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3<title>mixpp: EKF&lt; sq_T &gt; Class Template Reference</title>
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[91]26<div class="contents">
[79]27<h1>EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" -->Extended <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter. 
[23]28<a href="#_details">More...</a>
29<p>
30<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
31<p>
32<div class="dynheader">
33Inheritance diagram for EKF&lt; sq_T &gt;:</div>
34<div class="dynsection">
35<p><center><img src="classEKF__inherit__graph.png" border="0" usemap="#EKF_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
36<map name="EKF_3_01sq__T_01_4__inherit__map">
[91]37<area shape="rect" href="classKalman.html" title="Kalman\&lt; fsqmat \&gt;" alt="" coords="5,172,133,196"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="60,7,100,31"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="85,84,203,108"></map>
[23]38<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
39<div class="dynheader">
40Collaboration diagram for EKF&lt; sq_T &gt;:</div>
41<div class="dynsection">
42<p><center><img src="classEKF__coll__graph.png" border="0" usemap="#EKF_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center>
43<map name="EKF_3_01sq__T_01_4__coll__map">
[91]44<area shape="rect" href="classKalman.html" title="Kalman\&lt; fsqmat \&gt;" alt="" coords="283,583,411,607"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="371,215,411,239"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="249,346,367,370"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="372,7,409,31"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="121,111,167,135"><area shape="rect" href="classdiffbifn.html" title="Class representing a differentiable function of two variables ." alt="" coords="492,111,551,135"><area shape="rect" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix." alt="" coords="164,346,225,370"><area shape="rect" href="classenorm.html" title="enorm\&lt; fsqmat \&gt;" alt="" coords="43,464,163,488"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="177,215,233,239"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="33,215,79,239"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="31,346,140,370"><area shape="rect" href="classfnc.html" title="Class representing function  of variable  represented by rv." alt="" coords="516,7,556,31"></map>
[23]45<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
46
47<p>
48<a href="classEKF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
49<tr><td></td></tr>
50<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[32]51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ea4f3254cacf0a92d2a820b1201d049e"></a><!-- doxytag: member="EKF::EKF" ref="ea4f3254cacf0a92d2a820b1201d049e" args="(RV rvx, RV rvy, RV rvu)" -->
[33]52&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF.html#ea4f3254cacf0a92d2a820b1201d049e">EKF</a> (<a class="el" href="classRV.html">RV</a> rvx, <a class="el" href="classRV.html">RV</a> <a class="el" href="classKalman.html#7501230c2fafa3655887d2da23b3184c">rvy</a>, <a class="el" href="classRV.html">RV</a> <a class="el" href="classKalman.html#44a16ffd5ac1e6e39bae34fea9e1e498">rvu</a>)</td></tr>
[23]53
54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
[32]55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28d058ae4d24d992d2f055419a06ee66"></a><!-- doxytag: member="EKF::set_parameters" ref="28d058ae4d24d992d2f055419a06ee66" args="(diffbifn *pfxu, diffbifn *phxu, const sq_T Q0, const sq_T R0)" -->
[33]56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF.html#28d058ae4d24d992d2f055419a06ee66">set_parameters</a> (<a class="el" href="classdiffbifn.html">diffbifn</a> *pfxu, <a class="el" href="classdiffbifn.html">diffbifn</a> *phxu, const sq_T Q0, const sq_T R0)</td></tr>
[23]57
[33]58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
[32]59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c79c62c9b3e0b56b3aaa1b6f1d9a7af7"></a><!-- doxytag: member="EKF::bayes" ref="c79c62c9b3e0b56b3aaa1b6f1d9a7af7" args="(const vec &amp;dt)" -->
60void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF.html#c79c62c9b3e0b56b3aaa1b6f1d9a7af7">bayes</a> (const vec &amp;dt)</td></tr>
61
[23]62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[79]63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="239b28a0380946f5749b2f8d2807f93a"></a><!-- doxytag: member="EKF::set_parameters" ref="239b28a0380946f5749b2f8d2807f93a" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;R0, const fsqmat &amp;Q0)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#239b28a0380946f5749b2f8d2807f93a">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;R0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;Q0)</td></tr>
[28]65
[32]66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
[79]67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="80bcf29466d9a9dd2b8f74699807d0c0"></a><!-- doxytag: member="EKF::set_est" ref="80bcf29466d9a9dd2b8f74699807d0c0" args="(const vec &amp;mu0, const fsqmat &amp;P0)" -->
68void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#80bcf29466d9a9dd2b8f74699807d0c0">set_est</a> (const vec &amp;mu0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;P0)</td></tr>
[32]69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
[171]71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67cccaf1c4dcdcd1df110e15ef326bfe"></a><!-- doxytag: member="EKF::_epdf" ref="67cccaf1c4dcdcd1df110e15ef326bfe" args="() const " -->
72const <a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#67cccaf1c4dcdcd1df110e15ef326bfe">_epdf</a> () const </td></tr>
[28]73
[33]74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[210]75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11f82ef04e3dbc54bd1d3d89edb6aa07"></a><!-- doxytag: member="EKF::_e" ref="11f82ef04e3dbc54bd1d3d89edb6aa07" args="() const " -->
76const <a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11f82ef04e3dbc54bd1d3d89edb6aa07">_e</a> () const </td></tr>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. Use with care! <br></td></tr>
[79]79<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="EKF::__K" ref="980fcd41c6c548c5da7b8b67c8e6da79" args="()" -->
80mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#980fcd41c6c548c5da7b8b67c8e6da79">__K</a> ()</td></tr>
81
82<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
83<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac9540f3850b74d89a5fe4db6fc358ce"></a><!-- doxytag: member="EKF::_dP" ref="ac9540f3850b74d89a5fe4db6fc358ce" args="()" -->
84vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ac9540f3850b74d89a5fe4db6fc358ce">_dP</a> ()</td></tr>
85
86<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[171]87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0186270f75189677f390fe088a9947e9"></a><!-- doxytag: member="EKF::bayesB" ref="0186270f75189677f390fe088a9947e9" args="(const mat &amp;Dt)" -->
88virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#0186270f75189677f390fe088a9947e9">bayesB</a> (const mat &amp;Dt)</td></tr>
89
90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
91<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#8a8ce6df431689964c41cc6c849cfd06">logpred</a> (const vec &amp;dt) const </td></tr>
92
[180]93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd0660f2a1a344b56ac39802708ff165"></a><!-- doxytag: member="EKF::logpred_m" ref="cd0660f2a1a344b56ac39802708ff165" args="(const mat &amp;dt) const " -->
94vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#cd0660f2a1a344b56ac39802708ff165">logpred_m</a> (const mat &amp;dt) const </td></tr>
95
96<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[210]97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5594d68ee9aa6fc8c1e79019da5c9d56"></a><!-- doxytag: member="EKF::predictor" ref="5594d68ee9aa6fc8c1e79019da5c9d56" args="(const RV &amp;rv) const " -->
98virtual <a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5594d68ee9aa6fc8c1e79019da5c9d56">predictor</a> (const <a class="el" href="classRV.html">RV</a> &amp;<a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a>) const </td></tr>
[180]99
100<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
[33]101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="EKF::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
102const <a class="el" href="classRV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#126bd2595c48e311fc2a7ab72876092a">_rv</a> () const </td></tr>
103
104<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="EKF::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
106double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
107
108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[171]109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1ffa9f23669aabecc3760c06c6987522"></a><!-- doxytag: member="EKF::set_evalll" ref="1ffa9f23669aabecc3760c06c6987522" args="(bool evl0)" -->
110void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#1ffa9f23669aabecc3760c06c6987522">set_evalll</a> (bool evl0)</td></tr>
111
112<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
113<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classBM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#eb58c81d6a7b75b05fc6f276eed78887">_copy_</a> (bool changerv=false)</td></tr>
114
[32]115<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="EKF::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
[33]117<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#7501230c2fafa3655887d2da23b3184c">rvy</a></td></tr>
[28]118
[33]119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
[32]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="EKF::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
[33]121<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#44a16ffd5ac1e6e39bae34fea9e1e498">rvu</a></td></tr>
[28]122
[33]123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
[28]124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="EKF::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
[33]125int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
[28]126
[33]127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[28]128<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="EKF::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
[33]129int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
[28]130
[33]131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[28]132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="EKF::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
[33]133int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
[28]134
[33]135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[28]136<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="EKF::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
[33]137mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
[28]138
[33]139<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[28]140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="EKF::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
[33]141mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
[28]142
[33]143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[28]144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="EKF::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
[33]145mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
[28]146
[33]147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[28]148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="EKF::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
[33]149mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
[28]150
[33]151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="EKF::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
[79]153<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr>
[33]154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[28]156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="EKF::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
[79]157<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr>
[28]158
[33]159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[32]160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="EKF::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
[79]161<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5568c74bac67ae6d3b1061dba60c9424">est</a></td></tr>
[32]162
163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="EKF::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
[79]165<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e580ab06483952bd03f2e651763e184f">fy</a></td></tr>
[32]166
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
[28]168<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="EKF::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
[33]169mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
[28]170
[33]171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> gain <br></td></tr>
[79]172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="EKF::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
173vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
[28]174
[33]175<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
[79]176<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="EKF::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
177<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr>
[28]178
[33]179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
[79]180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="EKF::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
181vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
[28]182
[33]183<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
[79]184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="EKF::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
185<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr>
[32]186
[33]187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
[32]188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="EKF::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
189<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a></td></tr>
190
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="EKF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
193double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
194
195<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="EKF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
197bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
198
[171]199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr>
[23]200</table>
201<hr><a name="_details"></a><h2>Detailed Description</h2>
202<h3>template&lt;class sq_T&gt;<br>
203 class EKF&lt; sq_T &gt;</h3>
204
205Extended <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.
206<p>
[171]207An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <hr><h2>Member Function Documentation</h2>
208<a class="anchor" name="8a8ce6df431689964c41cc6c849cfd06"></a><!-- doxytag: member="EKF::logpred" ref="8a8ce6df431689964c41cc6c849cfd06" args="(const vec &amp;dt) const " -->
209<div class="memitem">
210<div class="memproto">
211      <table class="memname">
212        <tr>
213          <td class="memname">virtual double BM::logpred           </td>
214          <td>(</td>
215          <td class="paramtype">const vec &amp;&nbsp;</td>
216          <td class="paramname"> <em>dt</em>          </td>
217          <td>&nbsp;)&nbsp;</td>
218          <td> const<code> [inline, virtual, inherited]</code></td>
219        </tr>
220      </table>
221</div>
222<div class="memdoc">
223
224<p>
225Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
226<p>Reimplemented in <a class="el" href="classARX.html#e7f9e7823aec9bf7ddc3b42d9b3304c4">ARX</a>, <a class="el" href="classMixEF.html#424ca64f36d4e41de7a7e7ae921d35ea">MixEF</a>, and <a class="el" href="classmultiBM.html#13e26a61757278981fd8cac9a7ef91eb">multiBM</a>.</p>
227
[219]228<p>Referenced by <a class="el" href="libBM_8h-source.html#l00436">BM::logpred_m()</a>.</p>
[180]229
[171]230</div>
231</div><p>
232<a class="anchor" name="eb58c81d6a7b75b05fc6f276eed78887"></a><!-- doxytag: member="EKF::_copy_" ref="eb58c81d6a7b75b05fc6f276eed78887" args="(bool changerv=false)" -->
233<div class="memitem">
234<div class="memproto">
235      <table class="memname">
236        <tr>
237          <td class="memname">virtual <a class="el" href="classBM.html">BM</a>* BM::_copy_           </td>
238          <td>(</td>
239          <td class="paramtype">bool&nbsp;</td>
240          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
241          <td>&nbsp;)&nbsp;</td>
242          <td><code> [inline, virtual, inherited]</code></td>
243        </tr>
244      </table>
245</div>
246<div class="memdoc">
247
248<p>
249Copy function required in vectors, Arrays of <a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: BM* <a class="el" href="classBM.html#eb58c81d6a7b75b05fc6f276eed78887">_copy_()</a>{<a class="el" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }
[210]250<p>Reimplemented in <a class="el" href="classARX.html#5de61fbd4f97fa3216760b1f733f5af0">ARX</a>, and <a class="el" href="classBMEF.html#97f5312efe4a5bedb86d2daec59d8651">BMEF</a>.</p>
[171]251
252</div>
253</div><p>
254<hr>The documentation for this class was generated from the following file:<ul>
[145]255<li>work/git/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
[91]256</div>
[219]257<hr size="1"><address style="text-align: right;"><small>Generated on Thu Dec 4 14:42:21 2008 for mixpp by&nbsp;
[23]258<a href="http://www.doxygen.org/index.html">
[139]259<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
[23]260</body>
261</html>
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