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[8]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: Kalman&lt; sq_T &gt; Class Template Reference</title>
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7<!-- Generated by Doxygen 1.5.3 -->
8<div class="tabs">
9  <ul>
10    <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
11    <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
12    <li><a href="files.html"><span>Files</span></a></li>
[28]13    <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
[8]14  </ul>
15</div>
16<div class="tabs">
17  <ul>
18    <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
19    <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
20    <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
21  </ul>
22</div>
[22]23<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]24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for Kalman&lt; sq_T &gt;:</div>
30<div class="dynsection">
[19]31<p><center><img src="classKalman__inherit__graph.png" border="0" usemap="#Kalman_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
32<map name="Kalman_3_01sq__T_01_4__inherit__map">
[79]33<area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="60,183,196,209"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="259,111,267,119"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="145,179,153,187"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="220,183,361,209"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="287,111,295,119"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="287,179,295,187"><area shape="rect" href="classKalman.html" title="Kalman\&lt; fsqmat \&gt;" alt="" coords="385,183,532,209"><area shape="rect" title="\&lt; fsqmat \&gt;" alt="" coords="316,111,324,119"><area shape="rect" title="\&lt; fsqmat \&gt;" alt="" coords="435,179,443,187"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="269,7,312,33"><area shape="rect" href="classKFcondQR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="5,263,93,289"><area shape="rect" href="classKFcondR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="117,263,195,289"><area shape="rect" href="classKalmanCh.html" title="Kalman filter in square root form." alt="" coords="247,263,335,289"><area shape="rect" href="classEKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="257,343,324,369"><area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="251,423,331,449"><area shape="rect" href="classEKF.html" title="Extended Kalman Filter." alt="" coords="407,263,511,289"></map>
[19]34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for Kalman&lt; sq_T &gt;:</div>
37<div class="dynsection">
38<p><center><img src="classKalman__coll__graph.png" border="0" usemap="#Kalman_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center>
39<map name="Kalman_3_01sq__T_01_4__coll__map">
[79]40<area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="48,105,91,132"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="11,7,48,33"><area shape="rect" title="rvu\nrvy" alt="" coords="20,31,28,39"><area shape="rect" title="rvu\nrvy" alt="" coords="57,251,65,259"><area shape="rect" title="rv" alt="" coords="32,31,40,39"><area shape="rect" title="rv" alt="" coords="60,101,68,109"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="128,129,136,137"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="72,251,80,259"></map>
[19]41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
[8]42
43<p>
44<a href="classKalman-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[32]47<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)" -->
48&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]49
50<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
[32]51<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)" -->
52&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]53
[32]54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr>
55<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)" -->
56void&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]57
[32]58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
59<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)" -->
60void&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>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
63<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)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#7750ffd73f261828a32c18aaeb65c75c">bayes</a> (const vec &amp;dt)</td></tr>
65
[8]66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[32]67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a213c57aef55b2645e550bed81cfc0d4"></a><!-- doxytag: member="Kalman::_epdf" ref="a213c57aef55b2645e550bed81cfc0d4" args="()" -->
68<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]69
[33]70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[79]71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="Kalman::__K" ref="980fcd41c6c548c5da7b8b67c8e6da79" args="()" -->
72mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#980fcd41c6c548c5da7b8b67c8e6da79">__K</a> ()</td></tr>
73
74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac9540f3850b74d89a5fe4db6fc358ce"></a><!-- doxytag: member="Kalman::_dP" ref="ac9540f3850b74d89a5fe4db6fc358ce" args="()" -->
76vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ac9540f3850b74d89a5fe4db6fc358ce">_dP</a> ()</td></tr>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[28]79<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="Kalman::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
80void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr>
81
82<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
[33]83<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="Kalman::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
84const <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>
85
86<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="Kalman::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
88double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
89
90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[32]91<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="Kalman::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
[33]93<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]94
[33]95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
[32]96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="Kalman::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
[33]97<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]98
[33]99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
[22]100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="Kalman::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
[33]101int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
[22]102
[33]103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[22]104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="Kalman::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
[33]105int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
[22]106
[33]107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[22]108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="Kalman::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
[33]109int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
[22]110
[33]111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[22]112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="Kalman::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
[33]113mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
[22]114
[33]115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[22]116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="Kalman::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
[33]117mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
[22]118
[33]119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[22]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="Kalman::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
[33]121mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
[22]122
[33]123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[22]124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="Kalman::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
[33]125mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
[22]126
[33]127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
128<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="Kalman::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
129sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr>
130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[22]132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="Kalman::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
[33]133sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr>
[22]134
[33]135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[32]136<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="Kalman::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
137<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>
138
139<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="Kalman::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
141<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>
142
143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
[22]144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="Kalman::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
[33]145mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
[22]146
[33]147<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]148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="Kalman::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
149vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
[22]150
[33]151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
[79]152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="Kalman::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
153sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr>
[22]154
[33]155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
[79]156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="Kalman::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
157vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
[22]158
[33]159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
[79]160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="Kalman::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
161sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr>
[32]162
[33]163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
[32]164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="Kalman::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
165<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>
166
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
168<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="Kalman::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
169double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
170
171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="Kalman::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
173bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
174
175<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]176</table>
177<hr><a name="_details"></a><h2>Detailed Description</h2>
178<h3>template&lt;class sq_T&gt;<br>
179 class Kalman&lt; sq_T &gt;</h3>
180
[33]181<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.
182<p>
183Parameter evolution model:<p class="formulaDsp">
184<img class="formulaDsp" alt="\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]" src="form_6.png">
185<p>
186 Observation model: <p class="formulaDsp">
187<img class="formulaDsp" alt="\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]" src="form_7.png">
188<p>
189 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>
[19]190<li>work/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
[79]191<hr size="1"><address style="text-align: right;"><small>Generated on Fri Apr 18 11:15:20 2008 for mixpp by&nbsp;
[8]192<a href="http://www.doxygen.org/index.html">
193<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
194</body>
195</html>
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