/* * CondensationBackwardFilter.h * * Created on: Jun 23, 2015 * Author: Toni Fetzer */ #ifndef BACKWARDSIMULATION_H_ #define BACKWARDSIMULATION_H_ #include #include #include #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 class BackwardSimulation : public BackwardFilter{ private: /** all smoothed particles T -> 1*/ std::vector>> backwardParticles; /** container for particles */ std::vector> smoothedParticles; /** the estimation function to use */ std::unique_ptr> estimation; /** the transition function to use */ std::unique_ptr> transition; /** the resampler to use */ std::unique_ptr> resampler; /** the sampler for drawing trajectories */ std::unique_ptr> 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>>& getbackwardParticles() { return backwardParticles; } /** set the estimation method to use */ void setEstimation(std::unique_ptr> 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> 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> 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> 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* 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> 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> 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> 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& 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_ */