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3<title>mixpp: bdm::Kalman&lt; sq_T &gt; Class Template Reference</title>
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[271]67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1Kalman.html">Kalman</a>
[259]68  </div>
69</div>
70<div class="contents">
[270]71<h1>bdm::Kalman&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::Kalman" --><!-- doxytag: inherits="bdm::BM" --><code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
[259]72<p>
73<div class="dynheader">
74Inheritance diagram for bdm::Kalman&lt; sq_T &gt;:</div>
75<div class="dynsection">
76
[271]77<p><center><img src="classbdm_1_1Kalman.png" usemap="#bdm::Kalman< sq_T >_map" border="0" alt=""></center>
78<map name="bdm::Kalman< sq_T >_map">
79<area href="classbdm_1_1BM.html" alt="bdm::BM" shape="rect" coords="0,56,132,80">
80<area href="classbdm_1_1bdmroot.html" alt="bdm::bdmroot" shape="rect" coords="0,0,132,24">
81</map>
82</div>
83
[259]84<p>
[270]85<a href="classbdm_1_1Kalman-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
86<h3>template&lt;class sq_T&gt;<br>
87 class bdm::Kalman&lt; sq_T &gt;</h3>
88
89<a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with covariance matrices in square root form.
90<p>
91Parameter evolution model:<p class="formulaDsp">
[275]92<img class="formulaDsp" alt="\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]" src="form_9.png">
[270]93<p>
94 Observation model: <p class="formulaDsp">
[275]95<img class="formulaDsp" alt="\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]" src="form_10.png">
[270]96<p>
97 Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances. <table border="0" cellpadding="0" cellspacing="0">
[259]98<tr><td></td></tr>
99<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[270]100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="025a0196cbcc2e6adb13311f9d3d52b4"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="025a0196cbcc2e6adb13311f9d3d52b4" args="()" -->
101&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4">Kalman</a> ()</td></tr>
[259]102
103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b22c45cffa949d70b8e5ac92ed5ce25"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="8b22c45cffa949d70b8e5ac92ed5ce25" args="(const Kalman&lt; sq_T &gt; &amp;K0)" -->
105&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#8b22c45cffa949d70b8e5ac92ed5ce25">Kalman</a> (const <a class="el" href="classbdm_1_1Kalman.html">Kalman</a>&lt; sq_T &gt; &amp;K0)</td></tr>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr>
[271]108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c7fb87fb6b87d08deb6a5a7862da957"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="3c7fb87fb6b87d08deb6a5a7862da957" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;Q0, const sq_T &amp;R0)" -->
109void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;Q0, const sq_T &amp;R0)</td></tr>
[259]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="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::Kalman::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const sq_T &amp;P0)" -->
113void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &amp;mu0, const sq_T &amp;P0)</td></tr>
114
115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4a39330c14eff8d13179e868a1d1aa8c"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="4a39330c14eff8d13179e868a1d1aa8c" args="(const vec &amp;dt)" -->
117void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bayes</a> (const vec &amp;dt)</td></tr>
118
119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
[271]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " -->
121const <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>
[259]122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::Kalman::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
[270]125const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
[259]126
127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::Kalman::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
128mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
129
130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::Kalman::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
132vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
133
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[270]135<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
136<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>
137
138<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::Kalman::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
140virtual 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>
141
142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
143<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>
144
145<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::Kalman::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
146vec&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>
147
148<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[270]149<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::Kalman::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
150virtual <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>
[259]151
[275]152<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>
[270]153<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
154virtual <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>
[259]155
[270]156<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
157<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[269]158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::Kalman::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[270]159const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
[269]160
161<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::Kalman::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
[270]162void&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>
[269]163
[271]164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::Kalman::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
165void&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>
166
[259]167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[270]168double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[259]169
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::Kalman::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
[270]171void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[259]172
173<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::Kalman::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
175<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>
176
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
178<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::Kalman::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
179<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>
180
181<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
183int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
184
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
187int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
188
189<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
191int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
192
193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::Kalman::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
195mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
196
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
198<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::Kalman::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
199mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
200
201<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
202<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::Kalman::C" ref="818eba63a23972786a4579ad30294177" args="" -->
203mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
204
205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
206<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::Kalman::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
207mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
208
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
210<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::Kalman::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
211sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr>
212
213<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
214<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::Kalman::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
215sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr>
216
217<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
218<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::Kalman::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
219<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr>
220
221<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
222<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
223<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
224
225<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
226<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
227mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
228
229<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> gain <br></td></tr>
230<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::Kalman::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
231vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
232
233<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
234<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::Kalman::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
235sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr>
236
237<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
238<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::Kalman::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
239vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
240
241<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
242<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::Kalman::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
243sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr>
244
245<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
[269]246<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
247<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>
248
249<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
[259]250<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
251double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
252
253<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
254<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
255bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
256
257<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>
258</table>
[270]259<hr><h2>Member Function Documentation</h2>
260<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::Kalman::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" -->
[259]261<div class="memitem">
262<div class="memproto">
263      <table class="memname">
264        <tr>
[270]265          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
[259]266          <td>(</td>
[270]267          <td class="paramname">          </td>
[259]268          <td>&nbsp;)&nbsp;</td>
[270]269          <td><code> [inline, virtual, inherited]</code></td>
[259]270        </tr>
271      </table>
272</div>
273<div class="memdoc">
274
275<p>
[270]276Copy 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>);}
277</pre></div> 
278<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p>
[259]279
280</div>
281</div><p>
[270]282<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::Kalman::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
[259]283<div class="memitem">
284<div class="memproto">
285      <table class="memname">
286        <tr>
[270]287          <td class="memname">virtual double bdm::BM::logpred           </td>
[259]288          <td>(</td>
[270]289          <td class="paramtype">const vec &amp;&nbsp;</td>
290          <td class="paramname"> <em>dt</em>          </td>
[259]291          <td>&nbsp;)&nbsp;</td>
[270]292          <td> const<code> [inline, virtual, inherited]</code></td>
[259]293        </tr>
294      </table>
295</div>
296<div class="memdoc">
297
298<p>
[270]299Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
300<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>
[259]301
[271]302<p>Referenced by <a class="el" href="libBM_8h-source.html#l00628">bdm::BM::logpred_m()</a>.</p>
[270]303
[259]304</div>
305</div><p>
306<hr>The documentation for this class was generated from the following file:<ul>
[261]307<li><a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
[259]308</div>
[275]309<hr size="1"><address style="text-align: right;"><small>Generated on Mon Feb 16 10:06:32 2009 for mixpp by&nbsp;
[259]310<a href="http://www.doxygen.org/index.html">
311<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
312</body>
313</html>
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