work/mixpp/bdm/estim/libKF.h File Reference

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions. More...

#include <itpp/itbase.h>
#include "../stat/libFN.h"
#include "../stat/libEF.h"
#include "../math/chmat.h"

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Classes
class	KalmanFull
	Basic Kalman filter with full matrices (education purpose only)! Will be deleted soon! More...
class	Kalman< sq_T >
	Kalman filter with covariance matrices in square root form. More...
class	KalmanCh
	Kalman filter in square root form. More...
class	EKFfull
	Extended Kalman Filter in full matrices. More...
class	EKF< sq_T >
	Extended Kalman Filter. More...
class	EKFCh
	Extended Kalman Filter in Square root. More...
class	KFcondQR
	Kalman Filter with conditional diagonal matrices R and Q. More...
class	KFcondR
	Kalman Filter with conditional diagonal matrices R and Q. More...

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Detailed Description

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.

Author:

Vaclav Smidl.

----------------------------------- BDM++ - C++ library for Bayesian Decision Making under Uncertainty

Using IT++ for numerical operations -----------------------------------