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3<title>mixpp: KalmanCh Class Reference</title>
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7<!-- Generated by Doxygen 1.5.3 -->
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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>
13    <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
14  </ul>
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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>
23<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. 
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 KalmanCh:</div>
30<div class="dynsection">
31<p><center><img src="classKalmanCh__inherit__graph.png" border="0" usemap="#KalmanCh__inherit__map" alt="Inheritance graph"></center>
32<map name="KalmanCh__inherit__map">
33<area shape="rect" href="classEKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="43,343,109,369"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="5,183,147,209"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="67,7,109,33"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="92,87,220,113"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="140,111,148,119"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="83,179,91,187"><area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="36,423,116,449"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for KalmanCh:</div>
37<div class="dynsection">
38<p><center><img src="classKalmanCh__coll__graph.png" border="0" usemap="#KalmanCh__coll__map" alt="Collaboration graph"></center>
39<map name="KalmanCh__coll__map">
40<area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="103,609,244,636"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="96,215,139,241"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="109,361,237,388"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="68,7,105,33"><area shape="rect" title="rvu\nrvy" alt="" coords="64,28,72,36"><area shape="rect" title="rvu\nrvy" alt="" coords="124,605,132,613"><area shape="rect" title="rv" alt="" coords="85,31,93,39"><area shape="rect" title="rv" alt="" coords="111,211,119,219"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="185,103,236,129"><area shape="rect" title="rv" alt="" coords="103,31,111,39"><area shape="rect" title="rv" alt="" coords="189,99,197,107"><area shape="rect" title="rvu\nrvy" alt="" coords="80,31,88,39"><area shape="rect" title="rvu\nrvy" alt="" coords="148,357,156,365"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="459,361,520,388"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="484,385,492,393"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="240,609,248,617"><area shape="rect" href="classenorm.html" title="enorm\&lt; chmat \&gt;" alt="" coords="289,477,423,504"><area shape="rect" title="R" alt="" coords="472,385,480,393"><area shape="rect" title="R" alt="" coords="372,473,380,481"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="459,215,520,241"><area shape="rect" title="est\nfy" alt="" coords="332,501,340,509"><area shape="rect" title="est\nfy" alt="" coords="188,605,196,613"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="299,215,344,241"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="261,361,381,388"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="317,385,325,393"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="344,473,352,481"><area shape="rect" title="R" alt="" coords="236,239,244,247"><area shape="rect" title="R" alt="" coords="309,357,317,365"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="221,239,229,247"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="175,357,183,365"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="169,385,177,393"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="169,605,177,613"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classKalmanCh-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>
47<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)" -->
48&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>
49
50<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
51<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)" -->
52void&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>
53
54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
55<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)" -->
56void&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>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
59<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>
60
61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#cca758192846940409822b9bd778d4e1"></a><br></td></tr>
62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="KalmanCh::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
63void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr>
64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a213c57aef55b2645e550bed81cfc0d4"></a><!-- doxytag: member="KalmanCh::_epdf" ref="a213c57aef55b2645e550bed81cfc0d4" args="()" -->
67<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>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="KalmanCh::__K" ref="980fcd41c6c548c5da7b8b67c8e6da79" args="()" -->
71mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#980fcd41c6c548c5da7b8b67c8e6da79">__K</a> ()</td></tr>
72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac9540f3850b74d89a5fe4db6fc358ce"></a><!-- doxytag: member="KalmanCh::_dP" ref="ac9540f3850b74d89a5fe4db6fc358ce" args="()" -->
75vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ac9540f3850b74d89a5fe4db6fc358ce">_dP</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="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="KalmanCh::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " -->
79const <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>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87f4a547d2c29180be88175e5eab9c88"></a><!-- doxytag: member="KalmanCh::_ll" ref="87f4a547d2c29180be88175e5eab9c88" args="() const " -->
83double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87f4a547d2c29180be88175e5eab9c88">_ll</a> () const </td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
86<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94ee9da75b0e0f632e4a354988ca3798"></a><!-- doxytag: member="KalmanCh::preA" ref="94ee9da75b0e0f632e4a354988ca3798" args="" -->
88mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#94ee9da75b0e0f632e4a354988ca3798">preA</a></td></tr>
89
90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d31a26dc72b5846cfe5af3ccb63ac87"></a><!-- doxytag: member="KalmanCh::postA" ref="0d31a26dc72b5846cfe5af3ccb63ac87" args="" -->
92mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#0d31a26dc72b5846cfe5af3ccb63ac87">postA</a></td></tr>
93
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="KalmanCh::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" -->
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>
97
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="KalmanCh::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" -->
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>
101
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="KalmanCh::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" -->
104int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr>
105
106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="KalmanCh::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" -->
108int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr>
109
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="KalmanCh::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" -->
112int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr>
113
114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="KalmanCh::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" -->
116mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="KalmanCh::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" -->
120mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="KalmanCh::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" -->
124mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr>
125
126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="KalmanCh::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" -->
128mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr>
129
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="KalmanCh::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" -->
132<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>
133
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="KalmanCh::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" -->
136<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>
137
138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="KalmanCh::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" -->
140<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>
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="KalmanCh::fy" ref="e580ab06483952bd03f2e651763e184f" args="" -->
144<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>
145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="KalmanCh::_K" ref="d422f51467c7a06174af2476d2826132" args="" -->
148mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr>
149
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>
151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="KalmanCh::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" -->
152vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr>
153
154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="KalmanCh::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" -->
156<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>
157
158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="KalmanCh::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" -->
160vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr>
161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="KalmanCh::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" -->
164<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>
165
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="KalmanCh::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="KalmanCh::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="KalmanCh::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>
179</table>
180<hr><a name="_details"></a><h2>Detailed Description</h2>
181<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>
182<a class="anchor" name="cca758192846940409822b9bd778d4e1"></a><!-- doxytag: member="KalmanCh::bayes" ref="cca758192846940409822b9bd778d4e1" args="(const vec &amp;dt)" -->
183<div class="memitem">
184<div class="memproto">
185      <table class="memname">
186        <tr>
187          <td class="memname">void KalmanCh::bayes           </td>
188          <td>(</td>
189          <td class="paramtype">const vec &amp;&nbsp;</td>
190          <td class="paramname"> <em>dt</em>          </td>
191          <td>&nbsp;)&nbsp;</td>
192          <td width="100%"><code> [virtual]</code></td>
193        </tr>
194      </table>
195</div>
196<div class="memdoc">
197
198<p>
199Here dt = [yt;ut] of appropriate dimensions.
200<p>
201The following equality hold::<p class="formulaDsp">
202<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">
203<p>
204<p>
205Thus this objevt evaluates only predictors! Not filtering densities.
206<p>Reimplemented from <a class="el" href="classKalman.html#7750ffd73f261828a32c18aaeb65c75c">Kalman&lt; chmat &gt;</a>.</p>
207
208<p>Reimplemented in <a class="el" href="classEKFCh.html#96f6edda324a0b7ef8b4e86cc7af60c1">EKFCh</a>.</p>
209
210</div>
211</div><p>
212<hr>The documentation for this class was generated from the following files:<ul>
213<li>work/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a><li>work/mixpp/bdm/estim/libKF.cpp</ul>
214<hr size="1"><address style="text-align: right;"><small>Generated on Fri Apr 18 11:15:20 2008 for mixpp by&nbsp;
215<a href="http://www.doxygen.org/index.html">
216<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
217</body>
218</html>
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