check in some experimental particle filtering code, some gitignore fixes

1 files changed, 99 insertions, 0 deletions

diff --git a/gi/pf/tpf.cc b/gi/pf/tpf.cc
new file mode 100644
index 00000000..7348d21c
--- /dev/null
+++ b/gi/pf/tpf.cc
@@ -0,0 +1,99 @@
+#include <iostream>
+#include <tr1/memory>
+#include <queue>
+
+#include "sampler.h"
+
+using namespace std;
+using namespace tr1;
+
+shared_ptr<MT19937> prng;
+
+struct Particle {
+  Particle() : weight(prob_t::One()) {}
+  vector<int> states;
+  prob_t weight;
+  prob_t gamma_last;
+};
+
+ostream& operator<<(ostream& os, const Particle& p) {
+  os << "[";
+  for (int i = 0; i < p.states.size(); ++i) os << p.states[i] << ' ';
+  os << "| w=" << log(p.weight) << ']';
+  return os;
+}
+
+void Rejuvenate(vector<Particle>& pps) {
+  SampleSet<prob_t> ss;
+  vector<Particle> nps(pps.size());
+  for (int i = 0; i < pps.size(); ++i) {
+//    cerr << pps[i] << endl;
+    ss.add(pps[i].weight);
+  }
+//  cerr << "REJUVINATING...\n";
+  for (int i = 0; i < pps.size(); ++i) {
+    nps[i] = pps[prng->SelectSample(ss)];
+    nps[i].weight = prob_t(1.0 / pps.size());
+//    cerr << nps[i] << endl;
+  }
+  nps.swap(pps);
+//  exit(1);
+}
+
+int main(int argc, char** argv) {
+  const unsigned particles = 100;
+  prng.reset(new MT19937);
+  MT19937& rng = *prng;
+
+  // q(a) = 0.8
+  // q(b) = 0.8
+  // q(c) = 0.4
+  SampleSet<double> ssq;
+  ssq.add(0.4);
+  ssq.add(0.6);
+  ssq.add(0);
+  double qz = 1;
+
+  // p(a) = 0.2
+  // p(b) = 0.8
+  vector<double> p(3);
+  p[0] = 0.2;
+  p[1] = 0.8;
+  p[2] = 0;
+
+  vector<int> counts(3);
+  int tot = 0;
+
+  vector<Particle> pps(particles);
+  SampleSet<prob_t> ppss;
+  int LEN = 12;
+  int PP = 1;
+  while (pps[0].states.size() < LEN) {
+    for (int pi = 0; pi < particles; ++pi) {
+      Particle& prt = pps[pi];
+
+      bool redo = true;
+      const Particle savedp = prt;
+      while (redo) {
+        redo = false;
+        for (int i = 0; i < PP; ++i) {
+          int s = rng.SelectSample(ssq);
+          double gamma_last = p[s];
+          if (!gamma_last) { redo = true; break; }
+          double q = ssq[s] / qz;
+          prt.states.push_back(s);
+          prt.weight *= prob_t(gamma_last / q);
+        }
+        if (redo) { prt = savedp; continue; }
+      }
+    }
+    Rejuvenate(pps);
+  }
+  ppss.clear();
+  for (int i = 0; i < particles; ++i) { ppss.add(pps[i].weight); }
+  int sp = rng.SelectSample(ppss);
+  cerr << pps[sp] << endl;
+
+  return 0;
+}
+