root/doc/html/classKFcondQR.html @ 180

Revision 180, 26.8 kB (checked in by smidl, 16 years ago)

Modifications of BDM to reflect changes in basics

RevLine 
[32]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: KFcondQR Class Reference</title>
4<link href="doxygen.css" rel="stylesheet" type="text/css">
5<link href="tabs.css" rel="stylesheet" type="text/css">
6</head><body>
[139]7<!-- Generated by Doxygen 1.5.6 -->
[91]8<div class="navigation" id="top">
9  <div class="tabs">
10    <ul>
11      <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
12      <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
13      <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
14      <li><a href="files.html"><span>Files</span></a></li>
15    </ul>
16  </div>
17  <div class="tabs">
18    <ul>
19      <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
20      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
21      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
22    </ul>
23  </div>
[32]24</div>
[91]25<div class="contents">
[32]26<h1>KFcondQR Class Reference</h1><!-- doxytag: class="KFcondQR" --><!-- doxytag: inherits="Kalman&lt; ldmat &gt;,BMcond" --><a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter with conditional diagonal matrices R and Q. 
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 KFcondQR:</div>
33<div class="dynsection">
34<p><center><img src="classKFcondQR__inherit__graph.png" border="0" usemap="#KFcondQR__inherit__map" alt="Inheritance graph"></center>
35<map name="KFcondQR__inherit__map">
[91]36<area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="5,172,125,196"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="56,7,96,31"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="81,84,199,108"><area shape="rect" href="classBMcond.html" title="Conditional Bayesian Filter." alt="" coords="149,172,219,196"></map>
[32]37<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
38<div class="dynheader">
39Collaboration diagram for KFcondQR:</div>
40<div class="dynsection">
41<p><center><img src="classKFcondQR__coll__graph.png" border="0" usemap="#KFcondQR__coll__map" alt="Collaboration graph"></center>
42<map name="KFcondQR__coll__map">
[91]43<area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="296,551,416,575"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="395,199,435,223"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="272,330,389,354"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="396,7,433,31"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="243,95,288,119"><area shape="rect" href="classBMcond.html" title="Conditional Bayesian Filter." alt="" coords="497,147,567,171"><area shape="rect" href="classldmat.html" title="Matrix stored in LD form, (typically known as UD)." alt="" coords="7,330,60,354"><area shape="rect" href="classenorm.html" title="enorm\&lt; ldmat \&gt;" alt="" coords="107,432,219,456"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="5,199,61,223"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="171,199,216,223"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="139,330,248,354"></map>
[32]44<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
45
46<p>
47<a href="classKFcondQR-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>
[33]50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3f3968f92c7bbe4b0902d5e14ecc1cb4"></a><!-- doxytag: member="KFcondQR::KFcondQR" ref="3f3968f92c7bbe4b0902d5e14ecc1cb4" args="(RV rvx, RV rvy, RV rvu, RV rvRQ)" -->
51&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKFcondQR.html#3f3968f92c7bbe4b0902d5e14ecc1cb4">KFcondQR</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>, <a class="el" href="classRV.html">RV</a> rvRQ)</td></tr>
[32]52
[33]53<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
[32]54<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c9ecf292a85327aa6309c9fd70ceb606"></a><!-- doxytag: member="KFcondQR::condition" ref="c9ecf292a85327aa6309c9fd70ceb606" args="(const vec &amp;RQ)" -->
55void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKFcondQR.html#c9ecf292a85327aa6309c9fd70ceb606">condition</a> (const vec &amp;RQ)</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="239b28a0380946f5749b2f8d2807f93a"></a><!-- doxytag: member="KFcondQR::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]59void&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>
[32]60
61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="80bcf29466d9a9dd2b8f74699807d0c0"></a><!-- doxytag: member="KFcondQR::set_est" ref="80bcf29466d9a9dd2b8f74699807d0c0" args="(const vec &amp;mu0, const ldmat &amp;P0)" -->
[33]63void&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]64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7750ffd73f261828a32c18aaeb65c75c"></a><!-- doxytag: member="KFcondQR::bayes" ref="7750ffd73f261828a32c18aaeb65c75c" args="(const vec &amp;dt)" -->
67void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#7750ffd73f261828a32c18aaeb65c75c">bayes</a> (const vec &amp;dt)</td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[171]70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67cccaf1c4dcdcd1df110e15ef326bfe"></a><!-- doxytag: member="KFcondQR::_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>
[32]72
[33]73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[79]74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="KFcondQR::__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="KFcondQR::_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="KFcondQR::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="KFcondQR::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="KFcondQR::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>
[33]96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="KFcondQR::_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="KFcondQR::_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="KFcondQR::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
[33]110<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fa60348b2da6b4208bb95b8d146900a"></a><!-- doxytag: member="KFcondQR::_rvc" ref="3fa60348b2da6b4208bb95b8d146900a" args="() const " -->
111const <a class="el" href="classRV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBMcond.html#3fa60348b2da6b4208bb95b8d146900a">_rvc</a> () const </td></tr>
112
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[32]114<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="KFcondQR::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
[33]116<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>
[32]117
[33]118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
[32]119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="KFcondQR::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
[33]120<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>
[32]121
[33]122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
[32]123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="KFcondQR::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
[33]124int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
[32]125
[33]126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[32]127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="KFcondQR::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
[33]128int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
[32]129
[33]130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[32]131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="KFcondQR::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
[33]132int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
[32]133
[33]134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[32]135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="KFcondQR::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
[33]136mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
[32]137
[33]138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[32]139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="KFcondQR::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
[33]140mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
[32]141
[33]142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[32]143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="KFcondQR::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
[33]144mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
[32]145
[33]146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[32]147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="KFcondQR::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
[33]148mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
[32]149
[33]150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="KFcondQR::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
152<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>
153
154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[32]155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="KFcondQR::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
[33]156<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>
[32]157
[33]158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[32]159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="KFcondQR::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
[33]160<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]161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="KFcondQR::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
[33]164<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]165
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="KFcondQR::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
[33]168mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
[32]169
[33]170<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]171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="KFcondQR::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
172vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
[32]173
[33]174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
[79]175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="KFcondQR::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
176<a class="el" href="classldmat.html">ldmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr>
[32]177
[33]178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
[79]179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="KFcondQR::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
180vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
[32]181
[33]182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
[79]183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="KFcondQR::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
184<a class="el" href="classldmat.html">ldmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr>
[32]185
[33]186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
[32]187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="KFcondQR::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
188<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>
189
190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="KFcondQR::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
192double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
193
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="KFcondQR::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
196bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
197
[171]198<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>
[32]199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9ba793c8ec453f04d372d17195ed8dec"></a><!-- doxytag: member="KFcondQR::rvc" ref="9ba793c8ec453f04d372d17195ed8dec" args="" -->
[33]200<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBMcond.html#9ba793c8ec453f04d372d17195ed8dec">rvc</a></td></tr>
[32]201
[33]202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Identificator of the conditioning variable. <br></td></tr>
[32]203</table>
204<hr><a name="_details"></a><h2>Detailed Description</h2>
[171]205<a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter with conditional diagonal matrices R and Q. <hr><h2>Member Function Documentation</h2>
206<a class="anchor" name="8a8ce6df431689964c41cc6c849cfd06"></a><!-- doxytag: member="KFcondQR::logpred" ref="8a8ce6df431689964c41cc6c849cfd06" args="(const vec &amp;dt) const " -->
207<div class="memitem">
208<div class="memproto">
209      <table class="memname">
210        <tr>
211          <td class="memname">virtual double BM::logpred           </td>
212          <td>(</td>
213          <td class="paramtype">const vec &amp;&nbsp;</td>
214          <td class="paramname"> <em>dt</em>          </td>
215          <td>&nbsp;)&nbsp;</td>
216          <td> const<code> [inline, virtual, inherited]</code></td>
217        </tr>
218      </table>
219</div>
220<div class="memdoc">
221
222<p>
223Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
224<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>
225
[180]226<p>Referenced by <a class="el" href="libBM_8h-source.html#l00329">BM::logpred_m()</a>.</p>
227
[171]228</div>
229</div><p>
230<a class="anchor" name="eb58c81d6a7b75b05fc6f276eed78887"></a><!-- doxytag: member="KFcondQR::_copy_" ref="eb58c81d6a7b75b05fc6f276eed78887" args="(bool changerv=false)" -->
231<div class="memitem">
232<div class="memproto">
233      <table class="memname">
234        <tr>
235          <td class="memname">virtual <a class="el" href="classBM.html">BM</a>* BM::_copy_           </td>
236          <td>(</td>
237          <td class="paramtype">bool&nbsp;</td>
238          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
239          <td>&nbsp;)&nbsp;</td>
240          <td><code> [inline, virtual, inherited]</code></td>
241        </tr>
242      </table>
243</div>
244<div class="memdoc">
245
246<p>
247Copy 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]248<p>Reimplemented in <a class="el" href="classARX.html#5de61fbd4f97fa3216760b1f733f5af0">ARX</a>.</p>
[171]249
[180]250<p>Referenced by <a class="el" href="mixef_8cpp-source.html#l00007">MixEF::init()</a>.</p>
[171]251
252</div>
253</div><p>
254<hr>The documentation for this class was generated from the following files:<ul>
[145]255<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]256</div>
[180]257<hr size="1"><address style="text-align: right;"><small>Generated on Thu Oct 9 21:26:40 2008 for mixpp by&nbsp;
[32]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>
[32]260</body>
261</html>
Note: See TracBrowser for help on using the browser.