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ParticleFilter


class ParticleFilter

Particle filter.

classDiagram ParticleFilter <|-- AliveParticleFilter link ParticleFilter "../ParticleFilter/" link AliveParticleFilter "../AliveParticleFilter/"

Member Variables

Name Description
x:Array<Model> Particles.
w:Real[_] Log weights.
r:Integer Time of last resample.
lsum:Real Logarithm of sum of weights.
ess:Real Effective sample size.
lnormalize:Real Log normalizing constant.
npropagations:Integer Number of propagations. This is not the same as the number of particles; the number of propagations performed may, according to the filter type, differ from the number of particles, such as for alive and rejection control particle filters.
raccepts:Real? Accept rate of moves.
nparticles:Integer Number of particles.
trigger:Real Threshold for resampling. Resampling is performed whenever the effective sample size, as a proportion of N, drops below this threshold.
autoconj:Boolean Should automatic marginalization and conditioning be enabled?
autodiff:Boolean Should automatic differentiation be enabled?
autojoin:Boolean Should automatic joining be enabled?

Member Functions

Name Description
filter Start filter.
filter Step filter.
filter Step filter.
simulate Start particles.
simulate Step particles.
resample Resample particles.
reconfigure Reconfigure particle filter.

Member Function Details

filter

function filter(model:Model, input:Buffer)

Start filter.

  • model Model.
  • input Input buffer.

function filter(t:Integer, input:Buffer, κ:Kernel?)

Step filter.

  • t Step number, beginning at 1.
  • input Input buffer. @param κ Markov kernel.

function filter(t:Integer, input:Buffer)

Step filter.

  • t Step number, beginning at 1.
  • input Input buffer.

reconfigure

function reconfigure(autoconj:Boolean, autodiff:Boolean, autojoin:Boolean)

Reconfigure particle filter.

  • autoconj Should automatic marginalization and conditioning be enabled?
  • autodiff Should automatic differentiation be enabled?
  • autojoin Should automatic joining be enabled?

resample

function resample(t:Integer, κ:Kernel?)

Resample particles.

  • t Step number. @param κ Markov kernel.

simulate

function simulate(input:Buffer)

Start particles.

  • input Input buffer.

function simulate(t:Integer, input:Buffer)

Step particles.

  • t Step number.
  • input Input buffer.