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using | ssv = Eigen::Matrix< double, dimx, 1 > |
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using | osv = Eigen::Matrix< double, dimy, 1 > |
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using | ssv = Eigen::Matrix< double, dimx, 1 > |
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using | osv = Eigen::Matrix< double, dimy, 1 > |
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using | Mat = Eigen::Matrix< double, dimx, dimx > |
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using | arrayStates = std::array< ssv, nparts > |
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using | arrayDouble = std::array< double, nparts > |
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| svol_bs (const double &phi, const double &beta, const double &sigma) |
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double | logQ1Ev (const ssv &x1, const osv &y1) |
| Calculate q1Ev or log q1Ev. More...
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double | logMuEv (const ssv &x1) |
| Calculate muEv or logmuEv. More...
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double | logGEv (const osv &yt, const ssv &xt) |
| Calculate gEv or logGEv. More...
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auto | fSamp (const ssv &xtm1) -> ssv |
| Sample from the state transition distribution. More...
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auto | q1Samp (const osv &y1) -> ssv |
| Samples from time 1 proposal. More...
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| BSFilter (const unsigned int &rs=1) |
| The constructor. More...
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double | getLogCondLike () const |
| Returns the most recent (log-) conditiona likelihood. More...
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void | filter (const osv &data, const std::vector< std::function< const Mat(const ssv &)> > &fs=std::vector< std::function< const Mat(const ssv &)> >()) |
| updates filtering distribution on a new datapoint. Optionally stores expectations of functionals. More...
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auto | getExpectations () const -> std::vector< Mat > |
| return all stored expectations (taken with respect to $p(x_t|y_{1:t})$ More...
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template<size_t nparts, size_t dimx, size_t dimy, typename resampT >
auto svol_bs< nparts, dimx, dimy, resampT >::fSamp |
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const ssv & |
xtm1 | ) |
-> ssv |
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virtual |
template<size_t nparts, size_t dimx, size_t dimy, typename resampT >
double svol_bs< nparts, dimx, dimy, resampT >::logGEv |
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const osv & |
yt, |
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const ssv & |
xt |
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) |
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virtual |
Calculate gEv or logGEv.
- Parameters
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yt | is a const Vec& describing the time t datum |
xt | is a const Vec& describing the time t state |
- Returns
- the density or log-density evaluation as a double
Implements BSFilter< nparts, dimx, dimy, resampT >.
template<size_t nparts, size_t dimx, size_t dimy, typename resampT >
double svol_bs< nparts, dimx, dimy, resampT >::logMuEv |
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const ssv & |
x1 | ) |
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virtual |
template<size_t nparts, size_t dimx, size_t dimy, typename resampT >
double svol_bs< nparts, dimx, dimy, resampT >::logQ1Ev |
( |
const ssv & |
x1, |
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const osv & |
y1 |
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) |
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virtual |
Calculate q1Ev or log q1Ev.
- Parameters
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x1 | is a const Vec& describing the time 1 state sample |
y1 | is a const Vec& describing the time 1 datum |
- Returns
- the density or log-density evaluation as a double
Implements BSFilter< nparts, dimx, dimy, resampT >.
template<size_t nparts, size_t dimx, size_t dimy, typename resampT >
auto svol_bs< nparts, dimx, dimy, resampT >::q1Samp |
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const osv & |
y1 | ) |
-> ssv |
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virtual |
The documentation for this class was generated from the following file: