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67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1KalmanCh.html">KalmanCh</a>
68  </div>
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71<h1>bdm::KalmanCh Class Reference</h1><!-- doxytag: class="bdm::KalmanCh" --><!-- doxytag: inherits="Kalman&lt; chmat &gt;" --><code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
72<p>
73<div class="dynheader">
74Inheritance diagram for bdm::KalmanCh:</div>
75<div class="dynsection">
76
77<p><center><img src="classbdm_1_1KalmanCh.png" usemap="#bdm::KalmanCh_map" border="0" alt=""></center>
78<map name="bdm::KalmanCh_map">
79<area href="classbdm_1_1Kalman.html" alt="bdm::Kalman< chmat >" shape="rect" coords="74,112,213,136">
80<area href="classbdm_1_1BM.html" alt="bdm::BM" shape="rect" coords="74,56,213,80">
81<area href="classbdm_1_1bdmroot.html" alt="bdm::bdmroot" shape="rect" coords="74,0,213,24">
82<area href="classbdm_1_1EKFCh.html" alt="bdm::EKFCh" shape="rect" coords="74,224,213,248">
83<area href="classbdm_1_1EKFCh__cond.html" alt="bdm::EKFCh_cond" shape="rect" coords="0,280,139,304">
84<area href="classbdm_1_1EKFCh__unQ.html" alt="bdm::EKFCh_unQ" shape="rect" coords="149,280,288,304">
85</map>
86</div>
87
88<p>
89<a href="classbdm_1_1KalmanCh-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
90<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.
91<p>
92Trivial example: <div class="fragment"><pre class="fragment"><span class="preprocessor">#include &lt;<a class="code" href="libKF_8h.html" title="Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.">estim/libKF.h</a>&gt;</span>
93<span class="keyword">using namespace </span>bdm;
94       
95<span class="comment">// estimation of AR(0) model</span>
96<span class="keywordtype">int</span> main() {
97        <span class="comment">//dimensions</span>
98        <span class="keywordtype">int</span> dx=3, dy=3, du=1;
99        <span class="comment">// matrices</span>
100        mat A = eye(dx);
101        mat B = zeros(dx,du);
102        mat C = eye(dx);
103        mat D = zeros(dy,du);
104        mat Q = eye(dx);
105        mat R = 0.1*eye(dy);
106        <span class="comment">//prior</span>
107        mat P0 = 100*eye(dx);
108        vec mu0 = zeros(dx);
109        <span class="comment">// Estimator</span>
110        <a class="code" href="classbdm_1_1KalmanCh.html#830486554e1a2c7652541dbc9dcd3fb3" title="Default constructor.">KalmanCh</a> KF;
111        KF.set_parameters(A,B,C,D,<span class="comment">/*covariances*/</span> Q,R);
112        KF.set_statistics(mu0,P0);
113        <span class="comment">// Estimation loop</span>
114        <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i=0;i&lt;100;i++){
115                KF.bayes(randn(dx+du));
116        }
117        <span class="comment">//print results</span>
118        cout &lt;&lt; <span class="stringliteral">"Posterior estimate of x is: "</span>  &lt;&lt; endl;
119        cout &lt;&lt; <span class="stringliteral">"mean: "</span>&lt;&lt; KF.posterior().mean()&lt;&lt; endl;
120        cout &lt;&lt; <span class="stringliteral">"variance: "</span>&lt;&lt; KF.posterior().variance()&lt;&lt; endl;
121}
122</pre></div> <table border="0" cellpadding="0" cellspacing="0">
123<tr><td></td></tr>
124<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
125<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="830486554e1a2c7652541dbc9dcd3fb3"></a><!-- doxytag: member="bdm::KalmanCh::KalmanCh" ref="830486554e1a2c7652541dbc9dcd3fb3" args="()" -->
126&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#830486554e1a2c7652541dbc9dcd3fb3">KalmanCh</a> ()</td></tr>
127
128<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
129<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="20a4d4c664e8ac8a3f1bb7b0d11c6d87"></a><!-- doxytag: member="bdm::KalmanCh::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)" -->
130void&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>
131
132<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
133<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e169272657ed101f3d128b49c59b890"></a><!-- doxytag: member="bdm::KalmanCh::set_statistics" ref="6e169272657ed101f3d128b49c59b890" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
134void&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>
135
136<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>
137
138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#b41fe5540548100b08e1684c3be767b6"></a><br></td></tr>
139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::KalmanCh::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
140void&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>
141
142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::KalmanCh::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " -->
144const <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>
145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::KalmanCh::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " -->
148const <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>
149
150<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::KalmanCh::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
151mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
152
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
154<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::KalmanCh::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
155vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
156
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
158<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
159<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>
160
161<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
162<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)" -->
163virtual 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>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
166<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>
167
168<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 " -->
169vec&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>
170
171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::KalmanCh::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
173virtual <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>
174
175<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>
176<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::KalmanCh::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
177virtual <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>
178
179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
180<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
181<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::KalmanCh::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
182const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
183
184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::KalmanCh::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
185void&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>
186
187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::KalmanCh::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
188void&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>
189
190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanCh::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
191double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
192
193<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)" -->
194void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
195
196<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
197<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::KalmanCh::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
198mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
199
200<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
201<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::KalmanCh::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
202mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
203
204<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
205<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::KalmanCh::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
206<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>
207
208<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
209<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::KalmanCh::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
210<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>
211
212<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
213<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::KalmanCh::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
214int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
215
216<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
217<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::KalmanCh::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
218int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
219
220<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
221<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::KalmanCh::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
222int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
223
224<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
225<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::KalmanCh::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
226mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
227
228<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
229<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::KalmanCh::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
230mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
231
232<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
233<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::KalmanCh::C" ref="818eba63a23972786a4579ad30294177" args="" -->
234mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
235
236<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
237<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::KalmanCh::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
238mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
239
240<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
241<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::KalmanCh::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
242<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>
243
244<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
245<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::KalmanCh::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
246<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>
247
248<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
249<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::KalmanCh::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
250<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>
251
252<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
253<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanCh::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
254<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>
255
256<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
257<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanCh::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
258mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
259
260<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
261<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::KalmanCh::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
262vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
263
264<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
265<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::KalmanCh::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
266<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>
267
268<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
269<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::KalmanCh::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
270vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
271
272<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
273<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::KalmanCh::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
274<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>
275
276<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
277<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::KalmanCh::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
278<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>
279
280<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
281<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanCh::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
282double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
283
284<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
285<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanCh::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
286bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
287
288<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>
289</table>
290<hr><h2>Member Function Documentation</h2>
291<a class="anchor" name="b41fe5540548100b08e1684c3be767b6"></a><!-- doxytag: member="bdm::KalmanCh::bayes" ref="b41fe5540548100b08e1684c3be767b6" args="(const vec &amp;dt)" -->
292<div class="memitem">
293<div class="memproto">
294      <table class="memname">
295        <tr>
296          <td class="memname">void bdm::KalmanCh::bayes           </td>
297          <td>(</td>
298          <td class="paramtype">const vec &amp;&nbsp;</td>
299          <td class="paramname"> <em>dt</em>          </td>
300          <td>&nbsp;)&nbsp;</td>
301          <td><code> [virtual]</code></td>
302        </tr>
303      </table>
304</div>
305<div class="memdoc">
306
307<p>
308Here dt = [yt;ut] of appropriate dimensions.
309<p>
310The following equality hold::<p class="formulaDsp">
311<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">
312<p>
313<p>
314Thus this object evaluates only predictors! Not filtering densities.
315<p>Reimplemented from <a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bdm::Kalman&lt; chmat &gt;</a>.</p>
316
317<p>Reimplemented in <a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>.</p>
318
319<p>References <a class="el" href="chmat_8h-source.html#l00067">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#l00603">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#l00601">bdm::BM::ll</a>, <a class="el" href="libKF_8h-source.html#l00142">postA</a>, and <a class="el" href="libKF_8h-source.html#l00140">preA</a>.</p>
320
321</div>
322</div><p>
323<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::KalmanCh::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" -->
324<div class="memitem">
325<div class="memproto">
326      <table class="memname">
327        <tr>
328          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
329          <td>(</td>
330          <td class="paramname">          </td>
331          <td>&nbsp;)&nbsp;</td>
332          <td><code> [inline, virtual, inherited]</code></td>
333        </tr>
334      </table>
335</div>
336<div class="memdoc">
337
338<p>
339Copy 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>);}
340</pre></div> 
341<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p>
342
343</div>
344</div><p>
345<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanCh::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
346<div class="memitem">
347<div class="memproto">
348      <table class="memname">
349        <tr>
350          <td class="memname">virtual double bdm::BM::logpred           </td>
351          <td>(</td>
352          <td class="paramtype">const vec &amp;&nbsp;</td>
353          <td class="paramname"> <em>dt</em>          </td>
354          <td>&nbsp;)&nbsp;</td>
355          <td> const<code> [inline, virtual, inherited]</code></td>
356        </tr>
357      </table>
358</div>
359<div class="memdoc">
360
361<p>
362Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
363<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>
364
365<p>Referenced by <a class="el" href="libBM_8h-source.html#l00628">bdm::BM::logpred_m()</a>.</p>
366
367</div>
368</div><p>
369<hr>The documentation for this class was generated from the following files:<ul>
370<li><a class="el" href="libKF_8h-source.html">libKF.h</a><li>libKF.cpp</ul>
371</div>
372<hr size="1"><address style="text-align: right;"><small>Generated on Sun Feb 15 23:09:35 2009 for mixpp by&nbsp;
373<a href="http://www.doxygen.org/index.html">
374<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
375</body>
376</html>
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