A Monte Carlo transform from one Gaussian distribution to another. More...

#include <MonteCarloTransform.hpp>

Inheritance diagram for OpenKalman::MonteCarloTransform:

Collaboration diagram for OpenKalman::MonteCarloTransform:

Public Member Functions
	MonteCarloTransform (const std::size_t samples=100000)
	Constructor. More...

template<typename InputDist , typename Trans , typename ... NoiseDists, std::enable_if_t<(gaussian_distribution< InputDist > and ... and gaussian_distribution< NoiseDists >) and linearized_function< Trans, 1 > and std::is_invocable_v< Trans, typename DistributionTraits< InputDist >::Mean, typename DistributionTraits< NoiseDists >::Mean... >, int > = 0>
auto	operator() (const InputDist &x, const Trans &transformation, const NoiseDists &...n) const
	Perform a Monte Carlo transform from one statistical distribution to another. More...

template<typename InputDist , typename Trans , typename ... NoiseDists, std::enable_if_t<(gaussian_distribution< InputDist > and ... and gaussian_distribution< NoiseDists >) and linearized_function< Trans, 1 > and std::is_invocable_v< Trans, typename DistributionTraits< InputDist >::Mean, typename DistributionTraits< NoiseDists >::Mean... >, int > = 0>
auto	transform_with_cross_covariance (const InputDist &x, const Trans &transformation, const NoiseDists &...n) const
	Perform a Monte Carlo transform, also returning the cross-covariance. More...

Public Member Functions inherited from OpenKalman::internal::TransformBase< MonteCarloTransform >
auto	operator() (const InputDist &x, const T &t, const Ts &...ts) const
	Perform one or more consecutive transforms. More...

auto	transform_with_cross_covariance (const InputDist &x, const T &t, const Ts &...ts) const
	Perform one or more consecutive transforms, also returning the cross-covariance. More...

Detailed Description

A Monte Carlo transform from one Gaussian distribution to another.

Uses ideas from Chan, Tony F.; Golub, Gene H.; LeVeque, Randall J. (1979), "Updating Formulae and a Pairwise Algorithm for Computing Sample Variances." Technical Report STAN-CS-79-773, Department of Computer Science, Stanford University. http://i.stanford.edu/pub/cstr/reports/cs/tr/79/773/CS-TR-79-773.pdf

Constructor & Destructor Documentation

◆ MonteCarloTransform()

OpenKalman::MonteCarloTransform::MonteCarloTransform ( const std::size_t samples = 100000 )

inlineexplicit

Constructor.

Parameters

samples The number of random samples taken from the prior distribution.

Member Function Documentation

◆ operator()()

template<typename InputDist , typename Trans , typename ... NoiseDists, std::enable_if_t<(gaussian_distribution< InputDist > and ... and gaussian_distribution< NoiseDists >) and linearized_function< Trans, 1 > and std::is_invocable_v< Trans, typename DistributionTraits< InputDist >::Mean, typename DistributionTraits< NoiseDists >::Mean... >, int > = 0>

auto OpenKalman::MonteCarloTransform::operator()	(	const InputDist &	x,
		const Trans &	transformation,
		const NoiseDists &...	n
	)		const

inline

Perform a Monte Carlo transform from one statistical distribution to another.

Template Parameters

InputDist	The prior distribution.
Trans	The tests on which the transform is based.
NoiseDists	Zero or more noise distributions.

Returns: The posterior distribution.

◆ transform_with_cross_covariance()