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67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1KalmanCh.html">KalmanCh</a>
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71<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. 
72<a href="#_details">More...</a>
73<p>
74<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code>
75<p>
76
77<p>
78<a href="classbdm_1_1KalmanCh-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
79<tr><td></td></tr>
80<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="24ce65bdaa538d4d5153d709a929b996"></a><!-- doxytag: member="bdm::KalmanCh::_copy_" ref="24ce65bdaa538d4d5153d709a929b996" args="() const " -->
82<a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">_copy_</a> () const </td></tr>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">copy constructor <br></td></tr>
85<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)" -->
86void&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>
87
88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr>
89<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)" -->
90void&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>
91
92<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>
93
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#b41fe5540548100b08e1684c3be767b6"></a><br></td></tr>
95<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)" -->
96void&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>
97
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::KalmanCh::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const" -->
100const <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>
101
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::KalmanCh::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const" -->
104const <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>
105
106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::KalmanCh::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" -->
107mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr>
108
109<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
110<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::KalmanCh::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" -->
111vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr>
112
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
114<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
115<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)" -->
116virtual 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>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
119<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>
120
121<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 " -->
122vec&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>
123
124<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
125<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::KalmanCh::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
126virtual <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>
127
128<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>
129<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::KalmanCh::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
130virtual <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>
131
132<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr>
133<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::KalmanCh::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
135const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
136
137<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)" -->
138void&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>
139
140<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)" -->
141void&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>
142
143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanCh::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
144double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
145
146<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)" -->
147void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
148
149<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
150<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::KalmanCh::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
151mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">preA</a></td></tr>
152
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pre array (triangular matrix) <br></td></tr>
154<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::KalmanCh::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
155mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
156
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::KalmanCh::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" -->
159<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>
160
161<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr>
162<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::KalmanCh::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" -->
163<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>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr>
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::KalmanCh::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" -->
167int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr>
168
169<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::KalmanCh::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" -->
171int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr>
172
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::KalmanCh::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" -->
175int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr>
176
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
178<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::KalmanCh::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" -->
179mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr>
180
181<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::KalmanCh::B" ref="5977b2c81857948a35105f0e7840203c" args="" -->
183mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr>
184
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::KalmanCh::C" ref="818eba63a23972786a4579ad30294177" args="" -->
187mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr>
188
189<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::KalmanCh::D" ref="7b56ac423d0654b5755e4f852a870456" args="" -->
191mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr>
192
193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::KalmanCh::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" -->
195<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>
196
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
198<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::KalmanCh::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" -->
199<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>
200
201<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
202<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::KalmanCh::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" -->
203<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>
204
205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr>
206<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanCh::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
207<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>
208
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr>
210<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanCh::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
211mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
212
213<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr>
214<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::KalmanCh::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" -->
215vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr>
216
217<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr>
218<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::KalmanCh::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" -->
219<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>
220
221<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr>
222<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::KalmanCh::_mu" ref="fa172078091e45561343fa513dd573b0" args="" -->
223vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr>
224
225<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr>
226<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::KalmanCh::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" -->
227<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>
228
229<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr>
230<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::KalmanCh::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
231<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>
232
233<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
234<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanCh::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
235double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
236
237<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
238<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanCh::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
239bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
240
241<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>
242<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
243<tr><td colspan="2">This extension is useful e.g. in Marginalized Particle Filter (<a class="el" href="classbdm_1_1MPF.html">bdm::MPF</a>). Alternatively, it can be used for automated connection to <a class="el" href="classbdm_1_1DS.html" title="Abstract class for discrete-time sources of data.">DS</a> when the condition is observed <br><br></td></tr>
244<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::KalmanCh::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
245const <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#b5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr>
246
247<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
248<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::KalmanCh::condition" ref="6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
249virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#6799f4b16a6a59ed58b1d0d6e17116f4">condition</a> (const vec &amp;val)</td></tr>
250
251<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
252<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::KalmanCh::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
253<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#de95c590d650b2db423d53992f0906cb">rvc</a></td></tr>
254
255<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
256<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
257<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="224dd68a83c1472b43163763fa93c477"></a><!-- doxytag: member="bdm::KalmanCh::set_options" ref="224dd68a83c1472b43163763fa93c477" args="(const string &amp;opt)" -->
258void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#224dd68a83c1472b43163763fa93c477">set_options</a> (const string &amp;opt)</td></tr>
259
260<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string. <br></td></tr>
261<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aa5d1f7e638db229403e3917bf155ee3"></a><!-- doxytag: member="bdm::KalmanCh::log_add" ref="aa5d1f7e638db229403e3917bf155ee3" args="(logger *L, const string &amp;name=&quot;&quot;)" -->
262void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#aa5d1f7e638db229403e3917bf155ee3">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> *L, const string &amp;name=&quot;&quot;)</td></tr>
263
264<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Add all logged variables to a <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>. <br></td></tr>
265<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0647606eefbf294623bf664971c7d461"></a><!-- doxytag: member="bdm::KalmanCh::logit" ref="0647606eefbf294623bf664971c7d461" args="(logger *L)" -->
266void&nbsp;</td><td class="memItemRight" valign="bottom"><b>logit</b> (<a class="el" href="classbdm_1_1logger.html">logger</a> *L)</td></tr>
267
268<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::KalmanCh::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
269ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
270
271<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">IDs of storages in loggers. <br></td></tr>
272<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a5e0000d2c9df99b029eceff222f7d77"></a><!-- doxytag: member="bdm::KalmanCh::opt_L_bounds" ref="a5e0000d2c9df99b029eceff222f7d77" args="" -->
273bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a5e0000d2c9df99b029eceff222f7d77">opt_L_bounds</a></td></tr>
274
275<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Option for logging bounds. <br></td></tr>
276</table>
277<hr><a name="_details"></a><h2>Detailed Description</h2>
278<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.
279<p>
280Trivial 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>
281<span class="keyword">using namespace </span>bdm;
282       
283<span class="comment">// estimation of AR(0) model</span>
284<span class="keywordtype">int</span> main() {
285        <span class="comment">//dimensions</span>
286        <span class="keywordtype">int</span> dx=3, dy=3, du=1;
287        <span class="comment">// matrices</span>
288        mat A = eye(dx);
289        mat B = zeros(dx,du);
290        mat C = eye(dx);
291        mat D = zeros(dy,du);
292        mat Q = eye(dx);
293        mat R = 0.1*eye(dy);
294        <span class="comment">//prior</span>
295        mat P0 = 100*eye(dx);
296        vec mu0 = zeros(dx);
297        <span class="comment">// Estimator</span>
298        KalmanCh KF;
299        KF.set_parameters(A,B,C,D,<span class="comment">/*covariances*/</span> Q,R);
300        KF.set_statistics(mu0,P0);
301        <span class="comment">// Estimation loop</span>
302        <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i=0;i&lt;100;i++){
303                KF.bayes(randn(dx+du));
304        }
305        <span class="comment">//print results</span>
306        cout &lt;&lt; <span class="stringliteral">"Posterior estimate of x is: "</span>  &lt;&lt; endl;
307        cout &lt;&lt; <span class="stringliteral">"mean: "</span>&lt;&lt; KF.posterior().mean()&lt;&lt; endl;
308        cout &lt;&lt; <span class="stringliteral">"variance: "</span>&lt;&lt; KF.posterior().variance()&lt;&lt; endl;
309}
310</pre></div> <hr><h2>Member Function Documentation</h2>
311<a class="anchor" name="b41fe5540548100b08e1684c3be767b6"></a><!-- doxytag: member="bdm::KalmanCh::bayes" ref="b41fe5540548100b08e1684c3be767b6" args="(const vec &amp;dt)" -->
312<div class="memitem">
313<div class="memproto">
314      <table class="memname">
315        <tr>
316          <td class="memname">void bdm::KalmanCh::bayes           </td>
317          <td>(</td>
318          <td class="paramtype">const vec &amp;&nbsp;</td>
319          <td class="paramname"> <em>dt</em>          </td>
320          <td>&nbsp;)&nbsp;</td>
321          <td><code> [virtual]</code></td>
322        </tr>
323      </table>
324</div>
325<div class="memdoc">
326
327<p>
328Here dt = [yt;ut] of appropriate dimensions.
329<p>
330The following equality hold::<p class="formulaDsp">
331<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_11.png">
332<p>
333<p>
334Thus this object evaluates only predictors! Not filtering densities.
335<p>Reimplemented from <a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bdm::Kalman&lt; chmat &gt;</a>.</p>
336
337<p>Reimplemented in <a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>.</p>
338
339<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#l00637">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00051">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#l00635">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>
340
341</div>
342</div><p>
343<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanCh::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
344<div class="memitem">
345<div class="memproto">
346      <table class="memname">
347        <tr>
348          <td class="memname">virtual double bdm::BM::logpred           </td>
349          <td>(</td>
350          <td class="paramtype">const vec &amp;&nbsp;</td>
351          <td class="paramname"> <em>dt</em>          </td>
352          <td>&nbsp;)&nbsp;</td>
353          <td> const<code> [inline, virtual, inherited]</code></td>
354        </tr>
355      </table>
356</div>
357<div class="memdoc">
358
359<p>
360Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
361<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>
362
363<p>Referenced by <a class="el" href="libBM_8h-source.html#l00662">bdm::BM::logpred_m()</a>.</p>
364
365</div>
366</div><p>
367<hr>The documentation for this class was generated from the following files:<ul>
368<li><a class="el" href="libKF_8h-source.html">libKF.h</a><li>libKF.cpp</ul>
369</div>
370<hr size="1"><address style="text-align: right;"><small>Generated on Thu Apr 9 14:33:21 2009 for mixpp by&nbsp;
371<a href="http://www.doxygen.org/index.html">
372<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
373</body>
374</html>
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