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EKParticleFilter Class Reference

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

#include <EKparticlefilter.h>

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

Public Member Functions

 EKParticleFilter (MCPdf< ColumnVector > *prior, int resampleperiod=0, double resamplethreshold=0, int resamplescheme=DEFAULT_RS)
 Constructor. More...
 
virtual ~EKParticleFilter ()
 Destructor.
 
virtual void ProposalSet (ConditionalPdf< ColumnVector, ColumnVector > *const cpdf)
 Set the proposal density. More...
 
ConditionalPdf< ColumnVector, ColumnVector > * ProposalGet ()
 Get a pointer to the proposal density. More...
 
virtual MCPdf< ColumnVector > * PostGet ()
 Get Posterior density. More...
 
virtual void Reset (Pdf< ColumnVector > *prior)
 Reset Filter.
 
virtual bool Update (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Full Update (system with inputs/sensing params) More...
 
virtual bool Update (SystemModel< ColumnVector > *const sysmodel, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Full Update (system without inputs, with sensing params) More...
 
virtual bool Update (SystemModel< ColumnVector > *const sysmodel, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z)
 Full Update (system without inputs/sensing params) More...
 
virtual bool Update (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z)
 Full Update (system with inputs, without sensing params) More...
 
virtual bool Update (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u)
 System Update (system with inputs) More...
 
virtual bool Update (SystemModel< ColumnVector > *const sysmodel)
 System Update (system without inputs) More...
 
virtual bool Update (MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Measurement Update (system with "sensing params") More...
 
virtual bool Update (MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z)
 Measurement Update (system without "sensing params") More...
 
int TimeStepGet () const
 Get current time. More...
 

Protected Member Functions

virtual bool UpdateInternal (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Actual implementation of Update, varies along filters. More...
 
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 ProposalStepInternal (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Proposal step. More...
 
virtual bool UpdateWeightsInternal (SystemModel< ColumnVector > *const sysmodel, const ColumnVector &u, MeasurementModel< ColumnVector, ColumnVector > *const measmodel, const ColumnVector &z, const ColumnVector &s)
 Update Weights. More...
 
virtual bool DynamicResampleStep ()
 Resample if necessary. More...
 
virtual bool StaticResampleStep ()
 Resample if wanted. More...
 

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
 
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
 
ConditionalPdf< ColumnVector, ColumnVector > * _proposal
 Pointer to the Proposal Density. More...
 
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. 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< ColumnVector > * _prior
 prior Pdf
 
Pdf< ColumnVector > * _post
 Pointer to the Posterior Pdf. More...
 
int _timestep
 Represents the current timestep of the filter. More...
 

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 35 of file EKparticlefilter.h.

Constructor & Destructor Documentation

§ EKParticleFilter()

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
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
Bug:
prior should be of type pdf and not mcpdf. See also notes with implementation

Member Function Documentation

§ DynamicResampleStep()

bool DynamicResampleStep ( )
protectedvirtualinherited

Resample if necessary.

Bug:
let the user implement her/his own resamplescheme

Definition at line 272 of file particlefilter.h.

§ PostGet()

MCPdf< SV > * PostGet ( )
virtualinherited

Get Posterior density.

Get the current Posterior density

Returns
a pointer to the current posterior

Reimplemented from Filter< ColumnVector, ColumnVector >.

Definition at line 390 of file particlefilter.h.

§ ProposalGet()

ConditionalPdf< SV, SV > * ProposalGet ( )
inherited

Get a pointer to the proposal density.

Returns
a pointer to the proposal density

Definition at line 139 of file particlefilter.h.

§ ProposalSet()

void ProposalSet ( ConditionalPdf< SV, SV > *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

Definition at line 133 of file particlefilter.h.

§ ProposalStepInternal() [1/2]

virtual bool ProposalStepInternal ( SystemModel< ColumnVector > *const  sysmodel,
const ColumnVector &  u,
MeasurementModel< ColumnVector, ColumnVector > *const  measmodel,
const ColumnVector &  z,
const ColumnVector &  s 
)
protectedvirtual

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

§ ProposalStepInternal() [2/2]

bool ProposalStepInternal ( SystemModel< SV > *const  sysmodel,
const SV &  u,
MeasurementModel< MV, SV > *const  measmodel,
const MV &  z,
const SV &  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.

Definition at line 145 of file particlefilter.h.

§ StaticResampleStep()

bool StaticResampleStep ( )
protectedvirtualinherited

Resample if wanted.

Bug:
let the user implement her/his own resamplescheme

Definition at line 308 of file particlefilter.h.

§ TimeStepGet()

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.

§ Update() [1/8]

bool Update ( SystemModel< SVar > *const  sysmodel,
const SVar &  u,
MeasurementModel< MVar, SVar > *const  measmodel,
const MVar &  z,
const SVar &  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"

Definition at line 56 of file filter.h.

§ Update() [2/8]

bool Update ( SystemModel< SVar > *const  sysmodel,
MeasurementModel< MVar, SVar > *const  measmodel,
const MVar &  z,
const SVar &  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"

Definition at line 66 of file filter.h.

§ Update() [3/8]

bool Update ( SystemModel< SVar > *const  sysmodel,
MeasurementModel< MVar, SVar > *const  measmodel,
const MVar &  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

Definition at line 76 of file filter.h.

§ Update() [4/8]

bool Update ( SystemModel< SVar > *const  sysmodel,
const SVar &  u,
MeasurementModel< MVar, SVar > *const  measmodel,
const MVar &  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

Definition at line 85 of file filter.h.

§ Update() [5/8]

bool Update ( SystemModel< SVar > *const  sysmodel,
const SVar &  u 
)
virtualinherited

System Update (system with inputs)

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

Definition at line 95 of file filter.h.

§ Update() [6/8]

bool Update ( SystemModel< SVar > *const  sysmodel)
virtualinherited

System Update (system without inputs)

Parameters
sysmodelpointer to the system model to use for update

Definition at line 103 of file filter.h.

§ Update() [7/8]

bool Update ( MeasurementModel< MVar, SVar > *const  measmodel,
const MVar &  z,
const SVar &  s 
)
virtualinherited

Measurement Update (system with "sensing params")

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

Definition at line 110 of file filter.h.

§ Update() [8/8]

bool Update ( MeasurementModel< MVar, SVar > *const  measmodel,
const MVar &  z 
)
virtualinherited

Measurement Update (system without "sensing params")

Parameters
measmodelpointer to the measurement model to use for update
zmeasurement

Definition at line 119 of file filter.h.

§ UpdateInternal()

virtual bool UpdateInternal ( SystemModel< ColumnVector > *const  sysmodel,
const ColumnVector &  u,
MeasurementModel< ColumnVector, ColumnVector > *const  measmodel,
const ColumnVector &  z,
const ColumnVector &  s 
)
protectedvirtual

Actual implementation of Update, varies along filters.

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

Reimplemented from ParticleFilter< ColumnVector, ColumnVector >.

§ UpdateWeightsInternal()

bool UpdateWeightsInternal ( SystemModel< SV > *const  sysmodel,
const SV &  u,
MeasurementModel< MV, SV > *const  measmodel,
const MV &  z,
const SV &  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

Definition at line 201 of file particlefilter.h.

Member Data Documentation

§ _post

Pdf<ColumnVector >* _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.

§ _proposal

ConditionalPdf<ColumnVector ,ColumnVector >* _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 174 of file particlefilter.h.

§ _resamplePeriod

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 193 of file particlefilter.h.

§ _timestep

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: