root/doc/html/classbdm_1_1Kalman.html @ 270

Revision 270, 26.3 kB (checked in by smidl, 15 years ago)

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

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3<title>mixpp: bdm::Kalman&lt; sq_T &gt; Class Template Reference</title>
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27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1Kalman.html">Kalman</a>
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31<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>
32<p>
33<div class="dynheader">
34Inheritance diagram for bdm::Kalman&lt; sq_T &gt;:</div>
35<div class="dynsection">
36<p><center><img src="classbdm_1_1Kalman__inherit__graph.png" border="0" usemap="#bdm_1_1Kalman_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
37<map name="bdm_1_1Kalman_3_01sq__T_01_4__inherit__map">
38<area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; ldmat \&gt;" alt="" coords="92,263,265,289"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="289,263,465,289"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; fsqmat \&gt;" alt="" coords="489,263,671,289"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="339,87,416,113"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="321,7,433,33"><area shape="rect" href="classbdm_1_1KFcondQR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="5,343,128,369"><area shape="rect" href="classbdm_1_1KFcondR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="152,343,264,369"><area shape="rect" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form." alt="" coords="316,343,439,369"><area shape="rect" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="328,423,427,449"><area shape="rect" href="classbdm_1_1EKFCh__cond.html" title="Extended Kalman filter with unknown parameters in IM." alt="" coords="231,503,367,529"><area shape="rect" href="classbdm_1_1EKFCh__unQ.html" title="Extended Kalman filter in Choleski form with unknown Q." alt="" coords="391,503,521,529"><area shape="rect" href="classbdm_1_1EKF.html" title="Extended Kalman Filter." alt="" coords="511,343,649,369"></map>
39<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
40
41<p>
42<a href="classbdm_1_1Kalman-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
43<h3>template&lt;class sq_T&gt;<br>
44 class bdm::Kalman&lt; sq_T &gt;</h3>
45
46<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.
47<p>
48Parameter evolution model:<p class="formulaDsp">
49<img class="formulaDsp" alt="\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]" src="form_6.png">
50<p>
51 Observation model: <p class="formulaDsp">
52<img class="formulaDsp" alt="\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]" src="form_7.png">
53<p>
54 Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances. <table border="0" cellpadding="0" cellspacing="0">
55<tr><td></td></tr>
56<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
57<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="025a0196cbcc2e6adb13311f9d3d52b4"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="025a0196cbcc2e6adb13311f9d3d52b4" args="()" -->
58&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4">Kalman</a> ()</td></tr>
59
60<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
61<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)" -->
62&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>
63
64<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr>
65<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94eb8cc31731210089db0ba4e1a08a6c"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="94eb8cc31731210089db0ba4e1a08a6c" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;R0, const sq_T &amp;Q0)" -->
66void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#94eb8cc31731210089db0ba4e1a08a6c">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;R0, const sq_T &amp;Q0)</td></tr>
67
68<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
69<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)" -->
70void&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>
71
72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
73<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)" -->
74void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bayes</a> (const vec &amp;dt)</td></tr>
75
76<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr>
77<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="bdm::Kalman::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " -->
78const <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>
79
80<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::Kalman::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
82const <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>
83
84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::Kalman::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
85mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
86
87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::Kalman::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
89vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
90
91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
92<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
93<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>
94
95<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
96<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)" -->
97virtual 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>
98
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
100<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>
101
102<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 " -->
103vec&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>
104
105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::Kalman::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
107virtual <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>
108
109<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_112.png">. <br></td></tr>
110<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
111virtual <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>
112
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
114<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::Kalman::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
116const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
117
118<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)" -->
119void&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>
120
121<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
122double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
123
124<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)" -->
125void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</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="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::Kalman::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
129<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>
130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::Kalman::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
133<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>
134
135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
136<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
137int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
138
139<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
141int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
142
143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
145int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
146
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::Kalman::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
149mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
150
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::Kalman::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
153mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::Kalman::C" ref="818eba63a23972786a4579ad30294177" args="" -->
157mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
158
159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::Kalman::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
161mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
162
163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::Kalman::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
165sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr>
166
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
168<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::Kalman::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
169sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr>
170
171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::Kalman::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
173<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>
174
175<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
176<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
177<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>
178
179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
181mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
182
183<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>
184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::Kalman::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
185vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
186
187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::Kalman::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
189sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr>
190
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::Kalman::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
193vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
194
195<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::Kalman::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
197sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr>
198
199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
200<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
201<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>
202
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
205double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
206
207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
208<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
209bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
210
211<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>
212</table>
213<hr><h2>Member Function Documentation</h2>
214<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::Kalman::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" -->
215<div class="memitem">
216<div class="memproto">
217      <table class="memname">
218        <tr>
219          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
220          <td>(</td>
221          <td class="paramname">          </td>
222          <td>&nbsp;)&nbsp;</td>
223          <td><code> [inline, virtual, inherited]</code></td>
224        </tr>
225      </table>
226</div>
227<div class="memdoc">
228
229<p>
230Copy 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>);}
231</pre></div> 
232<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p>
233
234</div>
235</div><p>
236<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::Kalman::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
237<div class="memitem">
238<div class="memproto">
239      <table class="memname">
240        <tr>
241          <td class="memname">virtual double bdm::BM::logpred           </td>
242          <td>(</td>
243          <td class="paramtype">const vec &amp;&nbsp;</td>
244          <td class="paramname"> <em>dt</em>          </td>
245          <td>&nbsp;)&nbsp;</td>
246          <td> const<code> [inline, virtual, inherited]</code></td>
247        </tr>
248      </table>
249</div>
250<div class="memdoc">
251
252<p>
253Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
254<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>
255
256<p>Referenced by <a class="el" href="libBM_8h-source.html#l00608">bdm::BM::logpred_m()</a>.</p>
257
258</div>
259</div><p>
260<hr>The documentation for this class was generated from the following file:<ul>
261<li><a class="el" href="libKF_8h-source.html">libKF.h</a></ul>
262</div>
263<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:02 2009 for mixpp by&nbsp;
264<a href="http://www.doxygen.org/index.html">
265<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
266</body>
267</html>
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