bdm::EKFfull Class Reference

Extended Kalman Filter in full matrices. More...

#include <libKF.h>

Inheritance diagram for bdm::EKFfull:

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Collaboration diagram for bdm::EKFfull:

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List of all members.

Public Member Functions
	EKFfull (RV rvx, RV rvy, RV rvu)
	Default constructor.
void	set_parameters (diffbifn *pfxu, diffbifn *phxu, const mat Q0, const mat R0)
	Set nonlinear functions for mean values and covariance matrices.
void	bayes (const vec &dt)
	Here dt = [yt;ut] of appropriate dimensions.
void	set_est (vec mu0, mat P0)
	set estimates
const epdf &	_epdf () const
	dummy!
const enorm< fsqmat > *	_e () const
	Returns a pointer to the epdf representing posterior density on parameters. Use with care!
const mat	_R ()
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 *	predictor (const RV &rv) const
	Constructs a predictive density (marginal density on data).
const RV &	_rv () const
	access function
const RV &	_drv () const
	access function
void	set_drv (const RV &rv)
	set drv
double	_ll () const
	access function
void	set_evalll (bool evl0)
	access function
virtual BM *	_copy_ (bool changerv=false)
Public Attributes
vec	mu
	Mean value of the posterior density.
mat	P
	Variance of the posterior density.
bool	evalll
double	ll
Protected Attributes
int	dimx
int	dimy
int	dimu
mat	A
mat	B
mat	C
mat	D
mat	R
mat	Q
mat	_Pp
mat	_Ry
mat	_iRy
mat	_K
RV	rv
	Random variable of the posterior.
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.
Friends
std::ostream &	operator<< (std::ostream &os, const KalmanFull &kf)
	print elements of KF

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Detailed Description

Extended Kalman Filter in full matrices.

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

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Member Function Documentation

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().

virtual BM* bdm::BM::_copy_

(

bool

changerv = false

)

[inline, virtual, inherited]

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype: BM* _copy_(){BM Tmp*=new Tmp(this*); return Tmp; }

Reimplemented in bdm::ARX, and bdm::BMEF.

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

• libKF.h
• libKF.cpp