bdm::EKFCh Class Reference

#include <libKF.h>

Inheritance diagram for bdm::EKFCh:

List of all members.

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Detailed Description

Extended Kalman Filter in Square root.

An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean.

Public Member Functions
	EKFCh ()
	Default constructor.
void	set_parameters (diffbifn *pfxu, diffbifn *phxu, const chmat Q0, const chmat R0)
	Set nonlinear functions for mean values and covariance matrices.
void	bayes (const vec &dt)
	Here dt = [yt;ut] of appropriate dimensions.
void	set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const chmat &Q0, const chmat &R0)
	Set parameters with check of relevance.
void	set_statistics (const vec &mu0, const chmat &P0)
void	set_est (const vec &mu0, const chmat &P0)
	Set estimate values, used e.g. in initialization.
const epdf &	posterior () const
	access function
const enorm< chmat > *	_e () const
mat &	__K ()
	access function
vec	_dP ()
	access function
Constructors
virtual BM *	_copy_ ()
Mathematical operations
virtual void	bayesB (const mat &Dt)
	Batch Bayes rule (columns of Dt are observations).
virtual double	logpred (const vec &dt) const
vec	logpred_m (const mat &dt) const
	Matrix version of logpred.
virtual epdf *	epredictor () const
	Constructs a predictive density .
virtual mpdf *	predictor () const
	Constructs a conditional density 1-step ahead predictor.
Access to attributes
const RV &	_drv () const
void	set_drv (const RV &rv)
void	set_rv (const RV &rv)
double	_ll () const
void	set_evalll (bool evl0)
Protected Attributes
diffbifn *	pfxu
	Internal Model f(x,u).
diffbifn *	phxu
	Observation Model h(x,u).
mat	preA
	pre array (triangular matrix)
mat	postA
	post array (triangular matrix)
RV	rvy
	Indetifier of output rv.
RV	rvu
	Indetifier of exogeneous rv.
int	dimx
	cache of rv.count()
int	dimy
	cache of rvy.count()
int	dimu
	cache of rvu.count()
mat	A
	Matrix A.
mat	B
	Matrix B.
mat	C
	Matrix C.
mat	D
	Matrix D.
chmat	Q
	Matrix Q in square-root form.
chmat	R
	Matrix R in square-root form.
enorm< chmat >	est
	posterior density on $x_t$
enorm< chmat >	fy
	preditive density on $y_t$
mat	_K
	placeholder for Kalman gain
vec &	_yp
	cache of fy.mu
chmat &	_Ry
	cache of fy.R
vec &	_mu
	cache of est.mu
chmat &	_P
	cache of est.R
RV	drv
	Random variable of the data (optional).
double	ll
	Logarithm of marginalized data likelihood.
bool	evalll
	If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time.

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Member Function Documentation

virtual BM* bdm::BM::_copy_

(

)

[inline, virtual, inherited]

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype:

 BM* _copy_(){return new BM(*this);} 

Reimplemented in bdm::ARX.

virtual double bdm::BM::logpred

(

const vec &

dt

)

const [inline, virtual, inherited]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

Referenced by bdm::BM::logpred_m().

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The documentation for this class was generated from the following files:

• libKF.h
• libKF.cpp