KFcondQR Class Reference
Kalman Filter with conditional diagonal matrices R and Q. More...
#include <libKF.h>
Inheritance diagram for KFcondQR:
Collaboration diagram for KFcondQR:
Public Member Functions | |
| KFcondQR (RV rvx, RV rvy, RV rvu, RV rvRQ) | |
| Default constructor. | |
| void | condition (const vec &RQ) |
Substitute val for rvc. | |
| 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 | set_est (const vec &mu0, const ldmat &P0) |
| Set estimate values, used e.g. in initialization. | |
| void | bayes (const vec &dt) |
| Here dt = [yt;ut] of appropriate dimensions. | |
| void | bayes (mat Dt) |
| Batch Bayes rule (columns of Dt are observations). | |
| epdf & | _epdf () |
| access function | |
| mat & | __K () |
| access function | |
| vec | _dP () |
| 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 | |
| vec & | _mu |
| cache of est.mu | |
| ldmat & | _P |
| cache of est.R | |
| 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. | |
Detailed Description
Kalman Filter with conditional diagonal matrices R and Q.The documentation for this class was generated from the following files:
- work/mixpp/bdm/estim/libKF.h
- work/mixpp/bdm/estim/libKF.cpp
