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67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1EKFCh.html">EKFCh</a>
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71<h1>bdm::EKFCh Class Reference</h1><!-- doxytag: class="bdm::EKFCh" --><!-- doxytag: inherits="bdm::KalmanCh" --><code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
72<p>
73<div class="dynheader">
74Inheritance diagram for bdm::EKFCh:</div>
75<div class="dynsection">
76
77<p><center><img src="classbdm_1_1EKFCh.png" usemap="#bdm::EKFCh_map" border="0" alt=""></center>
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81<area href="classbdm_1_1BM.html" alt="bdm::BM" shape="rect" coords="447,56,586,80">
82<area href="classbdm_1_1bdmroot.html" alt="bdm::bdmroot" shape="rect" coords="447,0,586,24">
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84<area href="classbdm_1_1EKFCh__unQ.html" alt="bdm::EKFCh_unQ" shape="rect" coords="149,280,288,304">
85<area href="classEKF__unQ.html" alt="EKF_unQ" shape="rect" coords="298,280,437,304">
86<area href="classEKF__unQ.html" alt="EKF_unQ" shape="rect" coords="447,280,586,304">
87<area href="classEKF__unQ.html" alt="EKF_unQ" shape="rect" coords="596,280,735,304">
88<area href="classEKFCh__cond.html" alt="EKFCh_cond" shape="rect" coords="745,280,884,304">
89<area href="classEKFCh__du__kQ.html" alt="EKFCh_du_kQ" shape="rect" coords="894,280,1033,304">
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91</div>
92
93<p>
94<a href="classbdm_1_1EKFCh-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
95Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter in Square root.
96<p>
97An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <table border="0" cellpadding="0" cellspacing="0">
98<tr><td></td></tr>
99<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
100<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)" -->
101void&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>
102
103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
104<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)" -->
105void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bayes</a> (const vec &amp;dt)</td></tr>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="20a4d4c664e8ac8a3f1bb7b0d11c6d87"></a><!-- doxytag: member="bdm::EKFCh::set_parameters" ref="20a4d4c664e8ac8a3f1bb7b0d11c6d87" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const chmat &amp;Q0, const chmat &amp;R0)" -->
109void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87">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;Q0, const <a class="el" href="classchmat.html">chmat</a> &amp;R0)</td></tr>
110
111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e169272657ed101f3d128b49c59b890"></a><!-- doxytag: member="bdm::EKFCh::set_statistics" ref="6e169272657ed101f3d128b49c59b890" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
113void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr>
114
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::EKFCh::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
116void&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="classchmat.html">chmat</a> &amp;P0)</td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::EKFCh::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " -->
120const <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#f75e487ff6c129d7012d702030f8c890">posterior</a> () const </td></tr>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKFCh::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
124const <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"><b>_e</b> () const </td></tr>
125
126<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKFCh::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
127mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
128
129<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKFCh::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
131vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
132
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
134<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
135<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#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a> ()</td></tr>
136
137<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
138<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)" -->
139virtual 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>
140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
142<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>
143
144<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 " -->
145vec&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>
146
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKFCh::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
149virtual <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#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr>
150
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_49.png">. <br></td></tr>
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKFCh::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
153virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
156<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
157<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKFCh::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
158const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
159
160<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)" -->
161void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
162
163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::EKFCh::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
164void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_rv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
165
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKFCh::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
167double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
168
169<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)" -->
170void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
171
172<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
173<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1e895f994398a55bc425551fc275ba3"></a><!-- doxytag: member="bdm::EKFCh::pfxu" ref="e1e895f994398a55bc425551fc275ba3" args="" -->
174<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>
175
176<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Internal Model f(x,u). <br></td></tr>
177<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6b34c69641826322467b704e8252f317"></a><!-- doxytag: member="bdm::EKFCh::phxu" ref="6b34c69641826322467b704e8252f317" args="" -->
178<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>
179
180<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation Model h(x,u). <br></td></tr>
181<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::EKFCh::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
182mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
183
184<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
185<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::EKFCh::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
186mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
187
188<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
189<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKFCh::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
190<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>
191
192<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
193<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKFCh::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
194<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>
195
196<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
197<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKFCh::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
198int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
199
200<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
201<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKFCh::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
202int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
203
204<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
205<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKFCh::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
206int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
207
208<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
209<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKFCh::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
210mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
211
212<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
213<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKFCh::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
214mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
215
216<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
217<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKFCh::C" ref="818eba63a23972786a4579ad30294177" args="" -->
218mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
219
220<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
221<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKFCh::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
222mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
223
224<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
225<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKFCh::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
226<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>
227
228<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
229<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKFCh::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
230<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>
231
232<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
233<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKFCh::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
234<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>
235
236<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
237<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKFCh::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
238<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>
239
240<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
241<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKFCh::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
242mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
243
244<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
245<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKFCh::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
246vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
247
248<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
249<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKFCh::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
250<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>
251
252<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
253<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKFCh::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
254vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
255
256<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
257<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKFCh::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
258<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>
259
260<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
261<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKFCh::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
262<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>
263
264<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
265<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKFCh::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
266double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
267
268<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
269<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKFCh::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
270bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
271
272<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>
273</table>
274<hr><h2>Member Function Documentation</h2>
275<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::EKFCh::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" -->
276<div class="memitem">
277<div class="memproto">
278      <table class="memname">
279        <tr>
280          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
281          <td>(</td>
282          <td class="paramname">          </td>
283          <td>&nbsp;)&nbsp;</td>
284          <td><code> [inline, virtual, inherited]</code></td>
285        </tr>
286      </table>
287</div>
288<div class="memdoc">
289
290<p>
291Copy 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: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a>(){<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
292</pre></div> 
293<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p>
294
295</div>
296</div><p>
297<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKFCh::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
298<div class="memitem">
299<div class="memproto">
300      <table class="memname">
301        <tr>
302          <td class="memname">virtual double bdm::BM::logpred           </td>
303          <td>(</td>
304          <td class="paramtype">const vec &amp;&nbsp;</td>
305          <td class="paramname"> <em>dt</em>          </td>
306          <td>&nbsp;)&nbsp;</td>
307          <td> const<code> [inline, virtual, inherited]</code></td>
308        </tr>
309      </table>
310</div>
311<div class="memdoc">
312
313<p>
314Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
315<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>
316
317<p>Referenced by <a class="el" href="libBM_8h-source.html#l00628">bdm::BM::logpred_m()</a>.</p>
318
319</div>
320</div><p>
321<hr>The documentation for this class was generated from the following files:<ul>
322<li><a class="el" href="libKF_8h-source.html">libKF.h</a><li>libKF.cpp</ul>
323</div>
324<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 18 17:39:03 2009 for mixpp by&nbsp;
325<a href="http://www.doxygen.org/index.html">
326<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
327</body>
328</html>
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