def __init__(self, n, init_pdf, p_xt_xtp, p_yt_xt, starvation_factor=0.9, debug=False):
r"""Initialise particle filter.
:param int n: number of particles
:param init_pdf: either :class:`~pybayes.pdfs.EmpPdf` instance that will be used
directly as a posterior (and should already have initial particles sampled) or
any other probability density which initial particles are sampled from
:type init_pdf: :class:`~pybayes.pdfs.Pdf`
:param p_xt_xtp: :math:`p(x_t|x_{t-1})` cpdf of state in *t* given state in *t-1*
:type p_xt_xtp: :class:`~pybayes.pdfs.CPdf`
:param p_yt_xt: :math:`p(y_t|x_t)` cpdf of observation in *t* given state in *t*
:type p_yt_xt: :class:`~pybayes.pdfs.CPdf`
"""
self.__initial_sample = True
self.debug = debug
if not isinstance(n, int) or n < 1:
raise TypeError("n must be a positive integer")
if not isinstance(init_pdf, pb.Pdf):
raise TypeError("init_pdf must be an instance ot the Pdf class")
if not isinstance(p_xt_xtp, pb.CPdf) or not isinstance(p_yt_xt, pb.CPdf):
raise TypeError("both p_xt_xtp and p_yt_xt must be instances of the CPdf class")
self.init_pdf = init_pdf
dim = init_pdf.shape() # dimension of state
if p_xt_xtp.shape() != dim or p_xt_xtp.cond_shape() < dim:
raise ValueError("Expected shape() and cond_shape() of p_xt_xtp will "
+ "be (respectively greater than) {0}; ({1}, {2}) given.".format(dim,
p_xt_xtp.shape(), p_xt_xtp.cond_shape()))
self.p_xt_xtp = p_xt_xtp
if p_yt_xt.cond_shape() != dim:
raise ValueError("Expected cond_shape() of p_yt_xt will be {0}; {1} given."
.format(dim, p_yt_xt.cond_shape()))
self.p_yt_xt = p_yt_xt
if isinstance(init_pdf, EmpPdf):
self.emp = init_pdf # use directly
else:
self.emp = EmpPdf(init_pdf.samples(n), starvation_factor=starvation_factor)
