169
math/random/DrawList.h
Normal file
169
math/random/DrawList.h
Normal file
@@ -0,0 +1,169 @@
|
|||||||
|
#ifndef K_MATH_RANDOM_DRAWLIST_H
|
||||||
|
#define K_MATH_RANDOM_DRAWLIST_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
|
||||||
|
/**
|
||||||
|
* add entries to a list and be able to draw from them depending oh their probability
|
||||||
|
*/
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* this class represents one entry within a DrawList.
|
||||||
|
* such an entry consists of userData denoted by the template argument
|
||||||
|
* and a probability.
|
||||||
|
*/
|
||||||
|
template <typename Entry> struct DrawListEntry {
|
||||||
|
|
||||||
|
template <typename> friend class DrawList;
|
||||||
|
friend class DrawList_Cumulative_Test;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** the user data behind this entry */
|
||||||
|
Entry entry;
|
||||||
|
|
||||||
|
/** this entry's probability */
|
||||||
|
double probability;
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** the cumulative probability, tracked among all entries within the DrawList */
|
||||||
|
double cumulativeProbability;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** empty ctor */
|
||||||
|
DrawListEntry() :
|
||||||
|
entry(), probability(0), cumulativeProbability(0) {;}
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
DrawListEntry(const Entry& entry, double probability) :
|
||||||
|
entry(entry), probability(probability), cumulativeProbability(0) {;}
|
||||||
|
|
||||||
|
/** compare this entrie's summed probability with the given probability */
|
||||||
|
bool operator < (double probability) const {return cumulativeProbability < probability;}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
DrawListEntry(Entry& e, double probability, double summedProbability) :
|
||||||
|
entry(entry), probability(probability), cumulativeProbability(summedProbability) {;}
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
/**
|
||||||
|
* a DrawList is a data-structure containing entries that have a
|
||||||
|
* probability assigned to them.
|
||||||
|
* using the draw() function one may draw from these entries according
|
||||||
|
* to their assigned probability in O(log(n))
|
||||||
|
*/
|
||||||
|
template <typename Entry> class DrawList {
|
||||||
|
|
||||||
|
friend class DrawList_Cumulative_Test;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
DrawList() : sumValid(false) {;}
|
||||||
|
|
||||||
|
|
||||||
|
/** append a new entry to the end of the list */
|
||||||
|
void push_back(const Entry& entry, const double probability) {
|
||||||
|
const DrawListEntry<Entry> dle(entry, probability);
|
||||||
|
entries.push_back(dle);
|
||||||
|
sumValid = false;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** change the entry at the given position. ensure the vector is resized()! */
|
||||||
|
void set(const uint32_t idx, const Entry& entry, const double probability) {
|
||||||
|
entries[idx].entry = entry;
|
||||||
|
entries[idx].probability = probability;
|
||||||
|
sumValid = false;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** resize the underlying vector to hold the given number of entries */
|
||||||
|
void resize(const uint32_t numEntries) {entries.resize(numEntries);}
|
||||||
|
|
||||||
|
/** clear all currently inserted entries */
|
||||||
|
void clear() {entries.clear();}
|
||||||
|
|
||||||
|
/** does the underlying vector contain any entries? */
|
||||||
|
bool empty() const {return entries.empty();}
|
||||||
|
|
||||||
|
/** the number of entries */
|
||||||
|
uint32_t size() const {return entries.size();}
|
||||||
|
|
||||||
|
/** draw a random entry from the draw list */
|
||||||
|
Entry& draw() {
|
||||||
|
|
||||||
|
// random value between [0, 1]
|
||||||
|
double rand01 = double(rand()) / double(RAND_MAX);
|
||||||
|
|
||||||
|
return draw(rand01);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** draw an entry according to the given probability [0,1] */
|
||||||
|
Entry& draw(double rand01) {
|
||||||
|
|
||||||
|
// sanity check
|
||||||
|
assert(!entries.empty());
|
||||||
|
|
||||||
|
ensureCumulativeProbability();
|
||||||
|
|
||||||
|
// random value between [0, summedProbability]
|
||||||
|
// (this prevents us from norming the list to [0, 1])
|
||||||
|
double rand = rand01 * entries[entries.size()-1].cumulativeProbability;
|
||||||
|
|
||||||
|
// binary search for the matching entry O(log(n))
|
||||||
|
auto tmp = std::lower_bound(entries.begin(), entries.end(), rand);
|
||||||
|
return (*tmp).entry;
|
||||||
|
|
||||||
|
// // O(n)
|
||||||
|
// for (DrawListEntry<Entry>& dle : entries) {
|
||||||
|
// if (dle.cumulativeProbability > rand) {return dle.entry;}
|
||||||
|
// }
|
||||||
|
// return entries[this->size()-1].entry;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** ensure the cumulative probability is valid. if not -> calculate it */
|
||||||
|
void ensureCumulativeProbability() {
|
||||||
|
|
||||||
|
// already valid?
|
||||||
|
if (sumValid) {return;}
|
||||||
|
|
||||||
|
// calculate the cumulative probability
|
||||||
|
double sum = 0;
|
||||||
|
for (DrawListEntry<Entry>& dle : entries) {
|
||||||
|
sum += dle.probability;
|
||||||
|
dle.cumulativeProbability = sum;
|
||||||
|
}
|
||||||
|
|
||||||
|
// the sum is now valid
|
||||||
|
sumValid = true;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all entries within the DrawList */
|
||||||
|
std::vector<DrawListEntry<Entry>> entries;
|
||||||
|
|
||||||
|
/** track wether the summedProbability is valid or not */
|
||||||
|
bool sumValid;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_RANDOM_DRAWLIST_H
|
||||||
174
math/random/DrawWheel.h
Normal file
174
math/random/DrawWheel.h
Normal file
@@ -0,0 +1,174 @@
|
|||||||
|
#ifndef K_MATH_RANDOM_DRAWLIST_H
|
||||||
|
#define K_MATH_RANDOM_DRAWLIST_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../distribution/Uniform.h"
|
||||||
|
|
||||||
|
/**
|
||||||
|
* add entries to a list and be able to draw from them depending oh their probability
|
||||||
|
*
|
||||||
|
* souces:
|
||||||
|
* https://www.udacity.com/course/viewer#!/c-cs373/l-48704330/e-48748082/m-48740082
|
||||||
|
* https://www.youtube.com/watch?list=PLpUPoM7Rgzi_7YWn14Va2FODh7LzADBSm&feature=player_detailpage&v=kZhOJgooMxI#t=567
|
||||||
|
*/
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* this class represents one entry within a DrawWheel.
|
||||||
|
* such an entry consists of userData denoted by the template argument
|
||||||
|
* and a probability.
|
||||||
|
*/
|
||||||
|
template <typename Entry> struct DrawWheelEntry {
|
||||||
|
|
||||||
|
template <typename> friend class DrawWheel;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** the user data behind this entry */
|
||||||
|
Entry entry;
|
||||||
|
|
||||||
|
/** this entry's probability */
|
||||||
|
double probability;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** empty ctor */
|
||||||
|
DrawWheelEntry() : entry(), probability(0) {;}
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
DrawWheelEntry(const Entry& entry, double probability) : entry(entry), probability(probability) {;}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
/**
|
||||||
|
* a DrawWheel is a data-structure containing entries that have a
|
||||||
|
* probability assigned to them.
|
||||||
|
* using the draw() function one may draw from these entries according
|
||||||
|
* to their assigned probability in ~O(n)
|
||||||
|
*/
|
||||||
|
template <typename Entry> class DrawWheel {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all entries within the DrawWheel */
|
||||||
|
std::vector<DrawWheelEntry<Entry>> entries;
|
||||||
|
|
||||||
|
/** is the current maximum valid? */
|
||||||
|
bool maxValid = true;
|
||||||
|
|
||||||
|
/** the maximum weight among all entries */
|
||||||
|
double curMax = 0;
|
||||||
|
|
||||||
|
/** the current index within the wheel */
|
||||||
|
int curIdx = 0;
|
||||||
|
|
||||||
|
/** the current offset at the wheel's index */
|
||||||
|
double curOffset = 0;
|
||||||
|
|
||||||
|
/** draw random numbers for the offset */
|
||||||
|
K::UniformDistribution dist;
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
DrawWheel() {;}
|
||||||
|
|
||||||
|
|
||||||
|
/** append a new entry to the end of the list */
|
||||||
|
void push_back(const Entry& entry, const double probability) {
|
||||||
|
entries.push_back( DrawWheelEntry<Entry>(entry, probability) );
|
||||||
|
if (curMax < probability) {curMax = probability;}
|
||||||
|
}
|
||||||
|
|
||||||
|
/** change the entry at the given position. ensure the vector is resized()! */
|
||||||
|
void set(const uint32_t idx, const Entry& entry, const double probability) {
|
||||||
|
entries[idx].entry = entry;
|
||||||
|
entries[idx].probability = probability;
|
||||||
|
maxValid = false;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** resize the underlying vector to hold the given number of entries */
|
||||||
|
void resize(const uint32_t numEntries) {entries.resize(numEntries);}
|
||||||
|
|
||||||
|
/** clear all currently inserted entries */
|
||||||
|
void clear() {entries.clear();}
|
||||||
|
|
||||||
|
/** does the underlying vector contain any entries? */
|
||||||
|
bool empty() const {return entries.empty();}
|
||||||
|
|
||||||
|
/** the number of entries */
|
||||||
|
uint32_t size() const {return entries.size();}
|
||||||
|
|
||||||
|
|
||||||
|
/** call this once before drawing anything */
|
||||||
|
void init() {
|
||||||
|
|
||||||
|
// ensure the maximum number is correct
|
||||||
|
ensureMaxProbability();
|
||||||
|
|
||||||
|
// setup the distribution to draw a new offset
|
||||||
|
dist.reset(0, 2 * curMax);
|
||||||
|
|
||||||
|
// draw starting values
|
||||||
|
curIdx = K::UniformDistribution::draw( (int)0, (int)entries.size() - 1);
|
||||||
|
curOffset = dist.draw();
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** draw a random entry from the wheel */
|
||||||
|
Entry& draw() {
|
||||||
|
|
||||||
|
while(true) {
|
||||||
|
|
||||||
|
// found a suitable particle? use it and draw the next random number
|
||||||
|
if (entries[curIdx].probability >= curOffset) {
|
||||||
|
|
||||||
|
// next offset
|
||||||
|
curOffset += dist.draw();
|
||||||
|
|
||||||
|
// return
|
||||||
|
return entries[curIdx].entry;
|
||||||
|
|
||||||
|
// weight to small, subtract the elements weight and move on to the next element
|
||||||
|
} else {
|
||||||
|
|
||||||
|
// remove the current entries probability
|
||||||
|
curOffset -= entries[curIdx].probability;
|
||||||
|
|
||||||
|
// resume with the next one along the wheel
|
||||||
|
curIdx = (curIdx + 1) % ((int)entries.size());
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** ensure the max probability is valid. if not -> calculate it */
|
||||||
|
void ensureMaxProbability() {
|
||||||
|
|
||||||
|
// valid?
|
||||||
|
if (maxValid) {return;}
|
||||||
|
|
||||||
|
// comparisen
|
||||||
|
const auto lambda = [] (const DrawWheelEntry<Entry>& e1, const DrawWheelEntry<Entry>& e2) {return e1.probability < e2.probability;};
|
||||||
|
|
||||||
|
// find the largest entry
|
||||||
|
const DrawWheelEntry<Entry> max = *std::max_element(entries.begin(), entries.end(), lambda);
|
||||||
|
this->curMax = max.probability;
|
||||||
|
|
||||||
|
// the max is now valid
|
||||||
|
maxValid = true;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_RANDOM_DRAWLIST_H
|
||||||
27
math/random/Normal.h
Normal file
27
math/random/Normal.h
Normal file
@@ -0,0 +1,27 @@
|
|||||||
|
#ifndef K_MATH_RND_NORMAL_H
|
||||||
|
#define K_MATH_RND_NORMAL_H
|
||||||
|
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
|
||||||
|
/**
|
||||||
|
* provides some common functions
|
||||||
|
* for handling normal-distributed random numbers
|
||||||
|
*/
|
||||||
|
class Normal {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** get normal-distributed random number for given mu/sigma */
|
||||||
|
static double get(double mu, double sigma) {
|
||||||
|
static std::random_device rd;
|
||||||
|
static std::mt19937 gen(rd());
|
||||||
|
std::normal_distribution<> d(mu, sigma);
|
||||||
|
return d(gen);
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_RND_NORMAL_H
|
||||||
29
math/random/RandomGenerator.h
Normal file
29
math/random/RandomGenerator.h
Normal file
@@ -0,0 +1,29 @@
|
|||||||
|
#ifndef RANDOM_Random::RandomGenerator_H
|
||||||
|
#define RANDOM_Random::RandomGenerator_H
|
||||||
|
|
||||||
|
#include <random>
|
||||||
|
#include <chrono>
|
||||||
|
|
||||||
|
#ifdef USE_FIXED_SEED
|
||||||
|
#define RANDOM_SEED 1234
|
||||||
|
#else
|
||||||
|
#define RANDOM_SEED ( std::chrono::system_clock::now().time_since_epoch() / std::chrono::milliseconds(1) )
|
||||||
|
#endif
|
||||||
|
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
class RandomGenerator : public std::minstd_rand {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor with default seed */
|
||||||
|
RandomGenerator() : std::minstd_rand(RANDOM_SEED) {;}
|
||||||
|
|
||||||
|
/** ctor with custom seed */
|
||||||
|
RandomGenerator(result_type) : std::minstd_rand(RANDOM_SEED) {;}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_RANDOM_Random::RandomGenerator_H
|
||||||
118
math/random/RandomIterator.h
Normal file
118
math/random/RandomIterator.h
Normal file
@@ -0,0 +1,118 @@
|
|||||||
|
#ifndef RANDOMITERATOR_H
|
||||||
|
#define RANDOMITERATOR_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <random>
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
template <typename Element> class RandomIterator {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** the user's data-vector to randomly iterate */
|
||||||
|
const std::vector<Element>& vec;
|
||||||
|
|
||||||
|
/** the number of random indices */
|
||||||
|
int cnt;
|
||||||
|
|
||||||
|
/** the random number generator */
|
||||||
|
std::minstd_rand gen;
|
||||||
|
bool isRandomized = false;
|
||||||
|
|
||||||
|
/** X random indices */
|
||||||
|
std::vector<int> indices;
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
RandomIterator(const std::vector<Element>& vec, const int cnt) : vec(vec), cnt(cnt) {
|
||||||
|
|
||||||
|
//const uint64_t ts = std::chrono::duration_cast<std::chrono::milliseconds>(std::chrono::system_clock::now().time_since_epoch()).count();
|
||||||
|
static int seed = 0; ++seed;
|
||||||
|
gen.seed(seed);
|
||||||
|
|
||||||
|
// sanity check
|
||||||
|
if ((int)vec.size() < cnt) {throw Exception("number of elements in list is smaller than the requested number to draw");}
|
||||||
|
if (cnt == 0) {throw Exception("number of elements in list must be at least 1");}
|
||||||
|
if (vec.empty()) {throw Exception("empty input vector given");}
|
||||||
|
|
||||||
|
indices.resize(cnt);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** create random samples (vector-indicies) that are hereafter available for iteration */
|
||||||
|
void randomize() {
|
||||||
|
|
||||||
|
// random-number generator between [0:size-1]
|
||||||
|
std::uniform_int_distribution<int> dist(0, (int) vec.size()-1);
|
||||||
|
|
||||||
|
// ensure we use each vector-index only ONCE
|
||||||
|
bool used[vec.size()] = {false};
|
||||||
|
|
||||||
|
// draw X random samples
|
||||||
|
for (int i = 0; i < cnt; ) {
|
||||||
|
const int rnd = dist(gen);
|
||||||
|
if (used[rnd]) {continue;} // already used? try again!
|
||||||
|
used[rnd] = true; // mark as used
|
||||||
|
indices[i] = rnd; // add to the index
|
||||||
|
++i;
|
||||||
|
}
|
||||||
|
|
||||||
|
// the vector is setup correctly
|
||||||
|
isRandomized = true;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** the iterator state */
|
||||||
|
struct Iterator {
|
||||||
|
|
||||||
|
/** the current position within "indicies" */
|
||||||
|
int pos;
|
||||||
|
|
||||||
|
/** the vector with the user-data to randomly iterate */
|
||||||
|
const std::vector<Element>& vec;
|
||||||
|
|
||||||
|
/** the vector containing the random indices */
|
||||||
|
const std::vector<int>& indices;
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
Iterator(const int pos, const std::vector<Element>& vec, const std::vector<int>& indices) : pos(pos), vec(vec), indices(indices) {;}
|
||||||
|
|
||||||
|
/** end-of-iteration? */
|
||||||
|
bool operator != (const Iterator& o) const {return pos != o.pos;}
|
||||||
|
|
||||||
|
/** next value */
|
||||||
|
Iterator& operator ++ () {++pos; return *this;}
|
||||||
|
|
||||||
|
/** get the user-data */
|
||||||
|
Element operator * () {return vec[indices[pos]];}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
//const Element& operator [] (const int idx) const {return vec[indices[idx]]; }
|
||||||
|
|
||||||
|
/** number of available random entries */
|
||||||
|
size_t size() const {return cnt;}
|
||||||
|
|
||||||
|
|
||||||
|
/** for-each access */
|
||||||
|
Iterator begin() const { ensureRandomized(); return Iterator(0, vec, indices); }
|
||||||
|
|
||||||
|
/** for-each access */
|
||||||
|
Iterator end() const { ensureRandomized(); return Iterator(cnt, vec, indices); }
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** ensure the coder called randomize() before using the iterator */
|
||||||
|
void ensureRandomized() const {
|
||||||
|
Assert::isTrue(isRandomized, "call randomize() before using the iterator!");
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // RANDOMITERATOR_H
|
||||||
43
math/random/Uniform.h
Normal file
43
math/random/Uniform.h
Normal file
@@ -0,0 +1,43 @@
|
|||||||
|
#ifndef K_MATH_RANDOM_UNIFORM_H
|
||||||
|
#define K_MATH_RANDOM_UNIFORM_H
|
||||||
|
|
||||||
|
#include "RandomGenerator.h"
|
||||||
|
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* provides some common functions
|
||||||
|
* for handling normal-distributed random numbers
|
||||||
|
*/
|
||||||
|
template <typename T> class Uniform {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
Random::RandomGenerator gen;
|
||||||
|
|
||||||
|
/** depending on T, Dist is either a uniform_real or uniform_int distribution */
|
||||||
|
typedef typename std::conditional< std::is_floating_point<T>::value, std::uniform_real_distribution<T>, std::uniform_int_distribution<T> >::type Dist;
|
||||||
|
Dist dist;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
Uniform(const T min, const T max) : gen(RANDOM_SEED), dist(min, max) {
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get a uniformaly distributed random number */
|
||||||
|
T draw() {
|
||||||
|
return dist(gen);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the seed to use */
|
||||||
|
void setSeed(const long seed) {
|
||||||
|
gen.seed(seed);
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_RANDOM_UNIFORM_H
|
||||||
26
math/random/Unique.h
Normal file
26
math/random/Unique.h
Normal file
@@ -0,0 +1,26 @@
|
|||||||
|
#ifndef K_MATH_RND_UNIQUE_H
|
||||||
|
#define K_MATH_RND_UNIQUE_H
|
||||||
|
|
||||||
|
namespace Random {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* provides some common functions
|
||||||
|
* for handling uniquely distributed random numbers
|
||||||
|
*/
|
||||||
|
class Unique {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** get uniquely distributed random number between min and max */
|
||||||
|
static double getBetween(double min, double max) {
|
||||||
|
double rnd = (double) rand() / (double) RAND_MAX;
|
||||||
|
rnd *= (max-min);
|
||||||
|
rnd += min;
|
||||||
|
return rnd;
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_RND_UNIQUE_H
|
||||||
114
misc/Binning.h
Normal file
114
misc/Binning.h
Normal file
@@ -0,0 +1,114 @@
|
|||||||
|
#ifndef BINNING_H
|
||||||
|
#define BINNING_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <unordered_set>
|
||||||
|
|
||||||
|
struct BinningRange {
|
||||||
|
float min;
|
||||||
|
float max;
|
||||||
|
BinningRange(float min, float max) : min(min), max(max) {;}
|
||||||
|
float getWidth() const {return max-min;}
|
||||||
|
};
|
||||||
|
|
||||||
|
template <typename Binable> class Binning {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** size to use for each dimension's bin */
|
||||||
|
std::vector<float> binSizes;
|
||||||
|
|
||||||
|
std::vector<BinningRange> binRanges;
|
||||||
|
|
||||||
|
std::unordered_set<uint64_t> used;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** add a new dimension for binning with its corresponding size */
|
||||||
|
void setBinSizes(const std::vector<float> binSizes) {
|
||||||
|
this->binSizes = binSizes;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** manually set min/max range for each dimension */
|
||||||
|
void setRanges(const std::vector<BinningRange> ranges) {
|
||||||
|
this->binRanges = ranges;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** estimate each dimension's min/max from the given entry set */
|
||||||
|
void setRanges(const std::vector<Binable>& entries) {
|
||||||
|
|
||||||
|
clearUsed();
|
||||||
|
binRanges.clear();
|
||||||
|
|
||||||
|
// process each to-be-binned dimension
|
||||||
|
const int numDimensions = binSizes.size();
|
||||||
|
for (int dim = 0; dim < numDimensions; ++dim) {
|
||||||
|
|
||||||
|
// determin min and max value for the current dimension
|
||||||
|
BinningRange r(+1e30, -1e30);
|
||||||
|
for (const Binable& b : entries) {
|
||||||
|
const float val = b.getBinValue(dim);
|
||||||
|
if(val < r.min) {r.min = val;}
|
||||||
|
if(val > r.max) {r.max = val;}
|
||||||
|
}
|
||||||
|
|
||||||
|
// remember
|
||||||
|
binRanges.push_back(r);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** remove all tracked usages */
|
||||||
|
void clearUsed() {
|
||||||
|
used.clear();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** does the given element relate to an used or unsed bin? */
|
||||||
|
bool isFree(const Binable& b) const {
|
||||||
|
const uint64_t hash = getHash(b);
|
||||||
|
return used.find(hash) == used.end();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** mark the bin the given element belongs to as used */
|
||||||
|
void markUsed(const Binable& b) {
|
||||||
|
const uint64_t hash = getHash(b);
|
||||||
|
used.insert(hash);
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** calculate unique-bin-hash for the given element */
|
||||||
|
uint64_t getHash(const Binable& b) const {
|
||||||
|
|
||||||
|
uint64_t hash = 0;
|
||||||
|
|
||||||
|
const int numDimensions = binSizes.size();
|
||||||
|
for (int dim = 0; dim < numDimensions; ++dim) {
|
||||||
|
|
||||||
|
// get binable's value for the current dimension
|
||||||
|
const float val = b.getBinValue(dim);
|
||||||
|
|
||||||
|
// snap value to bin-number
|
||||||
|
const int binNr = std::round((val-binRanges[dim].min) / binSizes[dim]);
|
||||||
|
|
||||||
|
// maximum binNr
|
||||||
|
const int binNrMax = binRanges[dim].getWidth() / binSizes[dim];
|
||||||
|
|
||||||
|
// sanity check
|
||||||
|
//if (binNr < 0 || binNr > 255) {throw "bin index out of range!!";}
|
||||||
|
|
||||||
|
// update hash
|
||||||
|
hash *= (binNrMax+1);
|
||||||
|
hash += binNr;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
// done
|
||||||
|
return hash;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
#endif // BINNING_H
|
||||||
54
smc/Particle.h
Normal file
54
smc/Particle.h
Normal file
@@ -0,0 +1,54 @@
|
|||||||
|
/*
|
||||||
|
* Particle.h
|
||||||
|
*
|
||||||
|
* Created on: Sep 17, 2013
|
||||||
|
* Author: Frank Ebner
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef PARTICLE_H_
|
||||||
|
#define PARTICLE_H_
|
||||||
|
|
||||||
|
/**
|
||||||
|
* a particle consists of a (user-defined) state
|
||||||
|
* assigned with a weight (importance).
|
||||||
|
*
|
||||||
|
* depending on the particle filter's configuration,
|
||||||
|
* the (user-defined) state must provide several methods
|
||||||
|
* like:
|
||||||
|
* assigning values from another state
|
||||||
|
* multiplication
|
||||||
|
* etc..
|
||||||
|
*
|
||||||
|
*/
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
template <typename State> struct Particle {
|
||||||
|
|
||||||
|
/** the particles state */
|
||||||
|
State state;
|
||||||
|
|
||||||
|
/** the (current) probability for this state */
|
||||||
|
double weight;
|
||||||
|
|
||||||
|
|
||||||
|
/** empty ctor */
|
||||||
|
Particle() : state(), weight(0) {;}
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
Particle(const State& state, double weight) : state(state), weight(weight) {;}
|
||||||
|
|
||||||
|
|
||||||
|
/** assignment operator */
|
||||||
|
Particle& operator = (const Particle& other) {
|
||||||
|
this->state = other.state;
|
||||||
|
this->weight = other.weight;
|
||||||
|
return *this;
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif /* PARTICLE_H_ */
|
||||||
69
smc/ParticleAssertions.h
Normal file
69
smc/ParticleAssertions.h
Normal file
@@ -0,0 +1,69 @@
|
|||||||
|
#ifndef PARTICLEASSERTIONS_H
|
||||||
|
#define PARTICLEASSERTIONS_H
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/** check whether T provides a += operator */
|
||||||
|
template <typename T>
|
||||||
|
class HasOperatorPlusEq {
|
||||||
|
|
||||||
|
typedef char one;
|
||||||
|
typedef long two;
|
||||||
|
|
||||||
|
template <typename C> static one test( decltype(&C::operator+=) ) ;
|
||||||
|
template <typename C> static two test(...);
|
||||||
|
|
||||||
|
public:
|
||||||
|
enum { value = sizeof(test<T>(0)) == sizeof(one) };
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
/** check whether T provides a /= operator */
|
||||||
|
template <typename T>
|
||||||
|
class HasOperatorDivEq {
|
||||||
|
|
||||||
|
typedef char one;
|
||||||
|
typedef long two;
|
||||||
|
|
||||||
|
template <typename C> static one test( decltype(&C::operator/=) ) ;
|
||||||
|
template <typename C> static two test(...);
|
||||||
|
|
||||||
|
public:
|
||||||
|
enum { value = sizeof(test<T>(0)) == sizeof(one) };
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
/** check whether T provides a * operator */
|
||||||
|
template <typename T>
|
||||||
|
class HasOperatorMul {
|
||||||
|
|
||||||
|
typedef char one;
|
||||||
|
typedef long two;
|
||||||
|
|
||||||
|
template <typename C> static one test( decltype(&C::operator*) ) ;
|
||||||
|
template <typename C> static two test(...);
|
||||||
|
|
||||||
|
public:
|
||||||
|
enum { value = sizeof(test<T>(0)) == sizeof(one) };
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
/** check whether T provides an assignment operator */
|
||||||
|
template <typename T>
|
||||||
|
class HasOperatorAssign{
|
||||||
|
|
||||||
|
typedef char one;
|
||||||
|
typedef long two;
|
||||||
|
|
||||||
|
template <typename C> static one test( decltype(&C::operator=) ) ;
|
||||||
|
template <typename C> static two test(...);
|
||||||
|
|
||||||
|
public:
|
||||||
|
enum { value = sizeof(test<T>(0)) == sizeof(one) };
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEASSERTIONS_H
|
||||||
256
smc/filtering/ParticleFilter.h
Normal file
256
smc/filtering/ParticleFilter.h
Normal file
@@ -0,0 +1,256 @@
|
|||||||
|
/*
|
||||||
|
* ParticleFilter.h
|
||||||
|
*
|
||||||
|
* Created on: Sep 17, 2013
|
||||||
|
* Author: Frank Ebner
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef PARTICLEFILTER_H_
|
||||||
|
#define PARTICLEFILTER_H_
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "resampling/ParticleFilterResampling.h"
|
||||||
|
#include "estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "ParticleFilterTransition.h"
|
||||||
|
#include "ParticleFilterEvaluation.h"
|
||||||
|
#include "ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* the main-class for the particle filter
|
||||||
|
* @param State the (user-defined) state for each particle
|
||||||
|
* @param Observation the observation (sensor) data
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
|
||||||
|
class ParticleFilter {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all used particles */
|
||||||
|
std::vector<Particle<State>> particles;
|
||||||
|
|
||||||
|
/** the resampler to use */
|
||||||
|
std::unique_ptr<ParticleFilterResampling<State>> resampler;
|
||||||
|
|
||||||
|
/** the estimation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEstimation<State>> estimation;
|
||||||
|
|
||||||
|
/** the transition function to use */
|
||||||
|
std::unique_ptr<ParticleFilterTransition<State, Control>> transition;
|
||||||
|
|
||||||
|
/** the evaluation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEvaluation<State, Observation>> evaluation;
|
||||||
|
|
||||||
|
/** the initialization function to use */
|
||||||
|
std::unique_ptr<ParticleFilterInitializer<State>> initializer;
|
||||||
|
|
||||||
|
/** the percentage-of-efficient-particles-threshold for resampling */
|
||||||
|
double nEffThresholdPercent = 0.25;
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilter(const uint32_t numParticles, std::unique_ptr<ParticleFilterInitializer<State>> initializer) {
|
||||||
|
particles.resize(numParticles);
|
||||||
|
setInitializier(std::move(initializer));
|
||||||
|
init();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~ParticleFilter() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all particles */
|
||||||
|
const std::vector<Particle<State>>& getParticles() {
|
||||||
|
return particles;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** initialize/re-start the particle filter */
|
||||||
|
void init() {
|
||||||
|
Assert::isNotNull(initializer, "initializer MUST not be null! call setInitializer() first!");
|
||||||
|
initializer->initialize(particles);
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
void setResampling(std::unique_ptr<ParticleFilterResampling<State>> resampler) {
|
||||||
|
Assert::isNotNull(resampler, "setResampling() MUST not be called with a nullptr!");
|
||||||
|
this->resampler = std::move(resampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
void setEstimation(std::unique_ptr<ParticleFilterEstimation<State>> estimation) {
|
||||||
|
Assert::isNotNull(estimation, "setEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimation = std::move(estimation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
void setTransition(std::unique_ptr<ParticleFilterTransition<State, Control>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setTransition() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
ParticleFilterTransition<State, Control>* getTransition() {
|
||||||
|
return this->transition.get();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the evaluation method to use */
|
||||||
|
void setEvaluation(std::unique_ptr<ParticleFilterEvaluation<State, Observation>> evaluation) {
|
||||||
|
Assert::isNotNull(evaluation, "setEvaluation() MUST not be called with a nullptr!");
|
||||||
|
this->evaluation = std::move(evaluation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the initialization method to use */
|
||||||
|
void setInitializier(std::unique_ptr<ParticleFilterInitializer<State>> initializer) {
|
||||||
|
Assert::isNotNull(initializer, "setInitializer() MUST not be called with a nullptr!");
|
||||||
|
this->initializer = std::move(initializer);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
void setNEffThreshold(const double thresholdPercent) {
|
||||||
|
this->nEffThresholdPercent = thresholdPercent;
|
||||||
|
}
|
||||||
|
|
||||||
|
double lastNEff = 9999999999999;
|
||||||
|
|
||||||
|
/** perform resampling -> transition -> evaluation -> estimation */
|
||||||
|
State update(const Control* control, const Observation& observation) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(resampler, "resampler MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(evaluation, "evaluation MUST not be null! call setEvaluation() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (lastNEff < particles.size() * nEffThresholdPercent) {resampler->resample(particles); }
|
||||||
|
|
||||||
|
// perform the transition step
|
||||||
|
transition->transition(particles, control);
|
||||||
|
|
||||||
|
// perform the evaluation step and calculate the sum of all particle weights
|
||||||
|
evaluation->evaluation(particles, observation);
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
lastNEff = normalize();
|
||||||
|
|
||||||
|
//std::cout << "normalized. n_eff is " << lastNEff << std::endl;
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(particles);
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform only the transition step */
|
||||||
|
void updateTransitionOnly(const Control* control) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
|
||||||
|
// perform the transition step
|
||||||
|
transition->transition(particles, control);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform only the evaluation step */
|
||||||
|
State updateEvaluationOnly(const Observation& observation) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(resampler, "resampler MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(evaluation, "evaluation MUST not be null! call setEvaluation() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// perform the evaluation step and calculate the sum of all particle weights
|
||||||
|
evaluation->evaluation(particles, observation);
|
||||||
|
|
||||||
|
// not needed anymore.. was to tricky to forget etc...
|
||||||
|
// sanity check
|
||||||
|
//Assert::isNotNaN(weightSum, "sum of all particle weights (returned from eval) is NAN!");
|
||||||
|
//Assert::isNotNull(weightSum, "sum of all particle weights (returned from eval) is 0.0!");
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
const double neff = normalize();
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(particles);
|
||||||
|
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < particles.size() * nEffThresholdPercent) { resampler->resample(particles); }
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** estimate the current state without update or transition just based on the current weights */
|
||||||
|
State estimate() {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
return estimation->estimate(particles);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** normalize the weight of all particles to 1.0 and perform some sanity checks */
|
||||||
|
double normalize() {
|
||||||
|
|
||||||
|
// calculate sum(weights)
|
||||||
|
//double min1 = 9999999;
|
||||||
|
double weightSum = 0.0;
|
||||||
|
for (const auto& p : particles) {
|
||||||
|
weightSum += p.weight;
|
||||||
|
//if (p.weight < min1) {min1 = p.weight;}
|
||||||
|
}
|
||||||
|
|
||||||
|
// sanity check. always!
|
||||||
|
if (weightSum != weightSum) {
|
||||||
|
throw Exception("sum of paticle-weights is NaN");
|
||||||
|
}
|
||||||
|
if (weightSum == 0) {
|
||||||
|
throw Exception("sum of paticle-weights is 0.0");
|
||||||
|
}
|
||||||
|
|
||||||
|
// normalize and calculate N_eff
|
||||||
|
double sum2 = 0.0;
|
||||||
|
//double min2 = 9999999;
|
||||||
|
for (auto& p : particles) {
|
||||||
|
p.weight /= weightSum;
|
||||||
|
//if (p.weight < min2) {min2 = p.weight;}
|
||||||
|
sum2 += (p.weight * p.weight);
|
||||||
|
}
|
||||||
|
|
||||||
|
// N_eff
|
||||||
|
return 1.0 / sum2;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
// /** calculate the number of efficient particles (N_eff) */
|
||||||
|
// double getNeff() const {
|
||||||
|
// double sum = 0.0;
|
||||||
|
// for (auto& p : particles) {sum += (p.weight * p.weight);}
|
||||||
|
// return 1.0 / sum;
|
||||||
|
// }
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif /* PARTICLEFILTER_H_ */
|
||||||
29
smc/filtering/ParticleFilterEvaluation.h
Normal file
29
smc/filtering/ParticleFilterEvaluation.h
Normal file
@@ -0,0 +1,29 @@
|
|||||||
|
#ifndef K_MATH_FILTERS_PARTICLE_PARTICLEFILTEREVALUATION_H
|
||||||
|
#define K_MATH_FILTERS_PARTICLE_PARTICLEFILTEREVALUATION_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for the user-defined particle-evaluation.
|
||||||
|
* the evaluation weighs the particle by comparing its state with the observation p(o_t | q_t)
|
||||||
|
*/
|
||||||
|
template <typename State, typename Observation>
|
||||||
|
class ParticleFilterEvaluation {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/**
|
||||||
|
* evaluate all particles (update p.weight) depending on their state and the current observation.
|
||||||
|
* this method MUST return the sum of all weights (used for normalization)
|
||||||
|
*/
|
||||||
|
virtual double evaluation(std::vector<Particle<State>>& particles, const Observation& observation) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_FILTERS_PARTICLE_PARTICLEFILTEREVALUATION_H
|
||||||
283
smc/filtering/ParticleFilterHistory.h
Normal file
283
smc/filtering/ParticleFilterHistory.h
Normal file
@@ -0,0 +1,283 @@
|
|||||||
|
/*
|
||||||
|
* ParticleFilterHistory.h
|
||||||
|
*
|
||||||
|
* Created on: Jul 13, 2015
|
||||||
|
* Author: Toni Fetzer
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef PARTICLEFILTERHISTORY_H_
|
||||||
|
#define PARTICLEFILTERHISTORY_H_
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "resampling/ParticleFilterResampling.h"
|
||||||
|
#include "estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "ParticleFilterTransition.h"
|
||||||
|
#include "ParticleFilterEvaluation.h"
|
||||||
|
#include "ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* the main-class for the particle filter
|
||||||
|
* @param State the (user-defined) state for each particle
|
||||||
|
* @param Observation the observation (sensor) data
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
|
||||||
|
class ParticleFilterHistory {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all used particles */
|
||||||
|
std::vector<Particle<State>> particles;
|
||||||
|
|
||||||
|
/** all non resampled particles */
|
||||||
|
std::vector<Particle<State>> particlesNoResampling;
|
||||||
|
|
||||||
|
/** the resampler to use */
|
||||||
|
std::unique_ptr<ParticleFilterResampling<State>> resampler;
|
||||||
|
|
||||||
|
/** the estimation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEstimation<State>> estimation;
|
||||||
|
|
||||||
|
/** the transition function to use */
|
||||||
|
std::unique_ptr<ParticleFilterTransition<State, Control>> transition;
|
||||||
|
|
||||||
|
/** the evaluation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEvaluation<State, Observation>> evaluation;
|
||||||
|
|
||||||
|
/** the initialization function to use */
|
||||||
|
std::unique_ptr<ParticleFilterInitializer<State>> initializer;
|
||||||
|
|
||||||
|
/** the percentage-of-efficient-particles-threshold for resampling */
|
||||||
|
double nEffThresholdPercent = 0.25;
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterHistory(const uint32_t numParticles, std::unique_ptr<ParticleFilterInitializer<State>> initializer) {
|
||||||
|
particles.resize(numParticles);
|
||||||
|
particlesNoResampling.resize(numParticles);
|
||||||
|
setInitializier(std::move(initializer));
|
||||||
|
init();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~ParticleFilterHistory() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all particles */
|
||||||
|
const std::vector<Particle<State>>& getParticles() {
|
||||||
|
return particles;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all non resample particles */
|
||||||
|
const std::vector<Particle<State>>& getNonResamplingParticles() {
|
||||||
|
return particlesNoResampling;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** initialize/re-start the particle filter */
|
||||||
|
void init() {
|
||||||
|
Assert::isNotNull(initializer, "initializer MUST not be null! call setInitializer() first!");
|
||||||
|
initializer->initialize(particles);
|
||||||
|
}
|
||||||
|
|
||||||
|
void setAngle(const double angle){
|
||||||
|
for(SMC::Particle<State>& p : particles){
|
||||||
|
p.state.walkState.heading = angle;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
void setResampling(std::unique_ptr<ParticleFilterResampling<State>> resampler) {
|
||||||
|
Assert::isNotNull(resampler, "setResampling() MUST not be called with a nullptr!");
|
||||||
|
this->resampler = std::move(resampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
void setEstimation(std::unique_ptr<ParticleFilterEstimation<State>> estimation) {
|
||||||
|
Assert::isNotNull(estimation, "setEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimation = std::move(estimation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
void setTransition(std::unique_ptr<ParticleFilterTransition<State, Control>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setTransition() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
ParticleFilterTransition<State, Control>* getTransition() {
|
||||||
|
return this->transition.get();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the evaluation method to use */
|
||||||
|
void setEvaluation(std::unique_ptr<ParticleFilterEvaluation<State, Observation>> evaluation) {
|
||||||
|
Assert::isNotNull(evaluation, "setEvaluation() MUST not be called with a nullptr!");
|
||||||
|
this->evaluation = std::move(evaluation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the initialization method to use */
|
||||||
|
void setInitializier(std::unique_ptr<ParticleFilterInitializer<State>> initializer) {
|
||||||
|
Assert::isNotNull(initializer, "setInitializer() MUST not be called with a nullptr!");
|
||||||
|
this->initializer = std::move(initializer);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
void setNEffThreshold(const double thresholdPercent) {
|
||||||
|
this->nEffThresholdPercent = thresholdPercent;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform resampling -> transition -> evaluation -> estimation */
|
||||||
|
State update(const Control* control, const Observation& observation) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(resampler, "resampler MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(evaluation, "evaluation MUST not be null! call setEvaluation() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// perform the transition step
|
||||||
|
transition->transition(particles, control);
|
||||||
|
|
||||||
|
// perform the evaluation step and calculate the sum of all particle weights
|
||||||
|
const double weightSum = evaluation->evaluation(particles, observation);
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
const double neff = normalize(weightSum);
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(particles);
|
||||||
|
|
||||||
|
//save particels before resampling to save the weight at this timestep
|
||||||
|
particlesNoResampling = particles;
|
||||||
|
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < particles.size() * nEffThresholdPercent) { resampler->resample(particles); }
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform resampling -> transition -> evaluation -> estimation */
|
||||||
|
State update(const Control* control, const Observation& observation, std::vector<Particle<State>>& particlesWifi,
|
||||||
|
std::function<double(std::vector<Particle<State>>&, State, std::vector<Particle<State>>&)> calcKLD, double& kld) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(resampler, "resampler MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(evaluation, "evaluation MUST not be null! call setEvaluation() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
//Assert::isNotNull(kld, "kld MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// perform the transition step
|
||||||
|
transition->transition(particles, control);
|
||||||
|
|
||||||
|
// perform the evaluation step and calculate the sum of all particle weights
|
||||||
|
const double weightSum = evaluation->evaluation(particles, observation);
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
const double neff = normalize(weightSum);
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(particles);
|
||||||
|
|
||||||
|
//save particels before resampling to save the weight at this timestep
|
||||||
|
particlesNoResampling = particles;
|
||||||
|
|
||||||
|
//calc the current divergence between wifi and particle propability
|
||||||
|
kld = calcKLD(particles, est, particlesWifi);
|
||||||
|
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < particles.size() * nEffThresholdPercent) { resampler->resample(particles, kld, particlesWifi); }
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** perform only the transition step */
|
||||||
|
void updateTransitionOnly(const Control* control) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
|
||||||
|
// perform the transition step
|
||||||
|
transition->transition(particles, control);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform only the evaluation step */
|
||||||
|
State updateEvaluationOnly(const Observation& observation) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(resampler, "resampler MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(evaluation, "evaluation MUST not be null! call setEvaluation() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// perform the evaluation step and calculate the sum of all particle weights
|
||||||
|
const double weightSum = evaluation->evaluation(particles, observation);
|
||||||
|
|
||||||
|
// sanity check
|
||||||
|
Assert::isNotNaN(weightSum, "sum of all particle weights (returned from eval) is NAN!");
|
||||||
|
Assert::isNotNull(weightSum, "sum of all particle weights (returned from eval) is 0.0!");
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
const double neff = normalize(weightSum);
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(particles);
|
||||||
|
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < particles.size() * nEffThresholdPercent) { resampler->resample(particles); }
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** estimate the current state without update or transition just based on the current weights */
|
||||||
|
State estimate() {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
return estimation->estimate(particles);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** normalize the weight of all particles to one */
|
||||||
|
double normalize(const double weightSum) {
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : particles) {
|
||||||
|
p.weight /= weightSum;
|
||||||
|
sum += (p.weight * p.weight);
|
||||||
|
}
|
||||||
|
return 1.0 / sum;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** calculate the number of efficient particles (N_eff) */
|
||||||
|
double getNeff() const {
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : particles) {sum += (p.weight * p.weight);}
|
||||||
|
return 1.0 / sum;
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif /* PARTICLEFILTERHISTORY_H_ */
|
||||||
25
smc/filtering/ParticleFilterInitializer.h
Normal file
25
smc/filtering/ParticleFilterInitializer.h
Normal file
@@ -0,0 +1,25 @@
|
|||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERINITIALIZER_H
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERINITIALIZER_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for particle filter initializers.
|
||||||
|
* an initializer "configures" all particles before the filter starts: p(q_0)
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterInitializer {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** the initializer must setup each particle within the given vector */
|
||||||
|
virtual void initialize(std::vector<Particle<State>>& particles) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_FILTER_PARTICLES_PARTICLEFILTERINITIALIZER_H
|
||||||
241
smc/filtering/ParticleFilterMixing.h
Normal file
241
smc/filtering/ParticleFilterMixing.h
Normal file
@@ -0,0 +1,241 @@
|
|||||||
|
#ifndef PARTICLEFILTERMIXING_H
|
||||||
|
#define PARTICLEFILTERMIXING_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "resampling/ParticleFilterResampling.h"
|
||||||
|
#include "estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "ParticleFilterTransition.h"
|
||||||
|
#include "ParticleFilterEvaluation.h"
|
||||||
|
#include "ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* the main-class for the particle filter
|
||||||
|
* @param State the (user-defined) state for each particle
|
||||||
|
* @param Observation the observation (sensor) data
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class ParticleFilterMixing {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all used particles */
|
||||||
|
std::vector<Particle<State>> particles;
|
||||||
|
|
||||||
|
/** the current calculated estimation */
|
||||||
|
State estimation;
|
||||||
|
|
||||||
|
/** the resampler to use */
|
||||||
|
std::shared_ptr<ParticleFilterResampling<State>> resampler;
|
||||||
|
|
||||||
|
/** the estimation function to use */
|
||||||
|
std::shared_ptr<ParticleFilterEstimation<State>> estimator;
|
||||||
|
|
||||||
|
/** the transition function to use */
|
||||||
|
std::shared_ptr<ParticleFilterTransition<State, Control>> transition;
|
||||||
|
|
||||||
|
/** the evaluation function to use */
|
||||||
|
std::shared_ptr<ParticleFilterEvaluation<State, Observation>> evaluation;
|
||||||
|
|
||||||
|
/** the initialization function to use */
|
||||||
|
std::shared_ptr<ParticleFilterInitializer<State>> initializer;
|
||||||
|
|
||||||
|
/** the percentage-of-efficient-particles-threshold for resampling */
|
||||||
|
double nEffThresholdPercent = 0.25;
|
||||||
|
|
||||||
|
/** the current sum of all weights NOT normalized*/
|
||||||
|
double weightSum = 1.0;
|
||||||
|
|
||||||
|
/** the predicted mode probability P(m_t|Z_t-1) */
|
||||||
|
double predictedModeProbability = 1.0;
|
||||||
|
|
||||||
|
/** the posterior probability of the mode p(m_t | Z_t)*/
|
||||||
|
double modePosteriorProbability = 1.0;
|
||||||
|
|
||||||
|
/** the transition mode probability P(m_t-1 | m_t, Z_t-1)*/
|
||||||
|
double transitionModeProbability = 1.0;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor
|
||||||
|
* NOTE: The modePosteriorProbability needs the be normalized depending on the number of filters within the IMMPF!!
|
||||||
|
*/
|
||||||
|
ParticleFilterMixing(const uint32_t numParticles, std::shared_ptr<ParticleFilterInitializer<State>> initializer, double modePosteriorProbability) {
|
||||||
|
this->modePosteriorProbability = modePosteriorProbability;
|
||||||
|
|
||||||
|
particles.resize(numParticles);
|
||||||
|
setInitializier(std::move(initializer));
|
||||||
|
init();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~ParticleFilterMixing() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all particles */
|
||||||
|
const std::vector<Particle<State>>& getParticles() const {
|
||||||
|
return this->particles;
|
||||||
|
}
|
||||||
|
|
||||||
|
void setParticles(const std::vector<Particle<State>>& newParticles){
|
||||||
|
this->particles = newParticles;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the current estimation */
|
||||||
|
const State getEstimation() const {
|
||||||
|
return estimation;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** initialize/re-start the particle filter */
|
||||||
|
void init() {
|
||||||
|
Assert::isNotNull(initializer, "initializer MUST not be null! call setInitializer() first!");
|
||||||
|
initializer->initialize(particles);
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
void setResampling(std::shared_ptr<ParticleFilterResampling<State>> resampler) {
|
||||||
|
Assert::isNotNull(resampler, "setResampling() MUST not be called with a nullptr!");
|
||||||
|
this->resampler = std::move(resampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
void setEstimator(std::shared_ptr<ParticleFilterEstimation<State>> estimator) {
|
||||||
|
Assert::isNotNull(estimator, "setEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimator = std::move(estimator);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
void setTransition(std::shared_ptr<ParticleFilterTransition<State, Control>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setTransition() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
ParticleFilterTransition<State, Control>* getTransition() {
|
||||||
|
return this->transition.get();
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the evaluation method to use */
|
||||||
|
void setEvaluation(std::shared_ptr<ParticleFilterEvaluation<State, Observation>> evaluation) {
|
||||||
|
Assert::isNotNull(evaluation, "setEvaluation() MUST not be called with a nullptr!");
|
||||||
|
this->evaluation = std::move(evaluation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the initialization method to use */
|
||||||
|
void setInitializier(std::shared_ptr<ParticleFilterInitializer<State>> initializer) {
|
||||||
|
Assert::isNotNull(initializer, "setInitializer() MUST not be called with a nullptr!");
|
||||||
|
this->initializer = std::move(initializer);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
void setNEffThreshold(const double thresholdPercent) {
|
||||||
|
this->nEffThresholdPercent = thresholdPercent;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the unormalized weight sum of all particles */
|
||||||
|
double getWeightSum() const
|
||||||
|
{
|
||||||
|
return this->weightSum;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the predicted mode probability P(m_t|Z_t-1)*/
|
||||||
|
double getPredictedModeProbability() const
|
||||||
|
{
|
||||||
|
return this->predictedModeProbability;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the predicted mode probability P(m_t|Z_t-1)*/
|
||||||
|
void setPredictedModeProbability(const double val) {
|
||||||
|
this->predictedModeProbability = val;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the posterior mode probability P(m_t|Z_t)*/
|
||||||
|
double getModePosteriorProbability() const
|
||||||
|
{
|
||||||
|
return this->modePosteriorProbability;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the posterior mode probability P(m_t|Z_t)*/
|
||||||
|
void setModePosteriorProbability(const double likelihoodSum) {
|
||||||
|
|
||||||
|
Assert::isNotNull(likelihoodSum, "likelihoodsum is zero.. thats not possible");
|
||||||
|
Assert::isNotNull(this->weightSum, "weightSum is zero.. thats not possible");
|
||||||
|
//Assert::isNotNull(this->predictedModeProbability, "predictedModeProbability is zero.. thats not possible");
|
||||||
|
|
||||||
|
this->modePosteriorProbability = (this->weightSum * this->predictedModeProbability) / likelihoodSum;
|
||||||
|
|
||||||
|
//Assert::isNotNull(this->modePosteriorProbability, "modePosteriorProbability is zero.. thats not possible");
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the transition mode probability P(m_t|Z_t)
|
||||||
|
* NOTE: Dont use this value! It is only needed for more beatiful mixed sampling!
|
||||||
|
*/
|
||||||
|
double getTransitionModeProbability() const
|
||||||
|
{
|
||||||
|
return this->transitionModeProbability;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition mode probability P(m_t|Z_t)*/
|
||||||
|
void setTransitionModeProbability(const double val) {
|
||||||
|
this->transitionModeProbability = val;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform resampling -> transition -> evaluation -> estimation */
|
||||||
|
void update(const Control* control, const Observation& observation) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(resampler, "resampler MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(evaluation, "evaluation MUST not be null! call setEvaluation() first!");
|
||||||
|
Assert::isNotNull(estimator, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// perform the transition step
|
||||||
|
transition->transition(particles, control);
|
||||||
|
|
||||||
|
// perform the evaluation step and calculate the sum of all particle weights
|
||||||
|
this->weightSum = evaluation->evaluation(particles, observation);
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
const double neff = normalize(weightSum);
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
this->estimation = estimator->estimate(particles);
|
||||||
|
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < particles.size() * nEffThresholdPercent) { resampler->resample(particles); }
|
||||||
|
|
||||||
|
// done
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** normalize the weight of all particles to one */
|
||||||
|
double normalize(const double weightSum) {
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : particles) {
|
||||||
|
p.weight /= weightSum;
|
||||||
|
sum += (p.weight * p.weight);
|
||||||
|
}
|
||||||
|
return 1.0 / sum;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** calculate the number of efficient particles (N_eff) */
|
||||||
|
double getNeff() const {
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : particles) {sum += (p.weight * p.weight);}
|
||||||
|
return 1.0 / sum;
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERMIXING_H
|
||||||
26
smc/filtering/ParticleFilterTransition.h
Normal file
26
smc/filtering/ParticleFilterTransition.h
Normal file
@@ -0,0 +1,26 @@
|
|||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERTRANSITION_H
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERTRANSITION_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for the user-defined particle transition.
|
||||||
|
* the transition describes the particles change during the transition phase p(q_t | q_t-1)
|
||||||
|
* depending on the control data (if any)
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control>
|
||||||
|
class ParticleFilterTransition {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** perform the transition p(q_t | q_t-1) for all particles based on the given control data */
|
||||||
|
virtual void transition(std::vector<Particle<State>>& particles, const Control* control) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_FILTER_PARTICLES_PARTICLEFILTERTRANSITION_H
|
||||||
24
smc/filtering/estimation/ParticleFilterEstimation.h
Normal file
24
smc/filtering/estimation/ParticleFilterEstimation.h
Normal file
@@ -0,0 +1,24 @@
|
|||||||
|
#ifndef PARTICLEFILTERESTIMATION_H
|
||||||
|
#define PARTICLEFILTERESTIMATION_H
|
||||||
|
|
||||||
|
#include "../../Particle.h"
|
||||||
|
#include <vector>
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterEstimation {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
// dtor
|
||||||
|
virtual ~ParticleFilterEstimation() {;}
|
||||||
|
|
||||||
|
// get the current state estimation for the given particle set
|
||||||
|
virtual State estimate(const std::vector<Particle<State>>& particles) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERESTIMATION_H
|
||||||
160
smc/filtering/estimation/ParticleFilterEstimationKernelDensity.h
Normal file
160
smc/filtering/estimation/ParticleFilterEstimationKernelDensity.h
Normal file
@@ -0,0 +1,160 @@
|
|||||||
|
#if FIXME
|
||||||
|
|
||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERESTIMATIONKERNELDENSITY_H
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERESTIMATIONKERNELDENSITY_H
|
||||||
|
|
||||||
|
|
||||||
|
#include "ParticleFilterEstimation.h"
|
||||||
|
#include <algorithm>
|
||||||
|
#include <vector>
|
||||||
|
#include "../../Particle.h"
|
||||||
|
|
||||||
|
#include "../../../../misc/gnuplot/Gnuplot.h"
|
||||||
|
#include "../../../optimization/NumOptVector.h"
|
||||||
|
#include "../../../optimization/NumOptAlgoDownhillSimplex.h"
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
template <typename State, int numParams>
|
||||||
|
class ParticleFilterEstimationKernelDensity : public ParticleFilterEstimation<State> {
|
||||||
|
|
||||||
|
Gnuplot gp;
|
||||||
|
|
||||||
|
K::NumOptAlgoDownhillSimplex<float, numParams> simplex;
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
class OptFunc {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** the particles to work on */
|
||||||
|
const std::vector<Particle<State>>& particles;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
OptFunc(const std::vector<Particle<State>>& particles) : particles(particles) {;}
|
||||||
|
|
||||||
|
float operator () (const float* params) const {
|
||||||
|
|
||||||
|
double prob = 0;
|
||||||
|
const int size = particles.size();
|
||||||
|
|
||||||
|
//#pragma omp parallel for
|
||||||
|
for (int i = 0; i < size; i+=10) {
|
||||||
|
const Particle<State>& p = particles[i];
|
||||||
|
prob += p.state.getKernelDensityProbability(params) * p.weight;
|
||||||
|
}
|
||||||
|
|
||||||
|
// convert probability to "error"
|
||||||
|
return -prob;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
State estimate(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
|
||||||
|
// comparator
|
||||||
|
auto comp = [] (const Particle<State>& p1, const Particle<State>& p2) { return p1.weight < p2.weight; };
|
||||||
|
|
||||||
|
// // find max state
|
||||||
|
// auto el = std::max_element(particles.begin(), particles.end(), comp);
|
||||||
|
// State max = el->state;
|
||||||
|
|
||||||
|
|
||||||
|
// // region to check
|
||||||
|
// BBox2 bbox;
|
||||||
|
// bbox.add(Point2f(-50,-50));
|
||||||
|
// bbox.add(Point2f(100,100));
|
||||||
|
|
||||||
|
// const float stepSize = 1.0f;
|
||||||
|
|
||||||
|
// const int pxX = (bbox.getMax().x - bbox.getMin().x) / stepSize;
|
||||||
|
// const int pxY = (bbox.getMax().y - bbox.getMin().y) / stepSize;
|
||||||
|
|
||||||
|
// // optimize using simplex
|
||||||
|
OptFunc func(particles);
|
||||||
|
|
||||||
|
// // calculate the optimum
|
||||||
|
// simplex.calculateOptimum(func, params);
|
||||||
|
// std::cout << params << std::endl;
|
||||||
|
|
||||||
|
|
||||||
|
float params[numParams];
|
||||||
|
getGlobalMax(particles, params);
|
||||||
|
|
||||||
|
// create output state from optimized params
|
||||||
|
State res(params);
|
||||||
|
|
||||||
|
|
||||||
|
gp << "splot '-' with lines\n";
|
||||||
|
|
||||||
|
int x1 = 0;//params[0]-2500;
|
||||||
|
int x2 = 100*100;//params[0]+2500;
|
||||||
|
int y1 = 0;//params[1]-2500;
|
||||||
|
int y2 = 60*100;//params[1]+2500;
|
||||||
|
|
||||||
|
for (int x = x1; x < x2; x += 400) {
|
||||||
|
for (int y = y1; y < y2; y += 400) {
|
||||||
|
params[0] = x;
|
||||||
|
params[1] = y;
|
||||||
|
params[2] = 0;
|
||||||
|
gp << x << " " << y << " " << -func(params) << "\n";
|
||||||
|
}
|
||||||
|
gp << "\n";
|
||||||
|
}
|
||||||
|
gp << "e\n";
|
||||||
|
gp.flush();
|
||||||
|
|
||||||
|
return res;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
void getGlobalMax(const std::vector<Particle<State>>& particles, float* startParams) {
|
||||||
|
|
||||||
|
OptFunc func(particles);
|
||||||
|
double bestP = 0;
|
||||||
|
float bestParams[numParams];
|
||||||
|
|
||||||
|
simplex.setMaxIterations(10);
|
||||||
|
simplex.setNumRestarts(0);
|
||||||
|
|
||||||
|
|
||||||
|
for (int i = 0; i < 15; ++i) {
|
||||||
|
|
||||||
|
// start at a random particle
|
||||||
|
const int idx = rand() % particles.size();
|
||||||
|
|
||||||
|
// start optimization at this particle's paramters
|
||||||
|
particles[idx].state.fillKernelDenstityParameters(startParams);
|
||||||
|
|
||||||
|
simplex.calculateOptimum(func, startParams);
|
||||||
|
|
||||||
|
const float prob = -func(startParams);
|
||||||
|
if (prob > bestP) {
|
||||||
|
bestP = prob;
|
||||||
|
memcpy(bestParams, startParams, numParams*sizeof(float));
|
||||||
|
//std::cout << bestParams << std::endl;
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
memcpy(startParams, bestParams, numParams*sizeof(float));
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_FILTER_PARTICLES_PARTICLEFILTERESTIMATIONKERNELDENSITY_H
|
||||||
|
|
||||||
|
#endif
|
||||||
37
smc/filtering/estimation/ParticleFilterEstimationMax.h
Normal file
37
smc/filtering/estimation/ParticleFilterEstimationMax.h
Normal file
@@ -0,0 +1,37 @@
|
|||||||
|
#ifndef PARTICLEFILTERESTIMATIONMAX_H
|
||||||
|
#define PARTICLEFILTERESTIMATIONMAX_H
|
||||||
|
|
||||||
|
#include "ParticleFilterEstimation.h"
|
||||||
|
#include <algorithm>
|
||||||
|
#include <vector>
|
||||||
|
#include "../../Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* just use the particle with the maximum weight
|
||||||
|
* as the currently sestimated state
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterEstimationMax : public ParticleFilterEstimation<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
State estimate(const std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// comparator
|
||||||
|
auto comp = [] (const Particle<State>& p1, const Particle<State>& p2) {
|
||||||
|
return p1.weight < p2.weight;
|
||||||
|
};
|
||||||
|
|
||||||
|
// find max element
|
||||||
|
auto el = std::max_element(particles.begin(), particles.end(), comp);
|
||||||
|
return el->state;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERESTIMATIONMAX_H
|
||||||
@@ -0,0 +1,78 @@
|
|||||||
|
#ifndef PARTICLEFILTERESTIMATIONORDEREDWEIGHTEDAVERAGE_H
|
||||||
|
#define PARTICLEFILTERESTIMATIONORDEREDWEIGHTEDAVERAGE_H
|
||||||
|
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../../Particle.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
#include "ParticleFilterEstimation.h"
|
||||||
|
|
||||||
|
#include "../../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* calculate the (weighted) average state using
|
||||||
|
* the X% best weighted particles
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterEstimationOrderedWeightedAverage : public ParticleFilterEstimation<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
const float percent;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterEstimationOrderedWeightedAverage(const float percent) : percent(percent) {;}
|
||||||
|
|
||||||
|
State estimate(const std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
static_assert( HasOperatorPlusEq<State>::value, "your state needs a += operator!" );
|
||||||
|
static_assert( HasOperatorDivEq<State>::value, "your state needs a /= operator!" );
|
||||||
|
static_assert( HasOperatorMul<State>::value, "your state needs a * operator!" );
|
||||||
|
|
||||||
|
// comparator (highest first)
|
||||||
|
auto comp = [] (const Particle<State>& p1, const Particle<State>& p2) {
|
||||||
|
return p1.weight > p2.weight;
|
||||||
|
};
|
||||||
|
|
||||||
|
// create a copy
|
||||||
|
std::vector<Particle<State>> copy;
|
||||||
|
copy.insert(copy.begin(), particles.begin(), particles.end());
|
||||||
|
|
||||||
|
// sort the copy (highest weight first)
|
||||||
|
std::sort (copy.begin(), copy.end(), comp);
|
||||||
|
|
||||||
|
State tmp;
|
||||||
|
|
||||||
|
// calculate weighted average
|
||||||
|
const int numBest = copy.size() * percent;
|
||||||
|
double weightSum = 0;
|
||||||
|
for (int i = 0; i < numBest; ++i) {
|
||||||
|
const Particle<State>& p = copy[i];
|
||||||
|
tmp += p.state * p.weight;
|
||||||
|
weightSum += p.weight;
|
||||||
|
}
|
||||||
|
|
||||||
|
if (weightSum != weightSum) {
|
||||||
|
int i = 0; (void) i;
|
||||||
|
}
|
||||||
|
|
||||||
|
Assert::isTrue( (weightSum == weightSum), "the sum of particle weights is NaN!");
|
||||||
|
Assert::isTrue( (weightSum != 0), "the sum of particle weights is null!");
|
||||||
|
|
||||||
|
// normalize
|
||||||
|
tmp /= weightSum;
|
||||||
|
|
||||||
|
return tmp;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERESTIMATIONORDEREDWEIGHTEDAVERAGE_H
|
||||||
@@ -0,0 +1,60 @@
|
|||||||
|
#ifndef PARTICLEFILTERESTIMATIONREGIONALWEIGHTEDAVERAGE_H
|
||||||
|
#define PARTICLEFILTERESTIMATIONREGIONALWEIGHTEDAVERAGE_H
|
||||||
|
|
||||||
|
#include "ParticleFilterEstimation.h"
|
||||||
|
#include "../../Particle.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* this implementation estimates the current state
|
||||||
|
* by using the most probable particle and some near particles
|
||||||
|
* combining them by their weight (weighted average)
|
||||||
|
*
|
||||||
|
* the checker, whether a particle is near or not, uses a special,
|
||||||
|
* user-defined metric "belongsToRegion()". This user-method must
|
||||||
|
* return a boolean, whether to include the provided particle
|
||||||
|
* within the region around the maximum particle, or not.
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterEstimationRegionalWeightedAverage : public ParticleFilterEstimation<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
State estimate(const std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
static_assert( HasOperatorPlusEq<State>::value, "your state needs a += operator!" );
|
||||||
|
static_assert( HasOperatorDivEq<State>::value, "your state needs a /= operator!" );
|
||||||
|
static_assert( HasOperatorMul<State>::value, "your state needs a * operator!" );
|
||||||
|
|
||||||
|
//1) get the most probable particle
|
||||||
|
const auto comp = [] (const Particle<State>& p1, const Particle<State>& p2) {return p1.weight < p2.weight;};
|
||||||
|
const Particle<State>& max = *std::max_element(particles.begin(), particles.end(), comp);
|
||||||
|
|
||||||
|
//2) calculate the regional weighted average
|
||||||
|
double cumWeight = 0;
|
||||||
|
State res;
|
||||||
|
for (const Particle<State>& p : particles) {
|
||||||
|
if (!p.state.belongsToRegion(max.state)) {continue;}
|
||||||
|
cumWeight += p.weight;
|
||||||
|
res += p.state * p.weight;
|
||||||
|
}
|
||||||
|
|
||||||
|
// 3) normalize
|
||||||
|
res /= cumWeight;
|
||||||
|
|
||||||
|
// done
|
||||||
|
return res;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERESTIMATIONREGIONALWEIGHTEDAVERAGE_H
|
||||||
@@ -0,0 +1,52 @@
|
|||||||
|
#ifndef PARTICLEFILTERESTIMATIONWEIGHTEDAVERAGE_H
|
||||||
|
#define PARTICLEFILTERESTIMATIONWEIGHTEDAVERAGE_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../../Particle.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
#include "ParticleFilterEstimation.h"
|
||||||
|
|
||||||
|
#include "../../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* calculate the (weighted) average state using
|
||||||
|
* all particles and their weight
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterEstimationWeightedAverage : public ParticleFilterEstimation<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
State estimate(const std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
static_assert( HasOperatorPlusEq<State>::value, "your state needs a += operator!" );
|
||||||
|
static_assert( HasOperatorDivEq<State>::value, "your state needs a /= operator!" );
|
||||||
|
static_assert( HasOperatorMul<State>::value, "your state needs a * operator!" );
|
||||||
|
|
||||||
|
State tmp;
|
||||||
|
|
||||||
|
// calculate weighted average
|
||||||
|
double weightSum = 0;
|
||||||
|
for (const Particle<State>& p : particles) {
|
||||||
|
tmp += p.state * p.weight;
|
||||||
|
weightSum += p.weight;
|
||||||
|
}
|
||||||
|
|
||||||
|
Assert::isTrue( (weightSum == weightSum), "the sum of particle weights is NaN!");
|
||||||
|
Assert::isTrue( (weightSum != 0), "the sum of particle weights is null!");
|
||||||
|
|
||||||
|
// normalize
|
||||||
|
tmp /= weightSum;
|
||||||
|
|
||||||
|
return tmp;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERESTIMATIONWEIGHTEDAVERAGE_H
|
||||||
@@ -0,0 +1,66 @@
|
|||||||
|
#ifndef PARTICLEFILTERESTIMATIONWEIGHTEDAVERAGEWITHANGLE_H
|
||||||
|
#define PARTICLEFILTERESTIMATIONWEIGHTEDAVERAGEWITHANGLE_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <cmath>
|
||||||
|
#include <math.h>
|
||||||
|
#include "../../Particle.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
#include "ParticleFilterEstimation.h"
|
||||||
|
|
||||||
|
#include "../../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* calculate the (weighted) average state using
|
||||||
|
* all particles and their weight
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterEstimationWeightedAverageWithAngle : public ParticleFilterEstimation<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
State estimate(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
static_assert( HasOperatorPlusEq<State>::value, "your state needs a += operator!" );
|
||||||
|
static_assert( HasOperatorDivEq<State>::value, "your state needs a /= operator!" );
|
||||||
|
static_assert( HasOperatorMul<State>::value, "your state needs a * operator!" );
|
||||||
|
|
||||||
|
State tmp;
|
||||||
|
|
||||||
|
// calculate weighted average
|
||||||
|
double weightSum = 0;
|
||||||
|
|
||||||
|
double xAngle = 0;
|
||||||
|
double yAngle = 0;
|
||||||
|
for (const Particle<State>& p : particles) {
|
||||||
|
tmp += p.state * p.weight;
|
||||||
|
weightSum += p.weight;
|
||||||
|
|
||||||
|
xAngle += std::cos(p.state.walkState.heading.getRAD());
|
||||||
|
yAngle += std::sin(p.state.walkState.heading.getRAD());
|
||||||
|
}
|
||||||
|
|
||||||
|
Assert::isTrue( (weightSum == weightSum), "the sum of particle weights is NaN!");
|
||||||
|
Assert::isTrue( (weightSum != 0), "the sum of particle weights is null!");
|
||||||
|
|
||||||
|
// normalize
|
||||||
|
tmp /= weightSum;
|
||||||
|
|
||||||
|
//calculated avg angle
|
||||||
|
tmp.avgAngle = std::fmod((std::atan2(yAngle / particles.size(), xAngle / particles.size()) * 180.0/PI) + 720, 360.0);
|
||||||
|
|
||||||
|
if(tmp.avgAngle > 360.0)
|
||||||
|
std::cout << "fuck" << std::endl;
|
||||||
|
|
||||||
|
return tmp;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERESTIMATIONWEIGHTEDAVERAGE_H
|
||||||
43
smc/filtering/resampling/ParticleFilterResampling.h
Normal file
43
smc/filtering/resampling/ParticleFilterResampling.h
Normal file
@@ -0,0 +1,43 @@
|
|||||||
|
/*
|
||||||
|
* ParticleResampling.h
|
||||||
|
*
|
||||||
|
* Created on: Sep 18, 2013
|
||||||
|
* Author: Frank Ebner
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef PARTICLEFILTERRESAMPLING_H_
|
||||||
|
#define PARTICLEFILTERRESAMPLING_H_
|
||||||
|
|
||||||
|
#include "../../Particle.h"
|
||||||
|
#include <vector>
|
||||||
|
#include <chrono>
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for all available resampling methods
|
||||||
|
* within the particle filter
|
||||||
|
* @param State the (user-defined) state
|
||||||
|
*/
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
template <typename State> class ParticleFilterResampling {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform resampling on the given particle-vector
|
||||||
|
* @param particles the vector of all particles to resample
|
||||||
|
*/
|
||||||
|
virtual void resample(std::vector<Particle<State>>& particles) = 0;
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform resampling on the given particle-vector
|
||||||
|
* @param particles the vector of all particles to resample
|
||||||
|
*/
|
||||||
|
virtual void resample(std::vector<Particle<State>>& particles, double kld, std::vector<Particle<State>>& particlesWifi) {}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif /* PARTICLEFILTERRESAMPLING_H_ */
|
||||||
157
smc/filtering/resampling/ParticleFilterResamplingDivergence.h
Normal file
157
smc/filtering/resampling/ParticleFilterResamplingDivergence.h
Normal file
@@ -0,0 +1,157 @@
|
|||||||
|
#ifndef PARTICLEFILTERRESAMPLINGDIVERGENCE_H
|
||||||
|
#define PARTICLEFILTERRESAMPLINGDIVERGENCE_H
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
#include <random>
|
||||||
|
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
|
||||||
|
int fuck_off = 0;
|
||||||
|
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* draws new particle depending on the current divergence between two
|
||||||
|
* probability distributations based on Jensen–Shannon divergence
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterResamplingDivergence : public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** this is a copy of the particle-set to draw from it */
|
||||||
|
std::vector<Particle<State>> particlesCopy;
|
||||||
|
|
||||||
|
/** this is a copy of the wifi particle-set */
|
||||||
|
std::vector<Particle<State>> particlesWifiCopy;
|
||||||
|
|
||||||
|
/** random number generator */
|
||||||
|
std::minstd_rand gen;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterResamplingDivergence() {
|
||||||
|
gen.seed(1234);
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override{
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles, double kld, std::vector<Particle<State>>& particlesWifi) override {
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
// TODO: this solution requires EXPLICIT overloading which is bad...
|
||||||
|
//static_assert( HasOperatorAssign<State>::value, "your state needs an assignment operator!" );
|
||||||
|
|
||||||
|
const uint32_t cnt = (uint32_t) particles.size();
|
||||||
|
const uint32_t cntWifi = (uint32_t) particlesWifi.size();
|
||||||
|
|
||||||
|
// equal weight for all particles. sums up to 1.0
|
||||||
|
const double equalWeight = 1.0 / (double) cnt;
|
||||||
|
|
||||||
|
// ensure the copy vector has the same size as the real particle vector
|
||||||
|
particlesCopy.resize(cnt);
|
||||||
|
particlesWifiCopy.resize(cntWifi);
|
||||||
|
|
||||||
|
// swap both vectors
|
||||||
|
particlesCopy.swap(particles);
|
||||||
|
particlesWifiCopy = particlesWifi;
|
||||||
|
|
||||||
|
// calculate cumulative weight
|
||||||
|
double cumWeight = 0;
|
||||||
|
for (uint32_t i = 0; i < cnt; ++i) {
|
||||||
|
cumWeight += particlesCopy[i].weight;
|
||||||
|
particlesCopy[i].weight = cumWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
double cumWeightWifi = 0;
|
||||||
|
for (uint32_t i = 0; i < cntWifi; ++i) {
|
||||||
|
cumWeightWifi += particlesWifiCopy[i].weight;
|
||||||
|
particlesWifiCopy[i].weight = cumWeightWifi;
|
||||||
|
}
|
||||||
|
|
||||||
|
double maxKld = 250;
|
||||||
|
double minKld = 20;
|
||||||
|
|
||||||
|
double diffKld = kld - minKld;
|
||||||
|
if(diffKld < 0){
|
||||||
|
diffKld = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
int numWifiParticel = (diffKld / maxKld) * cnt;
|
||||||
|
|
||||||
|
//skip the first observations
|
||||||
|
static const int skipStart = 5;
|
||||||
|
if(fuck_off++ < skipStart){
|
||||||
|
numWifiParticel = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
// now draw from the copy vector and fill the original one
|
||||||
|
// with the resampled particle-set keep the number of particles.
|
||||||
|
for (uint32_t i = 0; i < cnt; ++i) {
|
||||||
|
if(i < numWifiParticel){
|
||||||
|
|
||||||
|
//we draw a particle from posterior and change to position based on the wifi distribution
|
||||||
|
Particle<State> posteriorParticle = draw(cumWeight);
|
||||||
|
Particle<State> wifiParticle = drawWifi(cumWeightWifi);
|
||||||
|
|
||||||
|
posteriorParticle.state.position = wifiParticle.state.position;
|
||||||
|
particles[i] = posteriorParticle;
|
||||||
|
} else {
|
||||||
|
particles[i] = draw(cumWeight);
|
||||||
|
}
|
||||||
|
particles[i].weight = equalWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** draw one particle according to its weight from the copy vector */
|
||||||
|
const Particle<State>& draw(const double cumWeight) {
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumWeight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(gen);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (const Particle<State>& s, const float d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(particlesCopy.begin(), particlesCopy.end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** draw one particle according to its weight from the copy vector */
|
||||||
|
const Particle<State>& drawWifi(const double cumWeight) {
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumWeight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(gen);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (const Particle<State>& s, const float d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(particlesWifiCopy.begin(), particlesWifiCopy.end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERRESAMPLINGDIVERGENCE_H
|
||||||
130
smc/filtering/resampling/ParticleFilterResamplingKLD.h
Normal file
130
smc/filtering/resampling/ParticleFilterResamplingKLD.h
Normal file
@@ -0,0 +1,130 @@
|
|||||||
|
#ifndef PARTICLEFILTERRESAMPLINGKLD_H
|
||||||
|
#define PARTICLEFILTERRESAMPLINGKLD_H
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
#include <random>
|
||||||
|
|
||||||
|
#include <Indoor/math/random/RandomGenerator.h>
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
|
||||||
|
#include <Indoor/math/distribution/NormalCDF.h>
|
||||||
|
#include <Indoor/misc/Binning.h>
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* "Adapting sample size in particle filters through KLD-resampling" T.Li et al.
|
||||||
|
* Resample a dynamic size of new particles. for resampling we use the simple (multinomial version)
|
||||||
|
* We cann guarente with the probability 1 - delt, the KLD between posterior and the true posterior is
|
||||||
|
* less then epsilon.
|
||||||
|
*
|
||||||
|
*
|
||||||
|
* Note: the State template parameter needs to implement a float getBinValue(const int dim) const {..} function
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterResamplingKLD : public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** this is a copy of the particle-set to draw from it */
|
||||||
|
std::vector<Particle<State>> particlesCopy;
|
||||||
|
|
||||||
|
/** random number generator */
|
||||||
|
std::minstd_rand gen;
|
||||||
|
|
||||||
|
/** upper bound epsilon of the kld distance - the particle size is not allowed to exceed epsilon*/
|
||||||
|
double epsilon;
|
||||||
|
|
||||||
|
/** the upper 1 - delta quantil of the normal distribution. something like 0.01 */
|
||||||
|
double delta;
|
||||||
|
|
||||||
|
/** the bins */
|
||||||
|
Binning<State> bins;
|
||||||
|
|
||||||
|
/** max particle size */
|
||||||
|
uint32_t N_max;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterResamplingKLD(double delta = 0.01, double epsilon = 0.13, uint32_t N_max = 25000) : delta(delta), epsilon(epsilon), N_max(N_max) {
|
||||||
|
gen.seed(RANDOM_SEED);
|
||||||
|
|
||||||
|
bins.setBinSizes({0.01, 0.01, 0.2, 0.3});
|
||||||
|
bins.setRanges({BinningRange(-1,100), BinningRange(-10,60), BinningRange(-1,15), BinningRange(0, 2 * M_PI)});
|
||||||
|
}
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
const uint32_t cnt = (uint32_t) particles.size();
|
||||||
|
|
||||||
|
// equal weight for all particles. sums up to 1.0
|
||||||
|
const double equalWeight = 1.0 / (double) cnt;
|
||||||
|
|
||||||
|
// ensure the copy vector has the same size as the real particle vector
|
||||||
|
particlesCopy.resize(cnt);
|
||||||
|
|
||||||
|
// swap both vectors
|
||||||
|
particlesCopy.swap(particles);
|
||||||
|
|
||||||
|
// calculate cumulative weight
|
||||||
|
double cumWeight = 0;
|
||||||
|
for (uint32_t i = 0; i < cnt; ++i) {
|
||||||
|
cumWeight += particlesCopy[i].weight;
|
||||||
|
particlesCopy[i].weight = cumWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
//clean the bins and particles
|
||||||
|
bins.clearUsed();
|
||||||
|
particles.clear();
|
||||||
|
|
||||||
|
// draw a new particle and check if it is within a bin or not
|
||||||
|
uint32_t k = 1;
|
||||||
|
double N = 0;
|
||||||
|
int i = 0;
|
||||||
|
while(i <= N && i <= N_max){
|
||||||
|
particles.push_back(draw(cumWeight));
|
||||||
|
particles.back().weight = equalWeight;
|
||||||
|
|
||||||
|
//is bin free?
|
||||||
|
if(bins.isFree(particles[i].state)){
|
||||||
|
k++;
|
||||||
|
bins.markUsed(particles[i].state);
|
||||||
|
|
||||||
|
//calculate the new N
|
||||||
|
double z_delta = Distribution::NormalCDF<double>::getProbit(1 - delta);
|
||||||
|
double front = (k - 1) / (2 * epsilon);
|
||||||
|
double back = 1 - (2 / (9 * (k - 1))) + (std::sqrt(2 / (9 * (k - 1))) * z_delta );
|
||||||
|
|
||||||
|
N = front * std::pow(back, 3.0);
|
||||||
|
}
|
||||||
|
++i;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** draw one particle according to its weight from the copy vector */
|
||||||
|
const Particle<State>& draw(const double cumWeight) {
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumWeight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(gen);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (const Particle<State>& s, const float d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(particlesCopy.begin(), particlesCopy.end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERRESAMPLINGKLD_H
|
||||||
31
smc/filtering/resampling/ParticleFilterResamplingLog.h
Normal file
31
smc/filtering/resampling/ParticleFilterResamplingLog.h
Normal file
@@ -0,0 +1,31 @@
|
|||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGLOG_H
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGLOG_H
|
||||||
|
|
||||||
|
#include "ParticleFilterResamplingSimple.h"
|
||||||
|
|
||||||
|
namespace K {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* draw particles using their log-weight
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterResamplingLog : public ParticleFilterResamplingSimple<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
for (Particle<State>& p : particles) {
|
||||||
|
//p.weight = - 1.0 / std::log(p.weight);
|
||||||
|
p.weight = std::pow(p.weight, 0.5);
|
||||||
|
}
|
||||||
|
|
||||||
|
ParticleFilterResamplingSimple<State>::resample(particles);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGLOG_H
|
||||||
163
smc/filtering/resampling/ParticleFilterResamplingNEff.h
Normal file
163
smc/filtering/resampling/ParticleFilterResamplingNEff.h
Normal file
@@ -0,0 +1,163 @@
|
|||||||
|
#ifndef PARTICLEFILTERRESAMPLINGNEFF_H
|
||||||
|
#define PARTICLEFILTERRESAMPLINGNEFF_H
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
#include <functional>
|
||||||
|
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
#include "../ParticleAssertions.h"
|
||||||
|
|
||||||
|
namespace K {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* TODO
|
||||||
|
*/
|
||||||
|
template <typename State> class ParticleFilterResamplingNEff : public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
using DrawCallback = std::function<void(Particle<State>& p)>;
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** random number generator */
|
||||||
|
std::minstd_rand gen;
|
||||||
|
|
||||||
|
const float desiredNEff;
|
||||||
|
|
||||||
|
const float maxAdapt = 0.05;
|
||||||
|
|
||||||
|
DrawCallback drawCallback;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterResamplingNEff(const float desiredNEff = 0.75, const float maxAdapt = 0.05) : desiredNEff(desiredNEff), maxAdapt(maxAdapt) {
|
||||||
|
gen.seed(1234);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** callback to inform about redrawn particles */
|
||||||
|
void setDrawCallback(const DrawCallback& callback) {this->drawCallback = callback;}
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// comparator (highest first)
|
||||||
|
static auto comp = [] (const Particle<State>& p1, const Particle<State>& p2) {
|
||||||
|
return p1.weight > p2.weight;
|
||||||
|
};
|
||||||
|
|
||||||
|
// ensure all particle-weights sum up to 1.0
|
||||||
|
normalize(particles);
|
||||||
|
|
||||||
|
// calculate current N_eff
|
||||||
|
const double curNEff = getNEff(particles);
|
||||||
|
|
||||||
|
// cur N_eff is > desired N_eff -> nothing to do
|
||||||
|
if (curNEff > desiredNEff) {return;}
|
||||||
|
|
||||||
|
const size_t cnt = particles.size();
|
||||||
|
|
||||||
|
// how many particles to discard and resample based on N_eff
|
||||||
|
// example: N_eff = 75% -> 25% to discard/resample
|
||||||
|
// cur N_eff < desired N_eff -> calculate adaption
|
||||||
|
float adapt = desiredNEff - curNEff;
|
||||||
|
if (adapt > maxAdapt) {adapt = maxAdapt;}
|
||||||
|
const size_t toResample = cnt * adapt;
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
// sort orig particles by weight (highest first)
|
||||||
|
std::sort(particles.begin(), particles.end(), comp);
|
||||||
|
|
||||||
|
// to-be-removed region [at the end of the vector]
|
||||||
|
const size_t start = particles.size() - toResample;
|
||||||
|
|
||||||
|
// zero the weight of the to-be-removed region
|
||||||
|
for (size_t i = start; i < cnt; ++i) {
|
||||||
|
particles[i].weight = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
// renormalize the remaining set
|
||||||
|
normalize(particles);
|
||||||
|
|
||||||
|
// replace the to-be-removed region [start:cnt]
|
||||||
|
for (size_t i = start; i < cnt; ++i) {
|
||||||
|
|
||||||
|
// track cumulative weight for each particle-index
|
||||||
|
std::vector<float> cumWeights;
|
||||||
|
|
||||||
|
// calculate cumulative weight for the copy [0:start] = the to-be-kept particles
|
||||||
|
double cumWeight = 0;
|
||||||
|
for (size_t i = 0; i < start; ++i) {
|
||||||
|
cumWeight += particles[i].weight;
|
||||||
|
cumWeights.push_back(cumWeight);
|
||||||
|
}
|
||||||
|
|
||||||
|
// get a random particle between [0:start]
|
||||||
|
const size_t idx = draw(cumWeights);
|
||||||
|
|
||||||
|
// split
|
||||||
|
particles[i] = particles[idx];
|
||||||
|
particles[i].weight /= 2;
|
||||||
|
particles[idx].weight /= 2;
|
||||||
|
|
||||||
|
// callback?
|
||||||
|
if (drawCallback) {drawCallback(particles[i]);}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
// sanity check. sum of weights must now still be 1.0!
|
||||||
|
double weightSum = 0;
|
||||||
|
for (const auto& p : particles) {weightSum += p.weight;}
|
||||||
|
|
||||||
|
if (std::abs(weightSum - 1.0) > 0.01) {
|
||||||
|
throw Exception("particle weight does not sum up to 1.0");
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
void normalize(std::vector<Particle<State>>& particles) const {
|
||||||
|
double sum = 0.0;
|
||||||
|
for (const auto& p : particles) {sum += p.weight;} // calculate sum
|
||||||
|
for (auto& p : particles) {p.weight /= sum;} // normalize
|
||||||
|
}
|
||||||
|
|
||||||
|
double getNEff(const std::vector<Particle<State>>& particles) const {
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : particles) {
|
||||||
|
sum += (p.weight * p.weight);
|
||||||
|
}
|
||||||
|
return 1.0 / sum / particles.size();
|
||||||
|
}
|
||||||
|
|
||||||
|
size_t draw(const std::vector<float>& cumWeights) {
|
||||||
|
|
||||||
|
// get the cumulative weight [= last entry]
|
||||||
|
const double cumWeight = cumWeights.back();
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumWeight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(gen);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto it = std::lower_bound(cumWeights.begin(), cumWeights.end(), rand);
|
||||||
|
|
||||||
|
// convert iterator to index
|
||||||
|
const int idx = it - cumWeights.begin();
|
||||||
|
|
||||||
|
return idx;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERRESAMPLINGNEFF_H
|
||||||
34
smc/filtering/resampling/ParticleFilterResamplingNone.h
Normal file
34
smc/filtering/resampling/ParticleFilterResamplingNone.h
Normal file
@@ -0,0 +1,34 @@
|
|||||||
|
/*
|
||||||
|
* ParticleResamplingNone.h
|
||||||
|
*
|
||||||
|
* Created on: Sep 18, 2013
|
||||||
|
* Author: Frank Ebner
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGNONE_H_
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGNONE_H_
|
||||||
|
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
|
||||||
|
namespace K {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* dummy resampler simply doing nothing
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterResamplingNone : public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
// /** dtor */
|
||||||
|
// ~ParticleFilterResamplingNone() {;}
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
(void) particles;
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif /* K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGNONE_H_ */
|
||||||
94
smc/filtering/resampling/ParticleFilterResamplingPercent.h
Normal file
94
smc/filtering/resampling/ParticleFilterResamplingPercent.h
Normal file
@@ -0,0 +1,94 @@
|
|||||||
|
#ifndef PARTICLEFILTERRESAMPLINGPERCENT_H
|
||||||
|
#define PARTICLEFILTERRESAMPLINGPERCENT_H
|
||||||
|
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* TODO
|
||||||
|
*/
|
||||||
|
template <typename State> class ParticleFilterResamplingPercent : public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** random number generator */
|
||||||
|
std::minstd_rand gen;
|
||||||
|
|
||||||
|
float percent;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterResamplingPercent(const float percent) : percent(percent) {
|
||||||
|
gen.seed(1234);
|
||||||
|
}
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// comparator (highest first)
|
||||||
|
static auto comp = [] (const Particle<State>& p1, const Particle<State>& p2) {
|
||||||
|
return p1.weight > p2.weight;
|
||||||
|
};
|
||||||
|
|
||||||
|
const uint32_t cnt = (uint32_t) particles.size();
|
||||||
|
|
||||||
|
// sort particles by weight (highest first)
|
||||||
|
std::sort(particles.begin(), particles.end(), comp);
|
||||||
|
|
||||||
|
|
||||||
|
// to-be-removed region
|
||||||
|
const int start = particles.size() * (1-percent);
|
||||||
|
const int end = particles.size();
|
||||||
|
std::uniform_int_distribution<int> dist(0, start-1);
|
||||||
|
|
||||||
|
// remove by re-drawing
|
||||||
|
for (uint32_t i = start; i < end; ++i) {
|
||||||
|
const int rnd = dist(gen);
|
||||||
|
particles[i] = particles[rnd];
|
||||||
|
particles[i].weight /= 2;
|
||||||
|
particles[rnd].weight /= 2;
|
||||||
|
}
|
||||||
|
|
||||||
|
// calculate weight-sum
|
||||||
|
double weightSum = 0;
|
||||||
|
for (const auto& p : particles) {
|
||||||
|
weightSum += p.weight;
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
int i = 0;
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** draw one particle according to its weight from the copy vector */
|
||||||
|
const Particle<State>& draw(std::vector<Particle<State>>& copy, const double cumWeight) {
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumWeight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(gen);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (const Particle<State>& s, const float d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(copy.begin(), copy.end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // PARTICLEFILTERRESAMPLINGPERCENT_H
|
||||||
102
smc/filtering/resampling/ParticleFilterResamplingSimple.h
Normal file
102
smc/filtering/resampling/ParticleFilterResamplingSimple.h
Normal file
@@ -0,0 +1,102 @@
|
|||||||
|
/*
|
||||||
|
* ParticleResamplingSimple.h
|
||||||
|
*
|
||||||
|
* Created on: Sep 18, 2013
|
||||||
|
* Author: Frank Ebner
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGSIMPLE_H_
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGSIMPLE_H_
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
#include <random>
|
||||||
|
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
#include "../../ParticleAssertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* uses simple probability resampling by drawing particles according
|
||||||
|
* to their current weight.
|
||||||
|
* O(log(n)) per particle
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterResamplingSimple : public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** this is a copy of the particle-set to draw from it */
|
||||||
|
std::vector<Particle<State>> particlesCopy;
|
||||||
|
|
||||||
|
/** random number generator */
|
||||||
|
std::minstd_rand gen;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
ParticleFilterResamplingSimple() {
|
||||||
|
gen.seed(1234);
|
||||||
|
}
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
// TODO: this solution requires EXPLICIT overloading which is bad...
|
||||||
|
// static_assert( HasOperatorAssign<State>::value, "your state needs an assignment operator!" );
|
||||||
|
|
||||||
|
const uint32_t cnt = (uint32_t) particles.size();
|
||||||
|
|
||||||
|
// equal weight for all particles. sums up to 1.0
|
||||||
|
const double equalWeight = 1.0 / (double) cnt;
|
||||||
|
|
||||||
|
// ensure the copy vector has the same size as the real particle vector
|
||||||
|
particlesCopy.resize(cnt);
|
||||||
|
|
||||||
|
// swap both vectors
|
||||||
|
particlesCopy.swap(particles);
|
||||||
|
|
||||||
|
// calculate cumulative weight
|
||||||
|
double cumWeight = 0;
|
||||||
|
for (uint32_t i = 0; i < cnt; ++i) {
|
||||||
|
cumWeight += particlesCopy[i].weight;
|
||||||
|
particlesCopy[i].weight = cumWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
// now draw from the copy vector and fill the original one
|
||||||
|
// with the resampled particle-set
|
||||||
|
for (uint32_t i = 0; i < cnt; ++i) {
|
||||||
|
particles[i] = draw(cumWeight);
|
||||||
|
particles[i].weight = equalWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** draw one particle according to its weight from the copy vector */
|
||||||
|
const Particle<State>& draw(const double cumWeight) {
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumWeight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(gen);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (const Particle<State>& s, const float d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(particlesCopy.begin(), particlesCopy.end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
#endif /* K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGSIMPLE_H_ */
|
||||||
95
smc/filtering/resampling/ParticleFilterResamplingWheel.h
Normal file
95
smc/filtering/resampling/ParticleFilterResamplingWheel.h
Normal file
@@ -0,0 +1,95 @@
|
|||||||
|
#ifndef K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGWHEEL_H_
|
||||||
|
#define K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGWHEEL_H_
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
#include <vector>
|
||||||
|
|
||||||
|
#include "ParticleFilterResampling.h"
|
||||||
|
#include "../ParticleAssertions.h"
|
||||||
|
#include "../../../distribution/Uniform.h"
|
||||||
|
#include "../../../../os/Time.h"
|
||||||
|
|
||||||
|
/**
|
||||||
|
* sources:
|
||||||
|
* https://www.udacity.com/course/viewer#!/c-cs373/l-48704330/e-48748082/m-48740082
|
||||||
|
* https://www.youtube.com/watch?list=PLpUPoM7Rgzi_7YWn14Va2FODh7LzADBSm&feature=player_detailpage&v=kZhOJgooMxI#t=567
|
||||||
|
*/
|
||||||
|
|
||||||
|
namespace K {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* uses simple probability resampling by drawing particles according
|
||||||
|
* to their current weight using a "wheel"
|
||||||
|
* -> O(n) for all particles
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleFilterResamplingWheel: public ParticleFilterResampling<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** this is a copy of the particle-set to draw from it */
|
||||||
|
std::vector<Particle<State>> particlesCopy;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
void resample(std::vector<Particle<State>>& particles) override {
|
||||||
|
|
||||||
|
uint64_t start = K::Time::getTimeMS();
|
||||||
|
|
||||||
|
// compile-time sanity checks
|
||||||
|
// TODO: this solution requires EXPLICIT overloading which is bad...
|
||||||
|
//static_assert( HasOperatorAssign<State>::value, "your state needs an assignment operator!" );
|
||||||
|
|
||||||
|
const uint32_t cnt = (uint32_t) particles.size();
|
||||||
|
|
||||||
|
// equal weight for all particles. sums up to 1.0
|
||||||
|
const double equalWeight = 1.0 / (double) cnt;
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
// get the weight of the "heaviest" particle
|
||||||
|
const auto lambda = [] (const Particle<State>& p1, const Particle<State>& p2) {return p1.weight < p2.weight;};
|
||||||
|
const Particle<State> max = *std::max_element(particles.begin(), particles.end(), lambda);
|
||||||
|
|
||||||
|
// draw form the input particle set by treating it as a wheel
|
||||||
|
K::UniformDistribution dist(0, 2 * max.weight);
|
||||||
|
int curIdx = K::UniformDistribution::draw( (int)0, (int)particles.size() - 1);
|
||||||
|
double curOffset = dist.draw();
|
||||||
|
|
||||||
|
// ensure the copy vector has the same size as the real particle vector
|
||||||
|
particlesCopy.resize(cnt);
|
||||||
|
|
||||||
|
// draw the new set of particles
|
||||||
|
for (uint32_t i = 0; i < cnt; ) {
|
||||||
|
|
||||||
|
// found a suitable particle, use it and draw the next random number
|
||||||
|
if (particles[curIdx].weight >= curOffset) {
|
||||||
|
particlesCopy[i] = particles[curIdx];
|
||||||
|
particlesCopy[i].weight = equalWeight;
|
||||||
|
curOffset += dist.draw();
|
||||||
|
++i;
|
||||||
|
|
||||||
|
// weight to small, subtract the particles weight and move on to the next particle
|
||||||
|
} else {
|
||||||
|
curOffset -= particles[curIdx].weight;
|
||||||
|
curIdx = (curIdx + 1) % (particles.size());
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
// swap both vectors
|
||||||
|
particlesCopy.swap(particles);
|
||||||
|
|
||||||
|
uint64_t end = K::Time::getTimeMS();
|
||||||
|
std::cout << (end-start) << std::endl;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
#endif /* K_MATH_FILTER_PARTICLES_PARTICLEFILTERRESAMPLINGWHEEL_H_ */
|
||||||
135
smc/merging/InteractingMultipleModelParticleFilter.h
Normal file
135
smc/merging/InteractingMultipleModelParticleFilter.h
Normal file
@@ -0,0 +1,135 @@
|
|||||||
|
#ifndef INTERACTINGMULTIPLEMODELPARTICLEFILTER_H
|
||||||
|
#define INTERACTINGMULTIPLEMODELPARTICLEFILTER_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
|
||||||
|
#include "mixing/MixingSampler.h"
|
||||||
|
#include "MarkovTransitionProbability.h"
|
||||||
|
#include "estimation/JointEstimation.h"
|
||||||
|
|
||||||
|
#include "../filtering/ParticleFilterMixing.h"
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* the main-class for IMMPF based on Driessen and Boers
|
||||||
|
* @param vector of particle filters as modes
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class InteractingMultipleModelParticleFilter {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** the used particle filters */
|
||||||
|
std::vector<ParticleFilterMixing<State, Control, Observation>> modes;
|
||||||
|
|
||||||
|
/** the mixing function to use */
|
||||||
|
std::unique_ptr<MixingSampler<State, Control, Observation>> mixing;
|
||||||
|
|
||||||
|
/** the function for calculating markov chain transition*/
|
||||||
|
std::unique_ptr<MarkovTransitionProbability<State, Control, Observation>> transition;
|
||||||
|
|
||||||
|
/** the function for calculating a joint estimation */
|
||||||
|
std::unique_ptr<JointEstimation<State, Control, Observation>> estimation;
|
||||||
|
|
||||||
|
/** the transition probability matrix */
|
||||||
|
Eigen::MatrixXd transitionProbabilityMatrix;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor
|
||||||
|
* NOTE: The single rows of the transition matrix need to sum to 1!!!
|
||||||
|
*/
|
||||||
|
InteractingMultipleModelParticleFilter(std::vector<ParticleFilterMixing<State, Control, Observation>>& modes, Eigen::MatrixXd transitionProbabilityMatrix) {
|
||||||
|
|
||||||
|
// TODO: this is a deep copy... we could or should change that later.. since slooooooooow =)
|
||||||
|
this->modes = modes;
|
||||||
|
|
||||||
|
//init transmatrix
|
||||||
|
this->transitionProbabilityMatrix = transitionProbabilityMatrix;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~InteractingMultipleModelParticleFilter() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set mixing function */
|
||||||
|
void setMixingSampler(std::unique_ptr<MixingSampler<State, Control, Observation>> mixing) {
|
||||||
|
Assert::isNotNull(mixing, "setMixingSampler() MUST not be called with a nullptr!");
|
||||||
|
this->mixing = std::move(mixing);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set mode transition function */
|
||||||
|
void setMarkovTransitionProbability(std::unique_ptr<MarkovTransitionProbability<State, Control, Observation>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setMarkovTransitionProbability() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set joint estimation function */
|
||||||
|
void setJointEstimation(std::unique_ptr<JointEstimation<State, Control, Observation>> estimation) {
|
||||||
|
Assert::isNotNull(estimation, "setJointEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimation = std::move(estimation);
|
||||||
|
}
|
||||||
|
|
||||||
|
const std::vector<ParticleFilterMixing<State, Control, Observation>>& getModes() const{
|
||||||
|
return modes;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** perform the mixed update -> update particle filters -> estimation -> mixing*/
|
||||||
|
State update(const Control* control, const Observation& observation){
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(mixing, "mixingsampler MUST not be null! call setResampler() first!");
|
||||||
|
//Assert::isNotNull(transition, "transition MUST not be null! call setResampler() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setResampler() first!");
|
||||||
|
|
||||||
|
// mix both modes depending on the kld divergency and their calculated
|
||||||
|
// impact (mode posterior prob) to draw new particles
|
||||||
|
mixing->mixAndSample(modes, this->transitionProbabilityMatrix);
|
||||||
|
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& filter : modes){
|
||||||
|
|
||||||
|
//update the particle filter and save estimation
|
||||||
|
filter.update(control, observation);
|
||||||
|
}
|
||||||
|
|
||||||
|
// calculate the transition probability matrix for the markov chain based on
|
||||||
|
// kld divergency.
|
||||||
|
this->transitionProbabilityMatrix = transition->update(modes, observation);
|
||||||
|
|
||||||
|
// calc posterior probability
|
||||||
|
this->calcPosteriorProbability();
|
||||||
|
|
||||||
|
// calculate current estimation
|
||||||
|
const State jointEst = estimation->estimate(modes);
|
||||||
|
|
||||||
|
//done
|
||||||
|
return jointEst;
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
void calcPosteriorProbability(){
|
||||||
|
|
||||||
|
// calculate the likelihood Sum lambda for all modes
|
||||||
|
// the Posterior is init with P(m_0 | Z_0)
|
||||||
|
double likelihoodSum;
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& filter : modes){
|
||||||
|
|
||||||
|
likelihoodSum += filter.getWeightSum() * filter.getPredictedModeProbability();
|
||||||
|
}
|
||||||
|
|
||||||
|
// set the last posterior probability p(m_t-1 | Z_t-1) for all modes
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& filter : modes){
|
||||||
|
|
||||||
|
filter.setModePosteriorProbability(likelihoodSum);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // INTERACTINGMULTIPLEMODELPARTICLEFILTER_H
|
||||||
30
smc/merging/MarkovTransitionProbability.h
Normal file
30
smc/merging/MarkovTransitionProbability.h
Normal file
@@ -0,0 +1,30 @@
|
|||||||
|
#ifndef MARKOVTRANSITIONPROBABILITY_H
|
||||||
|
#define MARKOVTRANSITIONPROBABILITY_H
|
||||||
|
|
||||||
|
#include "../filtering/ParticleFilterMixing.h"
|
||||||
|
#include <eigen3/Eigen/Dense>
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for all available transition probability calculations
|
||||||
|
* within the IMMPF
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class MarkovTransitionProbability {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform the calculation of the transition matrix
|
||||||
|
* @param vector of modes / particle filters
|
||||||
|
*/
|
||||||
|
virtual Eigen::MatrixXd update(std::vector<ParticleFilterMixing<State, Control, Observation>>& modes, const Observation& obs) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#endif // MARKOVTRANSITIONPROBABILITY_H
|
||||||
25
smc/merging/estimation/JointEstimation.h
Normal file
25
smc/merging/estimation/JointEstimation.h
Normal file
@@ -0,0 +1,25 @@
|
|||||||
|
#ifndef JOINTESTIMATION_H
|
||||||
|
#define JOINTESTIMATION_H
|
||||||
|
|
||||||
|
#include "../../filtering/ParticleFilterMixing.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for all available joint estimations
|
||||||
|
* within the IMMPF we have multiple particle filters
|
||||||
|
* the "true" estimation is a joint state of all
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class JointEstimation {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
// get the current state estimation for the given particle set
|
||||||
|
virtual const State estimate(std::vector<ParticleFilterMixing<State, Control, Observation>>& modes) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // JOINTESTIMATION_H
|
||||||
28
smc/merging/estimation/JointEstimationPosteriorOnly.h
Normal file
28
smc/merging/estimation/JointEstimationPosteriorOnly.h
Normal file
@@ -0,0 +1,28 @@
|
|||||||
|
#ifndef JOINTESTIMATIONPOSTERIORONLY_H
|
||||||
|
#define JOINTESTIMATIONPOSTERIORONLY_H
|
||||||
|
|
||||||
|
#include "JointEstimation.h"
|
||||||
|
|
||||||
|
#include "../../filtering/ParticleFilterMixing.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Use only the posterior distribution (first mode entry) for the joint estimaton
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class JointEstimationPosteriorOnly
|
||||||
|
: public JointEstimation<State, Control, Observation> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
// get the current state estimation for the given particle set
|
||||||
|
const State estimate(std::vector<ParticleFilterMixing<State, Control, Observation>>& modes) override {
|
||||||
|
return modes[0].getEstimation();
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // JOINTESTIMATIONPOSTERIORONLY_H
|
||||||
29
smc/merging/mixing/MixingSampler.h
Normal file
29
smc/merging/mixing/MixingSampler.h
Normal file
@@ -0,0 +1,29 @@
|
|||||||
|
#ifndef MIXINGSAMPLER_H
|
||||||
|
#define MIXINGSAMPLER_H
|
||||||
|
|
||||||
|
#include "../../filtering/ParticleFilterMixing.h"
|
||||||
|
#include <eigen3/Eigen/Dense>
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for all available resampling methods
|
||||||
|
* within the particle filter
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class MixingSampler {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform mixing of modes and sample according to the modes probability
|
||||||
|
* @param particles the vector of all particles to resample
|
||||||
|
*/
|
||||||
|
virtual void mixAndSample(std::vector<ParticleFilterMixing<State, Control, Observation>>& modes, Eigen::MatrixXd transitionProbabilityMatrix) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // MIXINGSAMPLER_H
|
||||||
157
smc/merging/mixing/MixingSamplerDivergency.h
Normal file
157
smc/merging/mixing/MixingSamplerDivergency.h
Normal file
@@ -0,0 +1,157 @@
|
|||||||
|
#ifndef MIXINGSAMPLERDIVERGENCY_H
|
||||||
|
#define MIXINGSAMPLERDIVERGENCY_H
|
||||||
|
|
||||||
|
#include "MixingSampler.h"
|
||||||
|
|
||||||
|
#include <algorithm>
|
||||||
|
#include <random>
|
||||||
|
#include <eigen3/Eigen/Dense>
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Using the direct sampling approach of Driessen and Boers in
|
||||||
|
* "Efficient particle filter for jump Markov nonlinear systems".
|
||||||
|
* as transition probability matrix for the markov chain we use
|
||||||
|
* a divergence based on Jensen–Shannon divergence
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation> class MixingSamplerDivergency
|
||||||
|
: public MixingSampler<State, Control, Observation> {
|
||||||
|
|
||||||
|
/** random number generator */
|
||||||
|
std::minstd_rand genNorm;
|
||||||
|
std::minstd_rand genPart;
|
||||||
|
|
||||||
|
/** copy of the modes with cumulative probabilities for easy drawing*/
|
||||||
|
std::vector<ParticleFilterMixing<State, Control, Observation>> copyModes;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
void mixAndSample(std::vector<ParticleFilterMixing<State, Control, Observation>>& modes, Eigen::MatrixXd transitionProbabilityMatrix) override{
|
||||||
|
|
||||||
|
genNorm.seed(std::chrono::system_clock::now().time_since_epoch().count());
|
||||||
|
genPart.seed(std::chrono::system_clock::now().time_since_epoch().count() + 233);
|
||||||
|
|
||||||
|
// set copyModes for later drawing
|
||||||
|
copyModes = modes;
|
||||||
|
|
||||||
|
// create cumulative particlesets for the copy
|
||||||
|
// Note: in most cases, the particles are already resampled within the filtering stage
|
||||||
|
// but in some cases they are not and therefore we need to draw cumulatively and not equally
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& copyFilter : copyModes){
|
||||||
|
double cumWeight = 0;
|
||||||
|
std::vector<Particle<State>> copyParticles;
|
||||||
|
copyParticles = copyFilter.getParticles();
|
||||||
|
|
||||||
|
for(int i = 0; i < copyParticles.size(); ++i){
|
||||||
|
cumWeight += copyParticles[i].weight;
|
||||||
|
copyParticles[i].weight = cumWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
copyFilter.setParticles(copyParticles);
|
||||||
|
}
|
||||||
|
|
||||||
|
// calculate the new predicted mode prob P(m_t|Z_t-1) and P(m_t-1 | m_t, Z_t-1)
|
||||||
|
int m = 0; //this is m_t
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& focusedFilter : modes){
|
||||||
|
|
||||||
|
// P(m_t|Z_t-1) = sum(P(m_t | m_t-1) P(m_t-1 | Z_t-1))
|
||||||
|
int i = 0; //this are all possible m_t-1
|
||||||
|
double predictedModeProbability = 0;
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& filter : modes){
|
||||||
|
predictedModeProbability += transitionProbabilityMatrix(m,i) * filter.getModePosteriorProbability();
|
||||||
|
++i;
|
||||||
|
}
|
||||||
|
|
||||||
|
//Assert::isNotNull(predictedModeProbability, "predictedModeProbability is zero.. thats not possible!");
|
||||||
|
focusedFilter.setPredictedModeProbability(predictedModeProbability);
|
||||||
|
|
||||||
|
// cumulative sum of TransitionModeProbabilities for drawing modes from the perspective of ONE filter!
|
||||||
|
// this means, the transition mode probabilities are calculated for each filter NEW!
|
||||||
|
// calculate P(m_t-1 | m_t, Z_t-1) = P(m_t | m_t-1) * p(m_t-1 | Z_t-1) / P(m_t|Z_t-1)
|
||||||
|
double cumTransitionModeProbability = 0;
|
||||||
|
i = 0;
|
||||||
|
for(ParticleFilterMixing<State, Control, Observation>& filter : modes){
|
||||||
|
|
||||||
|
double prob = (transitionProbabilityMatrix(m,i) * filter.getModePosteriorProbability()) / focusedFilter.getPredictedModeProbability();
|
||||||
|
filter.setTransitionModeProbability(prob);
|
||||||
|
|
||||||
|
cumTransitionModeProbability += prob;
|
||||||
|
copyModes[i].setTransitionModeProbability(cumTransitionModeProbability);
|
||||||
|
|
||||||
|
//std::cout << "Draw Mode Probability from mode " << m << i << " : " << prob << std::endl;
|
||||||
|
++i;
|
||||||
|
}
|
||||||
|
|
||||||
|
// draw new modes and particles
|
||||||
|
// Note: in most cases, the particles are already resampled within the filtering stage
|
||||||
|
// but in some cases they are not and therefore we need to draw cumulatively and not equally
|
||||||
|
|
||||||
|
// todo: make the particle size dynamic depending on the kld or something else
|
||||||
|
// number of particles for this timestep
|
||||||
|
int numParticles = focusedFilter.getParticles().size();
|
||||||
|
|
||||||
|
std::vector<Particle<State>> newParticles;
|
||||||
|
newParticles.resize(numParticles);
|
||||||
|
double equalWeight = 1.0 / numParticles;
|
||||||
|
|
||||||
|
// draw modes cumulative
|
||||||
|
for(int k = 0; k < numParticles; ++k){
|
||||||
|
|
||||||
|
auto mode = drawMode(cumTransitionModeProbability);
|
||||||
|
newParticles[k] = drawParticle(mode);
|
||||||
|
newParticles[k].weight = equalWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
focusedFilter.setParticles(newParticles);
|
||||||
|
|
||||||
|
//iter
|
||||||
|
++m;
|
||||||
|
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** draw a mode depending upon the transition mode probabilities */
|
||||||
|
ParticleFilterMixing<State, Control, Observation>& drawMode(const double cumTransitionModeProbabilities){
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, cumTransitionModeProbabilities);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(genNorm);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (ParticleFilterMixing<State, Control, Observation>& filter, const float d) {return filter.getTransitionModeProbability() < d;};
|
||||||
|
auto it = std::lower_bound(copyModes.begin(), copyModes.end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** draw one particle according to its weight from the copy vector of a given mode */
|
||||||
|
const Particle<State>& drawParticle(ParticleFilterMixing<State, Control, Observation>& filter) {
|
||||||
|
|
||||||
|
double weights = filter.getParticles().back().weight;
|
||||||
|
|
||||||
|
// generate random values between [0:cumWeight]
|
||||||
|
std::uniform_real_distribution<float> dist(0, filter.getParticles().back().weight);
|
||||||
|
|
||||||
|
// draw a random value between [0:cumWeight]
|
||||||
|
const float rand = dist(genPart);
|
||||||
|
|
||||||
|
// search comparator (cumWeight is ordered -> use binary search)
|
||||||
|
auto comp = [] (const Particle<State>& s, const float d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(filter.getParticles().begin(), filter.getParticles().end(), rand, comp);
|
||||||
|
return *it;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#endif // MIXINGSAMPLERDIVERGENCY_H
|
||||||
100
smc/sampling/CumulativeSampler.h
Normal file
100
smc/sampling/CumulativeSampler.h
Normal file
@@ -0,0 +1,100 @@
|
|||||||
|
#ifndef CUMULATIVESAMPLER_H
|
||||||
|
#define CUMULATIVESAMPLER_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
#include <algorithm>
|
||||||
|
#include "../Particle.h"
|
||||||
|
#include "ParticleTrajectorieSampler.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* drawing trajectories using a cumulative drawer
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class CumulativeSampler : public ParticleTrajectorieSampler<State> {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
CumulativeSampler(){
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** draw a single particle */
|
||||||
|
Particle<State> drawSingleParticle(std::vector<Particle<State>> const& particles){
|
||||||
|
|
||||||
|
// ensure the copy vector has the same size as the real particle vector
|
||||||
|
std::vector<Particle<State>> particlesCopy;
|
||||||
|
particlesCopy.resize(particles.size());
|
||||||
|
|
||||||
|
// swap both vectors
|
||||||
|
particlesCopy = particles;
|
||||||
|
|
||||||
|
// calculate cumulative weight
|
||||||
|
double cumWeight = 0;
|
||||||
|
for (uint32_t i = 0; i < particles.size(); ++i) {
|
||||||
|
cumWeight += particlesCopy[i].weight;
|
||||||
|
particlesCopy[i].weight = cumWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
return draw(cumWeight, particlesCopy, particles);
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
/** draw a trajectorie of n particles */
|
||||||
|
std::vector<Particle<State>> drawTrajectorie(std::vector<Particle<State>> const& particles, const int numRealizations){
|
||||||
|
|
||||||
|
// ensure the copy vector has the same size as the real particle vector
|
||||||
|
std::vector<Particle<State>> particlesCopy;
|
||||||
|
particlesCopy.reserve(particles.size());
|
||||||
|
particlesCopy = particles;
|
||||||
|
|
||||||
|
// calculate cumulative weight
|
||||||
|
double cumWeight = 0;
|
||||||
|
for (uint32_t i = 0; i < particles.size(); ++i) {
|
||||||
|
cumWeight += particlesCopy[i].weight;
|
||||||
|
particlesCopy[i].weight = cumWeight;
|
||||||
|
}
|
||||||
|
|
||||||
|
// now draw the initial weights and therefore the corresponding particles
|
||||||
|
std::vector<Particle<State>> trajectorie;
|
||||||
|
trajectorie.reserve(numRealizations);
|
||||||
|
for (uint32_t i = 0; i < numRealizations; ++i) {
|
||||||
|
trajectorie.push_back(draw(cumWeight, particlesCopy, particles));
|
||||||
|
}
|
||||||
|
|
||||||
|
return trajectorie;
|
||||||
|
}
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** function for drawing particles */
|
||||||
|
Particle<State> draw(const double cumWeight, std::vector<Particle<State>> const& cumParticles, std::vector<Particle<State>> const& origParticles){
|
||||||
|
|
||||||
|
// random value between [0;1]
|
||||||
|
const double rand01 = double(rand()) / double(RAND_MAX);
|
||||||
|
|
||||||
|
// random value between [0; cumulativeWeight]
|
||||||
|
const double rand = rand01 * cumWeight;
|
||||||
|
|
||||||
|
// search comparator
|
||||||
|
auto comp = [] (const Particle<State>& s, const double d) {return s.weight < d;};
|
||||||
|
auto it = std::lower_bound(cumParticles.begin(), cumParticles.end(), rand, comp);
|
||||||
|
|
||||||
|
//get the idx for the iterator it. this is the same as std::distance(..,..)
|
||||||
|
int idx = it - cumParticles.begin();
|
||||||
|
|
||||||
|
//get the original weight instead of the cumulative weight
|
||||||
|
Particle<State> drawnParticle = *it;
|
||||||
|
drawnParticle.weight = origParticles[idx].weight;
|
||||||
|
|
||||||
|
return drawnParticle;
|
||||||
|
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // ARTIFICIALDISTRIBUTION_H
|
||||||
31
smc/sampling/ParticleTrajectorieSampler.h
Normal file
31
smc/sampling/ParticleTrajectorieSampler.h
Normal file
@@ -0,0 +1,31 @@
|
|||||||
|
#ifndef PARTICLETRAJECTORIESAMPLER_H
|
||||||
|
#define PARTICLETRAJECTORIESAMPLER_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "..//Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for Sampling Trajectories of Particles
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ParticleTrajectorieSampler {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** draw a single particle */
|
||||||
|
virtual Particle<State> drawSingleParticle(std::vector<Particle<State>> const& particles) = 0;
|
||||||
|
|
||||||
|
/** draw a trajectorie of all incoming particles / like resampling*/
|
||||||
|
virtual std::vector<Particle<State>> drawTrajectorie(std::vector<Particle<State>>const& particles, const int num) = 0;
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** function for drawing particles */
|
||||||
|
virtual Particle<State> draw(const double cumWeight, std::vector<Particle<State>> const& cumParticles, std::vector<Particle<State>> const& origParticles) = 0;
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // ARTIFICIALDISTRIBUTION_H
|
||||||
24
smc/smoothing/ArtificialDistribution.h
Normal file
24
smc/smoothing/ArtificialDistribution.h
Normal file
@@ -0,0 +1,24 @@
|
|||||||
|
#ifndef ARTIFICIALDISTRIBUTION_H
|
||||||
|
#define ARTIFICIALDISTRIBUTION_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for artificial distributions
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class ArtificialDistribution {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** calculate the probability/density*/
|
||||||
|
virtual double calculate(Particle<State> const& particle) = 0;
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // ARTIFICIALDISTRIBUTION_H
|
||||||
57
smc/smoothing/BackwardFilter.h
Normal file
57
smc/smoothing/BackwardFilter.h
Normal file
@@ -0,0 +1,57 @@
|
|||||||
|
#ifndef BACKWARDFILTER_H
|
||||||
|
#define BACKWARDFILTER_H
|
||||||
|
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
|
||||||
|
#include "BackwardFilterTransition.h"
|
||||||
|
|
||||||
|
#include "../sampling/ParticleTrajectorieSampler.h"
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "../filtering/resampling/ParticleFilterResampling.h"
|
||||||
|
#include "../filtering/estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "../filtering/ParticleFilterEvaluation.h"
|
||||||
|
#include "../filtering/ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class BackwardFilter {
|
||||||
|
|
||||||
|
public:
|
||||||
|
virtual State update(std::vector<Particle<State>> const& forwardParticles) = 0;
|
||||||
|
|
||||||
|
/** access to all backward / smoothed particles */
|
||||||
|
virtual const std::vector<std::vector<Particle<State>>>& getbackwardParticles() = 0;
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
virtual void setEstimation(std::unique_ptr<ParticleFilterEstimation<State>> estimation) = 0;
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
virtual void setTransition(std::unique_ptr<BackwardFilterTransition<State, Control>> transition) = 0;
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
virtual void setResampling(std::unique_ptr<ParticleFilterResampling<State>> resampler) = 0;
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
virtual void setNEffThreshold(const double thresholdPercent) = 0;
|
||||||
|
|
||||||
|
/** set sampler */
|
||||||
|
virtual void setSampler(std::unique_ptr<ParticleTrajectorieSampler<State>> sampler) { (void) sampler; };
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
virtual BackwardFilterTransition<State, Control>* getTransition() = 0;
|
||||||
|
|
||||||
|
/** reset */
|
||||||
|
virtual void reset() {};
|
||||||
|
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // BACKWARDFILTER_H
|
||||||
33
smc/smoothing/BackwardFilterTransition.h
Normal file
33
smc/smoothing/BackwardFilterTransition.h
Normal file
@@ -0,0 +1,33 @@
|
|||||||
|
#ifndef BACKWARDFILTERTRANSITION_H
|
||||||
|
#define BACKWARDFILTERTRANSITION_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* interface for the user-defined backward filter transition.
|
||||||
|
* the transition describes the probability of a state change during the transition phase p(q_t+1 | q_t)
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control>
|
||||||
|
class BackwardFilterTransition {
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief perform the transition p(q_t+1 | q_t) for all particles and possibilities
|
||||||
|
* if you do not use this abstract function, do not forget to throw an error if the user does
|
||||||
|
*/
|
||||||
|
virtual std::vector<std::vector<double>> transition(std::vector<Particle<State>> const& toBeSmoothedParticles_qt, std::vector<Particle<State>>const& alreadySmoothedParticles_qt1) = 0;
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief perform a forward transition based on the to be smoothed particles at time q_t and sample particles at time q_t+1, also gets an vector with controls c_1:T
|
||||||
|
* if you do not use this abstract function, do not forget to throw an error if the user does
|
||||||
|
*/
|
||||||
|
virtual std::vector<Particle<State>> transition(std::vector<Particle<State>> const& toBeSmoothedParticles_qt, std::vector<Control> const& controls_1T) = 0;
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // BACKWARDFILTERTRANSITION_H
|
||||||
258
smc/smoothing/BackwardSimulation.h
Normal file
258
smc/smoothing/BackwardSimulation.h
Normal file
@@ -0,0 +1,258 @@
|
|||||||
|
/*
|
||||||
|
* CondensationBackwardFilter.h
|
||||||
|
*
|
||||||
|
* Created on: Jun 23, 2015
|
||||||
|
* Author: Toni Fetzer
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef BACKWARDSIMULATION_H_
|
||||||
|
#define BACKWARDSIMULATION_H_
|
||||||
|
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
#include <algorithm>
|
||||||
|
|
||||||
|
#include "BackwardFilterTransition.h"
|
||||||
|
#include "BackwardFilter.h"
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "../filtering/resampling/ParticleFilterResampling.h"
|
||||||
|
#include "../filtering/estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "../filtering/ParticleFilterEvaluation.h"
|
||||||
|
#include "../filtering/ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../sampling/ParticleTrajectorieSampler.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* the main-class for the Backward Simulation Filter
|
||||||
|
* running "backwards" in time, generates multiple backwards trajectories
|
||||||
|
* (Realizations) by repeating the backward simulation M time.
|
||||||
|
* it can be started at a random time T of any forward particle filter
|
||||||
|
* [Monte Carlo smoothing for non-linear time series Godsill et al. '03]
|
||||||
|
* @param State the (user-defined) state for each particle
|
||||||
|
* @param numRealizations is the number of backward trajectories starting
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class BackwardSimulation : public BackwardFilter<State, Control, Observation>{
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all smoothed particles T -> 1*/
|
||||||
|
std::vector<std::vector<Particle<State>>> backwardParticles;
|
||||||
|
|
||||||
|
/** container for particles */
|
||||||
|
std::vector<Particle<State>> smoothedParticles;
|
||||||
|
|
||||||
|
/** the estimation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEstimation<State>> estimation;
|
||||||
|
|
||||||
|
/** the transition function to use */
|
||||||
|
std::unique_ptr<BackwardFilterTransition<State, Control>> transition;
|
||||||
|
|
||||||
|
/** the resampler to use */
|
||||||
|
std::unique_ptr<ParticleFilterResampling<State>> resampler;
|
||||||
|
|
||||||
|
/** the sampler for drawing trajectories */
|
||||||
|
std::unique_ptr<ParticleTrajectorieSampler<State>> sampler;
|
||||||
|
|
||||||
|
/** the percentage-of-efficient-particles-threshold for resampling */
|
||||||
|
double nEffThresholdPercent = 0.25;
|
||||||
|
|
||||||
|
/** number of realizations to be calculated */
|
||||||
|
int numRealizations;
|
||||||
|
|
||||||
|
/** is update called the first time? */
|
||||||
|
bool firstFunctionCall;
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
BackwardSimulation(int numRealizations) {
|
||||||
|
this->numRealizations = numRealizations;
|
||||||
|
backwardParticles.reserve(numRealizations);
|
||||||
|
smoothedParticles.reserve(numRealizations);
|
||||||
|
firstFunctionCall = true;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~BackwardSimulation() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** reset **/
|
||||||
|
void reset(){
|
||||||
|
this->numRealizations = numRealizations;
|
||||||
|
|
||||||
|
backwardParticles.clear();
|
||||||
|
backwardParticles.reserve(numRealizations);
|
||||||
|
|
||||||
|
smoothedParticles.clear();
|
||||||
|
smoothedParticles.reserve(numRealizations);
|
||||||
|
|
||||||
|
firstFunctionCall = true;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all backward / smoothed particles */
|
||||||
|
const std::vector<std::vector<Particle<State>>>& getbackwardParticles() {
|
||||||
|
return backwardParticles;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
void setEstimation(std::unique_ptr<ParticleFilterEstimation<State>> estimation) {
|
||||||
|
Assert::isNotNull(estimation, "setEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimation = std::move(estimation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
void setTransition(std::unique_ptr<BackwardFilterTransition<State, Control>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setTransition() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
void setResampling(std::unique_ptr<ParticleFilterResampling<State>> resampler) {
|
||||||
|
Assert::isNotNull(resampler, "setResampling() MUST not be called with a nullptr!");
|
||||||
|
this->resampler = std::move(resampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the sampler method to use */
|
||||||
|
void setSampler(std::unique_ptr<ParticleTrajectorieSampler<State>> sampler){
|
||||||
|
Assert::isNotNull(sampler, "setSampler() MUST not be called with a nullptr!");
|
||||||
|
this->sampler = std::move(sampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
void setNEffThreshold(const double thresholdPercent) {
|
||||||
|
this->nEffThresholdPercent = thresholdPercent;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
BackwardFilterTransition<State, Control>* getTransition() {
|
||||||
|
return this->transition.get();
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform update: transition -> correction -> approximation
|
||||||
|
* gets the weighted sample set of a standard condensation
|
||||||
|
* particle filter in REVERSED order!
|
||||||
|
*/
|
||||||
|
State update(std::vector<Particle<State>> const& forwardParticles) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
//storage for single trajectories / smoothed particles
|
||||||
|
smoothedParticles.clear();
|
||||||
|
|
||||||
|
// Choose \tilde x_T = x^(i)_T with probability w^(i)_T
|
||||||
|
// Therefore sample independently from the categorical distribution of weights.
|
||||||
|
if(firstFunctionCall){
|
||||||
|
|
||||||
|
smoothedParticles = sampler->drawTrajectorie(forwardParticles, numRealizations);
|
||||||
|
|
||||||
|
firstFunctionCall = false;
|
||||||
|
backwardParticles.push_back(smoothedParticles);
|
||||||
|
|
||||||
|
const State es = estimation->estimate(smoothedParticles);
|
||||||
|
return es;
|
||||||
|
}
|
||||||
|
|
||||||
|
// compute weights using the transition model
|
||||||
|
// transitionWeigths[numRealizations][numParticles]
|
||||||
|
std::vector<std::vector<double>> transitionWeights = transition->transition(forwardParticles, backwardParticles.back());
|
||||||
|
|
||||||
|
//get the next trajectorie for a realisation
|
||||||
|
for(int j = 0; j < numRealizations; ++j){
|
||||||
|
|
||||||
|
//vector for the current smoothedWeights at time t
|
||||||
|
std::vector<Particle<State>> smoothedWeights;
|
||||||
|
smoothedWeights.resize(forwardParticles.size());
|
||||||
|
smoothedWeights = forwardParticles;
|
||||||
|
|
||||||
|
//check if all transitionWeights are zero
|
||||||
|
double weightSumTransition = std::accumulate(transitionWeights[j].begin(), transitionWeights[j].end(), 0.0);
|
||||||
|
Assert::isNot0(weightSumTransition, "all transition weights for smoothing are zero");
|
||||||
|
|
||||||
|
int i = 0;
|
||||||
|
for (auto& w : transitionWeights.at(j)) {
|
||||||
|
|
||||||
|
// multiply the weight of the particles at time t and normalize
|
||||||
|
smoothedWeights.at(i).weight = (smoothedWeights.at(i).weight * w);
|
||||||
|
if(smoothedWeights.at(i).weight != smoothedWeights.at(i).weight) {throw "detected NaN";}
|
||||||
|
|
||||||
|
// iter
|
||||||
|
++i;
|
||||||
|
}
|
||||||
|
|
||||||
|
//get the sum of all weights
|
||||||
|
auto lambda = [](double current, const Particle<State>& a){return current + a.weight; };
|
||||||
|
double weightSumSmoothed = std::accumulate(smoothedWeights.begin(), smoothedWeights.end(), 0.0, lambda);
|
||||||
|
|
||||||
|
//normalize the weights
|
||||||
|
if(weightSumSmoothed != 0.0){
|
||||||
|
for (int i = 0; i < smoothedWeights.size(); ++i){
|
||||||
|
smoothedWeights.at(i).weight /= weightSumSmoothed;
|
||||||
|
}
|
||||||
|
|
||||||
|
//check if normalization worked
|
||||||
|
double normWeightSum = std::accumulate(smoothedWeights.begin(), smoothedWeights.end(), 0.0, lambda);
|
||||||
|
Assert::isNear(normWeightSum, 1.0, 0.001, "Smoothed weights do not sum to 1");
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
//draw the next trajectorie at time t for a realization and save them
|
||||||
|
smoothedParticles.push_back(sampler->drawSingleParticle(smoothedWeights));
|
||||||
|
|
||||||
|
//throw if weight of smoothedParticle is zero
|
||||||
|
//in practice this is possible, if a particle is completely separated from the rest and is therefore
|
||||||
|
//weighted zero or very very low.
|
||||||
|
Assert::isNot0(smoothedParticles.back().weight, "smoothed particle has zero weight");
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
if(resampler)
|
||||||
|
{
|
||||||
|
|
||||||
|
//TODO - does this even make sense?
|
||||||
|
std::cout << "Warning - Resampling is not yet implemented!" << std::endl;
|
||||||
|
// //resampling if necessery
|
||||||
|
// double sum = 0.0;
|
||||||
|
// double weightSum = std::accumulate(smoothedParticles.begin().weight, smoothedParticles.end().weight, 0.0);
|
||||||
|
// for (auto& p : smoothedParticles) {
|
||||||
|
// p.weight /= weightSum;
|
||||||
|
// sum += (p.weight * p.weight);
|
||||||
|
// }
|
||||||
|
|
||||||
|
// const double neff = 1.0/sum;
|
||||||
|
// if (neff != neff) {throw "detected NaN";}
|
||||||
|
|
||||||
|
// // if the number of efficient particles is too low, perform resampling
|
||||||
|
// if (neff < smoothedParticles.size() * nEffThresholdPercent) { resampler->resample(smoothedParticles); }
|
||||||
|
}
|
||||||
|
|
||||||
|
// push_back the smoothedParticles
|
||||||
|
backwardParticles.push_back(smoothedParticles);
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(smoothedParticles);
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#endif /* BACKWARDSIMULATION_H_ */
|
||||||
226
smc/smoothing/CondensationBackwardFilter.h
Normal file
226
smc/smoothing/CondensationBackwardFilter.h
Normal file
@@ -0,0 +1,226 @@
|
|||||||
|
/*
|
||||||
|
* CondensationBackwardFilter.h
|
||||||
|
*
|
||||||
|
* Created on: Jun 23, 2015
|
||||||
|
* Author: Toni Fetzer
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef CONDENSATIONBACKWARDFILTER_H_
|
||||||
|
#define CONDENSATIONBACKWARDFILTER_H_
|
||||||
|
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
|
||||||
|
#include "BackwardFilterTransition.h"
|
||||||
|
#include "BackwardFilter.h"
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "../filtering/resampling/ParticleFilterResampling.h"
|
||||||
|
#include "../filtering/estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "../filtering/ParticleFilterEvaluation.h"
|
||||||
|
#include "../filtering/ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
long long count = 0.0;
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* the main-class for the Condensation Backward Filter
|
||||||
|
* running "backwards" in time, updating every timestep, no resampling
|
||||||
|
* it can be started at a random time T of an forward particle filter
|
||||||
|
* [Smoothing filter for condensation by Isard and Blake '98]
|
||||||
|
* @param State the (user-defined) state for each particle
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class CondensationBackwardFilter : public BackwardFilter<State> {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all smoothed particles 1 -> T*/
|
||||||
|
std::vector<std::vector<Particle<State>>> backwardParticles;
|
||||||
|
|
||||||
|
/** the estimation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEstimation<State>> estimation;
|
||||||
|
|
||||||
|
/** the transition function to use */
|
||||||
|
std::unique_ptr<BackwardFilterTransition<State>> transition;
|
||||||
|
|
||||||
|
/** the resampler to use */
|
||||||
|
std::unique_ptr<ParticleFilterResampling<State>> resampler;
|
||||||
|
|
||||||
|
/** the percentage-of-efficient-particles-threshold for resampling */
|
||||||
|
double nEffThresholdPercent = 0.25;
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
CondensationBackwardFilter() {
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~CondensationBackwardFilter() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all backward / smoothed particles */
|
||||||
|
const std::vector<std::vector<Particle<State>>>& getbackwardParticles() {
|
||||||
|
return backwardParticles;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
void setEstimation(std::unique_ptr<ParticleFilterEstimation<State>> estimation) {
|
||||||
|
Assert::isNotNull(estimation, "setEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimation = std::move(estimation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
void setTransition(std::unique_ptr<BackwardFilterTransition<State>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setTransition() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
void setResampling(std::unique_ptr<ParticleFilterResampling<State>> resampler) {
|
||||||
|
Assert::isNotNull(resampler, "setResampling() MUST not be called with a nullptr!");
|
||||||
|
this->resampler = std::move(resampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
void setNEffThreshold(const double thresholdPercent) {
|
||||||
|
this->nEffThresholdPercent = thresholdPercent;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
BackwardFilterTransition<State>* getTransition() {
|
||||||
|
return this->transition.get();
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform update: transition -> correction -> approximation
|
||||||
|
* gets the weighted sample set of a standard condensation
|
||||||
|
* particle filter in REVERSED order!
|
||||||
|
*/
|
||||||
|
State update(std::vector<Particle<State>> const& forwardParticles) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// since the algorithm starts at T-1 we need to initialize with the first set of forwardParticels
|
||||||
|
// psi_T = pi_T
|
||||||
|
static bool firstFunctionCall = true;
|
||||||
|
if(firstFunctionCall){
|
||||||
|
backwardParticles.push_back(forwardParticles);
|
||||||
|
firstFunctionCall = false;
|
||||||
|
|
||||||
|
std::vector<Particle<State>> tt = forwardParticles;
|
||||||
|
const State es = estimation->estimate(tt);
|
||||||
|
return es;
|
||||||
|
}
|
||||||
|
|
||||||
|
//weightsume for normalization
|
||||||
|
double weightSum = 0.0;
|
||||||
|
|
||||||
|
// perform the transition step p(x_t+1|x_t)
|
||||||
|
std::vector<std::vector<double>> predictionProbabilities = transition->transition(forwardParticles, backwardParticles.back());
|
||||||
|
|
||||||
|
// calculate the correction factors
|
||||||
|
std::vector<double> correctionFactors;
|
||||||
|
for(int m = 0; m < forwardParticles.size(); ++m){
|
||||||
|
|
||||||
|
double gamma = 0.0;
|
||||||
|
for(int k = 0; k < forwardParticles.size(); ++k){
|
||||||
|
// gamma(m) = sum(pi(k) * alpha(m,k))
|
||||||
|
gamma += forwardParticles[k].weight * predictionProbabilities[m][k];
|
||||||
|
|
||||||
|
if (gamma != gamma) {throw "detected NaN";}
|
||||||
|
}
|
||||||
|
correctionFactors.push_back(gamma);
|
||||||
|
}
|
||||||
|
|
||||||
|
// approximate backward variables
|
||||||
|
std::vector<Particle<State>> smoothedParticles = forwardParticles;
|
||||||
|
for(int n = 0; n < forwardParticles.size(); ++n){
|
||||||
|
|
||||||
|
double delta = 0.0;
|
||||||
|
for(int m = 0; m < forwardParticles.size(); ++m){
|
||||||
|
// delta(n) = sum(psi(m) * alpha(m,n) / gamma(m))
|
||||||
|
|
||||||
|
//!! THIS IS A HACK !! Gamma is getting zero if the prob is to damn low. This would results in NaN for gamma
|
||||||
|
//!! Therefore we set alpha(m,n) / gamma(m) = 1.0;
|
||||||
|
if(correctionFactors[m] == 0.0){
|
||||||
|
delta += backwardParticles.back().at(m).weight;
|
||||||
|
std::cout << "Gamma is Zero" << count ++ << std::endl;
|
||||||
|
}
|
||||||
|
else
|
||||||
|
delta += backwardParticles.back().at(m).weight * (predictionProbabilities[m][n] / correctionFactors[m]);
|
||||||
|
|
||||||
|
if (delta != delta) {throw "detected NaN";}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Evaluate smoothing weights
|
||||||
|
// psi(n) = pi(n) * delta(n)
|
||||||
|
double weight = delta * forwardParticles[n].weight;
|
||||||
|
smoothedParticles[n].weight = weight;
|
||||||
|
|
||||||
|
// fill weightsum
|
||||||
|
weightSum += weight;
|
||||||
|
|
||||||
|
if (forwardParticles[n].weight != forwardParticles[n].weight) {throw "detected NaN";}
|
||||||
|
if (delta != delta) {throw "detected NaN";}
|
||||||
|
if (weight != weight) {throw "detected NaN";}
|
||||||
|
if (weightSum != weightSum) {throw "detected NaN";}
|
||||||
|
}
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : smoothedParticles) {
|
||||||
|
p.weight /= weightSum;
|
||||||
|
sum += (p.weight * p.weight);
|
||||||
|
|
||||||
|
// sanity check
|
||||||
|
// if (p.state.heading != p.state.heading) {throw "detected NaN";}
|
||||||
|
// if (p.state.z_nr != p.state.z_nr) {throw "detected NaN";}
|
||||||
|
// if (p.state.x_cm != p.state.x_cm) {throw "detected NaN";}
|
||||||
|
// if (p.state.y_cm != p.state.y_cm) {throw "detected NaN";}
|
||||||
|
// if (p.weight != p.weight) {throw "detected NaN";}
|
||||||
|
}
|
||||||
|
|
||||||
|
const double neff = 1.0/sum;
|
||||||
|
if (neff != neff) {throw "detected NaN";}
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(smoothedParticles);
|
||||||
|
|
||||||
|
// if (est.heading != est.heading) {throw "detected NaN";}
|
||||||
|
// if (est.z_nr != est.z_nr) {throw "detected NaN";}
|
||||||
|
// if (est.x_cm != est.x_cm) {throw "detected NaN";}
|
||||||
|
// if (est.y_cm != est.y_cm) {throw "detected NaN";}
|
||||||
|
|
||||||
|
if(resampler)
|
||||||
|
{
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < smoothedParticles.size() * nEffThresholdPercent) { resampler->resample(smoothedParticles); }
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
// push_back the smoothedParticles
|
||||||
|
backwardParticles.push_back(smoothedParticles);
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#endif /* CONDENSATIONBACKWARDFILTER_H_ */
|
||||||
142
smc/smoothing/ForwardFilterHistory.h
Normal file
142
smc/smoothing/ForwardFilterHistory.h
Normal file
@@ -0,0 +1,142 @@
|
|||||||
|
#ifndef FORWARDFILTERHISTORY_H
|
||||||
|
#define FORWARDFILTERHISTORY_H
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include "../Particle.h"
|
||||||
|
#include "../../data/Timestamp.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Provides a data structur for the data available at a specific timestamp of the forward filtering procedure.
|
||||||
|
* @brief Timestamp; ParticleSet (After Transition and Update); Controls; Observations
|
||||||
|
*/
|
||||||
|
template <typename State, typename Control, typename Observation>
|
||||||
|
class ForwardFilterHistory {
|
||||||
|
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
// NOTE: it would be possible to make some kind of struct for this, but in many upcoming functions and methods, i am not able
|
||||||
|
// to use all this informations. sometimes if have something like p(q_t+1| q_t, o_t) or p(o_t | q_t, c_t). So keep it flexible!
|
||||||
|
std::vector<Timestamp> timestamps;
|
||||||
|
std::vector<std::vector<Particle<State>>> particleSets;
|
||||||
|
std::vector<Control> controls;
|
||||||
|
std::vector<Observation> observations;
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
ForwardFilterHistory(){
|
||||||
|
//empty ctor
|
||||||
|
}
|
||||||
|
|
||||||
|
void add(Timestamp time, std::vector<std::vector<Particle<State>>> set, Control control, Observation obs){
|
||||||
|
|
||||||
|
// Is empty? Null? etc.
|
||||||
|
Assert::isNotNull(time, "Timestamp is Null");
|
||||||
|
Assert::isNotNull(set, "Particle Set is Null");
|
||||||
|
Assert::isNotNull(control, "Control is Null");
|
||||||
|
Assert::isNotNull(obs, "Observation is Null");
|
||||||
|
|
||||||
|
timestamps.push_back(time);
|
||||||
|
particleSets.push_back(set);
|
||||||
|
controls.push_back(control);
|
||||||
|
observations.push_back(obs);
|
||||||
|
}
|
||||||
|
|
||||||
|
void removeLatest(){
|
||||||
|
|
||||||
|
particleSets.pop_back();
|
||||||
|
controls.pop_back();
|
||||||
|
observations.pop_back();
|
||||||
|
}
|
||||||
|
|
||||||
|
void removeFirst(){
|
||||||
|
|
||||||
|
particleSets.erase(particleSets.begin());
|
||||||
|
controls.erase(controls.begin());
|
||||||
|
observations.erase(observations.begin());
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Return the particles from [latestFilterUpdate - @param idx]
|
||||||
|
* @return returns vector of particles. note: c11 makes a std::move here
|
||||||
|
*/
|
||||||
|
std::vector<Particle<State>> getParticleSet(idx = 0){
|
||||||
|
return particleSets.at(particleSets.end() - idx);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getControl from [latestFilterUpdate - @param idx]
|
||||||
|
* @return const controls object
|
||||||
|
*/
|
||||||
|
const Control getControl(idx = 0){
|
||||||
|
return controls.at(controls.end() - idx);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getObservationf rom [latestFilterUpdate - @param idx]
|
||||||
|
* @return const obervations object
|
||||||
|
*/
|
||||||
|
const Observation getObservation (idx = 0){
|
||||||
|
return observations.at(observations.end() - idx);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief Return the timestamp from [latestFilterUpdate - @param idx]
|
||||||
|
* @return returns a Timstampf object
|
||||||
|
*/
|
||||||
|
std::vector<Particle<State>> getTimestamp(idx = 0){
|
||||||
|
return timestamps.at(particleSets.end() - idx);
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getLatestFilterUpdateNum
|
||||||
|
* @return num of particleSets size
|
||||||
|
*/
|
||||||
|
const int getLatestFilterUpdateNum(){
|
||||||
|
return particleSets.size();
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getLatestParticleSet Reference
|
||||||
|
* @return return particle set Note: c11 std::move by vector
|
||||||
|
*/
|
||||||
|
std::vector<Particle<State>> getLatestParticleSet(){
|
||||||
|
return particleSets.back();
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getLatestControls
|
||||||
|
* @return const control object
|
||||||
|
*/
|
||||||
|
const Control getLatestControls(){
|
||||||
|
return controls.back();
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getLatestObservation
|
||||||
|
* @return const observation object
|
||||||
|
*/
|
||||||
|
const Observation getLatestObservation(){
|
||||||
|
return observations.back();
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/**
|
||||||
|
* @brief getLatestTimestamp
|
||||||
|
* @return const Timestamp object
|
||||||
|
*/
|
||||||
|
const Timestamp getLatestTimestamp(){
|
||||||
|
return timestamps.back();
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif // FORWARDFILTERHISTORY_H
|
||||||
187
smc/smoothing/TwoFilterSmoothing.h
Normal file
187
smc/smoothing/TwoFilterSmoothing.h
Normal file
@@ -0,0 +1,187 @@
|
|||||||
|
/*
|
||||||
|
* CondensationBackwardFilter.h
|
||||||
|
*
|
||||||
|
* Created on: Jun 23, 2015
|
||||||
|
* Author: Toni Fetzer
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifndef TWOFILTERSMOOTHING_H_
|
||||||
|
#define TWOFILTERSMOOTHING_H_
|
||||||
|
|
||||||
|
|
||||||
|
#include <vector>
|
||||||
|
#include <memory>
|
||||||
|
|
||||||
|
#include "BackwardFilterTransition.h"
|
||||||
|
#include "BackwardFilter.h"
|
||||||
|
#include "ArtificialDistribution.h"
|
||||||
|
|
||||||
|
#include "../Particle.h"
|
||||||
|
|
||||||
|
#include "../filtering/resampling/ParticleFilterResampling.h"
|
||||||
|
#include "../filtering/estimation/ParticleFilterEstimation.h"
|
||||||
|
#include "../filtering/ParticleFilterEvaluation.h"
|
||||||
|
#include "../filtering/ParticleFilterInitializer.h"
|
||||||
|
|
||||||
|
#include "../../Assertions.h"
|
||||||
|
|
||||||
|
namespace SMC {
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Smoothing Forward and Backward Filter together.
|
||||||
|
* Call the Update Function.
|
||||||
|
* Algorithm taken from [Briers04] Smoothing Algorithms for State-Space Models
|
||||||
|
*/
|
||||||
|
template <typename State>
|
||||||
|
class TwoFilterSmoothing {
|
||||||
|
|
||||||
|
private:
|
||||||
|
|
||||||
|
/** all smoothed particles 1 -> T*/
|
||||||
|
std::vector<std::vector<Particle<State>>> smoothedParticles;
|
||||||
|
|
||||||
|
/** the estimation function to use */
|
||||||
|
std::unique_ptr<ParticleFilterEstimation<State>> estimation;
|
||||||
|
|
||||||
|
/** the transition function to use */
|
||||||
|
std::unique_ptr<BackwardFilterTransition<State>> transition;
|
||||||
|
|
||||||
|
/** the resampler to use */
|
||||||
|
std::unique_ptr<ParticleFilterResampling<State>> resampler;
|
||||||
|
|
||||||
|
/** artificial distribuation */
|
||||||
|
std::unique_ptr<ArtificialDistribution<State>> artificialDistribution;
|
||||||
|
|
||||||
|
/** the percentage-of-efficient-particles-threshold for resampling */
|
||||||
|
double nEffThresholdPercent = 0.25;
|
||||||
|
|
||||||
|
|
||||||
|
public:
|
||||||
|
|
||||||
|
/** ctor */
|
||||||
|
TwoFilterSmoothing() {
|
||||||
|
}
|
||||||
|
|
||||||
|
/** dtor */
|
||||||
|
~TwoFilterSmoothing() {
|
||||||
|
;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** access to all backward / smoothed particles */
|
||||||
|
const std::vector<std::vector<Particle<State>>>& getsmoothedParticles() {
|
||||||
|
return smoothedParticles;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the estimation method to use */
|
||||||
|
void setEstimation(std::unique_ptr<ParticleFilterEstimation<State>> estimation) {
|
||||||
|
Assert::isNotNull(estimation, "setEstimation() MUST not be called with a nullptr!");
|
||||||
|
this->estimation = std::move(estimation);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the transition method to use */
|
||||||
|
void setTransition(std::unique_ptr<BackwardFilterTransition<State>> transition) {
|
||||||
|
Assert::isNotNull(transition, "setTransition() MUST not be called with a nullptr!");
|
||||||
|
this->transition = std::move(transition);
|
||||||
|
}
|
||||||
|
|
||||||
|
/** set the resampling method to use */
|
||||||
|
void setResampling(std::unique_ptr<ParticleFilterResampling<State>> resampler) {
|
||||||
|
Assert::isNotNull(resampler, "setResampling() MUST not be called with a nullptr!");
|
||||||
|
this->resampler = std::move(resampler);
|
||||||
|
}
|
||||||
|
|
||||||
|
void setArtificialDistribution(std::unique_ptr<ArtificialDistribution<State>> artificialDistribution){
|
||||||
|
Assert::isNotNull(artificialDistribution, "setArtificialDistribution() MUST not be called with a nullptr!");
|
||||||
|
this->artificialDistribution = std::move(artificialDistribution);
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
/** set the resampling threshold as the percentage of efficient particles */
|
||||||
|
void setNEffThreshold(const double thresholdPercent) {
|
||||||
|
this->nEffThresholdPercent = thresholdPercent;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** get the used transition method */
|
||||||
|
BackwardFilterTransition<State>* getTransition() {
|
||||||
|
return this->transition.get();
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* perform update: transition -> correction -> approximation
|
||||||
|
* particles from a forwards filter are used to re-weight those from a backwards filter
|
||||||
|
* so that they represent the target distribution.
|
||||||
|
* @param: forwardParticles at t-1
|
||||||
|
* @param: backwardparticles at t
|
||||||
|
*/
|
||||||
|
State update(std::vector<Particle<State>> const& forwardParticles, std::vector<Particle<State>> const& backwardParticles) {
|
||||||
|
|
||||||
|
// sanity checks (if enabled)
|
||||||
|
Assert::isNotNull(transition, "transition MUST not be null! call setTransition() first!");
|
||||||
|
Assert::isNotNull(estimation, "estimation MUST not be null! call setEstimation() first!");
|
||||||
|
|
||||||
|
// perform the transition step p(backward_x_t|forward_x_t-1)
|
||||||
|
std::vector<std::vector<double>> predictionProbabilities = transition->transition(forwardParticles, backwardParticles);
|
||||||
|
|
||||||
|
//we are using the forwardparticles to re-weight the backward filter (other direction also possible?)
|
||||||
|
std::vector<Particle<State>> currentParticles = backwardParticles;
|
||||||
|
|
||||||
|
double weightSum = 0.0;
|
||||||
|
|
||||||
|
// calculate the correction factors
|
||||||
|
for(int j = 0; j < backwardParticles.size(); ++j){
|
||||||
|
|
||||||
|
double alpha = 0.0;
|
||||||
|
for(int i = 0; i < backwardParticles.size(); ++i){
|
||||||
|
// alpha(j) = sum(forward_weight_t-1 * prediction)
|
||||||
|
alpha += forwardParticles[i].weight * predictionProbabilities[j][i];
|
||||||
|
|
||||||
|
if (alpha != alpha) {throw "detected NaN";}
|
||||||
|
}
|
||||||
|
|
||||||
|
double gamma = 1.0;
|
||||||
|
if(artificialDistribution){
|
||||||
|
gamma = artificialDistribution->calculate(backwardParticles[j]);
|
||||||
|
}
|
||||||
|
|
||||||
|
//calc the weight
|
||||||
|
double weight = (currentParticles[j].weight / gamma) * alpha;
|
||||||
|
|
||||||
|
|
||||||
|
currentParticles[j].weight = weight;
|
||||||
|
weightSum += weight;
|
||||||
|
}
|
||||||
|
|
||||||
|
// normalize the particle weights and thereby calculate N_eff
|
||||||
|
double sum = 0.0;
|
||||||
|
for (auto& p : currentParticles) {
|
||||||
|
p.weight /= weightSum;
|
||||||
|
sum += (p.weight * p.weight);
|
||||||
|
}
|
||||||
|
|
||||||
|
double neff = 1.0/sum;
|
||||||
|
if (neff != neff) {neff = 1.0;}
|
||||||
|
|
||||||
|
// estimate the current state
|
||||||
|
const State est = estimation->estimate(currentParticles);
|
||||||
|
|
||||||
|
if(resampler)
|
||||||
|
{
|
||||||
|
// if the number of efficient particles is too low, perform resampling
|
||||||
|
if (neff < currentParticles.size() * nEffThresholdPercent) { resampler->resample(currentParticles); }
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
// push_back the smoothedParticles
|
||||||
|
smoothedParticles.push_back(currentParticles);
|
||||||
|
|
||||||
|
// done
|
||||||
|
return est;
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#endif /* TWOFILTERSMOOTHING_H_ */
|
||||||
44
tests/smc/filtering/TestParticles.cpp
Normal file
44
tests/smc/filtering/TestParticles.cpp
Normal file
@@ -0,0 +1,44 @@
|
|||||||
|
/*
|
||||||
|
* TestParticles.cpp
|
||||||
|
*
|
||||||
|
* Created on: Sep 18, 2013
|
||||||
|
* Author: Frank Ebner
|
||||||
|
*/
|
||||||
|
|
||||||
|
#ifdef FIXME
|
||||||
|
|
||||||
|
#ifdef WITH_TESTS
|
||||||
|
|
||||||
|
#include "../../../Tests.h"
|
||||||
|
|
||||||
|
#include "../particles/ParticleFilter.h"
|
||||||
|
#include "../particles/ParticleModel.h"
|
||||||
|
#include "../particles/ParticleSensor.h"
|
||||||
|
#include "../wifi/math/WiFiMath.h"
|
||||||
|
#include "../lib/gnuplot/Gnuplot.h"
|
||||||
|
#include <iostream>
|
||||||
|
#include "../floorplan/FloorPlan.h"
|
||||||
|
#include "../floorplan/FloorPlanFactory.h"
|
||||||
|
#include "../lib/misc/File.h"
|
||||||
|
#include "../particles/ParticleMath.h"
|
||||||
|
#include "../particles/resampling/ParticleResamplingSimple.h"
|
||||||
|
#include "../particles/resampling/ParticleResamplingNone.h"
|
||||||
|
|
||||||
|
#include "../wifi/factory/WiFiHelper.h"
|
||||||
|
|
||||||
|
#include <chrono>
|
||||||
|
#include <thread>
|
||||||
|
|
||||||
|
typedef Point TestState;
|
||||||
|
|
||||||
|
|
||||||
|
TEST(Particles, init) {
|
||||||
|
|
||||||
|
//create filter
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
#endif
|
||||||
|
|
||||||
|
#endif
|
||||||
146
tests/smc/merging/mixing/TestMixingSamplerDivergency.cpp
Normal file
146
tests/smc/merging/mixing/TestMixingSamplerDivergency.cpp
Normal file
@@ -0,0 +1,146 @@
|
|||||||
|
#ifdef WITH_TESTS
|
||||||
|
|
||||||
|
#include "../../../../smc/merging/mixing/MixingSamplerDivergency.h"
|
||||||
|
#include "../../../../smc/filtering/ParticleFilterMixing.h"
|
||||||
|
|
||||||
|
#include "../../../Tests.h"
|
||||||
|
|
||||||
|
namespace K {
|
||||||
|
|
||||||
|
struct MyState {
|
||||||
|
double x;
|
||||||
|
double y;
|
||||||
|
MyState() : x(0), y(0) {;}
|
||||||
|
MyState(double x, double y) : x(x), y(y) {;}
|
||||||
|
MyState& operator += (const MyState& other) {
|
||||||
|
x += other.x;
|
||||||
|
y += other.y;
|
||||||
|
return *this;
|
||||||
|
}
|
||||||
|
MyState& operator /= (double d) {
|
||||||
|
x /= d;
|
||||||
|
y /= d;
|
||||||
|
return *this;
|
||||||
|
}
|
||||||
|
MyState operator * (double d) const {
|
||||||
|
return MyState(x*d, y*d);
|
||||||
|
}
|
||||||
|
MyState& operator = (const MyState& other) {
|
||||||
|
this->x = other.x;
|
||||||
|
this->y = other.y;
|
||||||
|
return *this;
|
||||||
|
}
|
||||||
|
double distance(const MyState& o) const {
|
||||||
|
return std::sqrt( (x-o.x)*(x-o.x) + (y-o.y)*(y-o.y) ) / 4.9;
|
||||||
|
}
|
||||||
|
bool belongsToRegion(const MyState& o) const {
|
||||||
|
return distance(o) <= 1.0;
|
||||||
|
}
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
struct MyControl {
|
||||||
|
|
||||||
|
};
|
||||||
|
|
||||||
|
struct MyObservation {
|
||||||
|
double x;
|
||||||
|
double y;
|
||||||
|
MyObservation() : x(0), y(0) {;}
|
||||||
|
void set(double x, double y) {this->x = x; this->y = y;}
|
||||||
|
};
|
||||||
|
|
||||||
|
class MyInitializer1 : public SMC::ParticleFilterInitializer<MyState> {
|
||||||
|
void initialize(std::vector<SMC::Particle<MyState>>& particles) override {
|
||||||
|
for (SMC::Particle<MyState>& p : particles) {
|
||||||
|
p.state.x = 0;
|
||||||
|
p.state.y = 0;
|
||||||
|
p.weight = 1.0 / particles.size();
|
||||||
|
}
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
class MyInitializer2 : public SMC::ParticleFilterInitializer<MyState> {
|
||||||
|
void initialize(std::vector<SMC::Particle<MyState>>& particles) override {
|
||||||
|
for (SMC::Particle<MyState>& p : particles) {
|
||||||
|
p.state.x = 1;
|
||||||
|
p.state.y = 1;
|
||||||
|
p.weight = 1.0 / particles.size();
|
||||||
|
}
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
|
||||||
|
TEST(Mixing, standard) {
|
||||||
|
|
||||||
|
//init particle filters
|
||||||
|
int numParticles = 1000;
|
||||||
|
Eigen::MatrixXd transition(2,2);
|
||||||
|
transition << 0.8, 0.2, 0.2, 0.8;
|
||||||
|
|
||||||
|
SMC::ParticleFilterMixing<MyState, MyControl, MyObservation> mode1(numParticles, std::unique_ptr<MyInitializer1>(new MyInitializer1()), 0.5);
|
||||||
|
SMC::ParticleFilterMixing<MyState, MyControl, MyObservation> mode2(numParticles, std::unique_ptr<MyInitializer2>(new MyInitializer2()), 0.5);
|
||||||
|
|
||||||
|
std::vector<SMC::ParticleFilterMixing<MyState, MyControl, MyObservation>> modes;
|
||||||
|
modes.push_back(mode1);
|
||||||
|
modes.push_back(mode2);
|
||||||
|
|
||||||
|
|
||||||
|
SMC::MixingSamplerDivergency<MyState, MyControl, MyObservation> mixer;
|
||||||
|
|
||||||
|
//run the mixing and check results
|
||||||
|
for(int t = 0; t < 100; ++t){
|
||||||
|
mixer.mixAndSample(modes, transition);
|
||||||
|
|
||||||
|
int cnt_zero = 0;
|
||||||
|
int cnt_ones = 0;
|
||||||
|
for(int i = 0; i < modes[0].getParticles().size(); ++i){
|
||||||
|
|
||||||
|
if(modes[0].getParticles()[i].state.x == 0){
|
||||||
|
cnt_zero++;
|
||||||
|
}else{
|
||||||
|
cnt_ones++;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
std::cout << "MODE1 Zeros: " << (double) cnt_zero / numParticles<< std::endl;
|
||||||
|
std::cout << "MODE1 Ones: " << (double) cnt_ones/ numParticles << std::endl;
|
||||||
|
|
||||||
|
|
||||||
|
cnt_zero = 0;
|
||||||
|
cnt_ones = 0;
|
||||||
|
for(int i = 0; i < modes[0].getParticles().size(); ++i){
|
||||||
|
|
||||||
|
if(modes[1].getParticles()[i].state.x == 0){
|
||||||
|
cnt_zero++;
|
||||||
|
}else{
|
||||||
|
cnt_ones++;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
std::cout << "MODE2 Zeros: " << (double) cnt_zero / numParticles<< std::endl;
|
||||||
|
std::cout << "MODE2 Ones: " << (double) cnt_ones/ numParticles << std::endl;
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST(Mixing, differentParticleSize) {
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
TEST(Mixing, dynamicTransitionMatrix) {
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
TEST(Mixing, ThreeFilters) {
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
#endif
|
||||||
Reference in New Issue
Block a user