherited

System Update (system without inputs)

Parameters
sysmodelpointer to the system model to use for update

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [4/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( SystemModel< StateVar > *const  sysmodel,
const StateVar &  u 
)
virtualinherited

System Update (system with inputs)

Parameters
sysmodelpointer to the system model to use for update
uinput to the system

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [5/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z 
)
virtualinherited

Full Update (system with inputs, without sensing params)

Parameters
sysmodelpointer to the system model to use for update
uinput to the system
measmodelpointer to the measurement model to use for update
zmeasurement

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [6/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
virtualinherited

Full Update (system with inputs/sensing params)

Parameters
sysmodelpointer to the system model to use for update
uinput to the system
measmodelpointer to the measurement model to use for update
zmeasurement
s"sensing parameter"

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [7/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( SystemModel< StateVar > *const  sysmodel,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z 
)
virtualinherited

Full Update (system without inputs/sensing params)

Parameters
sysmodelpointer to the system model to use for update
measmodelpointer to the measurement model to use for update
zmeasurement

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ Update() [8/8]

template<typename StateVar , typename MeasVar >
virtual bool Update ( SystemModel< StateVar > *const  sysmodel,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
virtualinherited

Full Update (system without inputs, with sensing params)

Parameters
sysmodelpointer to the system model to use for update
measmodelpointer to the measurement model to use for update
zmeasurement
s"sensing parameter"

Reimplemented in Optimalimportancefilter< StateVar, MeasVar >.

◆ UpdateInternal()

template<typename StateVar , typename MeasVar >
virtual bool UpdateInternal ( SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
protectedvirtual

Actual implementation of updateinternal.

Reimplemented from MixtureParticleFilter< StateVar, MeasVar >.

◆ UpdateWeightsInternal()

template<typename StateVar , typename MeasVar >
virtual bool UpdateWeightsInternal ( SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
protectedvirtualinherited

Update Weights.

Parameters
sysmodelpointer to the used system model
uinput param for proposal density
measmodelpointer to the used measurementmodel
zmeasurement param for proposal density
ssensor param for proposal density

◆ UpdateWeightsInternalOne()

template<typename StateVar , typename MeasVar >
virtual bool UpdateWeightsInternalOne ( int  component,
SystemModel< StateVar > *const  sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const  measmodel,
const MeasVar &  z,
const StateVar &  s 
)
protectedvirtualinherited

Update Weights for one component.

Parameters
componentcomponent number of component to update
sysmodelpointer to the used system model
uinput param for proposal density
measmodelpointer to the used measurementmodel
zmeasurement param for proposal density
ssensor param for proposal density

Member Data Documentation

◆ _created_post

template<typename StateVar , typename MeasVar >
bool _created_post
protectedinherited

created own post

Definition at line 206 of file mixtureParticleFilter.h.

◆ _dynamicResampling

template<typename StateVar , typename MeasVar >
bool _dynamicResampling
protectedinherited

Dynamic resampling or fixed period resampling?

Definition at line 200 of file mixtureParticleFilter.h.

◆ _maintainMixturePeriod

template<typename StateVar , typename MeasVar >
int _maintainMixturePeriod
protectedinherited

Number of timestep between mixture maintainance of the Posterior.

By choosing this period, one can execute period maintainance of mixtures. You can implement maintainMixture such that target splitting, appearing and disappearing is handled

Definition at line 213 of file mixtureParticleFilter.h.

◆ _new_samples_unweightedVec

template<typename StateVar , typename MeasVar >
vector< vector<Sample<StateVar> > > _new_samples_unweightedVec
protectedinherited

While resampling.

Definition at line 177 of file mixtureParticleFilter.h.

◆ _new_samplesVec

template<typename StateVar , typename MeasVar >
vector<vector<WeightedSample<StateVar> > > _new_samplesVec
protectedinherited

While updating store list of new samples.

Definition at line 175 of file mixtureParticleFilter.h.

◆ _newMixtureWeights

template<typename StateVar , typename MeasVar >
vector<Probability> _newMixtureWeights
protectedinherited

Vector containing the new mixture weights during update step.

Definition at line 183 of file mixtureParticleFilter.h.

◆ _ns_it

template<typename StateVar , typename MeasVar >
vector<WeightedSample<StateVar>>::iterator _ns_it
protectedinherited

Iterator for new list of samples.

Definition at line 181 of file mixtureParticleFilter.h.

◆ _old_samplesVec

template<typename StateVar , typename MeasVar >
vector<vector<WeightedSample<StateVar> > > _old_samplesVec
protectedinherited

While updating store list of old samples.

Definition at line 173 of file mixtureParticleFilter.h.

◆ _os_it

template<typename StateVar , typename MeasVar >
vector<WeightedSample<StateVar>>::iterator _os_it
protectedinherited

Iterator for old list of samples.

Definition at line 179 of file mixtureParticleFilter.h.

◆ _post

template<typename StateVar , typename MeasVar >
Pdf<StateVar>* _post
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

See also
PostGet()

Definition at line 95 of file filter.h.

◆ _prior

template<typename StateVar , typename MeasVar >
Pdf<StateVar>* _prior
protectedinherited

prior Pdf

Definition at line 82 of file filter.h.

◆ _proposal

template<typename StateVar , typename MeasVar >
ConditionalPdf<StateVar,StateVar>* _proposal
protectedinherited

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 168 of file mixtureParticleFilter.h.

◆ _proposal_depends_on_meas

template<typename StateVar , typename MeasVar >
bool _proposal_depends_on_meas
protectedinherited

Proposal depends on last measurement?

Definition at line 203 of file mixtureParticleFilter.h.

◆ _resamplePeriod

template<typename StateVar , typename MeasVar >
int _resamplePeriod
protectedinherited

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 191 of file mixtureParticleFilter.h.

◆ _resampleScheme

template<typename StateVar , typename MeasVar >
int _resampleScheme
protectedinherited

Which resample algorithm (see top of particle.h for #defines)

Definition at line 197 of file mixtureParticleFilter.h.

◆ _resampleThreshold

template<typename StateVar , typename MeasVar >
double _resampleThreshold
protectedinherited

Threshold used when dynamic resampling.

Definition at line 194 of file mixtureParticleFilter.h.

◆ _sample

template<typename StateVar , typename MeasVar >
WeightedSample<StateVar> _sample
protectedinherited

While updating use sample<StateVar>

Definition at line 171 of file mixtureParticleFilter.h.

◆ _sumWeights

template<typename StateVar , typename MeasVar >
vector<Probability> _sumWeights
protectedinherited

Vector containing the sum of weights during update step.

Definition at line 185 of file mixtureParticleFilter.h.

◆ _timestep

template<typename StateVar , typename MeasVar >
int _timestep
protectedinherited

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: