Public Member Functions | Protected Member Functions | Protected Attributes

EKParticleFilter Class Reference

Particle filter using EKF for proposal step. More...

#include <EKparticlefilter.h>

Inheritance diagram for EKParticleFilter:
ParticleFilter< ColumnVector, ColumnVector > Filter< StateVar, MeasVar >

List of all members.

Public Member Functions

 EKParticleFilter (MCPdf< ColumnVector > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
 Constructor.
virtual ~EKParticleFilter ()
 Destructor.
virtual void ProposalSet (ConditionalPdf< ColumnVector, ColumnVector > *const cpdf)
 Set the proposal density.
ConditionalPdf< ColumnVector,
ColumnVector > * 
ProposalGet ()
 Get a pointer to the proposal density.
virtual MCPdf< ColumnVector > * 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 bool UpdateInternal (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
virtual bool ProposalStepInternal (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
virtual bool Resample ()
 Resample also redefined for the same reasons...
virtual bool UpdateInternal (SystemModel< StateVar > *const sysmodel, const StateVar &u, MeasurementModel< MeasVar, StateVar > *const measmodel, const MeasVar &z, const StateVar &s)=0
 Actual implementation of Update, varies along filters.
virtual bool UpdateWeightsInternal (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Update Weights.
virtual bool DynamicResampleStep ()
 Resample if necessary.
virtual bool StaticResampleStep ()
 Resample if wanted.

Protected Attributes

std::vector< SymmetricMatrix > _sampleCov
 Sample Covariances for use with EKF Proposal density.
std::vector< SymmetricMatrix >
::iterator 
_cov_it
std::vector< SymmetricMatrix > _tmpCov
std::vector< SymmetricMatrix >
::iterator 
_tmpCovit
const int _dimension
const int _num_samples
std::vector< WeightedSample
< ColumnVector > > 
_old_samples
 While updating store list of old samples.
std::vector< WeightedSample
< ColumnVector > >::iterator 
_oit
std::vector< WeightedSample
< ColumnVector > > 
_result_samples
std::vector< WeightedSample
< ColumnVector > >::iterator 
_rit
std::vector< double > _unif_samples
std::vector< double > _CumPDF
std::vector< double >
::const_iterator 
_CumPDFit
ColumnVector _x_old
Sample< ColumnVector > _sample
 While updating use sample<StateVar>
ConditionalPdf< ColumnVector,
ColumnVector > * 
_proposal
 Pointer to the Proposal Density.
vector< WeightedSample
< ColumnVector > > 
_new_samples
 While updating store list of new samples.
vector< Sample< ColumnVector > > _new_samples_unweighted
 While resampling.
vector< WeightedSample
< ColumnVector > >::iterator 
_os_it
 Iterator for old list of samples.
vector< WeightedSample
< ColumnVector > >::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.

Detailed Description

Particle filter using EKF for proposal step.

NOTE: Only applicable to continuous problems with additive gaussian noise, so the models you specify ... specify should by

Definition at line 31 of file EKparticlefilter.h.


Constructor & Destructor Documentation

EKParticleFilter ( MCPdf< ColumnVector > *  prior,
int  resampleperiod = 0,
double  resamplethreshold = 0,
int  resamplescheme = DEFAULT_RS 
)

Constructor.

Precondition:
you created the necessary models and the prior
Parameters:
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
Bug:
prior should be of type pdf and not mcpdf. See also notes with implementation

Member Function Documentation

virtual bool DynamicResampleStep (  )  [protected, virtual, inherited]

Resample if necessary.

Bug:
let the user implement her/his own resamplescheme
virtual MCPdf<ColumnVector >* PostGet (  )  [virtual, inherited]

Get Posterior density.

Get the current Posterior density

Returns:
a pointer to the current posterior

Reimplemented from Filter< StateVar, MeasVar >.

ConditionalPdf<ColumnVector ,ColumnVector >* ProposalGet (  )  [inherited]

Get a pointer to the proposal density.

Returns:
a pointer to the proposal density
virtual void ProposalSet ( ConditionalPdf< ColumnVector , ColumnVector > *const  cpdf  )  [virtual, inherited]

Set the proposal density.

Parameters:
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
virtual bool ProposalStepInternal ( SystemModel< ColumnVector > *const   sysmodel,
const ColumnVector &  u,
MeasurementModel< ColumnVector, ColumnVector > *const   measmodel,
const ColumnVector &  z,
const ColumnVector &  s 
) [protected, virtual]

Proposalstep is redefined here since we have to take into account the sample covariances here!

Reimplemented from ParticleFilter< ColumnVector, ColumnVector >.

virtual bool StaticResampleStep (  )  [protected, virtual, inherited]

Resample if wanted.

Bug:
let the user implement her/his own resamplescheme
int TimeStepGet (  )  const [inherited]

Get current time.

Get the current time of the filter

Returns:
the current timestep

Definition at line 50 of file filter.h.

bool Update ( SystemModel< SVar > *const   sysmodel,
MeasurementModel< MVar, SVar > *const   measmodel,
const MVar &  z,
const SVar &  s 
) [virtual, inherited]

Full Update (system without inputs, with sensing params).

Parameters:
sysmodel pointer to the system model to use for update
measmodel pointer to the measurement model to use for update
z measurement
s "sensing parameter"

Definition at line 66 of file filter.h.

bool Update ( MeasurementModel< MVar, SVar > *const   measmodel,
const MVar &  z 
) [virtual, inherited]

Measurement Update (system without "sensing params").

Parameters:
measmodel pointer to the measurement model to use for update
z measurement

Definition at line 119 of file filter.h.

bool Update ( SystemModel< SVar > *const   sysmodel,
const SVar &  u 
) [virtual, inherited]

System Update (system with inputs).

Parameters:
sysmodel pointer to the system model to use for update
u input to the system

Definition at line 95 of file filter.h.

bool Update ( MeasurementModel< MVar, SVar > *const   measmodel,
const MVar &  z,
const SVar &  s 
) [virtual, inherited]

Measurement Update (system with "sensing params").

Parameters:
measmodel pointer to the measurement model to use for update
z measurement
s "sensing parameter"

Definition at line 110 of file filter.h.

bool Update ( SystemModel< SVar > *const   sysmodel,
const SVar &  u,
MeasurementModel< MVar, SVar > *const   measmodel,
const MVar &  z 
) [virtual, inherited]

Full Update (system with inputs, without sensing params).

Parameters:
sysmodel pointer to the system model to use for update
u input to the system
measmodel pointer to the measurement model to use for update
z measurement

Definition at line 85 of file filter.h.

bool Update ( SystemModel< SVar > *const   sysmodel,
MeasurementModel< MVar, SVar > *const   measmodel,
const MVar &  z 
) [virtual, inherited]

Full Update (system without inputs/sensing params).

Parameters:
sysmodel pointer to the system model to use for update
measmodel pointer to the measurement model to use for update
z measurement

Definition at line 76 of file filter.h.

bool Update ( SystemModel< SVar > *const   sysmodel,
const SVar &  u,
MeasurementModel< MVar, SVar > *const   measmodel,
const MVar &  z,
const SVar &  s 
) [virtual, inherited]

Full Update (system with inputs/sensing params).

Parameters:
sysmodel pointer to the system model to use for update
u input to the system
measmodel pointer to the measurement model to use for update
z measurement
s "sensing parameter"

Definition at line 56 of file filter.h.

bool Update ( SystemModel< SVar > *const   sysmodel  )  [virtual, inherited]

System Update (system without inputs).

Parameters:
sysmodel pointer to the system model to use for update

Definition at line 103 of file filter.h.

virtual bool UpdateInternal ( SystemModel< StateVar > *const   sysmodel,
const StateVar &  u,
MeasurementModel< MeasVar, StateVar > *const   measmodel,
const MeasVar &  z,
const StateVar &  s 
) [protected, pure virtual, inherited]

Actual implementation of Update, varies along filters.

Parameters:
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

Implemented in ASIRFilter< StateVar, MeasVar >, BootstrapFilter< StateVar, MeasVar >, HistogramFilter< MeasVar >, KalmanFilter, MixtureBootstrapFilter< StateVar, MeasVar >, MixtureParticleFilter< StateVar, MeasVar >, and ParticleFilter< StateVar, MeasVar >.

virtual bool UpdateWeightsInternal ( SystemModel< ColumnVector > *const  sysmodel,
const ColumnVector &  u,
MeasurementModel< ColumnVector , ColumnVector > *const  measmodel,
const ColumnVector &  z,
const ColumnVector &  s 
) [protected, virtual, inherited]

Update Weights.

Parameters:
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

Member Data Documentation

Pdf<StateVar>* _post [protected, inherited]

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.

ConditionalPdf<ColumnVector ,ColumnVector >* _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.

int _timestep [protected, inherited]

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: