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3<title>mixpp: bdm::EKF&lt; sq_T &gt; Class Template Reference</title>
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25  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1EKF.html">EKF</a>
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29<h1>bdm::EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" -->Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter. 
30<a href="#_details">More...</a>
31<p>
32<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
33<p>
34<div class="dynheader">
35Inheritance diagram for bdm::EKF&lt; sq_T &gt;:</div>
36<div class="dynsection">
37<p><center><img src="classbdm_1_1EKF__inherit__graph.png" border="0" usemap="#bdm_1_1EKF_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
38<map name="bdm_1_1EKF_3_01sq__T_01_4__inherit__map">
39<area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; fsqmat \&gt;" alt="" coords="5,183,187,209"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="73,7,151,33"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="112,87,277,113"></map>
40<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
41<div class="dynheader">
42Collaboration diagram for bdm::EKF&lt; sq_T &gt;:</div>
43<div class="dynsection">
44<p><center><img src="classbdm_1_1EKF__coll__graph.png" border="0" usemap="#bdm_1_1EKF_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center>
45<map name="bdm_1_1EKF_3_01sq__T_01_4__coll__map">
46<area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; fsqmat \&gt;" alt="" coords="379,721,560,748"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="471,311,548,337"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="332,457,497,484"><area shape="rect" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables." alt="" coords="472,87,547,113"><area shape="rect" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="311,199,396,225"><area shape="rect" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables ." alt="" coords="609,199,708,225"><area shape="rect" href="classbdm_1_1base.html" title="Root class of BDM objects." alt="" coords="465,7,553,33"><area shape="rect" href="classbdm_1_1fnc.html" title="Class representing function &#160;of variable &#160;represented by rv." alt="" coords="595,87,672,113"><area shape="rect" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix." alt="" coords="5,457,72,484"><area shape="rect" href="classbdm_1_1enorm.html" title="bdm::enorm\&lt; fsqmat \&gt;" alt="" coords="97,589,273,616"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="8,311,69,337"><area shape="rect" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density." alt="" coords="188,311,268,337"><area shape="rect" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="148,457,308,484"></map>
47<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
48
49<p>
50<a href="classbdm_1_1EKF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
51<tr><td></td></tr>
52<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
53<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d087a8bb408d26ac4f5c542746b81059"></a><!-- doxytag: member="bdm::EKF::EKF" ref="d087a8bb408d26ac4f5c542746b81059" args="(RV rvx, RV rvy, RV rvu)" -->
54&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059">EKF</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rvx, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a>, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a>)</td></tr>
55
56<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
57<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00fec1a0a6a467eb83fb36c65eba7bcb"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="00fec1a0a6a467eb83fb36c65eba7bcb" args="(diffbifn *pfxu, diffbifn *phxu, const sq_T Q0, const sq_T R0)" -->
58void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb">set_parameters</a> (<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *pfxu, <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *phxu, const sq_T Q0, const sq_T R0)</td></tr>
59
60<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
61<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fb182ecc29b10ca1163cecbf3bcccfa"></a><!-- doxytag: member="bdm::EKF::bayes" ref="3fb182ecc29b10ca1163cecbf3bcccfa" args="(const vec &amp;dt)" -->
62void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa">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. <br></td></tr>
65<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94eb8cc31731210089db0ba4e1a08a6c"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="94eb8cc31731210089db0ba4e1a08a6c" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;R0, const fsqmat &amp;Q0)" -->
66void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#94eb8cc31731210089db0ba4e1a08a6c">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;R0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;Q0)</td></tr>
67
68<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
69<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::EKF::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const fsqmat &amp;P0)" -->
70void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &amp;mu0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;P0)</td></tr>
71
72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
73<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="bdm::EKF::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " -->
74const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#93b5936ba397f13c05f52885c545f42d">_epdf</a> () const </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="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKF::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
78const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c34989b1e53c7d4ecdaea63a95ddbd77">_e</a> () const </td></tr>
79
80<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the epdf representing posterior density on parameters. Use with care! <br></td></tr>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKF::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
82mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
85<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKF::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
86vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
87
88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKF::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
90virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
91
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
93<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr>
94
95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKF::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
96vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
97
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="710e7d69c0d8791fb41a7cd4683cca2c"></a><!-- doxytag: member="bdm::EKF::predictor" ref="710e7d69c0d8791fb41a7cd4683cca2c" args="(const RV &amp;rv) const " -->
100virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#710e7d69c0d8791fb41a7cd4683cca2c">predictor</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>) const </td></tr>
101
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40a3c891996391e3135518053a917793"></a><!-- doxytag: member="bdm::EKF::_rv" ref="40a3c891996391e3135518053a917793" args="() const " -->
104const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793">_rv</a> () const </td></tr>
105
106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKF::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
108double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr>
109
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKF::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
112void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr>
113
114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_</a> (bool changerv=false)</td></tr>
116
117<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
118<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKF::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
119<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr>
120
121<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
122<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKF::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
123<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a></td></tr>
124
125<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
126<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKF::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
127int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
128
129<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKF::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
131int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
132
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKF::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
135int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
136
137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKF::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
139mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKF::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
143mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
144
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKF::C" ref="818eba63a23972786a4579ad30294177" args="" -->
147mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
148
149<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
150<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKF::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
151mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
152
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
154<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKF::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
155<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr>
156
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKF::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
159<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr>
160
161<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
162<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKF::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
163<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKF::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
167<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
168
169<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKF::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
171mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
172
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKF::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
175vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
176
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
178<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKF::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
179<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr>
180
181<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKF::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
183vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
184
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKF::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
187<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr>
188
189<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18d6db4af8ee42077741d9e3618153ca"></a><!-- doxytag: member="bdm::EKF::rv" ref="18d6db4af8ee42077741d9e3618153ca" args="" -->
191<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a></td></tr>
192
193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKF::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
195double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
196
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
198<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKF::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
199bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
200
201<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>
202</table>
203<hr><a name="_details"></a><h2>Detailed Description</h2>
204<h3>template&lt;class sq_T&gt;<br>
205 class bdm::EKF&lt; sq_T &gt;</h3>
206
207Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.
208<p>
209An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <hr><h2>Member Function Documentation</h2>
210<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKF::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
211<div class="memitem">
212<div class="memproto">
213      <table class="memname">
214        <tr>
215          <td class="memname">virtual double bdm::BM::logpred           </td>
216          <td>(</td>
217          <td class="paramtype">const vec &amp;&nbsp;</td>
218          <td class="paramname"> <em>dt</em>          </td>
219          <td>&nbsp;)&nbsp;</td>
220          <td> const<code> [inline, virtual, inherited]</code></td>
221        </tr>
222      </table>
223</div>
224<div class="memdoc">
225
226<p>
227Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
228<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p>
229
230<p>Referenced by <a class="el" href="libBM_8h-source.html#l00447">bdm::BM::logpred_m()</a>.</p>
231
232</div>
233</div><p>
234<a class="anchor" name="3efb3098172f1f67564a312fe732473e"></a><!-- doxytag: member="bdm::EKF::_copy_" ref="3efb3098172f1f67564a312fe732473e" args="(bool changerv=false)" -->
235<div class="memitem">
236<div class="memproto">
237      <table class="memname">
238        <tr>
239          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
240          <td>(</td>
241          <td class="paramtype">bool&nbsp;</td>
242          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
243          <td>&nbsp;)&nbsp;</td>
244          <td><code> [inline, virtual, inherited]</code></td>
245        </tr>
246      </table>
247</div>
248<div class="memdoc">
249
250<p>
251Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.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="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_()</a>{<a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }
252<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb">bdm::ARX</a>, and <a class="el" href="classbdm_1_1BMEF.html#5912dbcf28ae711e30b08c2fa766a3e6">bdm::BMEF</a>.</p>
253
254</div>
255</div><p>
256<hr>The documentation for this class was generated from the following file:<ul>
257<li>work/git/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
258</div>
259<hr size="1"><address style="text-align: right;"><small>Generated on Tue Jan 27 16:30:52 2009 for mixpp by&nbsp;
260<a href="http://www.doxygen.org/index.html">
261<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
262</body>
263</html>
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