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27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1EKFCh.html">EKFCh</a>
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30<div class="contents">
31<h1>bdm::EKFCh Class Reference</h1><!-- doxytag: class="bdm::EKFCh" --><!-- doxytag: inherits="bdm::KalmanCh" -->Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter in Square root. 
32<a href="#_details">More...</a>
33<p>
34<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
35<p>
36<div class="dynheader">
37Inheritance diagram for bdm::EKFCh:</div>
38<div class="dynsection">
39<p><center><img src="classbdm_1_1EKFCh__inherit__graph.png" border="0" usemap="#bdm_1_1EKFCh__inherit__map" alt="Inheritance graph"></center>
40<map name="bdm_1_1EKFCh__inherit__map">
41<area shape="rect" href="classbdm_1_1EKFCh__cond.html" title="Extended Kalman filter with unknown parameters in IM." alt="" coords="5,503,141,529"><area shape="rect" href="classbdm_1_1EKFCh__unQ.html" title="Extended Kalman filter in Choleski form with unknown Q." alt="" coords="165,503,296,529"><area shape="rect" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form." alt="" coords="91,343,213,369"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="64,263,240,289"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="89,87,167,113"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="149,167,315,193"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="72,7,184,33"></map>
42<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
43<div class="dynheader">
44Collaboration diagram for bdm::EKFCh:</div>
45<div class="dynsection">
46<p><center><img src="classbdm_1_1EKFCh__coll__graph.png" border="0" usemap="#bdm_1_1EKFCh__coll__map" alt="Collaboration graph"></center>
47<map name="bdm_1_1EKFCh__coll__map">
48<area shape="rect" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form." alt="" coords="424,791,547,817"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="292,711,468,737"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="431,201,508,228"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="355,351,520,377"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="420,7,532,33"><area shape="rect" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables." alt="" coords="363,87,437,113"><area shape="rect" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="120,201,205,228"><area shape="rect" href="classbdm_1_1fnc.html" title="Class representing function &#160;of variable &#160;represented by rv." alt="" coords="551,87,628,113"><area shape="rect" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables ." alt="" coords="540,201,639,228"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="5,463,67,489"><area shape="rect" href="classbdm_1_1enorm.html" title="bdm::enorm\&lt; chmat \&gt;" alt="" coords="107,579,277,605"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="5,351,67,377"><area shape="rect" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density." alt="" coords="104,351,184,377"><area shape="rect" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="144,463,304,489"></map>
49<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
50
51<p>
52<a href="classbdm_1_1EKFCh-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
53<tr><td></td></tr>
54<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7be4021e63a87dc52f7651e52ba05565"></a><!-- doxytag: member="bdm::EKFCh::EKFCh" ref="7be4021e63a87dc52f7651e52ba05565" args="(RV rvx, RV rvy, RV rvu)" -->
56&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#7be4021e63a87dc52f7651e52ba05565">EKFCh</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>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50f9fbffad721f35e5ccb75d0f6b842a"></a><!-- doxytag: member="bdm::EKFCh::set_parameters" ref="50f9fbffad721f35e5ccb75d0f6b842a" args="(diffbifn *pfxu, diffbifn *phxu, const chmat Q0, const chmat R0)" -->
60void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#50f9fbffad721f35e5ccb75d0f6b842a">set_parameters</a> (<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *<a class="el" href="classbdm_1_1EKFCh.html#e1e895f994398a55bc425551fc275ba3">pfxu</a>, <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *<a class="el" href="classbdm_1_1EKFCh.html#6b34c69641826322467b704e8252f317">phxu</a>, const <a class="el" href="classchmat.html">chmat</a> Q0, const <a class="el" href="classchmat.html">chmat</a> R0)</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c8609c37290b158f88a31dae4047225"></a><!-- doxytag: member="bdm::EKFCh::bayes" ref="4c8609c37290b158f88a31dae4047225" args="(const vec &amp;dt)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bayes</a> (const vec &amp;dt)</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab3a87ba1831e53f193a9dfbaf56a879"></a><!-- doxytag: member="bdm::EKFCh::set_parameters" ref="ab3a87ba1831e53f193a9dfbaf56a879" 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)" -->
68void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#ab3a87ba1831e53f193a9dfbaf56a879">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>
69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f559387dd38bd6002be490cc62987290"></a><!-- doxytag: member="bdm::EKFCh::set_est" ref="f559387dd38bd6002be490cc62987290" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
72void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#f559387dd38bd6002be490cc62987290">set_est</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr>
73
74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="bdm::EKFCh::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " -->
76const <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>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
79<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKFCh::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
80const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c34989b1e53c7d4ecdaea63a95ddbd77">_e</a> () const </td></tr>
81
82<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>
83<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKFCh::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
84mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
85
86<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKFCh::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
88vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
89
90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKFCh::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
92virtual 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>
93
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
95<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>
96
97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKFCh::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
98vec&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>
99
100<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="710e7d69c0d8791fb41a7cd4683cca2c"></a><!-- doxytag: member="bdm::EKFCh::predictor" ref="710e7d69c0d8791fb41a7cd4683cca2c" args="(const RV &amp;rv) const " -->
102virtual <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>
103
104<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40a3c891996391e3135518053a917793"></a><!-- doxytag: member="bdm::EKFCh::_rv" ref="40a3c891996391e3135518053a917793" args="() const " -->
106const <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>
107
108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKFCh::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
110const <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#ff2d8755ba0b3def927d31305c03b09c">_drv</a> () const </td></tr>
111
112<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
113<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKFCh::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
114void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#f135ae6dce7e9f30c9f88229c7930b96">set_drv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>)</td></tr>
115
116<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set drv <br></td></tr>
117<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKFCh::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
118double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr>
119
120<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
121<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKFCh::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
122void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr>
123
124<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
125<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>
126
127<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
128<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1e895f994398a55bc425551fc275ba3"></a><!-- doxytag: member="bdm::EKFCh::pfxu" ref="e1e895f994398a55bc425551fc275ba3" args="" -->
129<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#e1e895f994398a55bc425551fc275ba3">pfxu</a></td></tr>
130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Internal Model f(x,u). <br></td></tr>
132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6b34c69641826322467b704e8252f317"></a><!-- doxytag: member="bdm::EKFCh::phxu" ref="6b34c69641826322467b704e8252f317" args="" -->
133<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#6b34c69641826322467b704e8252f317">phxu</a></td></tr>
134
135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation Model h(x,u). <br></td></tr>
136<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::EKFCh::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
137mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
138
139<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::EKFCh::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
141mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
142
143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKFCh::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
145<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>
146
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKFCh::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
149<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>
150
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKFCh::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
153int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKFCh::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
157int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
158
159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKFCh::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
161int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
162
163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKFCh::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
165mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
166
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
168<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKFCh::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
169mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
170
171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKFCh::C" ref="818eba63a23972786a4579ad30294177" args="" -->
173mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
174
175<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
176<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKFCh::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
177mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
178
179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKFCh::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
181<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr>
182
183<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKFCh::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
185<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr>
186
187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKFCh::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
189<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr>
190
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKFCh::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
193<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
194
195<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKFCh::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
197mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
198
199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
200<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKFCh::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
201vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
202
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKFCh::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
205<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr>
206
207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
208<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKFCh::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
209vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
210
211<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
212<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKFCh::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
213<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr>
214
215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
216<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18d6db4af8ee42077741d9e3618153ca"></a><!-- doxytag: member="bdm::EKFCh::rv" ref="18d6db4af8ee42077741d9e3618153ca" args="" -->
217<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>
218
219<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
220<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKFCh::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
221<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#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr>
222
223<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
224<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKFCh::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
225double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
226
227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
228<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKFCh::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
229bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
230
231<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>
232</table>
233<hr><a name="_details"></a><h2>Detailed Description</h2>
234Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter in Square root.
235<p>
236An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <hr><h2>Member Function Documentation</h2>
237<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKFCh::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
238<div class="memitem">
239<div class="memproto">
240      <table class="memname">
241        <tr>
242          <td class="memname">virtual double bdm::BM::logpred           </td>
243          <td>(</td>
244          <td class="paramtype">const vec &amp;&nbsp;</td>
245          <td class="paramname"> <em>dt</em>          </td>
246          <td>&nbsp;)&nbsp;</td>
247          <td> const<code> [inline, virtual, inherited]</code></td>
248        </tr>
249      </table>
250</div>
251<div class="memdoc">
252
253<p>
254Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
255<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>
256
257<p>Referenced by <a class="el" href="libBM_8h-source.html#l00535">bdm::BM::logpred_m()</a>.</p>
258
259</div>
260</div><p>
261<a class="anchor" name="3efb3098172f1f67564a312fe732473e"></a><!-- doxytag: member="bdm::EKFCh::_copy_" ref="3efb3098172f1f67564a312fe732473e" args="(bool changerv=false)" -->
262<div class="memitem">
263<div class="memproto">
264      <table class="memname">
265        <tr>
266          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
267          <td>(</td>
268          <td class="paramtype">bool&nbsp;</td>
269          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
270          <td>&nbsp;)&nbsp;</td>
271          <td><code> [inline, virtual, inherited]</code></td>
272        </tr>
273      </table>
274</div>
275<div class="memdoc">
276
277<p>
278Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, 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 a system, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }
279<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>
280
281</div>
282</div><p>
283<hr>The documentation for this class was generated from the following files:<ul>
284<li><a class="el" href="libKF_8h-source.html">libKF.h</a><li>libKF.cpp</ul>
285</div>
286<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 10:20:41 2009 for mixpp by&nbsp;
287<a href="http://www.doxygen.org/index.html">
288<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
289</body>
290</html>
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