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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>TrivialPF Class Reference</h1><!-- doxytag: class="TrivialPF" --><!-- doxytag: inherits="PF" -->Trivial particle filter with proposal density that is not conditioned on the data. 
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 TrivialPF:</div>
30<div class="dynsection">
[19]31<p><center><img src="classTrivialPF__inherit__graph.png" border="0" usemap="#TrivialPF__inherit__map" alt="Inheritance graph"></center>
32<map name="TrivialPF__inherit__map">
33<area shape="rect" href="classPF.html" title="A Particle Filter prototype." alt="" coords="23,84,60,111"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="20,7,63,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for TrivialPF:</div>
37<div class="dynsection">
38<p><center><img src="classTrivialPF__coll__graph.png" border="0" usemap="#TrivialPF__coll__map" alt="Collaboration graph"></center>
39<map name="TrivialPF__coll__map">
[28]40<area shape="rect" href="classPF.html" title="A Particle Filter prototype." alt="" coords="56,119,93,145"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="17,7,60,33"><area shape="rect" title="prop" alt="" coords="28,31,36,39"><area shape="rect" title="prop" alt="" coords="59,227,67,235"><area shape="rect" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies." alt="" coords="117,119,173,145"><area shape="rect" title="obs\npar" alt="" coords="132,143,140,151"><area shape="rect" title="obs\npar" alt="" coords="79,227,87,235"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="127,7,164,33"><area shape="rect" title="rv\nrvc" alt="" coords="141,31,149,39"><area shape="rect" title="rv\nrvc" alt="" coords="141,115,149,123"></map>
[19]41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
[8]42
43<p>
44<a href="classTrivialPF-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>
[28]47<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5a420747532e24b25cb0d835288795b"></a><!-- doxytag: member="TrivialPF::TrivialPF" ref="c5a420747532e24b25cb0d835288795b" args="(mpdf &amp;par, mpdf &amp;obs, BM &amp;prop, int n0)" -->
48&nbsp;</td><td class="memItemRight" valign="bottom"><b>TrivialPF</b> (<a class="el" href="classmpdf.html">mpdf</a> &amp;par, <a class="el" href="classmpdf.html">mpdf</a> &amp;obs, <a class="el" href="classBM.html">BM</a> &amp;prop, int n0)</td></tr>
[8]49
50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="59fc4c55a2d5fbb6bc9a17a9dd9a2e13"></a><!-- doxytag: member="TrivialPF::TrivialPF" ref="59fc4c55a2d5fbb6bc9a17a9dd9a2e13" args="(mpdf &amp;par, mpdf &amp;obs, int n0)" -->
51&nbsp;</td><td class="memItemRight" valign="bottom"><b>TrivialPF</b> (<a class="el" href="classmpdf.html">mpdf</a> &amp;par, <a class="el" href="classmpdf.html">mpdf</a> &amp;obs, int n0)</td></tr>
52
[28]53<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="77a92bf054d763f806d27fc37a058389"></a><!-- doxytag: member="TrivialPF::bayes" ref="77a92bf054d763f806d27fc37a058389" args="(const vec &amp;dt, bool evalll)" -->
54void&nbsp;</td><td class="memItemRight" valign="bottom"><b>bayes</b> (const vec &amp;dt, bool <a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a>)</td></tr>
[8]55
[28]56<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a0e26b2f6a5884aca49122f3e4f0cf19"></a><!-- doxytag: member="TrivialPF::resample" ref="a0e26b2f6a5884aca49122f3e4f0cf19" args="(RESAMPLING_METHOD method=SYSTEMATIC)" -->
57ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#a0e26b2f6a5884aca49122f3e4f0cf19">resample</a> (RESAMPLING_METHOD method=SYSTEMATIC)</td></tr>
58
59<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns indexes of particles that should be resampled. The ordering MUST guarantee inplace replacement. (Important for MPF.). <br></td></tr>
[32]60<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#64f636bbd63bea9efd778214e6b631d3">bayes</a> (const vec &amp;dt)</td></tr>
[28]61
[32]62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#64f636bbd63bea9efd778214e6b631d3"></a><br></td></tr>
[28]63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="TrivialPF::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
[32]67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="53b7cc5a0709b0d40fb68408437c0aa2"></a><!-- doxytag: member="TrivialPF::_epdf" ref="53b7cc5a0709b0d40fb68408437c0aa2" args="()" -->
68<a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classPF.html#53b7cc5a0709b0d40fb68408437c0aa2">_epdf</a> ()</td></tr>
[28]69
70<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>
71<tr><td colspan="2"><br><h2>Public Attributes</h2></td></tr>
72<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="TrivialPF::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" -->
73double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr>
74
75<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
76<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="TrivialPF::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" -->
77bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr>
78
79<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>
80<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2c2f44ed7a4eaa42e07bdb58d503f280"></a><!-- doxytag: member="TrivialPF::n" ref="2c2f44ed7a4eaa42e07bdb58d503f280" args="" -->
82int&nbsp;</td><td class="memItemRight" valign="bottom"><b>n</b></td></tr>
83
84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f6bc92f7979af4513b06b161497ba868"></a><!-- doxytag: member="TrivialPF::w" ref="f6bc92f7979af4513b06b161497ba868" args="" -->
85vec&nbsp;</td><td class="memItemRight" valign="bottom"><b>w</b></td></tr>
86
87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3568ca7c3b3175d98b548f496b4c34dd"></a><!-- doxytag: member="TrivialPF::URNG" ref="3568ca7c3b3175d98b548f496b4c34dd" args="" -->
88Uniform_RNG&nbsp;</td><td class="memItemRight" valign="bottom"><b>URNG</b></td></tr>
89
[8]90</table>
91<hr><a name="_details"></a><h2>Detailed Description</h2>
92Trivial particle filter with proposal density that is not conditioned on the data. <hr><h2>Member Function Documentation</h2>
[32]93<a class="anchor" name="64f636bbd63bea9efd778214e6b631d3"></a><!-- doxytag: member="TrivialPF::bayes" ref="64f636bbd63bea9efd778214e6b631d3" args="(const vec &amp;dt)" -->
[8]94<div class="memitem">
95<div class="memproto">
96      <table class="memname">
97        <tr>
[32]98          <td class="memname">void PF::bayes           </td>
[8]99          <td>(</td>
100          <td class="paramtype">const vec &amp;&nbsp;</td>
[28]101          <td class="paramname"> <em>dt</em>          </td>
102          <td>&nbsp;)&nbsp;</td>
[32]103          <td width="100%"><code> [inline, virtual, inherited]</code></td>
[8]104        </tr>
105      </table>
106</div>
107<div class="memdoc">
108
109<p>
110Incremental Bayes rule.
111<p>
112<dl compact><dt><b>Parameters:</b></dt><dd>
113  <table border="0" cellspacing="2" cellpadding="0">
114    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
115  </table>
116</dl>
117
[32]118<p>Implements <a class="el" href="classBM.html#a892eff438aab2dd1a9e2efcb7fb5bdf">BM</a>.</p>
119
[8]120</div>
121</div><p>
122<hr>The documentation for this class was generated from the following files:<ul>
[19]123<li>work/mixpp/bdm/estim/<a class="el" href="libPF_8h-source.html">libPF.h</a><li>work/mixpp/bdm/estim/libPF.cpp</ul>
[32]124<hr size="1"><address style="text-align: right;"><small>Generated on Sat Feb 23 11:48:50 2008 for mixpp by&nbsp;
[8]125<a href="http://www.doxygen.org/index.html">
126<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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