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[172]1\hypertarget{classEKFCh}{
[99]2\section{EKFCh Class Reference}
3\label{classEKFCh}\index{EKFCh@{EKFCh}}
[172]4}
5Extended \hyperlink{classKalman}{Kalman} Filter in Square root. 
[99]6
7
8{\tt \#include $<$libKF.h$>$}
9
10Inheritance diagram for EKFCh:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=95pt]{classEKFCh__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for EKFCh:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=400pt]{classEKFCh__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
[172]27\hypertarget{classEKFCh_e9e39a9204db3dda88d06e47c1e19064}{
28\hyperlink{classEKFCh_e9e39a9204db3dda88d06e47c1e19064}{EKFCh} (\hyperlink{classRV}{RV} rvx, \hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}, \hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu})}
29\label{classEKFCh_e9e39a9204db3dda88d06e47c1e19064}
[99]30
31\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
[172]32\hypertarget{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{
33void \hyperlink{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{set\_\-parameters} (\hyperlink{classdiffbifn}{diffbifn} $\ast$pfxu, \hyperlink{classdiffbifn}{diffbifn} $\ast$phxu, const \hyperlink{classchmat}{chmat} Q0, const \hyperlink{classchmat}{chmat} R0)}
34\label{classEKFCh_0216bed270df59fe65d0d62d41f8257c}
[99]35
36\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
[172]37\hypertarget{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{
38void \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{bayes} (const vec \&dt)}
39\label{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}
[99]40
[172]41\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
42\hypertarget{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{
43void \hyperlink{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const \hyperlink{classchmat}{chmat} \&R0, const \hyperlink{classchmat}{chmat} \&Q0)}
44\label{classKalmanCh_92fb227287af05c9f0078d523c7c9793}
[99]45
46\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item 
[172]47\hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{
48void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)}
49\label{classKalmanCh_b261b20f6210d4c85131d33302df0adc}
[99]50
51\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item 
[172]52\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{
53const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const }
54\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}
[99]55
[172]56\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
57\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{
58mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()}
59\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}
[99]60
61\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
[172]62\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{
63vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()}
64\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}
[99]65
66\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
[172]67\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
68virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
69\label{classBM_0186270f75189677f390fe088a9947e9}
[99]70
[172]71\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
72virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const
73\item 
74\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{
75const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const }
76\label{classBM_126bd2595c48e311fc2a7ab72876092a}
77
[99]78\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
[172]79\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{
80double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const }
81\label{classBM_87f4a547d2c29180be88175e5eab9c88}
[99]82
83\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
[172]84\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{
85void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)}
86\label{classBM_1ffa9f23669aabecc3760c06c6987522}
[99]87
[172]88\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
89virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false)
90\end{CompactItemize}
[99]91\subsection*{Protected Attributes}
92\begin{CompactItemize}
93\item 
[172]94\hypertarget{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{
95mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}}
96\label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}
[99]97
98\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item 
[172]99\hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{
100mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}}
101\label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}
[99]102
103\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item 
[172]104\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{
105\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}}
106\label{classKalman_7501230c2fafa3655887d2da23b3184c}
[99]107
108\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item 
[172]109\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{
110\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}}
111\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}
[99]112
113\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item 
[172]114\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{
115int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}}
116\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}
[99]117
118\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item 
[172]119\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{
120int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}}
121\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a}
[99]122
123\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item 
[172]124\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{
125int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}}
126\label{classKalman_b0153795a1444b6968a86409c778d9ce}
[99]127
128\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item 
[172]129\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{
130mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}}
131\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9}
[99]132
133\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item 
[172]134\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{
135mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}}
136\label{classKalman_dc87704284a6c0bca13bf51f4345a50a}
[99]137
138\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item 
[172]139\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{
140mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}}
141\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13}
[99]142
143\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item 
[172]144\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{
145mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}}
146\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}
[99]147
148\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item 
[172]149\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{
150\hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}}
151\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9}
[99]152
153\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item 
[172]154\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{
155\hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}}
156\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}
[99]157
158\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item 
[172]159\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{
160\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}}
161\label{classKalman_5568c74bac67ae6d3b1061dba60c9424}
[99]162
163\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item 
[172]164\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{
165\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}}
166\label{classKalman_e580ab06483952bd03f2e651763e184f}
[99]167
168\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item 
[172]169\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{
170mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}}
171\label{classKalman_d422f51467c7a06174af2476d2826132}
[99]172
[172]173\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item 
174\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{
175vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}}
176\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}
[99]177
178\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item 
[172]179\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{
180\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}}
181\label{classKalman_45c9f928d2d62e0c884900fb3380f904}
[99]182
183\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item 
[172]184\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{
185vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}}
186\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061}
[99]187
188\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item 
[172]189\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{
190\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}}
191\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}
[99]192
193\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item 
[172]194\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
195\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
196\label{classBM_af00f0612fabe66241dd507188cdbf88}
[99]197
198\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
[172]199\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
200double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
201\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
[99]202
203\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
[172]204\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
205bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
206\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
[99]207
[172]208\begin{CompactList}\small\item\em If true, the filter will compute likelihood of the data record and store it in {\tt ll} . Set to false if you want to save computational time. \item\end{CompactList}\end{CompactItemize}
[99]209
210
211\subsection{Detailed Description}
[172]212Extended \hyperlink{classKalman}{Kalman} Filter in Square root.
[99]213
214An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean.
215
[172]216\subsection{Member Function Documentation}
217\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{
218\index{EKFCh@{EKFCh}!logpred@{logpred}}
219\index{logpred@{logpred}!EKFCh@{EKFCh}}
220\subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}virtual double BM::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
221\label{classBM_8a8ce6df431689964c41cc6c849cfd06}
222
223
224Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
225
226Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{
227\index{EKFCh@{EKFCh}!\_\-copy\_\-@{\_\-copy\_\-}}
228\index{\_\-copy\_\-@{\_\-copy\_\-}!EKFCh@{EKFCh}}
229\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual {\bf BM}$\ast$ BM::\_\-copy\_\- (bool {\em changerv} = {\tt false})\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
230\label{classBM_eb58c81d6a7b75b05fc6f276eed78887}
231
232
233Copy function required in vectors, Arrays of \hyperlink{classBM}{BM} etc. Have to be DELETED manually! Prototype: BM$\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-()}\{\hyperlink{classBM}{BM} Tmp$\ast$=new Tmp(this$\ast$); return Tmp; \} 
234
235Reimplemented in \hyperlink{classARX_d2751057811c6fb8f4ff86e1648bcddc}{ARX}.
236
237Referenced by MixEF::MixEF().
238
[99]239The documentation for this class was generated from the following files:\begin{CompactItemize}
240\item 
[172]241work/git/mixpp/bdm/estim/\hyperlink{libKF_8h}{libKF.h}\item 
[145]242work/git/mixpp/bdm/estim/libKF.cpp\end{CompactItemize}
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