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Matrix in Cholesky decomposition, Square-root Kalman and many bug fixes

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1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
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3<title>mixpp: enorm&lt; sq_T &gt; Class Template Reference</title>
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23<h1>enorm&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="enorm" --><!-- doxytag: inherits="eEF" -->Gaussian density with positive definite (decomposed) covariance matrix. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libEF_8h-source.html">libEF.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for enorm&lt; sq_T &gt;:</div>
30<div class="dynsection">
31<p><center><img src="classenorm__inherit__graph.png" border="0" usemap="#enorm_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center>
32<map name="enorm_3_01sq__T_01_4__inherit__map">
33<area shape="rect" href="classenorm.html" title="enorm\&lt; ldmat \&gt;" alt="" coords="5,263,136,289"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="132,191,140,199"><area shape="rect" title="\&lt; ldmat \&gt;" alt="" coords="77,259,85,267"><area shape="rect" href="classenorm.html" title="enorm\&lt; chmat \&gt;" alt="" coords="160,263,293,289"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="163,191,171,199"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="216,259,224,267"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="125,87,171,113"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="123,7,173,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for enorm&lt; sq_T &gt;:</div>
37<div class="dynsection">
38<p><center><img src="classenorm__coll__graph.png" border="0" usemap="#enorm_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center>
39<map name="enorm_3_01sq__T_01_4__coll__map">
40<area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="8,183,53,209"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="5,103,56,129"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="12,7,49,33"><area shape="rect" title="rv" alt="" coords="27,31,35,39"><area shape="rect" title="rv" alt="" coords="27,99,35,107"><area shape="rect" title="_iR\nR" alt="" coords="95,207,103,215"><area shape="rect" title="_iR\nR" alt="" coords="77,291,85,299"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classenorm-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
47<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b5cb487a2570e8109bfdc0df149aa06"></a><!-- doxytag: member="enorm::enorm" ref="7b5cb487a2570e8109bfdc0df149aa06" args="(RV &amp;rv)" -->
48&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#7b5cb487a2570e8109bfdc0df149aa06">enorm</a> (<a class="el" href="classRV.html">RV</a> &amp;<a class="el" href="classepdf.html#74da992e3f5d598da8850b646b79b9d9">rv</a>)</td></tr>
49
50<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1394a65caa6e00d42e00cc99b12227af"></a><!-- doxytag: member="enorm::set_parameters" ref="1394a65caa6e00d42e00cc99b12227af" args="(const vec &amp;mu, const sq_T &amp;R)" -->
52void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#1394a65caa6e00d42e00cc99b12227af">set_parameters</a> (const vec &amp;<a class="el" href="classenorm.html#71fde0d54bba147e00f612577f95ad20">mu</a>, const sq_T &amp;<a class="el" href="classenorm.html#4ccc8d8514d644ef1c98d8ab023748a1">R</a>)</td></tr>
53
54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set mean value <code>mu</code> and covariance <code>R</code>. <br></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5b5fd142b6b17ea334597960e3fe126a"></a><!-- doxytag: member="enorm::tupdate" ref="5b5fd142b6b17ea334597960e3fe126a" args="(double phi, mat &amp;vbar, double nubar)" -->
56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#5b5fd142b6b17ea334597960e3fe126a">tupdate</a> (double phi, mat &amp;vbar, double nubar)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">tupdate in exponential form (not really handy) <br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5bf185e31e5954fceb90ada3debd2ff2"></a><!-- doxytag: member="enorm::dupdate" ref="5bf185e31e5954fceb90ada3debd2ff2" args="(mat &amp;v, double nu=1.0)" -->
60void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#5bf185e31e5954fceb90ada3debd2ff2">dupdate</a> (mat &amp;v, double nu=1.0)</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dupdate in exponential form (not really handy) <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top">vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#60b47544f6181ffd4530d3e415ce12c5">sample</a> () const </td></tr>
64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns the required moment of the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>.  <a href="#60b47544f6181ffd4530d3e415ce12c5"></a><br></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="60f0f3bfa53d6e65843eea9532b16d36"></a><!-- doxytag: member="enorm::sample" ref="60f0f3bfa53d6e65843eea9532b16d36" args="(int N) const " -->
67mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#60f0f3bfa53d6e65843eea9532b16d36">sample</a> (int N) const </td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">TODO is it used? <br></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b9e1dfd33692d7b3f1a59f17b0e61bd0"></a><!-- doxytag: member="enorm::eval" ref="b9e1dfd33692d7b3f1a59f17b0e61bd0" args="(const vec &amp;val) const " -->
71double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#b9e1dfd33692d7b3f1a59f17b0e61bd0">eval</a> (const vec &amp;val) const </td></tr>
72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Compute probability of argument <code>val</code>. <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="609a7c33dbb4fdfab050f3bdd1122401"></a><!-- doxytag: member="enorm::evalpdflog" ref="609a7c33dbb4fdfab050f3bdd1122401" args="(const vec &amp;val) const " -->
75double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#609a7c33dbb4fdfab050f3bdd1122401">evalpdflog</a> (const vec &amp;val) const </td></tr>
76
77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Compute log-probability of argument <code>val</code>. <br></td></tr>
78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50fa84da7bae02f7af17a98f37566899"></a><!-- doxytag: member="enorm::mean" ref="50fa84da7bae02f7af17a98f37566899" args="() const " -->
79vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#50fa84da7bae02f7af17a98f37566899">mean</a> () const </td></tr>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return expected value <br></td></tr>
82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3be0cb541ec9b88e5aa3f60307bbc753"></a><!-- doxytag: member="enorm::_mu" ref="3be0cb541ec9b88e5aa3f60307bbc753" args="()" -->
83vec *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#3be0cb541ec9b88e5aa3f60307bbc753">_mu</a> ()</td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">returns a pointer to the internal mean value. Use with Care! <br></td></tr>
86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8725c534863c4fc2bddef0edfb95a740"></a><!-- doxytag: member="enorm::_R" ref="8725c534863c4fc2bddef0edfb95a740" args="(sq_T *&amp;pR, sq_T *&amp;piR)" -->
87void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#8725c534863c4fc2bddef0edfb95a740">_R</a> (sq_T *&amp;pR, sq_T *&amp;piR)</td></tr>
88
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">returns pointers to the internal variance and its inverse. Use with Care! <br></td></tr>
90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c9ca4f2ca42568e40ca146168e7f3247"></a><!-- doxytag: member="enorm::_cached" ref="c9ca4f2ca42568e40ca146168e7f3247" args="(bool what)" -->
91void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#c9ca4f2ca42568e40ca146168e7f3247">_cached</a> (bool what)</td></tr>
92
93<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set cache as inconsistent <br></td></tr>
94<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b89143f12c9b49282e30841e4fb5f337"></a><!-- doxytag: member="enorm::_rv" ref="b89143f12c9b49282e30841e4fb5f337" args="() const " -->
95<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classepdf.html#b89143f12c9b49282e30841e4fb5f337">_rv</a> () const </td></tr>
96
97<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
98<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="71fde0d54bba147e00f612577f95ad20"></a><!-- doxytag: member="enorm::mu" ref="71fde0d54bba147e00f612577f95ad20" args="" -->
100vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#71fde0d54bba147e00f612577f95ad20">mu</a></td></tr>
101
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">mean value <br></td></tr>
103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4ccc8d8514d644ef1c98d8ab023748a1"></a><!-- doxytag: member="enorm::R" ref="4ccc8d8514d644ef1c98d8ab023748a1" args="" -->
104sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#4ccc8d8514d644ef1c98d8ab023748a1">R</a></td></tr>
105
106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Covariance matrix in decomposed form. <br></td></tr>
107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="82f39ac49911d7097f4bfe385deba355"></a><!-- doxytag: member="enorm::_iR" ref="82f39ac49911d7097f4bfe385deba355" args="" -->
108sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#82f39ac49911d7097f4bfe385deba355">_iR</a></td></tr>
109
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Cache: _iR = inv(R);. <br></td></tr>
111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ae12db77283a96e0f14a3eae93dc3bf1"></a><!-- doxytag: member="enorm::cached" ref="ae12db77283a96e0f14a3eae93dc3bf1" args="" -->
112bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#ae12db77283a96e0f14a3eae93dc3bf1">cached</a></td></tr>
113
114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">indicator if <code>_iR</code> is chached <br></td></tr>
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6938fc390a19cdaf6ad4503fcbaada4e"></a><!-- doxytag: member="enorm::dim" ref="6938fc390a19cdaf6ad4503fcbaada4e" args="" -->
116int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#6938fc390a19cdaf6ad4503fcbaada4e">dim</a></td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dimension (redundant from rv.count() for easier coding ) <br></td></tr>
119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74da992e3f5d598da8850b646b79b9d9"></a><!-- doxytag: member="enorm::rv" ref="74da992e3f5d598da8850b646b79b9d9" args="" -->
120<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classepdf.html#74da992e3f5d598da8850b646b79b9d9">rv</a></td></tr>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Identified of the random variable. <br></td></tr>
123</table>
124<hr><a name="_details"></a><h2>Detailed Description</h2>
125<h3>template&lt;class sq_T&gt;<br>
126 class enorm&lt; sq_T &gt;</h3>
127
128Gaussian density with positive definite (decomposed) covariance matrix.
129<p>
130More?... <hr><h2>Member Function Documentation</h2>
131<a class="anchor" name="60b47544f6181ffd4530d3e415ce12c5"></a><!-- doxytag: member="enorm::sample" ref="60b47544f6181ffd4530d3e415ce12c5" args="() const " -->
132<div class="memitem">
133<div class="memproto">
134<div class="memtemplate">
135template&lt;class sq_T&gt; </div>
136      <table class="memname">
137        <tr>
138          <td class="memname">vec <a class="el" href="classenorm.html">enorm</a>&lt; sq_T &gt;::sample           </td>
139          <td>(</td>
140          <td class="paramname">          </td>
141          <td>&nbsp;)&nbsp;</td>
142          <td width="100%"> const<code> [inline, virtual]</code></td>
143        </tr>
144      </table>
145</div>
146<div class="memdoc">
147
148<p>
149Returns the required moment of the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>.
150<p>
151Returns a sample from the density, <img class="formulaInl" alt="$x \sim epdf(rv)$" src="form_3.png"> 
152<p>Implements <a class="el" href="classepdf.html#8019654e494bf5e458f6fb947e11b262">epdf</a>.</p>
153
154</div>
155</div><p>
156<hr>The documentation for this class was generated from the following file:<ul>
157<li>work/mixpp/bdm/stat/<a class="el" href="libEF_8h-source.html">libEF.h</a></ul>
158<hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:49 2008 for mixpp by&nbsp;
159<a href="http://www.doxygen.org/index.html">
160<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
161</body>
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