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3<title>mixpp: Kalman&lt; sq_T &gt; Class Template Reference</title>
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[8]24</div>
[91]25<div class="contents">
[22]26<h1>Kalman&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="Kalman" --><!-- doxytag: inherits="BM" --><a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with covariance matrices in square root form. 
[8]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 Kalman&lt; sq_T &gt;:</div>
33<div class="dynsection">
[19]34<p><center><img src="classKalman__inherit__graph.png" border="0" usemap="#Kalman_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
35<map name="Kalman_3_01sq__T_01_4__inherit__map">
[91]36<area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="69,172,189,196"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="213,172,339,196"><area shape="rect" href="classKalman.html" title="Kalman\&lt; fsqmat \&gt;" alt="" coords="363,172,491,196"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="256,7,296,31"><area shape="rect" href="classKFcondQR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="5,250,91,274"><area shape="rect" href="classKFcondR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="115,250,189,274"><area shape="rect" href="classKalmanCh.html" title="Kalman filter in square root form." alt="" coords="236,250,316,274"><area shape="rect" href="classEKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="244,327,308,351"><area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="237,404,315,428"><area shape="rect" href="classEKF.html" title="Extended Kalman Filter." alt="" coords="377,250,476,274"></map>
[19]37<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
38<div class="dynheader">
39Collaboration diagram for Kalman&lt; sq_T &gt;:</div>
40<div class="dynsection">
41<p><center><img src="classKalman__coll__graph.png" border="0" usemap="#Kalman_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center>
42<map name="Kalman_3_01sq__T_01_4__coll__map">
[91]43<area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="44,96,84,120"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="9,7,47,31"></map>
[19]44<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
[8]45
46<p>
47<a href="classKalman-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>
[32]50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3d56b0a97b8c1e25fdd3b10eef3c2ad3"></a><!-- doxytag: member="Kalman::Kalman" ref="3d56b0a97b8c1e25fdd3b10eef3c2ad3" args="(RV rvx0, RV rvy0, RV rvu0)" -->
51&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#3d56b0a97b8c1e25fdd3b10eef3c2ad3">Kalman</a> (<a class="el" href="classRV.html">RV</a> rvx0, <a class="el" href="classRV.html">RV</a> rvy0, <a class="el" href="classRV.html">RV</a> rvu0)</td></tr>
[22]52
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="ce38e31810aea4db45a83ad05eaba009"></a><!-- doxytag: member="Kalman::Kalman" ref="ce38e31810aea4db45a83ad05eaba009" args="(const Kalman&lt; sq_T &gt; &amp;K0)" -->
55&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ce38e31810aea4db45a83ad05eaba009">Kalman</a> (const <a class="el" href="classKalman.html">Kalman</a>&lt; sq_T &gt; &amp;K0)</td></tr>
[8]56
[32]57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="239b28a0380946f5749b2f8d2807f93a"></a><!-- doxytag: member="Kalman::set_parameters" ref="239b28a0380946f5749b2f8d2807f93a" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;R0, const sq_T &amp;Q0)" -->
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 sq_T &amp;R0, const sq_T &amp;Q0)</td></tr>
[8]60
[32]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="Kalman::set_est" ref="80bcf29466d9a9dd2b8f74699807d0c0" args="(const vec &amp;mu0, const sq_T &amp;P0)" -->
63void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#80bcf29466d9a9dd2b8f74699807d0c0">set_est</a> (const vec &amp;mu0, const sq_T &amp;P0)</td></tr>
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="Kalman::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
[8]69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[32]70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a213c57aef55b2645e550bed81cfc0d4"></a><!-- doxytag: member="Kalman::_epdf" ref="a213c57aef55b2645e550bed81cfc0d4" args="()" -->
71<a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#a213c57aef55b2645e550bed81cfc0d4">_epdf</a> ()</td></tr>
[28]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="Kalman::__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="Kalman::_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>
[28]82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="Kalman::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
83void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat 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>
[33]86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="Kalman::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
87const <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>
88
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="Kalman::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
91double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
92
93<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[32]94<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="Kalman::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
[33]96<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>
[28]97
[33]98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
[32]99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="Kalman::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
[33]100<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>
[8]101
[33]102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
[22]103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="Kalman::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
[33]104int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
[22]105
[33]106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[22]107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="Kalman::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
[33]108int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
[22]109
[33]110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[22]111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="Kalman::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
[33]112int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
[22]113
[33]114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[22]115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="Kalman::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
[33]116mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
[22]117
[33]118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[22]119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="Kalman::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
[33]120mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
[22]121
[33]122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[22]123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="Kalman::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
[33]124mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
[22]125
[33]126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[22]127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="Kalman::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
[33]128mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
[22]129
[33]130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="Kalman::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
132sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr>
133
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[22]135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="Kalman::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
[33]136sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr>
[22]137
[33]138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[32]139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="Kalman::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
140<a class="el" href="classenorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5568c74bac67ae6d3b1061dba60c9424">est</a></td></tr>
141
142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="Kalman::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
144<a class="el" href="classenorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e580ab06483952bd03f2e651763e184f">fy</a></td></tr>
145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
[22]147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="Kalman::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
[33]148mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
[22]149
[33]150<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]151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="Kalman::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
152vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
[22]153
[33]154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
[79]155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="Kalman::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
156sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr>
[22]157
[33]158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
[79]159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="Kalman::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
160vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
[22]161
[33]162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
[79]163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="Kalman::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
164sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr>
[32]165
[33]166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
[32]167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="Kalman::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
168<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>
169
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="Kalman::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
172double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
173
174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="Kalman::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
176bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
177
178<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 time. <br></td></tr>
[8]179</table>
180<hr><a name="_details"></a><h2>Detailed Description</h2>
181<h3>template&lt;class sq_T&gt;<br>
182 class Kalman&lt; sq_T &gt;</h3>
183
[33]184<a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with covariance matrices in square root form.
185<p>
186Parameter evolution model:<p class="formulaDsp">
187<img class="formulaDsp" alt="\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]" src="form_6.png">
188<p>
189 Observation model: <p class="formulaDsp">
190<img class="formulaDsp" alt="\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]" src="form_7.png">
191<p>
192 Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances. <hr>The documentation for this class was generated from the following file:<ul>
[145]193<li>work/git/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
[91]194</div>
[145]195<hr size="1"><address style="text-align: right;"><small>Generated on Sat Aug 16 17:22:09 2008 for mixpp by&nbsp;
[8]196<a href="http://www.doxygen.org/index.html">
[139]197<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
[8]198</body>
199</html>
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