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Matrix in Cholesky decomposition, Square-root Kalman and many bug fixes

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[23]1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
2<html><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
3<title>mixpp: EKF&lt; sq_T &gt; Class Template Reference</title>
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7<!-- Generated by Doxygen 1.5.3 -->
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9  <ul>
10    <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
11    <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
12    <li><a href="files.html"><span>Files</span></a></li>
[28]13    <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
[23]14  </ul>
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16<div class="tabs">
17  <ul>
18    <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
19    <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
20    <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
21  </ul>
22</div>
[32]23<h1>EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="EKF" --><!-- doxytag: inherits="Kalman&lt; ldmat &gt;" -->Extended <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter. 
[23]24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for EKF&lt; sq_T &gt;:</div>
30<div class="dynsection">
31<p><center><img src="classEKF__inherit__graph.png" border="0" usemap="#EKF_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
32<map name="EKF_3_01sq__T_01_4__inherit__map">
[33]33<area shape="rect" href="classEKF.html" title="EKF\&lt; ldmat \&gt;" alt="" coords="16,359,131,385"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="69,287,77,295"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="69,355,77,363"><area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="5,183,141,209"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="64,7,107,33"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="89,87,217,113"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="137,111,145,119"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="80,179,88,187"><area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="33,439,113,465"></map>
[23]34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for EKF&lt; sq_T &gt;:</div>
37<div class="dynsection">
38<p><center><img src="classEKF__coll__graph.png" border="0" usemap="#EKF_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center>
39<map name="EKF_3_01sq__T_01_4__coll__map">
[33]40<area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="301,711,437,737"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="391,231,433,257"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="263,412,391,439"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="393,7,431,33"><area shape="rect" title="rvu\nrvy" alt="" coords="424,31,432,39"><area shape="rect" title="rvu\nrvy" alt="" coords="385,707,393,715"><area shape="rect" title="rv" alt="" coords="408,31,416,39"><area shape="rect" title="rv" alt="" coords="408,227,416,235"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="125,119,176,145"><area shape="rect" title="rv" alt="" coords="389,23,397,31"><area shape="rect" title="rv" alt="" coords="172,115,180,123"><area shape="rect" title="rvu\nrvy" alt="" coords="404,31,412,39"><area shape="rect" title="rvu\nrvy" alt="" coords="325,408,333,416"><area shape="rect" href="classdiffbifn.html" title="Class representing a differentiable function of two variables $f(x,u)$." alt="" coords="516,119,583,145"><area shape="rect" title="rvu\nrvx" alt="" coords="428,23,436,31"><area shape="rect" title="rvu\nrvx" alt="" coords="537,115,545,123"><area shape="rect" href="classldmat.html" title="Matrix stored in LD form, (typically known as UD)." alt="" coords="180,412,239,439"><area shape="rect" title="_iP\n_P\nQ\nR\n_iRy\n_Ry" alt="" coords="212,436,220,444"><area shape="rect" title="_iP\n_P\nQ\nR\n_iRy\n_Ry" alt="" coords="355,707,363,715"><area shape="rect" href="classenorm.html" title="enorm\&lt; ldmat \&gt;" alt="" coords="52,561,183,588"><area shape="rect" title="_iR\nR" alt="" coords="200,436,208,444"><area shape="rect" title="_iR\nR" alt="" coords="125,557,133,565"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="196,231,257,257"><area shape="rect" title="est\nfy" alt="" coords="121,585,129,593"><area shape="rect" title="est\nfy" alt="" coords="297,708,305,716"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="55,231,100,257"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="36,412,156,439"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="95,436,103,444"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="112,557,120,565"><area shape="rect" title="_iR\nR" alt="" coords="137,255,145,263"><area shape="rect" title="_iR\nR" alt="" coords="95,408,103,416"><area shape="rect" title="_iP\n_P\nQ\nR\n_iRy\n_Ry" alt="" coords="159,255,167,263"><area shape="rect" title="_iP\n_P\nQ\nR\n_iRy\n_Ry" alt="" coords="309,408,317,416"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="323,436,331,444"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="361,707,369,715"><area shape="rect" title="pfxu\nphxu" alt="" coords="543,143,551,151"><area shape="rect" title="pfxu\nphxu" alt="" coords="492,787,500,795"><area shape="rect" href="classfnc.html" title="Class representing function $f(x)$ of variable $x$ represented by rv." alt="" coords="544,7,584,33"></map>
[23]41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classEKF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[32]47<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]48&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]49
50<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
[32]51<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]52void&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]53
[33]54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
[32]55<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)" -->
56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF.html#c79c62c9b3e0b56b3aaa1b6f1d9a7af7">bayes</a> (const vec &amp;dt)</td></tr>
57
[23]58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[32]59<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 ldmat &amp;R0, const ldmat &amp;Q0)" -->
[33]60void&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="classldmat.html">ldmat</a> &amp;R0, const <a class="el" href="classldmat.html">ldmat</a> &amp;Q0)</td></tr>
[28]61
[32]62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
63<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 ldmat &amp;P0)" -->
[33]64void&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="classldmat.html">ldmat</a> &amp;P0)</td></tr>
[32]65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
[28]67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="EKF::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
68void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr>
69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
[32]71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a213c57aef55b2645e550bed81cfc0d4"></a><!-- doxytag: member="EKF::_epdf" ref="a213c57aef55b2645e550bed81cfc0d4" args="()" -->
72<a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#a213c57aef55b2645e550bed81cfc0d4">_epdf</a> ()</td></tr>
[28]73
[33]74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="EKF::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
76const <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>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
79<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="EKF::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
80double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
81
82<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[32]83<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="EKF::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
[33]85<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]86
[33]87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
[32]88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="EKF::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
[33]89<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]90
[33]91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
[28]92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="EKF::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
[33]93int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
[28]94
[33]95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[28]96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="EKF::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
[33]97int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
[28]98
[33]99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[28]100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="EKF::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
[33]101int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
[28]102
[33]103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[28]104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="EKF::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
[33]105mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
[28]106
[33]107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[28]108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="EKF::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
[33]109mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
[28]110
[33]111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[28]112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="EKF::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
[33]113mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
[28]114
[33]115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[28]116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="EKF::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
[33]117mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
[28]118
[33]119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="EKF::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
121<a class="el" href="classldmat.html">ldmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr>
122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[28]124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="EKF::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
[33]125<a class="el" href="classldmat.html">ldmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr>
[28]126
[33]127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[32]128<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="EKF::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
[33]129<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5568c74bac67ae6d3b1061dba60c9424">est</a></td></tr>
[32]130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="EKF::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
[33]133<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e580ab06483952bd03f2e651763e184f">fy</a></td></tr>
[32]134
135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
[28]136<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="EKF::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
[33]137mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
[28]138
[33]139<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>
[32]140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5188eb0329f8561f0b357af329769bf8"></a><!-- doxytag: member="EKF::_yp" ref="5188eb0329f8561f0b357af329769bf8" args="" -->
[33]141vec *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5188eb0329f8561f0b357af329769bf8">_yp</a></td></tr>
[28]142
[33]143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
[32]144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e17dd745daa8a958035a334a56fa4674"></a><!-- doxytag: member="EKF::_Ry" ref="e17dd745daa8a958035a334a56fa4674" args="" -->
[33]145<a class="el" href="classldmat.html">ldmat</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e17dd745daa8a958035a334a56fa4674">_Ry</a></td></tr>
[28]146
[33]147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8a35bd14afa5a2d9bbd23ad333bec874"></a><!-- doxytag: member="EKF::_iRy" ref="8a35bd14afa5a2d9bbd23ad333bec874" args="" -->
149<a class="el" href="classldmat.html">ldmat</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#8a35bd14afa5a2d9bbd23ad333bec874">_iRy</a></td></tr>
[28]150
[33]151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.iR <br></td></tr>
[32]152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1f669b5b3421a070cc75d77b55ba734"></a><!-- doxytag: member="EKF::_mu" ref="d1f669b5b3421a070cc75d77b55ba734" args="" -->
[33]153vec *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d1f669b5b3421a070cc75d77b55ba734">_mu</a></td></tr>
[28]154
[33]155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
[32]156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b3388218567128a797e69b109138271d"></a><!-- doxytag: member="EKF::_P" ref="b3388218567128a797e69b109138271d" args="" -->
[33]157<a class="el" href="classldmat.html">ldmat</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b3388218567128a797e69b109138271d">_P</a></td></tr>
[32]158
[33]159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="13fec2c93d8a132201e28b70270acf5c"></a><!-- doxytag: member="EKF::_iP" ref="13fec2c93d8a132201e28b70270acf5c" args="" -->
161<a class="el" href="classldmat.html">ldmat</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#13fec2c93d8a132201e28b70270acf5c">_iP</a></td></tr>
[32]162
[33]163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.iR <br></td></tr>
[32]164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="EKF::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
165<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>
166
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
168<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="EKF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
169double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
170
171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="EKF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
173bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
174
175<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 time. <br></td></tr>
[23]176</table>
177<hr><a name="_details"></a><h2>Detailed Description</h2>
178<h3>template&lt;class sq_T&gt;<br>
179 class EKF&lt; sq_T &gt;</h3>
180
181Extended <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.
182<p>
[32]183An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <hr>The documentation for this class was generated from the following file:<ul>
[23]184<li>work/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
[37]185<hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:49 2008 for mixpp by&nbsp;
[23]186<a href="http://www.doxygen.org/index.html">
187<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
188</body>
189</html>
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