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67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1EKFCh__dQ.html">EKFCh_dQ</a>
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71<h1>bdm::EKFCh_dQ Class Reference</h1><!-- doxytag: class="bdm::EKFCh_dQ" --><!-- doxytag: inherits="bdm::EKFCh" -->Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in Choleski form with unknown diagonal <code>Q</code>. 
72<a href="#_details">More...</a>
73<p>
74<code>#include &lt;<a class="el" href="ekf__templ_8h-source.html">ekf_templ.h</a>&gt;</code>
75<p>
76
77<p>
78<a href="classbdm_1_1EKFCh__dQ-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
79<tr><td></td></tr>
80<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b37b8ffb5699b4edd533fda4ffeaa916"></a><!-- doxytag: member="bdm::EKFCh_dQ::condition" ref="b37b8ffb5699b4edd533fda4ffeaa916" args="(const vec &amp;Q0)" -->
82void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh__dQ.html#b37b8ffb5699b4edd533fda4ffeaa916">condition</a> (const vec &amp;Q0)</td></tr>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
85<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1d1d91400e3f177de9fe7962ea17adc4"></a><!-- doxytag: member="bdm::EKFCh_dQ::_copy_" ref="1d1d91400e3f177de9fe7962ea17adc4" args="() const " -->
86<a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">_copy_</a> () const </td></tr>
87
88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">copy constructor duplicated - calls different set_parameters <br></td></tr>
89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50f9fbffad721f35e5ccb75d0f6b842a"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_parameters" ref="50f9fbffad721f35e5ccb75d0f6b842a" args="(diffbifn *pfxu, diffbifn *phxu, const chmat Q0, const chmat R0)" -->
90void&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>
91
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr>
93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="20a4d4c664e8ac8a3f1bb7b0d11c6d87"></a><!-- doxytag: member="bdm::EKFCh_dQ::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)" -->
94void&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>
95
96<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c8609c37290b158f88a31dae4047225"></a><!-- doxytag: member="bdm::EKFCh_dQ::bayes" ref="4c8609c37290b158f88a31dae4047225" args="(const vec &amp;dt)" -->
98void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bayes</a> (const vec &amp;dt)</td></tr>
99
100<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e169272657ed101f3d128b49c59b890"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_statistics" ref="6e169272657ed101f3d128b49c59b890" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
102void&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>
103
104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
105void&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>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::EKFCh_dQ::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const" -->
109const <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>
110
111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKFCh_dQ::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const" -->
113const <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>
114
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKFCh_dQ::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
116mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKFCh_dQ::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
120vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
123<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKFCh_dQ::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
125virtual 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>
126
127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
128<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>
129
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKFCh_dQ::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
131vec&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>
132
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKFCh_dQ::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
135virtual <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>
136
137<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>
138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKFCh_dQ::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
139virtual <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>
140
141<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
142<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKFCh_dQ::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
144const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
145
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
147void&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>
148
149<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
150void&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>
151
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKFCh_dQ::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
153double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
154
155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
156void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
157
158<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1e895f994398a55bc425551fc275ba3"></a><!-- doxytag: member="bdm::EKFCh_dQ::pfxu" ref="e1e895f994398a55bc425551fc275ba3" args="" -->
160<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>
161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Internal Model f(x,u). <br></td></tr>
163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6b34c69641826322467b704e8252f317"></a><!-- doxytag: member="bdm::EKFCh_dQ::phxu" ref="6b34c69641826322467b704e8252f317" args="" -->
164<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>
165
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation Model h(x,u). <br></td></tr>
167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::EKFCh_dQ::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
168mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
169
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::EKFCh_dQ::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
172mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
173
174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKFCh_dQ::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
176<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>
177
178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKFCh_dQ::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
180<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>
181
182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKFCh_dQ::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
184int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
185
186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKFCh_dQ::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
188int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
189
190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKFCh_dQ::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
192int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
193
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKFCh_dQ::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
196mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
197
198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKFCh_dQ::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
200mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
201
202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
203<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKFCh_dQ::C" ref="818eba63a23972786a4579ad30294177" args="" -->
204mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
205
206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
207<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKFCh_dQ::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
208mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
209
210<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
211<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKFCh_dQ::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
212<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>
213
214<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
215<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKFCh_dQ::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
216<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>
217
218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
219<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKFCh_dQ::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
220<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>
221
222<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
223<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKFCh_dQ::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
224<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>
225
226<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
227<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKFCh_dQ::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
228mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
229
230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
231<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKFCh_dQ::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
232vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
233
234<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
235<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKFCh_dQ::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
236<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>
237
238<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
239<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKFCh_dQ::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
240vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
241
242<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
243<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKFCh_dQ::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
244<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>
245
246<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
247<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKFCh_dQ::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
248<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>
249
250<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
251<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKFCh_dQ::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
252double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
253
254<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
255<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKFCh_dQ::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
256bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
257
258<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>
259<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
260<tr><td colspan="2">This extension is useful e.g. in Marginalized Particle Filter (<a class="el" href="classbdm_1_1MPF.html">bdm::MPF</a>). Alternatively, it can be used for automated connection to <a class="el" href="classbdm_1_1DS.html" title="Abstract class for discrete-time sources of data.">DS</a> when the condition is observed <br><br></td></tr>
261<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::EKFCh_dQ::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
262const <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#b5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr>
263
264<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
265<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::EKFCh_dQ::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
266<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#de95c590d650b2db423d53992f0906cb">rvc</a></td></tr>
267
268<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
269<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
270<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="224dd68a83c1472b43163763fa93c477"></a><!-- doxytag: member="bdm::EKFCh_dQ::set_options" ref="224dd68a83c1472b43163763fa93c477" args="(const string &amp;opt)" -->
271void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#224dd68a83c1472b43163763fa93c477">set_options</a> (const string &amp;opt)</td></tr>
272
273<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string. <br></td></tr>
274<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aa5d1f7e638db229403e3917bf155ee3"></a><!-- doxytag: member="bdm::EKFCh_dQ::log_add" ref="aa5d1f7e638db229403e3917bf155ee3" args="(logger *L, const string &amp;name=&quot;&quot;)" -->
275void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#aa5d1f7e638db229403e3917bf155ee3">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> *L, const string &amp;name=&quot;&quot;)</td></tr>
276
277<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Add all logged variables to a <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>. <br></td></tr>
278<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0647606eefbf294623bf664971c7d461"></a><!-- doxytag: member="bdm::EKFCh_dQ::logit" ref="0647606eefbf294623bf664971c7d461" args="(logger *L)" -->
279void&nbsp;</td><td class="memItemRight" valign="bottom"><b>logit</b> (<a class="el" href="classbdm_1_1logger.html">logger</a> *L)</td></tr>
280
281<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::EKFCh_dQ::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
282ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
283
284<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">IDs of storages in loggers. <br></td></tr>
285<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a5e0000d2c9df99b029eceff222f7d77"></a><!-- doxytag: member="bdm::EKFCh_dQ::opt_L_bounds" ref="a5e0000d2c9df99b029eceff222f7d77" args="" -->
286bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a5e0000d2c9df99b029eceff222f7d77">opt_L_bounds</a></td></tr>
287
288<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Option for logging bounds. <br></td></tr>
289</table>
290<hr><a name="_details"></a><h2>Detailed Description</h2>
291Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in Choleski form with unknown diagonal <code>Q</code>. <hr><h2>Member Function Documentation</h2>
292<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKFCh_dQ::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
293<div class="memitem">
294<div class="memproto">
295      <table class="memname">
296        <tr>
297          <td class="memname">virtual double bdm::BM::logpred           </td>
298          <td>(</td>
299          <td class="paramtype">const vec &amp;&nbsp;</td>
300          <td class="paramname"> <em>dt</em>          </td>
301          <td>&nbsp;)&nbsp;</td>
302          <td> const<code> [inline, virtual, inherited]</code></td>
303        </tr>
304      </table>
305</div>
306<div class="memdoc">
307
308<p>
309Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
310<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>
311
312<p>Referenced by <a class="el" href="libBM_8h-source.html#l00661">bdm::BM::logpred_m()</a>.</p>
313
314</div>
315</div><p>
316<hr>The documentation for this class was generated from the following file:<ul>
317<li><a class="el" href="ekf__templ_8h-source.html">ekf_templ.h</a></ul>
318</div>
319<hr size="1"><address style="text-align: right;"><small>Generated on Tue Mar 17 18:33:04 2009 for mixpp by&nbsp;
320<a href="http://www.doxygen.org/index.html">
321<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
322</body>
323</html>
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