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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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23<h1>MPF&lt; BM_T &gt; Class Template Reference</h1><!-- doxytag: class="MPF" --><!-- doxytag: inherits="PF" -->Marginalized Particle filter. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libPF_8h-source.html">libPF.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for MPF&lt; BM_T &gt;:</div>
30<div class="dynsection">
31<p><center><img src="classMPF__inherit__graph.png" border="0" usemap="#MPF_3_01BM__T_01_4__inherit__map" alt="Inheritance graph"></center>
32<map name="MPF_3_01BM__T_01_4__inherit__map">
33<area shape="rect" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model..." alt="" coords="44,84,81,111"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="41,7,84,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for MPF&lt; BM_T &gt;:</div>
37<div class="dynsection">
38<p><center><img src="classMPF__coll__graph.png" border="0" usemap="#MPF_3_01BM__T_01_4__coll__map" alt="Collaboration graph"></center>
39<map name="MPF_3_01BM__T_01_4__coll__map">
40<area shape="rect" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model..." alt="" coords="109,327,147,353"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="41,161,84,188"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="76,7,113,33"><area shape="rect" title="rvc" alt="" coords="72,27,80,35"><area shape="rect" title="rvc" alt="" coords="116,424,124,432"><area shape="rect" title="rv" alt="" coords="88,31,96,39"><area shape="rect" title="rv" alt="" coords="61,157,69,165"><area shape="rect" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies." alt="" coords="100,215,156,241"><area shape="rect" title="rv\nrvc" alt="" coords="96,31,104,39"><area shape="rect" title="rv\nrvc" alt="" coords="123,211,131,219"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="176,105,227,132"><area shape="rect" title="rv" alt="" coords="111,31,119,39"><area shape="rect" title="rv" alt="" coords="185,101,193,109"><area shape="rect" title="obs\npar" alt="" coords="124,239,132,247"><area shape="rect" title="obs\npar" alt="" coords="124,323,132,331"><area shape="rect" title="ep" alt="" coords="188,129,196,137"><area shape="rect" title="ep" alt="" coords="133,211,141,219"><area shape="rect" href="classeEmp.html" title="Weighted empirical density." alt="" coords="180,215,239,241"><area shape="rect" href="classemix.html" title="Weighted mixture of epdfs with external owned components." alt="" coords="240,271,293,297"><area shape="rect" title="ePdf" alt="" coords="195,239,203,247"><area shape="rect" title="ePdf" alt="" coords="133,323,141,331"><area shape="rect" title="Bms" alt="" coords="249,351,257,359"><area shape="rect" title="Bms" alt="" coords="185,419,193,427"><area shape="rect" title="est" alt="" coords="236,293,244,301"><area shape="rect" title="est" alt="" coords="173,419,181,427"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classMPF-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="827a66609cf69a832535d52233f76fa0"></a><!-- doxytag: member="MPF::MPF" ref="827a66609cf69a832535d52233f76fa0" args="(const RV &amp;rv0, mpdf &amp;par0, mpdf &amp;obs0, int n, const BM_T &amp;BMcond0)" -->
48&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classMPF.html#827a66609cf69a832535d52233f76fa0">MPF</a> (const <a class="el" href="classRV.html">RV</a> &amp;rv0, <a class="el" href="classmpdf.html">mpdf</a> &amp;par0, <a class="el" href="classmpdf.html">mpdf</a> &amp;obs0, int <a class="el" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">n</a>, const BM_T &amp;BMcond0)</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">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classMPF.html#55daf8e4b6553dd9f47c692de7931623">bayes</a> (const vec &amp;dt)</td></tr>
52
53<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#55daf8e4b6553dd9f47c692de7931623"></a><br></td></tr>
54<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="549e08268a46a250f21a33d06f19276a"></a><!-- doxytag: member="MPF::_epdf" ref="549e08268a46a250f21a33d06f19276a" args="()" -->
55<a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classMPF.html#549e08268a46a250f21a33d06f19276a">_epdf</a> ()</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. Use with care! <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5caa2c15604338b773d7a8125e7a1b5"></a><!-- doxytag: member="MPF::set_est" ref="c5caa2c15604338b773d7a8125e7a1b5" args="(const epdf *&amp;epdf0)" -->
59void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_est</b> (const <a class="el" href="classepdf.html">epdf</a> *&amp;epdf0)</td></tr>
60
61<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="MPF::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
62void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr>
63
64<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
65<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2c2f44ed7a4eaa42e07bdb58d503f280"></a><!-- doxytag: member="MPF::n" ref="2c2f44ed7a4eaa42e07bdb58d503f280" args="" -->
67int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#2c2f44ed7a4eaa42e07bdb58d503f280">n</a></td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">number of particles; <br></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a2ac56d1e3ffbb4ff0b3f02e6399deb0"></a><!-- doxytag: member="MPF::ePdf" ref="a2ac56d1e3ffbb4ff0b3f02e6399deb0" args="" -->
71<a class="el" href="classeEmp.html">eEmp</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#a2ac56d1e3ffbb4ff0b3f02e6399deb0">ePdf</a></td></tr>
72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a97d12da4d1832c0b0c6ec5877f921f0"></a><!-- doxytag: member="MPF::w" ref="a97d12da4d1832c0b0c6ec5877f921f0" args="" -->
75vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#a97d12da4d1832c0b0c6ec5877f921f0">w</a></td></tr>
76
77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer into <code><a class="el" href="classeEmp.html" title="Weighted empirical density.">eEmp</a></code> <br></td></tr>
78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="361743a0b5b89de1a29e91d1343b2565"></a><!-- doxytag: member="MPF::samples" ref="361743a0b5b89de1a29e91d1343b2565" args="" -->
79Array&lt; vec &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#361743a0b5b89de1a29e91d1343b2565">samples</a></td></tr>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer into <code><a class="el" href="classeEmp.html" title="Weighted empirical density.">eEmp</a></code> <br></td></tr>
82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d92ac103f88f8c21e197e90af5695a09"></a><!-- doxytag: member="MPF::par" ref="d92ac103f88f8c21e197e90af5695a09" args="" -->
83<a class="el" href="classmpdf.html">mpdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#d92ac103f88f8c21e197e90af5695a09">par</a></td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Parameter evolution model. <br></td></tr>
86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd0a687a4515333d6809147335854e77"></a><!-- doxytag: member="MPF::obs" ref="dd0a687a4515333d6809147335854e77" args="" -->
87<a class="el" href="classmpdf.html">mpdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#dd0a687a4515333d6809147335854e77">obs</a></td></tr>
88
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation model. <br></td></tr>
90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="MPF::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" -->
91<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>
92
93<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
94<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="MPF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
95double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
96
97<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
98<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="MPF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
99bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
100
101<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>
102</table>
103<hr><a name="_details"></a><h2>Detailed Description</h2>
104<h3>template&lt;class BM_T&gt;<br>
105 class MPF&lt; BM_T &gt;</h3>
106
107Marginalized Particle filter. <hr><h2>Member Function Documentation</h2>
108<a class="anchor" name="55daf8e4b6553dd9f47c692de7931623"></a><!-- doxytag: member="MPF::bayes" ref="55daf8e4b6553dd9f47c692de7931623" args="(const vec &amp;dt)" -->
109<div class="memitem">
110<div class="memproto">
111<div class="memtemplate">
112template&lt;class BM_T&gt; </div>
113      <table class="memname">
114        <tr>
115          <td class="memname">void <a class="el" href="classMPF.html">MPF</a>&lt; BM_T &gt;::bayes           </td>
116          <td>(</td>
117          <td class="paramtype">const vec &amp;&nbsp;</td>
118          <td class="paramname"> <em>dt</em>          </td>
119          <td>&nbsp;)&nbsp;</td>
120          <td width="100%"><code> [inline, virtual]</code></td>
121        </tr>
122      </table>
123</div>
124<div class="memdoc">
125
126<p>
127Incremental Bayes rule.
128<p>
129<dl compact><dt><b>Parameters:</b></dt><dd>
130  <table border="0" cellspacing="2" cellpadding="0">
131    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
132  </table>
133</dl>
134
135<p>Reimplemented from <a class="el" href="classPF.html#64f636bbd63bea9efd778214e6b631d3">PF</a>.</p>
136
137</div>
138</div><p>
139<hr>The documentation for this class was generated from the following file:<ul>
140<li>work/mixpp/bdm/estim/<a class="el" href="libPF_8h-source.html">libPF.h</a></ul>
141<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:55 2008 for mixpp by&nbsp;
142<a href="http://www.doxygen.org/index.html">
143<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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