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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: mpdf Class Reference</title>
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23<h1>mpdf Class Reference</h1><!-- doxytag: class="mpdf" -->Conditional probability density, e.g. modeling some dependencies. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libBM_8h-source.html">libBM.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for mpdf:</div>
30<div class="dynsection">
31<p><center><img src="classmpdf__inherit__graph.png" border="0" usemap="#mpdf__inherit__map" alt="Inheritance graph"></center>
32<map name="mpdf__inherit__map">
33<area shape="rect" href="classmEF.html" title="Exponential family model." alt="" coords="88,84,139,111"><area shape="rect" href="classmgamma.html" title="Gamma random walk." alt="" coords="5,161,91,188"><area shape="rect" href="classmlnorm.html" title="Normal distributed linear function with linear function of mean value;." alt="" coords="115,161,243,188"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for mpdf:</div>
37<div class="dynsection">
38<p><center><img src="classmpdf__coll__graph.png" border="0" usemap="#mpdf__coll__map" alt="Collaboration graph"></center>
39<map name="mpdf__coll__map">
40<area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="21,7,59,33"><area shape="rect" title="rv\nrvc" alt="" coords="32,31,40,39"><area shape="rect" title="rv\nrvc" alt="" coords="27,200,35,208"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="56,105,107,132"><area shape="rect" title="rv" alt="" coords="43,31,51,39"><area shape="rect" title="rv" alt="" coords="72,101,80,109"><area shape="rect" title="ep" alt="" coords="71,129,79,137"><area shape="rect" title="ep" alt="" coords="36,200,44,208"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classmpdf-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">virtual vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#b0193a350c97933ddf15b15a130da352">samplecond</a> (vec &amp;cond, double &amp;ll)</td></tr>
48
49<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="#b0193a350c97933ddf15b15a130da352"></a><br></td></tr>
50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0f95a0cc6ab40611f46804682446ed83"></a><!-- doxytag: member="mpdf::condition" ref="0f95a0cc6ab40611f46804682446ed83" args="(const vec &amp;cond)" -->
51virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#0f95a0cc6ab40611f46804682446ed83">condition</a> (const vec &amp;cond)</td></tr>
52
53<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Update <code>ep</code> so that it represents this <a class="el" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies.">mpdf</a> conditioned on <code>rvc</code> = cond. <br></td></tr>
54<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="80b738ece5bd4f8c4edaee4b38906f91"></a><!-- doxytag: member="mpdf::evalcond" ref="80b738ece5bd4f8c4edaee4b38906f91" args="(const vec &amp;dt, const vec &amp;cond)" -->
55virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#80b738ece5bd4f8c4edaee4b38906f91">evalcond</a> (const vec &amp;dt, const vec &amp;cond)</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Shortcut for conditioning and evaluation of the internal <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>. In some cases, this operation can be implemented efficiently. <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6788be9f3a888796499c5293a318fcfb"></a><!-- doxytag: member="mpdf::~mpdf" ref="6788be9f3a888796499c5293a318fcfb" args="()" -->
59virtual&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#6788be9f3a888796499c5293a318fcfb">~mpdf</a> ()</td></tr>
60
61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Destructor for future use;. <br></td></tr>
62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="581ecf362185d37c08bb31cb9d046d6f"></a><!-- doxytag: member="mpdf::mpdf" ref="581ecf362185d37c08bb31cb9d046d6f" args="(const RV &amp;rv0, const RV &amp;rvc0)" -->
63&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#581ecf362185d37c08bb31cb9d046d6f">mpdf</a> (const <a class="el" href="classRV.html">RV</a> &amp;rv0, const <a class="el" href="classRV.html">RV</a> &amp;rvc0)</td></tr>
64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec9c850305984582548e8deb64f0ffe8"></a><!-- doxytag: member="mpdf::_rvc" ref="ec9c850305984582548e8deb64f0ffe8" args="()" -->
67<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#ec9c850305984582548e8deb64f0ffe8">_rvc</a> ()</td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e17780ee5b2cfe05922a6c56af1462f8"></a><!-- doxytag: member="mpdf::_epdf" ref="e17780ee5b2cfe05922a6c56af1462f8" args="()" -->
71<a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#e17780ee5b2cfe05922a6c56af1462f8">_epdf</a> ()</td></tr>
72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
74<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f6687c07ff07d47812dd565368ca59eb"></a><!-- doxytag: member="mpdf::rv" ref="f6687c07ff07d47812dd565368ca59eb" args="" -->
76<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#f6687c07ff07d47812dd565368ca59eb">rv</a></td></tr>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">modeled random variable <br></td></tr>
79<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="acb7dda792b3cd5576f39fa3129abbab"></a><!-- doxytag: member="mpdf::rvc" ref="acb7dda792b3cd5576f39fa3129abbab" args="" -->
80<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#acb7dda792b3cd5576f39fa3129abbab">rvc</a></td></tr>
81
82<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">random variable in condition <br></td></tr>
83<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7aa894208a32f3487827df6d5054424c"></a><!-- doxytag: member="mpdf::ep" ref="7aa894208a32f3487827df6d5054424c" args="" -->
84<a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#7aa894208a32f3487827df6d5054424c">ep</a></td></tr>
85
86<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer to internal <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> <br></td></tr>
87</table>
88<hr><a name="_details"></a><h2>Detailed Description</h2>
89Conditional probability density, e.g. modeling some dependencies. <hr><h2>Member Function Documentation</h2>
90<a class="anchor" name="b0193a350c97933ddf15b15a130da352"></a><!-- doxytag: member="mpdf::samplecond" ref="b0193a350c97933ddf15b15a130da352" args="(vec &amp;cond, double &amp;ll)" -->
91<div class="memitem">
92<div class="memproto">
93      <table class="memname">
94        <tr>
95          <td class="memname">virtual vec mpdf::samplecond           </td>
96          <td>(</td>
97          <td class="paramtype">vec &amp;&nbsp;</td>
98          <td class="paramname"> <em>cond</em>, </td>
99        </tr>
100        <tr>
101          <td class="paramkey"></td>
102          <td></td>
103          <td class="paramtype">double &amp;&nbsp;</td>
104          <td class="paramname"> <em>ll</em></td><td>&nbsp;</td>
105        </tr>
106        <tr>
107          <td></td>
108          <td>)</td>
109          <td></td><td></td><td width="100%"><code> [inline, virtual]</code></td>
110        </tr>
111      </table>
112</div>
113<div class="memdoc">
114
115<p>
116Returns the required moment of the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>.
117<p>
118Returns a sample from the density conditioned on <code>cond</code>, <img class="formulaInl" alt="$x \sim epdf(rv|cond)$" src="form_10.png">. <dl compact><dt><b>Parameters:</b></dt><dd>
119  <table border="0" cellspacing="2" cellpadding="0">
120    <tr><td valign="top"></td><td valign="top"><em>cond</em>&nbsp;</td><td>is numeric value of <code>rv</code> </td></tr>
121    <tr><td valign="top"></td><td valign="top"><em>ll</em>&nbsp;</td><td>is a return value of log-likelihood of the sample. </td></tr>
122  </table>
123</dl>
124
125<p>Reimplemented in <a class="el" href="classmlnorm.html#decf3e3b5c8e0812e5b4dbe94fa2ae18">mlnorm&lt; sq_T &gt;</a>, and <a class="el" href="classmgamma.html#9f40dc43885085fad8e3d6652b79e139">mgamma</a>.</p>
126
127</div>
128</div><p>
129<hr>The documentation for this class was generated from the following file:<ul>
130<li>work/mixpp/bdm/stat/<a class="el" href="libBM_8h-source.html">libBM.h</a></ul>
131<hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:53 2008 for mixpp by&nbsp;
132<a href="http://www.doxygen.org/index.html">
133<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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