Source code for stonesoup.resampler.particle

# -*- coding: utf-8 -*-
import numpy as np

from .base import Resampler
from ..base import Property
from ..types.numeric import Probability
from ..types.state import ParticleState

[docs]class SystematicResampler(Resampler):
[docs] def resample(self, particles): """Resample the particles Parameters ---------- particles : :class:`~.ParticleState` or list of :class:`~.Particle` The particles or particle state to be resampled according to their weights Returns ------- particle state: :class:`~.ParticleState` The particle state after resampling """ if not isinstance(particles, ParticleState): particles = ParticleState(None, particle_list=particles) n_particles = len(particles) weight = Probability(1 / n_particles) log_weights = np.array([weight.log_value for weight in particles.weight]) weight_order = np.argsort(log_weights, kind='stable') max_log_value = log_weights[weight_order[-1]] with np.errstate(divide='ignore'): cdf = np.log(np.cumsum(np.exp(log_weights[weight_order] - max_log_value))) cdf += max_log_value # Pick random starting point u_i = np.random.uniform(0, 1 / n_particles) # Cycle through the cumulative distribution and copy the particle # that pushed the score over the current value u_j = u_i + (1 / n_particles) * np.arange(n_particles) index = weight_order[np.searchsorted(cdf, np.log(u_j))] new_particles = ParticleState(state_vector=particles.state_vector[:, index], weight=[weight]*n_particles, parent=ParticleState( state_vector=particles.state_vector[:, index], weight=particles.weight[index], timestamp=particles.timestamp), timestamp=particles.timestamp) return new_particles
[docs]class ESSResampler(Resampler): """ This wrapper uses a :class:`~.Resampler` to resample the particles inside an instant of :class:`~.Particles`, but only after checking if this is necessary by comparing Effective Sample Size (ESS) with a supplied threshold (numeric). Kish's ESS is used, as recommended in Section 3.5 of this tutorial [1]_. References ---------- .. [1] Doucet A., Johansen A.M., 2009, Tutorial on Particle Filtering \ and Smoothing: Fifteen years later, Handbook of Nonlinear Filtering, Vol. 12. """ threshold: float = Property(default=None, doc='Threshold compared with ESS to decide whether to resample. \ Default is number of particles divided by 2, \ set in resample method') resampler: Resampler = Property(default=SystematicResampler, doc='Resampler to wrap, which is called \ when ESS below threshold')
[docs] def resample(self, particles): """ Parameters ---------- particles : list of :class:`~.Particle` The particles to be resampled according to their weight Returns ------- particles : list of :class:`~.Particle` The particles, either unchanged or resampled, depending on weight degeneracy """ if not isinstance(particles, ParticleState): particles = ParticleState(None, particle_list=particles) if self.threshold is None: self.threshold = len(particles) / 2 if 1 / np.sum(np.square(particles.weight)) < self.threshold: # If ESS too small, resample return self.resampler.resample(self.resampler, particles) else: return particles