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ParticleFilter

class ParticleFilter < ForwardSampler

Particle filter.

Member Variables

Name Description
x:ForwardModel[_] Particles.
w:Real[_] Log-weights.
a:Integer[_] Ancestor indices.
b:Integer Index of the chosen sample.
N:Integer Number of particles.
trigger:Real Threshold for resampling. Resampling is performed whenever the effective sample size, as a proportion of N, drops below this threshold.
Z:Queue<Real> For each checkpoint, the logarithm of the normalizing constant estimate so far.
ess:Queue<Real> For each checkpoint, the effective sample size (ESS).
memory:Queue<Integer> At each checkpoint, how much memory is in use?
elapsed:Queue<Real> At each checkpoint, what is the elapsed wallclock time?

Member Functions

Name Description
initialize Initialize.
start Start particles.
step Step particles.
reduce Compute summary statistics.
resample Resample particles.
finish Finish.
finalize Finalize.
isTriggered Given the current state, should resampling be performed?

Member Function Details

finalize

function finalize()

Finalize.

finish

function finish()

Finish.

initialize

function initialize()

Initialize.

isTriggered

function isTriggered() -> Boolean

Given the current state, should resampling be performed?

reduce

function reduce()

Compute summary statistics.

resample

function resample()

Resample particles.

start

function start()

Start particles.

step

function step()

Step particles.