CParticleFilter.h

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/* +---------------------------------------------------------------------------+
   |                     Mobile Robot Programming Toolkit (MRPT)               |
   |                          http://www.mrpt.org/                             |
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   | Copyright (c) 2005-2017, Individual contributors, see AUTHORS file        |
   | See: http://www.mrpt.org/Authors - All rights reserved.                   |
   | Released under BSD License. See details in http://www.mrpt.org/License    |
   +---------------------------------------------------------------------------+ */
#ifndef CPARTICLEFILTER_H
#define CPARTICLEFILTER_H

#include <mrpt/utils/core_defs.h>
#include <mrpt/utils/COutputLogger.h>
#include <mrpt/utils/CLoadableOptions.h>

namespace mrpt
{
        namespace obs { class CSensoryFrame; class CActionCollection; }

        /** The namespace for Bayesian filtering algorithm: different particle filters and Kalman filter algorithms. \ingroup mrpt_base_grp
          */
        namespace bayes
        {
                class CParticleFilterCapable;

                /** This class acts as a common interface to the different interfaces (see CParticleFilter::TParticleFilterAlgorithm) any bayes::CParticleFilterCapable class can implement: it is the invoker of particle filter algorithms.
                 *   The particle filter is executed on a probability density function (PDF) described by a CParticleFilterCapable object, passed in the constructor or alternatively through the CParticleFilter::executeOn method.<br>
                 *
                 * For a complete example and further details, see the <a href="http://www.mrpt.org/Particle_Filter_Tutorial" >Particle Filter tutorial</a>.
                 *
                 *   The basic SIR algorithm (pfStandardProposal) consists of:
                 *              - Execute a prediction with the given "action".
                 *              - Update the weights of the particles using the likelihood of the "observation".
                 *              - Normalize weights.
                 *              - Perform resampling if the ESS is below the threshold options.BETA.
                 *
                 * \ingroup mrpt_base_grp
                 * \sa mrpt::poses::CPoseParticlesPDF
                 */
                class BASE_IMPEXP CParticleFilter : public mrpt::utils::COutputLogger
                {
                public:

                        /** Defines different types of particle filter algorithms.
                          *  The defined SIR implementations are:
                          *             - pfStandardProposal: Standard proposal distribution + weights according to likelihood function.
                          *             - pfAuxiliaryPFStandard: An auxiliary PF using the standard proposal distribution.
                          *             - pfOptimalProposal: Use the optimal proposal distribution (where available!, usually this will perform approximations)
                          *             - pfAuxiliaryPFOptimal: Use the optimal proposal and a auxiliary particle filter (see <a href="http://www.mrpt.org/Paper:An_Optimal_Filtering_Algorithm_for_Non-Parametric_Observation_Models_in_Robot_Localization_(ICRA_2008)" >paper</a>).
                          *
                          * See the theoretical discussion in <a href="http://www.mrpt.org/Resampling_Schemes" >resampling schemes</a>.
                          */
                        enum TParticleFilterAlgorithm
                        {
                                pfStandardProposal = 0,
                                pfAuxiliaryPFStandard,
                                pfOptimalProposal,
                                pfAuxiliaryPFOptimal
                        };

                        /** Defines the different resampling algorithms.
                          *  The implemented resampling methods are:
                          *             - prMultinomial (Default): Uses standard select with replacement (draws M random uniform numbers)
                          *             - prResidual: The residual or "remainder" method.
                          *             - prStratified: The stratified resampling, where a uniform sample is drawn for each of M subdivisions of the range (0,1].
                          *             - prSystematic: A single uniform sample is drawn in the range (0,1/M].
                          *
                          * See the theoretical discussion in <a href="http://www.mrpt.org/Resampling_Schemes" >resampling schemes</a>.
                          */
                        enum TParticleResamplingAlgorithm
                        {
                                prMultinomial = 0,
                                prResidual,
                                prStratified,
                                prSystematic
                        };

                        /** The configuration of a particle filter.
                          */
                        struct BASE_IMPEXP TParticleFilterOptions : public mrpt::utils::CLoadableOptions
                        {
                        public:
                                TParticleFilterOptions(); //!< Initilization of default parameters
                                void loadFromConfigFile(const mrpt::utils::CConfigFileBase &source,const std::string &section) MRPT_OVERRIDE; // See base docs
                                void dumpToTextStream(mrpt::utils::CStream &out) const MRPT_OVERRIDE; // See base docs

                                bool         adaptiveSampleSize; //!< A flag that indicates whether the CParticleFilterCapable object should perform adative sample size (default=false).
                                double       BETA; //!< The resampling of particles will be performed when ESS (in range [0,1]) < BETA (default is 0.5)
                                unsigned int sampleSize; //!< The initial number of particles in the filter (it can change only if adaptiveSampleSize=true) (default=1)

                                /** In the algorithm "CParticleFilter::pfAuxiliaryPFOptimal" (and in "CParticleFilter::pfAuxiliaryPFStandard" only if pfAuxFilterStandard_FirstStageWeightsMonteCarlo = true) the number of samples for searching the maximum likelihood value and also to estimate the "first stage weights" (see papers!) (default=100)
                                  */
                                unsigned int pfAuxFilterOptimal_MaximumSearchSamples;
                                double          powFactor; //!< An optional step to "smooth" dramatic changes in the observation model to affect the variance of the particle weights, eg weight*=likelihood^powFactor (default=1 = no effects).
                                TParticleFilterAlgorithm                PF_algorithm; //!< The PF algorithm to use (default=pfStandardProposal) See TParticleFilterAlgorithm for the posibilities.
                                TParticleResamplingAlgorithm    resamplingMethod; //!< The resampling algorithm to use (default=prMultinomial).

                                /** Only for PF_algorithm=pfAuxiliaryPFOptimal: If a given particle has a max_likelihood (from the a-priori estimate) below the maximum from all the samples - max_loglikelihood_dyn_range, then the particle is directly discarded.
                                  *  This is done to assure that the rejection sampling doesn't get stuck in an infinite loop trying to get an acceptable sample.
                                  *  Default = 15 (in logarithmic likelihood)
                                  */
                                double max_loglikelihood_dyn_range;

                                /** Only for PF_algorithm==pfAuxiliaryPFStandard:
                                  * If false, the APF will predict the first stage weights just at the mean of the prior of the next time step.
                                  * If true, these weights will be estimated as described in the papers for the "pfAuxiliaryPFOptimal" method, i.e. through a monte carlo simulation.
                                  *  In that case, "pfAuxFilterOptimal_MaximumSearchSamples" is the number of MC samples used.
                                  */
                                bool pfAuxFilterStandard_FirstStageWeightsMonteCarlo;

                                bool pfAuxFilterOptimal_MLE; //!< (Default=false) In the algorithm "CParticleFilter::pfAuxiliaryPFOptimal", if set to true, do not perform rejection sampling, but just the most-likely (ML) particle found in the preliminary weight-determination stage.
                        };

                        /** Statistics for being returned from the "execute" method. */
                        struct BASE_IMPEXP TParticleFilterStats
                        {
                                TParticleFilterStats() : ESS_beforeResample(0), weightsVariance_beforeResample (0) {  }
                                double          ESS_beforeResample;
                                double          weightsVariance_beforeResample;
                        };

                        /** Default constructor.
                         *   After creating the PF object, set the options in CParticleFilter::m_options, then execute steps through CParticleFilter::executeOn.
                         */
                        CParticleFilter();

                        virtual ~CParticleFilter() {}

                        /** Executes a complete prediction + update step of the selected particle filtering algorithm.
                         *    The member CParticleFilter::m_options must be set before calling this to settle the algorithm parameters.
                         *
                         * \param obj           The object representing the probability distribution function (PDF) which apply the particle filter algorithm to.
                         * \param action                A pointer to an action in the form of a CActionCollection, or NULL if there is no action.
                         * \param observation   A pointer to observations in the form of a CSensoryFrame, or NULL if there is no observation.
                         * \param stats An output structure for gathering statistics of the particle filter execution, or set to NULL if you do not need it (see CParticleFilter::TParticleFilterStats).
                         *
                         * \sa CParticleFilterCapable, executeOn
                         */
                        void  executeOn(
                                CParticleFilterCapable                  &obj,
                                const mrpt::obs::CActionCollection   *action,
                                const mrpt::obs::CSensoryFrame      *observation,
                                TParticleFilterStats            *stats = NULL);


                        /** The options to be used in the PF, must be set before executing any step of the particle filter.
                          */
                        CParticleFilter::TParticleFilterOptions         m_options;

                }; // End of class def.

        } // end namespace
} // end namespace
#endif