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3<title>mixpp: EKFCh Class Reference</title>
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[84]24</div>
[91]25<div class="contents">
[84]26<h1>EKFCh Class Reference</h1><!-- doxytag: class="EKFCh" --><!-- doxytag: inherits="KalmanCh" -->Extended <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter in Square root. 
27<a href="#_details">More...</a>
28<p>
29<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
30<p>
31<div class="dynheader">
32Inheritance diagram for EKFCh:</div>
33<div class="dynsection">
34<p><center><img src="classEKFCh__inherit__graph.png" border="0" usemap="#EKFCh__inherit__map" alt="Inheritance graph"></center>
35<map name="EKFCh__inherit__map">
[91]36<area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="29,404,107,428"><area shape="rect" href="classKalmanCh.html" title="Kalman filter in square root form." alt="" coords="28,250,108,274"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="5,172,131,196"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="59,7,99,31"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="84,84,201,108"></map>
[84]37<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
38<div class="dynheader">
39Collaboration diagram for EKFCh:</div>
40<div class="dynsection">
41<p><center><img src="classEKFCh__coll__graph.png" border="0" usemap="#EKFCh__coll__map" alt="Collaboration graph"></center>
42<map name="EKFCh__coll__map">
[91]43<area shape="rect" href="classKalmanCh.html" title="Kalman filter in square root form." alt="" coords="365,644,445,668"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="259,567,384,591"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="368,215,408,239"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="247,345,364,369"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="369,7,407,31"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="117,111,163,135"><area shape="rect" href="classdiffbifn.html" title="Class representing a differentiable function of two variables ." alt="" coords="489,111,548,135"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="167,345,223,369"><area shape="rect" href="classenorm.html" title="enorm\&lt; chmat \&gt;" alt="" coords="44,448,161,472"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="185,215,241,239"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="41,215,87,239"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="33,345,143,369"><area shape="rect" href="classfnc.html" title="Class representing function  of variable  represented by rv." alt="" coords="513,7,553,31"></map>
[84]44<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
45
46<p>
47<a href="classEKFCh-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
48<tr><td></td></tr>
49<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e9e39a9204db3dda88d06e47c1e19064"></a><!-- doxytag: member="EKFCh::EKFCh" ref="e9e39a9204db3dda88d06e47c1e19064" args="(RV rvx, RV rvy, RV rvu)" -->
51&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKFCh.html#e9e39a9204db3dda88d06e47c1e19064">EKFCh</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>
52
53<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
54<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0216bed270df59fe65d0d62d41f8257c"></a><!-- doxytag: member="EKFCh::set_parameters" ref="0216bed270df59fe65d0d62d41f8257c" args="(diffbifn *pfxu, diffbifn *phxu, const chmat Q0, const chmat R0)" -->
55void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKFCh.html#0216bed270df59fe65d0d62d41f8257c">set_parameters</a> (<a class="el" href="classdiffbifn.html">diffbifn</a> *pfxu, <a class="el" href="classdiffbifn.html">diffbifn</a> *phxu, const <a class="el" href="classchmat.html">chmat</a> Q0, const <a class="el" href="classchmat.html">chmat</a> R0)</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="96f6edda324a0b7ef8b4e86cc7af60c1"></a><!-- doxytag: member="EKFCh::bayes" ref="96f6edda324a0b7ef8b4e86cc7af60c1" args="(const vec &amp;dt)" -->
59void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKFCh.html#96f6edda324a0b7ef8b4e86cc7af60c1">bayes</a> (const vec &amp;dt)</td></tr>
60
61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="92fb227287af05c9f0078d523c7c9793"></a><!-- doxytag: member="EKFCh::set_parameters" ref="92fb227287af05c9f0078d523c7c9793" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const chmat &amp;R0, const chmat &amp;Q0)" -->
63void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#92fb227287af05c9f0078d523c7c9793">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classchmat.html">chmat</a> &amp;R0, const <a class="el" href="classchmat.html">chmat</a> &amp;Q0)</td></tr>
64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b261b20f6210d4c85131d33302df0adc"></a><!-- doxytag: member="EKFCh::set_est" ref="b261b20f6210d4c85131d33302df0adc" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
67void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#b261b20f6210d4c85131d33302df0adc">set_est</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
[171]70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67cccaf1c4dcdcd1df110e15ef326bfe"></a><!-- doxytag: member="EKFCh::_epdf" ref="67cccaf1c4dcdcd1df110e15ef326bfe" args="() const " -->
71const <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>
[84]72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="EKFCh::__K" ref="980fcd41c6c548c5da7b8b67c8e6da79" args="()" -->
75mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#980fcd41c6c548c5da7b8b67c8e6da79">__K</a> ()</td></tr>
76
77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac9540f3850b74d89a5fe4db6fc358ce"></a><!-- doxytag: member="EKFCh::_dP" ref="ac9540f3850b74d89a5fe4db6fc358ce" args="()" -->
79vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ac9540f3850b74d89a5fe4db6fc358ce">_dP</a> ()</td></tr>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[171]82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0186270f75189677f390fe088a9947e9"></a><!-- doxytag: member="EKFCh::bayesB" ref="0186270f75189677f390fe088a9947e9" args="(const mat &amp;Dt)" -->
83virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#0186270f75189677f390fe088a9947e9">bayesB</a> (const mat &amp;Dt)</td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
86<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>
87
[180]88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd0660f2a1a344b56ac39802708ff165"></a><!-- doxytag: member="EKFCh::logpred_m" ref="cd0660f2a1a344b56ac39802708ff165" args="(const mat &amp;dt) const " -->
89vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#cd0660f2a1a344b56ac39802708ff165">logpred_m</a> (const mat &amp;dt) const </td></tr>
90
91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a627c5a79cc6f5221b7e09675525e032"></a><!-- doxytag: member="EKFCh::predictor" ref="a627c5a79cc6f5221b7e09675525e032" args="(const RV &amp;rv)" -->
93virtual <a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#a627c5a79cc6f5221b7e09675525e032">predictor</a> (const <a class="el" href="classRV.html">RV</a> &amp;<a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a>)</td></tr>
94
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
[84]96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="EKFCh::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
97const <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>
98
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="EKFCh::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
101double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
102
103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[171]104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1ffa9f23669aabecc3760c06c6987522"></a><!-- doxytag: member="EKFCh::set_evalll" ref="1ffa9f23669aabecc3760c06c6987522" args="(bool evl0)" -->
105void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#1ffa9f23669aabecc3760c06c6987522">set_evalll</a> (bool evl0)</td></tr>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
108<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>
109
[84]110<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94ee9da75b0e0f632e4a354988ca3798"></a><!-- doxytag: member="EKFCh::preA" ref="94ee9da75b0e0f632e4a354988ca3798" args="" -->
112mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#94ee9da75b0e0f632e4a354988ca3798">preA</a></td></tr>
113
114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d31a26dc72b5846cfe5af3ccb63ac87"></a><!-- doxytag: member="EKFCh::postA" ref="0d31a26dc72b5846cfe5af3ccb63ac87" args="" -->
116mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#0d31a26dc72b5846cfe5af3ccb63ac87">postA</a></td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="EKFCh::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
120<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>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="EKFCh::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
124<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>
125
126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="EKFCh::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
128int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
129
130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="EKFCh::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
132int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
133
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="EKFCh::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
136int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
137
138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="EKFCh::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
140mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
141
142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="EKFCh::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
144mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="EKFCh::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
148mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
149
150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="EKFCh::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
152mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
153
154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="EKFCh::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
156<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr>
157
158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="EKFCh::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
160<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr>
161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="EKFCh::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
164<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5568c74bac67ae6d3b1061dba60c9424">est</a></td></tr>
165
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="EKFCh::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
168<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e580ab06483952bd03f2e651763e184f">fy</a></td></tr>
169
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="EKFCh::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
172mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
173
174<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>
175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="EKFCh::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
176vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
177
178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="EKFCh::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
180<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr>
181
182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="EKFCh::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
184vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
185
186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="EKFCh::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
188<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr>
189
190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="EKFCh::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
192<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>
193
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="EKFCh::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
196double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
197
198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="EKFCh::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
200bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
201
[171]202<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>
[84]203</table>
204<hr><a name="_details"></a><h2>Detailed Description</h2>
205Extended <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter in Square root.
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="EKFCh::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
[181]228<p>Referenced by <a class="el" href="libBM_8h-source.html#l00344">BM::logpred_m()</a>.</p>
[180]229
[171]230</div>
231</div><p>
232<a class="anchor" name="eb58c81d6a7b75b05fc6f276eed78887"></a><!-- doxytag: member="EKFCh::_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; }
[180]250<p>Reimplemented in <a class="el" href="classARX.html#5de61fbd4f97fa3216760b1f733f5af0">ARX</a>.</p>
[171]251
[180]252<p>Referenced by <a class="el" href="mixef_8cpp-source.html#l00007">MixEF::init()</a>.</p>
[171]253
254</div>
255</div><p>
256<hr>The documentation for this class was generated from the following files:<ul>
[145]257<li>work/git/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a><li>work/git/mixpp/bdm/estim/libKF.cpp</ul>
[91]258</div>
[181]259<hr size="1"><address style="text-align: right;"><small>Generated on Wed Oct 15 15:57:13 2008 for mixpp by&nbsp;
[84]260<a href="http://www.doxygen.org/index.html">
[139]261<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
[84]262</body>
263</html>
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