annotate toolboxes/FullBNT-1.0.7/bnt/inference/dynamic/@kalman_inf_engine/kalman_inf_engine.m @ 0:e9a9cd732c1e
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first hg version after svn
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wolffd |
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Tue, 10 Feb 2015 15:05:51 +0000 |
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1 function engine = kalman_inf_engine(bnet)
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2 % KALMAN_INF_ENGINE Inference engine for Linear-Gaussian state-space models.
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3 % engine = kalman_inf_engine(bnet)
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4 %
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5 % 'onodes' specifies which nodes are observed; these must be leaves.
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6 % The remaining nodes are all hidden. All nodes must have linear-Gaussian CPDs.
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7 % The hidden nodes must be persistent, i.e., they must have children in
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8 % the next time slice. In addition, they may not have any children within the current slice,
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9 % except to the observed leaves. In other words, the topology must be isomorphic to a standard LDS.
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10 %
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11 % There are many derivations of the filtering and smoothing equations for Linear Dynamical
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12 % Systems in the literature. I particularly like the following
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13 % - "From HMMs to LDSs", T. Minka, MIT Tech Report, (no date), available from
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14 % ftp://vismod.www.media.mit.edu/pub/tpminka/papers/minka-lds-tut.ps.gz
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15
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16 [engine.trans_mat, engine.trans_cov, engine.obs_mat, engine.obs_cov, engine.init_state, engine.init_cov] = ...
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17 dbn_to_lds(bnet);
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18
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19 % This is where we will store the results between enter_evidence and marginal_nodes
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20 engine.one_slice_marginal = [];
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21 engine.two_slice_marginal = [];
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22
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23 engine = class(engine, 'kalman_inf_engine', inf_engine(bnet));
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