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3<title>mixpp: EKF_unQ Class Reference</title>
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[255]29<h1>EKF_unQ Class Reference</h1><!-- doxytag: class="EKF_unQ" --><!-- doxytag: inherits="bdm::EKFCh,bdm::BMcond,bdm::EKFCh,bdm::BMcond,bdm::EKFCh,bdm::BMcond" -->Extended Kalman filter with unknown <code>Q</code>. 
[33]30<a href="#_details">More...</a>
31<p>
32<div class="dynheader">
33Inheritance diagram for EKF_unQ:</div>
34<div class="dynsection">
35<p><center><img src="classEKF__unQ__inherit__graph.png" border="0" usemap="#EKF__unQ__inherit__map" alt="Inheritance graph"></center>
36<map name="EKF__unQ__inherit__map">
[261]37<area shape="rect" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="44,423,143,449"><area shape="rect" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form." alt="" coords="32,343,155,369"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="5,263,181,289"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="63,87,140,113"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="19,167,184,193"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="127,7,239,33"><area shape="rect" href="classbdm_1_1BMcond.html" title="Conditional Bayesian Filter." alt="" coords="167,423,276,449"></map>
[33]38<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
39<div class="dynheader">
40Collaboration diagram for EKF_unQ:</div>
41<div class="dynsection">
42<p><center><img src="classEKF__unQ__coll__graph.png" border="0" usemap="#EKF__unQ__coll__map" alt="Collaboration graph"></center>
43<map name="EKF__unQ__coll__map">
[261]44<area shape="rect" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="464,871,563,897"><area shape="rect" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form." alt="" coords="440,791,563,817"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="375,711,551,737"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="512,201,589,228"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="405,351,571,377"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="337,7,449,33"><area shape="rect" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables." alt="" coords="356,87,431,113"><area shape="rect" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="179,201,264,228"><area shape="rect" href="classbdm_1_1fnc.html" title="Class representing function &#160;of variable &#160;represented by rv." alt="" coords="20,87,97,113"><area shape="rect" href="classbdm_1_1BMcond.html" title="Conditional Bayesian Filter." alt="" coords="587,871,696,897"><area shape="rect" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables ." alt="" coords="5,201,104,228"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="395,463,456,489"><area shape="rect" href="classbdm_1_1enorm.html" title="bdm::enorm\&lt; chmat \&gt;" alt="" coords="212,579,383,605"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="320,351,381,377"><area shape="rect" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density." alt="" coords="160,351,240,377"><area shape="rect" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="211,463,371,489"></map>
[33]45<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
46
47<p>
48<a href="classEKF__unQ-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>
51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="159eaaa5a05c5ceecdaa20956a307244"></a><!-- doxytag: member="EKF_unQ::EKF_unQ" ref="159eaaa5a05c5ceecdaa20956a307244" args="(RV rx, RV ry, RV ru, RV rQ)" -->
[255]52&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF__unQ.html#159eaaa5a05c5ceecdaa20956a307244">EKF_unQ</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rx, <a class="el" href="classbdm_1_1RV.html">RV</a> ry, <a class="el" href="classbdm_1_1RV.html">RV</a> ru, <a class="el" href="classbdm_1_1RV.html">RV</a> rQ)</td></tr>
[33]53
54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd06a8c662da244cf61bb5bd39688c99"></a><!-- doxytag: member="EKF_unQ::condition" ref="cd06a8c662da244cf61bb5bd39688c99" args="(const vec &amp;Q0)" -->
56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF__unQ.html#cd06a8c662da244cf61bb5bd39688c99">condition</a> (const vec &amp;Q0)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
[79]59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="159eaaa5a05c5ceecdaa20956a307244"></a><!-- doxytag: member="EKF_unQ::EKF_unQ" ref="159eaaa5a05c5ceecdaa20956a307244" args="(RV rx, RV ry, RV ru, RV rQ)" -->
[255]60&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF__unQ.html#159eaaa5a05c5ceecdaa20956a307244">EKF_unQ</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rx, <a class="el" href="classbdm_1_1RV.html">RV</a> ry, <a class="el" href="classbdm_1_1RV.html">RV</a> ru, <a class="el" href="classbdm_1_1RV.html">RV</a> rQ)</td></tr>
[33]61
[79]62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd06a8c662da244cf61bb5bd39688c99"></a><!-- doxytag: member="EKF_unQ::condition" ref="cd06a8c662da244cf61bb5bd39688c99" args="(const vec &amp;Q0)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF__unQ.html#cd06a8c662da244cf61bb5bd39688c99">condition</a> (const vec &amp;Q0)</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44b49058c8eb27c7910ae31a1dfd3d21"></a><!-- doxytag: member="EKF_unQ::bayes" ref="44b49058c8eb27c7910ae31a1dfd3d21" args="(const vec dt)" -->
68void&nbsp;</td><td class="memItemRight" valign="bottom"><b>bayes</b> (const vec dt)</td></tr>
69
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="159eaaa5a05c5ceecdaa20956a307244"></a><!-- doxytag: member="EKF_unQ::EKF_unQ" ref="159eaaa5a05c5ceecdaa20956a307244" args="(RV rx, RV ry, RV ru, RV rQ)" -->
[255]71&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF__unQ.html#159eaaa5a05c5ceecdaa20956a307244">EKF_unQ</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rx, <a class="el" href="classbdm_1_1RV.html">RV</a> ry, <a class="el" href="classbdm_1_1RV.html">RV</a> ru, <a class="el" href="classbdm_1_1RV.html">RV</a> rQ)</td></tr>
[79]72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd06a8c662da244cf61bb5bd39688c99"></a><!-- doxytag: member="EKF_unQ::condition" ref="cd06a8c662da244cf61bb5bd39688c99" args="(const vec &amp;Q0)" -->
75void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classEKF__unQ.html#cd06a8c662da244cf61bb5bd39688c99">condition</a> (const vec &amp;Q0)</td></tr>
76
77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
[255]78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50f9fbffad721f35e5ccb75d0f6b842a"></a><!-- doxytag: member="EKF_unQ::set_parameters" ref="50f9fbffad721f35e5ccb75d0f6b842a" args="(diffbifn *pfxu, diffbifn *phxu, const chmat Q0, const chmat R0)" -->
79void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#50f9fbffad721f35e5ccb75d0f6b842a">set_parameters</a> (diffbifn *<a class="el" href="classbdm_1_1EKFCh.html#e1e895f994398a55bc425551fc275ba3">pfxu</a>, diffbifn *<a class="el" href="classbdm_1_1EKFCh.html#6b34c69641826322467b704e8252f317">phxu</a>, const <a class="el" href="classchmat.html">chmat</a> Q0, const <a class="el" href="classchmat.html">chmat</a> R0)</td></tr>
[79]80
[33]81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
[255]82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab3a87ba1831e53f193a9dfbaf56a879"></a><!-- doxytag: member="EKF_unQ::set_parameters" ref="ab3a87ba1831e53f193a9dfbaf56a879" 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)" -->
83void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#ab3a87ba1831e53f193a9dfbaf56a879">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>
[33]84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
[255]86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c8609c37290b158f88a31dae4047225"></a><!-- doxytag: member="EKF_unQ::bayes" ref="4c8609c37290b158f88a31dae4047225" args="(const vec &amp;dt)" -->
87void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bayes</a> (const vec &amp;dt)</td></tr>
[33]88
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[255]90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f559387dd38bd6002be490cc62987290"></a><!-- doxytag: member="EKF_unQ::set_est" ref="f559387dd38bd6002be490cc62987290" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
91void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#f559387dd38bd6002be490cc62987290">set_est</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr>
[33]92
93<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
[255]94<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="EKF_unQ::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " -->
95const epdf &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#93b5936ba397f13c05f52885c545f42d">_epdf</a> () const </td></tr>
[33]96
97<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[255]98<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="EKF_unQ::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
99const enorm&lt; <a class="el" href="classchmat.html">chmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c34989b1e53c7d4ecdaea63a95ddbd77">_e</a> () const </td></tr>
[210]100
[255]101<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the epdf representing posterior density on parameters. Use with care! <br></td></tr>
102<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="EKF_unQ::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
103mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
[79]104
105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[255]106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="EKF_unQ::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
107vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
[79]108
109<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[255]110<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="EKF_unQ::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
111virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
[171]112
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
[255]114<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr>
[171]115
[255]116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="EKF_unQ::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
117vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
[180]118
119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[255]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="710e7d69c0d8791fb41a7cd4683cca2c"></a><!-- doxytag: member="EKF_unQ::predictor" ref="710e7d69c0d8791fb41a7cd4683cca2c" args="(const RV &amp;rv) const " -->
121virtual epdf *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#710e7d69c0d8791fb41a7cd4683cca2c">predictor</a> (const RV &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>) const </td></tr>
[180]122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
[255]124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40a3c891996391e3135518053a917793"></a><!-- doxytag: member="EKF_unQ::_rv" ref="40a3c891996391e3135518053a917793" args="() const " -->
125const RV &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793">_rv</a> () const </td></tr>
[33]126
127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[255]128<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="EKF_unQ::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
129double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr>
[33]130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[255]132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="EKF_unQ::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
133void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr>
[171]134
135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[255]136<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual BM *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_</a> (bool changerv=false)</td></tr>
[171]137
[255]138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7506910f93250b44fea505ec4ffb19dc"></a><!-- doxytag: member="EKF_unQ::_rvc" ref="7506910f93250b44fea505ec4ffb19dc" args="() const " -->
139const RV &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMcond.html#7506910f93250b44fea505ec4ffb19dc">_rvc</a> () const </td></tr>
[33]140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
142<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
[255]143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1e895f994398a55bc425551fc275ba3"></a><!-- doxytag: member="EKF_unQ::pfxu" ref="e1e895f994398a55bc425551fc275ba3" args="" -->
144diffbifn *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#e1e895f994398a55bc425551fc275ba3">pfxu</a></td></tr>
[224]145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Internal Model f(x,u). <br></td></tr>
[255]147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6b34c69641826322467b704e8252f317"></a><!-- doxytag: member="EKF_unQ::phxu" ref="6b34c69641826322467b704e8252f317" args="" -->
148diffbifn *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#6b34c69641826322467b704e8252f317">phxu</a></td></tr>
[224]149
150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation Model h(x,u). <br></td></tr>
[255]151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="EKF_unQ::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
152mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
[79]153
154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
[255]155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="EKF_unQ::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
156mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
[79]157
158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
[255]159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="EKF_unQ::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
160RV&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr>
[33]161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
[255]163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="EKF_unQ::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
164RV&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a></td></tr>
[33]165
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
[255]167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="EKF_unQ::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
168int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
[33]169
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[255]171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="EKF_unQ::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
172int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
[33]173
174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[255]175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="EKF_unQ::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
176int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
[33]177
178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[255]179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="EKF_unQ::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
180mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
[33]181
182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[255]183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="EKF_unQ::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
184mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
[33]185
186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[255]187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="EKF_unQ::C" ref="818eba63a23972786a4579ad30294177" args="" -->
188mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
[33]189
190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[255]191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="EKF_unQ::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
192mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
[33]193
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
[255]195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="EKF_unQ::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
196<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr>
[33]197
198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[255]199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="EKF_unQ::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
200<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr>
[33]201
202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[255]203<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="EKF_unQ::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
204enorm&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr>
[33]205
206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
[255]207<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="EKF_unQ::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
208enorm&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
[33]209
210<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
[255]211<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="EKF_unQ::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
212mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
[33]213
[255]214<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
215<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="EKF_unQ::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
216vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
[33]217
218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
[255]219<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="EKF_unQ::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
220<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr>
[33]221
222<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
[255]223<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="EKF_unQ::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
224vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
[33]225
226<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
[255]227<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="EKF_unQ::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
228<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr>
[33]229
230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
[255]231<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18d6db4af8ee42077741d9e3618153ca"></a><!-- doxytag: member="EKF_unQ::rv" ref="18d6db4af8ee42077741d9e3618153ca" args="" -->
232RV&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a></td></tr>
[33]233
234<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
[255]235<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="EKF_unQ::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
236double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
[33]237
238<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
[255]239<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="EKF_unQ::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
240bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
[33]241
[171]242<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>
[255]243<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9a12750776d977408aada06a70093297"></a><!-- doxytag: member="EKF_unQ::rvc" ref="9a12750776d977408aada06a70093297" args="" -->
244RV&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMcond.html#9a12750776d977408aada06a70093297">rvc</a></td></tr>
[33]245
246<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Identificator of the conditioning variable. <br></td></tr>
247</table>
248<hr><a name="_details"></a><h2>Detailed Description</h2>
[255]249Extended Kalman filter with unknown <code>Q</code>. <hr><h2>Member Function Documentation</h2>
250<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="EKF_unQ::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
[171]251<div class="memitem">
252<div class="memproto">
253      <table class="memname">
254        <tr>
[255]255          <td class="memname">virtual double bdm::BM::logpred           </td>
[171]256          <td>(</td>
257          <td class="paramtype">const vec &amp;&nbsp;</td>
258          <td class="paramname"> <em>dt</em>          </td>
259          <td>&nbsp;)&nbsp;</td>
260          <td> const<code> [inline, virtual, inherited]</code></td>
261        </tr>
262      </table>
263</div>
264<div class="memdoc">
265
266<p>
267Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
[255]268<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p>
[171]269
[261]270<p>Referenced by <a class="el" href="libBM_8h-source.html#l00475">bdm::BM::logpred_m()</a>.</p>
[180]271
[171]272</div>
273</div><p>
[255]274<a class="anchor" name="3efb3098172f1f67564a312fe732473e"></a><!-- doxytag: member="EKF_unQ::_copy_" ref="3efb3098172f1f67564a312fe732473e" args="(bool changerv=false)" -->
[171]275<div class="memitem">
276<div class="memproto">
277      <table class="memname">
278        <tr>
[255]279          <td class="memname">virtual BM* bdm::BM::_copy_           </td>
[171]280          <td>(</td>
281          <td class="paramtype">bool&nbsp;</td>
282          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
283          <td>&nbsp;)&nbsp;</td>
284          <td><code> [inline, virtual, inherited]</code></td>
285        </tr>
286      </table>
287</div>
288<div class="memdoc">
289
290<p>
[255]291Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.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="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_()</a>{<a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }
292<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb">bdm::ARX</a>, and <a class="el" href="classbdm_1_1BMEF.html#5912dbcf28ae711e30b08c2fa766a3e6">bdm::BMEF</a>.</p>
[171]293
294</div>
295</div><p>
296<hr>The documentation for this class was generated from the following files:<ul>
[261]297<li>pmsm_sim.cpp<li>pmsm_sim2.cpp<li><a class="el" href="pmsm__unkQpf_8cpp.html">pmsm_unkQpf.cpp</a></ul>
[91]298</div>
[261]299<hr size="1"><address style="text-align: right;"><small>Generated on Fri Feb 6 12:16:58 2009 for mixpp by&nbsp;
[33]300<a href="http://www.doxygen.org/index.html">
[139]301<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
[33]302</body>
303</html>
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