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FilterProposalDensity Class Reference

Proposal Density for non-linear systems with additive Gaussian Noise (using a (analytic) Filter) More...

#include <filterproposaldensity.h>

Inheritance diagram for FilterProposalDensity:
AnalyticConditionalGaussian ConditionalGaussian ConditionalPdf< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > Pdf< T > EKFProposalDensity

Public Member Functions

 FilterProposalDensity (AnalyticSystemModelGaussianUncertainty *SysModel, AnalyticMeasurementModelGaussianUncertainty *MeasModel)
 Constructor.
 
 FilterProposalDensity (const FilterProposalDensity &fpd)
 Copy constructor.
 
virtual ~FilterProposalDensity ()
 Destructor.
 
virtual MatrixWrapper::ColumnVector ExpectedValueGet () const
 Get the expected value E[x] of the pdf.
 
virtual MatrixWrapper::SymmetricMatrix CovarianceGet () const
 Get the Covariance Matrix E[(x - E[x])^2] of the Analytic pdf.
 
virtual MatrixWrapper::Matrix dfGet (unsigned int i) const
 returns derivative from function to n-th conditional variable
 
void SystemModelSet (AnalyticSystemModelGaussianUncertainty *SysModel)
 Set SystemModel.
 
void MeasurementModelSet (AnalyticMeasurementModelGaussianUncertainty *MeasModel)
 Set Measurementmodel.
 
void SampleCovSet (MatrixWrapper::SymmetricMatrix &cov)
 Set SampleCov.
 
virtual ConditionalGaussianClone () const
 Clone function.
 
virtual Probability ProbabilityGet (const MatrixWrapper::ColumnVector &input) const
 
virtual Probability ProbabilityGet (const T &input) const
 Get the probability of a certain argument.
 
virtual bool SampleFrom (Sample< MatrixWrapper::ColumnVector > &sample, const SampleMthd method=SampleMthd::DEFAULT, void *args=NULL) const
 
virtual bool SampleFrom (std::vector< Sample< MatrixWrapper::ColumnVector > > &samples, const unsigned int num_samples, const SampleMthd method=SampleMthd::DEFAULT, void *args=NULL) const
 
virtual bool SampleFrom (vector< Sample< T > > &list_samples, const unsigned int num_samples, const SampleMthd method=SampleMthd::DEFAULT, void *args=NULL) const
 Draw multiple samples from the Pdf (overloaded)
 
virtual bool SampleFrom (Sample< T > &one_sample, const SampleMthd method=SampleMthd::DEFAULT, void *args=NULL) const
 Draw 1 sample from the Pdf:
 
unsigned int NumConditionalArgumentsGet () const
 Get the Number of conditional arguments.
 
virtual void NumConditionalArgumentsSet (unsigned int numconditionalarguments)
 Set the Number of conditional arguments.
 
const std::vector< MatrixWrapper::ColumnVector > & ConditionalArgumentsGet () const
 Get the whole list of conditional arguments.
 
virtual void ConditionalArgumentsSet (std::vector< MatrixWrapper::ColumnVector > ConditionalArguments)
 Set the whole list of conditional arguments.
 
const MatrixWrapper::ColumnVector & ConditionalArgumentGet (unsigned int n_argument) const
 Get the n-th argument of the list.
 
virtual void ConditionalArgumentSet (unsigned int n_argument, const MatrixWrapper::ColumnVector &argument)
 Set the n-th argument of the list.
 
unsigned int DimensionGet () const
 Get the dimension of the argument.
 
virtual void DimensionSet (unsigned int dim)
 Set the dimension of the argument.
 

Protected Member Functions

virtual void FilterStep () const
 internal method
 

Protected Attributes

Gaussian_TmpPrior
 
Filter< MatrixWrapper::ColumnVector, MatrixWrapper::ColumnVector > * _filter
 
AnalyticSystemModelGaussianUncertainty_sysmodel
 
AnalyticMeasurementModelGaussianUncertainty_measmodel
 
MatrixWrapper::SymmetricMatrix _sample_cov
 
ColumnVector _diff
 
ColumnVector _Mu
 
Matrix _Low_triangle
 
ColumnVector _samples
 
ColumnVector _SampleValue
 

Detailed Description

Proposal Density for non-linear systems with additive Gaussian Noise (using a (analytic) Filter)

Calculates an importance density for all systems of the form

\[ x_k = f(x_{k-1}[,u_k]) + v_k, \quad v_k \sim N(0, \Sigma_v) \]

\[ z_k = h(x_k[,s_k]) + w_k, \quad w_k \sim N(0, \Sigma_w) \]

This means all systems with a system equation and measurement equation that use a AnalyticConditionalGaussian Class. It uses a Filter to generate a proposal

Definition at line 40 of file filterproposaldensity.h.

Constructor & Destructor Documentation

◆ FilterProposalDensity() [1/2]

Constructor.

Parameters
SysModel
MeasModel

◆ FilterProposalDensity() [2/2]

Copy constructor.

Parameters
fpd
Bug:
Not implemented yet

Member Function Documentation

◆ Clone()

virtual ConditionalGaussian * Clone ( ) const
virtualinherited

◆ ConditionalArgumentGet()

const MatrixWrapper::ColumnVector & ConditionalArgumentGet ( unsigned int  n_argument) const
inherited

Get the n-th argument of the list.

Returns
The current value of the n-th conditional argument (starting from 0!)

Definition at line 97 of file conditionalpdf.h.

◆ ConditionalArgumentSet()

void ConditionalArgumentSet ( unsigned int  n_argument,
const MatrixWrapper::ColumnVector &  argument 
)
virtualinherited

Set the n-th argument of the list.

Parameters
n_argumentwhich one of the conditional arguments
argumentvalue of the n-th argument

Definition at line 104 of file conditionalpdf.h.

◆ ConditionalArgumentsGet()

const std::vector< MatrixWrapper::ColumnVector > & ConditionalArgumentsGet
inherited

Get the whole list of conditional arguments.

Returns
an STL-vector containing all the current values of the conditional arguments

Definition at line 85 of file conditionalpdf.h.

◆ ConditionalArgumentsSet()

void ConditionalArgumentsSet ( std::vector< MatrixWrapper::ColumnVector >  ConditionalArguments)
virtualinherited

Set the whole list of conditional arguments.

Parameters
ConditionalArgumentsan STL-vector of type
T
containing the condtional arguments

Definition at line 91 of file conditionalpdf.h.

◆ CovarianceGet()

virtual MatrixWrapper::SymmetricMatrix CovarianceGet ( ) const
virtual

Get the Covariance Matrix E[(x - E[x])^2] of the Analytic pdf.

Get first order statistic (Covariance) of this AnalyticPdf

Returns
The Covariance of the Pdf (a SymmetricMatrix of dim DIMENSION)
Todo:
extend this more general to n-th order statistic
Bug:
Discrete pdfs should not be able to use this!

Reimplemented from Pdf< T >.

◆ dfGet()

virtual MatrixWrapper::Matrix dfGet ( unsigned int  i) const
virtual

returns derivative from function to n-th conditional variable

Parameters
iNumber of the conditional variable to use for partial derivation
Returns
Partial derivative with respect to conditional variable i

Reimplemented from AnalyticConditionalGaussian.

◆ DimensionGet()

unsigned int DimensionGet
inlineinherited

Get the dimension of the argument.

Returns
the dimension of the argument

Definition at line 166 of file pdf.h.

◆ DimensionSet()

void DimensionSet ( unsigned int  dim)
virtualinherited

Set the dimension of the argument.

Parameters
dimthe dimension

Reimplemented in Gaussian.

Definition at line 172 of file pdf.h.

◆ ExpectedValueGet()

virtual MatrixWrapper::ColumnVector ExpectedValueGet ( ) const
virtual

Get the expected value E[x] of the pdf.

Get low order statistic (Expected Value) of this AnalyticPdf

Returns
The Expected Value of the Pdf (a ColumnVector with DIMENSION rows)
Note
No set functions here! This can be useful for analytic functions, but not for sample based representations!
For certain discrete Pdfs, this function has no meaning, what is the average between yes and no?

Reimplemented from Pdf< T >.

◆ MeasurementModelSet()

void MeasurementModelSet ( AnalyticMeasurementModelGaussianUncertainty MeasModel)

Set Measurementmodel.

Parameters
MeasModel

◆ NumConditionalArgumentsGet()

unsigned int NumConditionalArgumentsGet
inlineinherited

Get the Number of conditional arguments.

Returns
the number of conditional arguments

Definition at line 71 of file conditionalpdf.h.

◆ NumConditionalArgumentsSet()

void NumConditionalArgumentsSet ( unsigned int  numconditionalarguments)
inlinevirtualinherited

Set the Number of conditional arguments.

Parameters
numconditionalargumentsthe number of conditionalarguments
Bug:
will probably give rise to memory allocation problems if you herit from this class and do not redefine this method.

Reimplemented in LinearAnalyticConditionalGaussian.

Definition at line 79 of file conditionalpdf.h.

◆ ProbabilityGet()

Probability ProbabilityGet ( const T &  input) const
virtualinherited

Get the probability of a certain argument.

Parameters
inputT argument of the Pdf
Returns
the probability value of the argument

Reimplemented in DiscretePdf, Gaussian, Uniform, and Mixture< T >.

Definition at line 204 of file pdf.h.

◆ SampleCovSet()

void SampleCovSet ( MatrixWrapper::SymmetricMatrix &  cov)

Set SampleCov.

Parameters
cov

◆ SampleFrom() [1/2]

bool SampleFrom ( Sample< T > &  one_sample,
const SampleMthd  method = SampleMthd::DEFAULT,
void *  args = NULL 
) const
virtualinherited

Draw 1 sample from the Pdf:

There's no need to create a list for only 1 sample!

Parameters
one_samplesample that will contain result of sampling
methodSampling method to be used. Each sampling method is currently represented by an enum, eg. SampleMthd::BOXMULLER
argsPointer to a struct representing extra sample arguments
See also
SampleFrom()
Bug:
Sometimes the compiler doesn't know which method to choose!

Reimplemented in DiscretePdf, Gaussian, Uniform, MCPdf< T >, and Mixture< T >.

Definition at line 194 of file pdf.h.

◆ SampleFrom() [2/2]

bool SampleFrom ( vector< Sample< T > > &  list_samples,
const unsigned int  num_samples,
const SampleMthd  method = SampleMthd::DEFAULT,
void *  args = NULL 
) const
virtualinherited

Draw multiple samples from the Pdf (overloaded)

Parameters
list_sampleslist of samples that will contain result of sampling
num_samplesNumber of Samples to be drawn (iid)
methodSampling method to be used. Each sampling method is currently represented by an enum eg. SampleMthd::BOXMULLER
argsPointer to a struct representing extra sample arguments. "Sample Arguments" can be anything (the number of steps a gibbs-iterator should take, the interval width in MCMC, ... (or nothing), so it is hard to give a meaning to what exactly Sample Arguments should represent...
Todo:
replace the C-call "void * args" by a more object-oriented structure: Perhaps something like virtual Sample * Sample (const int num_samples,class Sampler)
Bug:
Sometimes the compiler doesn't know which method to choose!

Reimplemented in DiscretePdf, Gaussian, Uniform, MCPdf< T >, and Mixture< T >.

Definition at line 179 of file pdf.h.

Referenced by MCPdf< T >::SampleFrom(), and Mixture< T >::SampleFrom().

◆ SystemModelSet()

void SystemModelSet ( AnalyticSystemModelGaussianUncertainty SysModel)

Set SystemModel.

Parameters
SysModel

Member Data Documentation

◆ _diff

ColumnVector _diff
mutableprotectedinherited

Definition at line 67 of file conditionalgaussian.h.

◆ _filter

Filter<MatrixWrapper::ColumnVector,MatrixWrapper::ColumnVector>* _filter
mutableprotected

Definition at line 82 of file filterproposaldensity.h.

◆ _Low_triangle

Matrix _Low_triangle
mutableprotectedinherited

Definition at line 69 of file conditionalgaussian.h.

◆ _measmodel

Definition at line 85 of file filterproposaldensity.h.

◆ _Mu

ColumnVector _Mu
mutableprotectedinherited

Definition at line 68 of file conditionalgaussian.h.

◆ _sample_cov

MatrixWrapper::SymmetricMatrix _sample_cov
protected

Definition at line 87 of file filterproposaldensity.h.

◆ _samples

ColumnVector _samples
mutableprotectedinherited

Definition at line 70 of file conditionalgaussian.h.

◆ _SampleValue

ColumnVector _SampleValue
mutableprotectedinherited

Definition at line 71 of file conditionalgaussian.h.

◆ _sysmodel

Definition at line 84 of file filterproposaldensity.h.

◆ _TmpPrior

Gaussian* _TmpPrior
mutableprotected

Definition at line 81 of file filterproposaldensity.h.


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