|
Public Member Functions |
|
| EKF_unQ (RV rx, RV ry, RV ru, RV rQ) |
| | Default constructor.
|
|
void | condition (const vec &Q0) |
| | Substitute val for rvc.
|
|
void | set_parameters (diffbifn *pfxu, diffbifn *phxu, const ldmatQ0, const ldmatR0) |
| | Set nonlinear functions for mean values and covariance matrices.
|
|
void | set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const ldmat &R0, const ldmat &Q0) |
| | Set parameters with check of relevance.
|
|
void | bayes (const vec &dt) |
| | Here dt = [yt;ut] of appropriate dimensions.
|
|
void | bayes (mat Dt) |
| | Batch Bayes rule (columns of Dt are observations).
|
|
void | set_est (const vec &mu0, const ldmat &P0) |
| | Set estimate values, used e.g. in initialization.
|
|
epdf & | _epdf () |
| | access function
|
|
const RV & | _rv () const |
| | access function
|
|
double | _ll () const |
| | access function
|
|
const RV & | _rvc () const |
| | access function
|
Protected Attributes |
|
RV | rvy |
| | Indetifier of output rv.
|
|
RV | rvu |
| | Indetifier of exogeneous rv.
|
|
int | dimx |
| | cache of rv.count()
|
|
int | dimy |
| | cache of rvy.count()
|
|
int | dimu |
| | cache of rvu.count()
|
|
mat | A |
| | Matrix A.
|
|
mat | B |
| | Matrix B.
|
|
mat | C |
| | Matrix C.
|
|
mat | D |
| | Matrix D.
|
|
ldmat | Q |
| | Matrix Q in square-root form.
|
|
ldmat | R |
| | Matrix R in square-root form.
|
|
enorm< ldmat > | est |
| | posterior density on $x_t$
|
|
enorm< ldmat > | fy |
| | preditive density on $y_t$
|
|
mat | _K |
| | placeholder for Kalman gain
|
|
vec * | _yp |
| | cache of fy.mu
|
|
ldmat * | _Ry |
| | cache of fy.R
|
|
ldmat * | _iRy |
| | cache of fy.iR
|
|
vec * | _mu |
| | cache of est.mu
|
|
ldmat * | _P |
| | cache of est.R
|
|
ldmat * | _iP |
| | cache of est.iR
|
|
RV | rv |
| | Random variable of the posterior.
|
|
double | ll |
| | Logarithm of marginalized data likelihood.
|
|
bool | evalll |
| | If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save time.
|
|
RV | rvc |
| | Identificator of the conditioning variable.
|
1.5.3