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3<title>mixpp: bdm::KalmanCh Class Reference</title>
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27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1KalmanCh.html">KalmanCh</a>
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30<div class="contents">
31<h1>bdm::KalmanCh Class Reference</h1><!-- doxytag: class="bdm::KalmanCh" --><!-- doxytag: inherits="Kalman&lt; chmat &gt;" --><a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. 
32<a href="#_details">More...</a>
33<p>
34<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
35<p>
36<div class="dynheader">
37Inheritance diagram for bdm::KalmanCh:</div>
38<div class="dynsection">
39<p><center><img src="classbdm_1_1KalmanCh__inherit__graph.png" border="0" usemap="#bdm_1_1KalmanCh__inherit__map" alt="Inheritance graph"></center>
40<map name="bdm_1_1KalmanCh__inherit__map">
41<area shape="rect" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="103,423,201,449"><area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="64,263,240,289"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="89,87,167,113"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="149,167,315,193"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="72,7,184,33"><area shape="rect" href="classbdm_1_1EKFCh__cond.html" title="Extended Kalman filter with unknown parameters in IM." alt="" coords="5,503,141,529"><area shape="rect" href="classbdm_1_1EKFCh__unQ.html" title="Extended Kalman filter in Choleski form with unknown Q." alt="" coords="165,503,296,529"></map>
42<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
43<div class="dynheader">
44Collaboration diagram for bdm::KalmanCh:</div>
45<div class="dynsection">
46<p><center><img src="classbdm_1_1KalmanCh__coll__graph.png" border="0" usemap="#bdm_1_1KalmanCh__coll__map" alt="Collaboration graph"></center>
47<map name="bdm_1_1KalmanCh__coll__map">
48<area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; chmat \&gt;" alt="" coords="199,695,375,721"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="249,185,327,212"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="341,335,507,361"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="199,7,311,33"><area shape="rect" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables." alt="" coords="292,87,367,113"><area shape="rect" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="43,185,128,212"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="256,447,317,473"><area shape="rect" href="classbdm_1_1enorm.html" title="bdm::enorm\&lt; chmat \&gt;" alt="" coords="7,563,177,589"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="256,335,317,361"><area shape="rect" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density." alt="" coords="5,335,85,361"><area shape="rect" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="21,447,181,473"></map>
49<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
50
51<p>
52<a href="classbdm_1_1KalmanCh-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
53<tr><td></td></tr>
54<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5c50fb48d2c7fb6d31e2061f32ecc230"></a><!-- doxytag: member="bdm::KalmanCh::KalmanCh" ref="5c50fb48d2c7fb6d31e2061f32ecc230" args="(RV rvx0, RV rvy0, RV rvu0)" -->
56&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#5c50fb48d2c7fb6d31e2061f32ecc230">KalmanCh</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rvx0, <a class="el" href="classbdm_1_1RV.html">RV</a> rvy0, <a class="el" href="classbdm_1_1RV.html">RV</a> rvu0)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab3a87ba1831e53f193a9dfbaf56a879"></a><!-- doxytag: member="bdm::KalmanCh::set_parameters" ref="ab3a87ba1831e53f193a9dfbaf56a879" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const chmat &amp;R0, const chmat &amp;Q0)" -->
60void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#ab3a87ba1831e53f193a9dfbaf56a879">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;R0, const <a class="el" href="classchmat.html">chmat</a> &amp;Q0)</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f559387dd38bd6002be490cc62987290"></a><!-- doxytag: member="bdm::KalmanCh::set_est" ref="f559387dd38bd6002be490cc62987290" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
64void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#f559387dd38bd6002be490cc62987290">set_est</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6">bayes</a> (const vec &amp;dt)</td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#b41fe5540548100b08e1684c3be767b6"></a><br></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="bdm::KalmanCh::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " -->
71const <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>
72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::KalmanCh::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
75const <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#c34989b1e53c7d4ecdaea63a95ddbd77">_e</a> () const </td></tr>
76
77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the epdf representing posterior density on parameters. Use with care! <br></td></tr>
78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::KalmanCh::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
79mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::KalmanCh::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
83vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::KalmanCh::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
87virtual 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>
88
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
90<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>
91
92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::KalmanCh::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
93vec&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>
94
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="710e7d69c0d8791fb41a7cd4683cca2c"></a><!-- doxytag: member="bdm::KalmanCh::predictor" ref="710e7d69c0d8791fb41a7cd4683cca2c" args="(const RV &amp;rv) const " -->
97virtual <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#710e7d69c0d8791fb41a7cd4683cca2c">predictor</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>) const </td></tr>
98
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr>
100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40a3c891996391e3135518053a917793"></a><!-- doxytag: member="bdm::KalmanCh::_rv" ref="40a3c891996391e3135518053a917793" args="() const " -->
101const <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#40a3c891996391e3135518053a917793">_rv</a> () const </td></tr>
102
103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanCh::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
105double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::KalmanCh::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
109void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</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">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#3efb3098172f1f67564a312fe732473e">_copy_</a> (bool changerv=false)</td></tr>
113
114<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::KalmanCh::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
116mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::KalmanCh::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
120mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::KalmanCh::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
124<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>
125
126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::KalmanCh::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
128<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>
129
130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::KalmanCh::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
132int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
133
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::KalmanCh::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
136int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
137
138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::KalmanCh::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
140int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
141
142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::KalmanCh::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
144mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::KalmanCh::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
148mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
149
150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::KalmanCh::C" ref="818eba63a23972786a4579ad30294177" args="" -->
152mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
153
154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::KalmanCh::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
156mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
157
158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::KalmanCh::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
160<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>
161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::KalmanCh::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
164<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>
165
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::KalmanCh::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
168<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>
169
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanCh::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
172<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>
173
174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanCh::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
176mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
177
178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::KalmanCh::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
180vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
181
182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::KalmanCh::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
184<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>
185
186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::KalmanCh::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
188vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
189
190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::KalmanCh::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
192<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>
193
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18d6db4af8ee42077741d9e3618153ca"></a><!-- doxytag: member="bdm::KalmanCh::rv" ref="18d6db4af8ee42077741d9e3618153ca" args="" -->
196<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#18d6db4af8ee42077741d9e3618153ca">rv</a></td></tr>
197
198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr>
199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanCh::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
200double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
201
202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
203<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanCh::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
204bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
205
206<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>
207</table>
208<hr><a name="_details"></a><h2>Detailed Description</h2>
209<a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. <hr><h2>Member Function Documentation</h2>
210<a class="anchor" name="b41fe5540548100b08e1684c3be767b6"></a><!-- doxytag: member="bdm::KalmanCh::bayes" ref="b41fe5540548100b08e1684c3be767b6" args="(const vec &amp;dt)" -->
211<div class="memitem">
212<div class="memproto">
213      <table class="memname">
214        <tr>
215          <td class="memname">void bdm::KalmanCh::bayes           </td>
216          <td>(</td>
217          <td class="paramtype">const vec &amp;&nbsp;</td>
218          <td class="paramname"> <em>dt</em>          </td>
219          <td>&nbsp;)&nbsp;</td>
220          <td><code> [virtual]</code></td>
221        </tr>
222      </table>
223</div>
224<div class="memdoc">
225
226<p>
227Here dt = [yt;ut] of appropriate dimensions.
228<p>
229The following equality hold::<p class="formulaDsp">
230<img class="formulaDsp" alt="\[ \left[\begin{array}{cc} R^{0.5}\\ P_{t|t-1}^{0.5}C' &amp; P_{t|t-1}^{0.5}CA'\\ &amp; Q^{0.5}\end{array}\right]<\mathrm{orth.oper.}>=\left[\begin{array}{cc} R_{y}^{0.5} &amp; KA'\\ &amp; P_{t+1|t}^{0.5}\\ \\\end{array}\right]\]" src="form_17.png">
231<p>
232<p>
233Thus this object evaluates only predictors! Not filtering densities.
234<p>Reimplemented from <a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bdm::Kalman&lt; chmat &gt;</a>.</p>
235
236<p>Reimplemented in <a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>.</p>
237
238<p>References <a class="el" href="chmat_8h-source.html#l00065">chmat::_Ch()</a>, <a class="el" href="libKF_8h-source.html#l00095">bdm::Kalman&lt; chmat &gt;::_K</a>, <a class="el" href="libKF_8h-source.html#l00101">bdm::Kalman&lt; chmat &gt;::_mu</a>, <a class="el" href="libKF_8h-source.html#l00103">bdm::Kalman&lt; chmat &gt;::_P</a>, <a class="el" href="libKF_8h-source.html#l00099">bdm::Kalman&lt; chmat &gt;::_Ry</a>, <a class="el" href="libKF_8h-source.html#l00097">bdm::Kalman&lt; chmat &gt;::_yp</a>, <a class="el" href="libKF_8h-source.html#l00077">bdm::Kalman&lt; chmat &gt;::A</a>, <a class="el" href="libKF_8h-source.html#l00079">bdm::Kalman&lt; chmat &gt;::B</a>, <a class="el" href="libKF_8h-source.html#l00081">bdm::Kalman&lt; chmat &gt;::C</a>, <a class="el" href="libKF_8h-source.html#l00083">bdm::Kalman&lt; chmat &gt;::D</a>, <a class="el" href="libKF_8h-source.html#l00075">bdm::Kalman&lt; chmat &gt;::dimu</a>, <a class="el" href="libKF_8h-source.html#l00071">bdm::Kalman&lt; chmat &gt;::dimx</a>, <a class="el" href="libKF_8h-source.html#l00073">bdm::Kalman&lt; chmat &gt;::dimy</a>, <a class="el" href="libBM_8h-source.html#l00503">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00049">bdm::eEF::evallog()</a>, <a class="el" href="libKF_8h-source.html#l00092">bdm::Kalman&lt; chmat &gt;::fy</a>, <a class="el" href="libBM_8h-source.html#l00501">bdm::BM::ll</a>, <a class="el" href="libKF_8h-source.html#l00138">postA</a>, and <a class="el" href="libKF_8h-source.html#l00136">preA</a>.</p>
239
240</div>
241</div><p>
242<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanCh::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
243<div class="memitem">
244<div class="memproto">
245      <table class="memname">
246        <tr>
247          <td class="memname">virtual double bdm::BM::logpred           </td>
248          <td>(</td>
249          <td class="paramtype">const vec &amp;&nbsp;</td>
250          <td class="paramname"> <em>dt</em>          </td>
251          <td>&nbsp;)&nbsp;</td>
252          <td> const<code> [inline, virtual, inherited]</code></td>
253        </tr>
254      </table>
255</div>
256<div class="memdoc">
257
258<p>
259Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
260<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>
261
262<p>Referenced by <a class="el" href="libBM_8h-source.html#l00528">bdm::BM::logpred_m()</a>.</p>
263
264</div>
265</div><p>
266<a class="anchor" name="3efb3098172f1f67564a312fe732473e"></a><!-- doxytag: member="bdm::KalmanCh::_copy_" ref="3efb3098172f1f67564a312fe732473e" args="(bool changerv=false)" -->
267<div class="memitem">
268<div class="memproto">
269      <table class="memname">
270        <tr>
271          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
272          <td>(</td>
273          <td class="paramtype">bool&nbsp;</td>
274          <td class="paramname"> <em>changerv</em> = <code>false</code>          </td>
275          <td>&nbsp;)&nbsp;</td>
276          <td><code> [inline, virtual, inherited]</code></td>
277        </tr>
278      </table>
279</div>
280<div class="memdoc">
281
282<p>
283Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: BM* <a class="el" href="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_()</a>{<a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }
284<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb">bdm::ARX</a>, and <a class="el" href="classbdm_1_1BMEF.html#5912dbcf28ae711e30b08c2fa766a3e6">bdm::BMEF</a>.</p>
285
286</div>
287</div><p>
288<hr>The documentation for this class was generated from the following files:<ul>
289<li><a class="el" href="libKF_8h-source.html">libKF.h</a><li>libKF.cpp</ul>
290</div>
291<hr size="1"><address style="text-align: right;"><small>Generated on Fri Feb 6 19:50:03 2009 for mixpp by&nbsp;
292<a href="http://www.doxygen.org/index.html">
293<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
294</body>
295</html>
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