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3<title>mixpp: KalmanCh Class Reference</title>
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21      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
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26<h1>KalmanCh Class Reference</h1><!-- doxytag: class="KalmanCh" --><!-- doxytag: inherits="Kalman&lt; chmat &gt;" --><a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. 
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 KalmanCh:</div>
33<div class="dynsection">
34<p><center><img src="classKalmanCh__inherit__graph.png" border="0" usemap="#KalmanCh__inherit__map" alt="Inheritance graph"></center>
35<map name="KalmanCh__inherit__map">
36<area shape="rect" href="classEKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="36,327,100,351"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="5,172,131,196"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="59,7,99,31"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="84,84,201,108"><area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="29,404,107,428"></map>
37<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
38<div class="dynheader">
39Collaboration diagram for KalmanCh:</div>
40<div class="dynsection">
41<p><center><img src="classKalmanCh__coll__graph.png" border="0" usemap="#KalmanCh__coll__map" alt="Collaboration graph"></center>
42<map name="KalmanCh__coll__map">
43<area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="105,551,231,575"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="97,199,137,223"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="109,330,227,354"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="68,7,105,31"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="184,95,229,119"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="437,330,493,354"><area shape="rect" href="classenorm.html" title="enorm\&lt; chmat \&gt;" alt="" coords="279,432,396,456"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="437,199,493,223"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="283,199,328,223"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="251,330,360,354"></map>
44<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
45
46<p>
47<a href="classKalmanCh-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>
50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d11f110cccaa66177514632d37b086bb"></a><!-- doxytag: member="KalmanCh::KalmanCh" ref="d11f110cccaa66177514632d37b086bb" args="(RV rvx0, RV rvy0, RV rvu0)" -->
51&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#d11f110cccaa66177514632d37b086bb">KalmanCh</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>
52
53<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
54<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="92fb227287af05c9f0078d523c7c9793"></a><!-- doxytag: member="KalmanCh::set_parameters" ref="92fb227287af05c9f0078d523c7c9793" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const chmat &amp;R0, const chmat &amp;Q0)" -->
55void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#92fb227287af05c9f0078d523c7c9793">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classchmat.html">chmat</a> &amp;R0, const <a class="el" href="classchmat.html">chmat</a> &amp;Q0)</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b261b20f6210d4c85131d33302df0adc"></a><!-- doxytag: member="KalmanCh::set_est" ref="b261b20f6210d4c85131d33302df0adc" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
59void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#b261b20f6210d4c85131d33302df0adc">set_est</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr>
60
61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
62<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#cca758192846940409822b9bd778d4e1">bayes</a> (const vec &amp;dt)</td></tr>
63
64<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#cca758192846940409822b9bd778d4e1"></a><br></td></tr>
65<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67cccaf1c4dcdcd1df110e15ef326bfe"></a><!-- doxytag: member="KalmanCh::_epdf" ref="67cccaf1c4dcdcd1df110e15ef326bfe" args="() const " -->
66const <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>
67
68<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
69<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="KalmanCh::__K" ref="980fcd41c6c548c5da7b8b67c8e6da79" args="()" -->
70mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#980fcd41c6c548c5da7b8b67c8e6da79">__K</a> ()</td></tr>
71
72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
73<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac9540f3850b74d89a5fe4db6fc358ce"></a><!-- doxytag: member="KalmanCh::_dP" ref="ac9540f3850b74d89a5fe4db6fc358ce" args="()" -->
74vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ac9540f3850b74d89a5fe4db6fc358ce">_dP</a> ()</td></tr>
75
76<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
77<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0186270f75189677f390fe088a9947e9"></a><!-- doxytag: member="KalmanCh::bayesB" ref="0186270f75189677f390fe088a9947e9" args="(const mat &amp;Dt)" -->
78virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#0186270f75189677f390fe088a9947e9">bayesB</a> (const mat &amp;Dt)</td></tr>
79
80<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
81<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>
82
83<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd0660f2a1a344b56ac39802708ff165"></a><!-- doxytag: member="KalmanCh::logpred_m" ref="cd0660f2a1a344b56ac39802708ff165" args="(const mat &amp;dt) const " -->
84vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#cd0660f2a1a344b56ac39802708ff165">logpred_m</a> (const mat &amp;dt) const </td></tr>
85
86<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a627c5a79cc6f5221b7e09675525e032"></a><!-- doxytag: member="KalmanCh::predictor" ref="a627c5a79cc6f5221b7e09675525e032" args="(const RV &amp;rv)" -->
88virtual <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>
89
90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="KalmanCh::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
92const <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>
93
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="KalmanCh::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
96double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
97
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1ffa9f23669aabecc3760c06c6987522"></a><!-- doxytag: member="KalmanCh::set_evalll" ref="1ffa9f23669aabecc3760c06c6987522" args="(bool evl0)" -->
100void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#1ffa9f23669aabecc3760c06c6987522">set_evalll</a> (bool evl0)</td></tr>
101
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
103<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>
104
105<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94ee9da75b0e0f632e4a354988ca3798"></a><!-- doxytag: member="KalmanCh::preA" ref="94ee9da75b0e0f632e4a354988ca3798" args="" -->
107mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#94ee9da75b0e0f632e4a354988ca3798">preA</a></td></tr>
108
109<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
110<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d31a26dc72b5846cfe5af3ccb63ac87"></a><!-- doxytag: member="KalmanCh::postA" ref="0d31a26dc72b5846cfe5af3ccb63ac87" args="" -->
111mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#0d31a26dc72b5846cfe5af3ccb63ac87">postA</a></td></tr>
112
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
114<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="KalmanCh::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
115<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>
116
117<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
118<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="KalmanCh::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
119<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>
120
121<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
122<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="KalmanCh::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
123int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
124
125<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
126<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="KalmanCh::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
127int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
128
129<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="KalmanCh::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
131int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
132
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="KalmanCh::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
135mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
136
137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="KalmanCh::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
139mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="KalmanCh::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
143mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
144
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="KalmanCh::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
147mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
148
149<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
150<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="KalmanCh::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
151<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr>
152
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
154<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="KalmanCh::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
155<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr>
156
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="KalmanCh::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
159<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5568c74bac67ae6d3b1061dba60c9424">est</a></td></tr>
160
161<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
162<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="KalmanCh::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
163<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e580ab06483952bd03f2e651763e184f">fy</a></td></tr>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="KalmanCh::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
167mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
168
169<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>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="KalmanCh::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
171vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
172
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="KalmanCh::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
175<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr>
176
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
178<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="KalmanCh::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
179vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
180
181<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="KalmanCh::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
183<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr>
184
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="KalmanCh::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
187<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>
188
189<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="KalmanCh::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
191double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
192
193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="KalmanCh::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
195bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
196
197<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>
198</table>
199<hr><a name="_details"></a><h2>Detailed Description</h2>
200<a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. <hr><h2>Member Function Documentation</h2>
201<a class="anchor" name="cca758192846940409822b9bd778d4e1"></a><!-- doxytag: member="KalmanCh::bayes" ref="cca758192846940409822b9bd778d4e1" args="(const vec &amp;dt)" -->
202<div class="memitem">
203<div class="memproto">
204      <table class="memname">
205        <tr>
206          <td class="memname">void KalmanCh::bayes           </td>
207          <td>(</td>
208          <td class="paramtype">const vec &amp;&nbsp;</td>
209          <td class="paramname"> <em>dt</em>          </td>
210          <td>&nbsp;)&nbsp;</td>
211          <td><code> [virtual]</code></td>
212        </tr>
213      </table>
214</div>
215<div class="memdoc">
216
217<p>
218Here dt = [yt;ut] of appropriate dimensions.
219<p>
220The following equality hold::<p class="formulaDsp">
221<img class="formulaDsp" alt="\[ \left[\begin{array}{cc} R^{0.5}\\ P_{t|t-1}^{0.5}C' &amp; P_{t|t-1}^{0.5}CA'\\ &amp; Q^{0.5}\end{array}\right]<\mathrm{orth.oper.}>=\left[\begin{array}{cc} R_{y}^{0.5} &amp; KA'\\ &amp; P_{t+1|t}^{0.5}\\ \\\end{array}\right]\]" src="form_17.png">
222<p>
223<p>
224Thus this object evaluates only predictors! Not filtering densities.
225<p>Reimplemented from <a class="el" href="classKalman.html#7750ffd73f261828a32c18aaeb65c75c">Kalman&lt; chmat &gt;</a>.</p>
226
227<p>Reimplemented in <a class="el" href="classEKFCh.html#96f6edda324a0b7ef8b4e86cc7af60c1">EKFCh</a>.</p>
228
229<p>References <a class="el" href="chmat_8h-source.html#l00066">chmat::_Ch()</a>, <a class="el" href="libKF_8h-source.html#l00095">Kalman&lt; chmat &gt;::_K</a>, <a class="el" href="libKF_8h-source.html#l00101">Kalman&lt; chmat &gt;::_mu</a>, <a class="el" href="libKF_8h-source.html#l00103">Kalman&lt; chmat &gt;::_P</a>, <a class="el" href="libKF_8h-source.html#l00099">Kalman&lt; chmat &gt;::_Ry</a>, <a class="el" href="libKF_8h-source.html#l00097">Kalman&lt; chmat &gt;::_yp</a>, <a class="el" href="libKF_8h-source.html#l00077">Kalman&lt; chmat &gt;::A</a>, <a class="el" href="libKF_8h-source.html#l00079">Kalman&lt; chmat &gt;::B</a>, <a class="el" href="libKF_8h-source.html#l00081">Kalman&lt; chmat &gt;::C</a>, <a class="el" href="libKF_8h-source.html#l00083">Kalman&lt; chmat &gt;::D</a>, <a class="el" href="libKF_8h-source.html#l00075">Kalman&lt; chmat &gt;::dimu</a>, <a class="el" href="libKF_8h-source.html#l00071">Kalman&lt; chmat &gt;::dimx</a>, <a class="el" href="libKF_8h-source.html#l00073">Kalman&lt; chmat &gt;::dimy</a>, <a class="el" href="libBM_8h-source.html#l00322">BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00050">eEF::evalpdflog()</a>, <a class="el" href="libKF_8h-source.html#l00092">Kalman&lt; chmat &gt;::fy</a>, <a class="el" href="libBM_8h-source.html#l00320">BM::ll</a>, <a class="el" href="libKF_8h-source.html#l00137">postA</a>, <a class="el" href="libKF_8h-source.html#l00135">preA</a>, and <a class="el" href="chmat_8cpp-source.html#l00019">chmat::to_mat()</a>.</p>
230
231</div>
232</div><p>
233<a class="anchor" name="8a8ce6df431689964c41cc6c849cfd06"></a><!-- doxytag: member="KalmanCh::logpred" ref="8a8ce6df431689964c41cc6c849cfd06" args="(const vec &amp;dt) const " -->
234<div class="memitem">
235<div class="memproto">
236      <table class="memname">
237        <tr>
238          <td class="memname">virtual double BM::logpred           </td>
239          <td>(</td>
240          <td class="paramtype">const vec &amp;&nbsp;</td>
241          <td class="paramname"> <em>dt</em>          </td>
242          <td>&nbsp;)&nbsp;</td>
243          <td> const<code> [inline, virtual, inherited]</code></td>
244        </tr>
245      </table>
246</div>
247<div class="memdoc">
248
249<p>
250Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
251<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>
252
253<p>Referenced by <a class="el" href="libBM_8h-source.html#l00344">BM::logpred_m()</a>.</p>
254
255</div>
256</div><p>
257<a class="anchor" name="eb58c81d6a7b75b05fc6f276eed78887"></a><!-- doxytag: member="KalmanCh::_copy_" ref="eb58c81d6a7b75b05fc6f276eed78887" args="(bool changerv=false)" -->
258<div class="memitem">
259<div class="memproto">
260      <table class="memname">
261        <tr>
262          <td class="memname">virtual <a class="el" href="classBM.html">BM</a>* BM::_copy_           </td>
263          <td>(</td>
264          <td class="paramtype">bool&nbsp;</td>
265          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
266          <td>&nbsp;)&nbsp;</td>
267          <td><code> [inline, virtual, inherited]</code></td>
268        </tr>
269      </table>
270</div>
271<div class="memdoc">
272
273<p>
274Copy 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; }
275<p>Reimplemented in <a class="el" href="classARX.html#5de61fbd4f97fa3216760b1f733f5af0">ARX</a>.</p>
276
277<p>Referenced by <a class="el" href="mixef_8cpp-source.html#l00007">MixEF::init()</a>.</p>
278
279</div>
280</div><p>
281<hr>The documentation for this class was generated from the following files:<ul>
282<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>
283</div>
284<hr size="1"><address style="text-align: right;"><small>Generated on Wed Oct 15 15:57:14 2008 for mixpp by&nbsp;
285<a href="http://www.doxygen.org/index.html">
286<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
287</body>
288</html>
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