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1\hypertarget{classEKFCh__cond}{
2\section{EKFCh\_\-cond Class Reference}
3\label{classEKFCh__cond}\index{EKFCh\_\-cond@{EKFCh\_\-cond}}
4}
5Extended \hyperlink{classKalman}{Kalman} filter with unknown parameters in {\tt IM}. 
6
7
8{\tt \#include $<$ekf\_\-templ.h$>$}
9
10Inheritance diagram for EKFCh\_\-cond:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=102pt]{classEKFCh__cond__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for EKFCh\_\-cond:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=400pt]{classEKFCh__cond__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
27\hypertarget{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{
28\hyperlink{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{EKFCh\_\-cond} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rC)}
29\label{classEKFCh__cond_727af5503bba3063c115994dd6adb059}
30
31\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
32\hypertarget{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{
33void \hyperlink{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{condition} (const vec \&val)}
34\label{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}
35
36\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
37\hypertarget{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{
38\hyperlink{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{EKFCh\_\-cond} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rC)}
39\label{classEKFCh__cond_727af5503bba3063c115994dd6adb059}
40
41\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
42\hypertarget{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{
43void \hyperlink{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{condition} (const vec \&val)}
44\label{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}
45
46\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
47\hypertarget{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{
48void \hyperlink{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{set\_\-parameters} (\hyperlink{classdiffbifn}{diffbifn} $\ast$\hyperlink{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{pfxu}, \hyperlink{classdiffbifn}{diffbifn} $\ast$\hyperlink{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{phxu}, const \hyperlink{classchmat}{chmat} Q0, const \hyperlink{classchmat}{chmat} R0)}
49\label{classEKFCh_0216bed270df59fe65d0d62d41f8257c}
50
51\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
52\hypertarget{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{
53void \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)}
54\label{classKalmanCh_92fb227287af05c9f0078d523c7c9793}
55
56\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item 
57\hypertarget{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{
58void \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{bayes} (const vec \&dt)}
59\label{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}
60
61\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
62\hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{
63void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)}
64\label{classKalmanCh_b261b20f6210d4c85131d33302df0adc}
65
66\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item 
67\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{
68const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const }
69\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}
70
71\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
72\hypertarget{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{
73const \hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \hyperlink{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{\_\-e} () const }
74\label{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}
75
76\begin{CompactList}\small\item\em Returns a pointer to the \hyperlink{classepdf}{epdf} representing posterior density on parameters. Use with care! \item\end{CompactList}\item 
77\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{
78mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()}
79\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}
80
81\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
82\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{
83vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()}
84\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}
85
86\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
87\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
88virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
89\label{classBM_0186270f75189677f390fe088a9947e9}
90
91\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
92virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const
93\item 
94\hypertarget{classBM_cd0660f2a1a344b56ac39802708ff165}{
95vec \hyperlink{classBM_cd0660f2a1a344b56ac39802708ff165}{logpred\_\-m} (const mat \&dt) const }
96\label{classBM_cd0660f2a1a344b56ac39802708ff165}
97
98\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
99\hypertarget{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{
100virtual \hyperlink{classepdf}{epdf} $\ast$ \hyperlink{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{predictor} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}) const }
101\label{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}
102
103\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
104\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{
105const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const }
106\label{classBM_126bd2595c48e311fc2a7ab72876092a}
107
108\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
109\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{
110double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const }
111\label{classBM_87f4a547d2c29180be88175e5eab9c88}
112
113\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
114\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{
115void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)}
116\label{classBM_1ffa9f23669aabecc3760c06c6987522}
117
118\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
119virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false)
120\item 
121\hypertarget{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{
122const \hyperlink{classRV}{RV} \& \hyperlink{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{\_\-rvc} () const }
123\label{classBMcond_3fa60348b2da6b4208bb95b8d146900a}
124
125\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
126\subsection*{Protected Attributes}
127\begin{CompactItemize}
128\item 
129\hypertarget{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{
130\hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{pfxu}}
131\label{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}
132
133\begin{CompactList}\small\item\em Internal Model f(x,u). \item\end{CompactList}\item 
134\hypertarget{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{
135\hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{phxu}}
136\label{classEKFCh_02503fee942fb63bfbe27354cdf8e734}
137
138\begin{CompactList}\small\item\em Observation Model h(x,u). \item\end{CompactList}\item 
139\hypertarget{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{
140mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}}
141\label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}
142
143\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item 
144\hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{
145mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}}
146\label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}
147
148\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item 
149\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{
150\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}}
151\label{classKalman_7501230c2fafa3655887d2da23b3184c}
152
153\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item 
154\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{
155\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}}
156\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}
157
158\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item 
159\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{
160int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}}
161\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}
162
163\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item 
164\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{
165int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}}
166\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a}
167
168\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item 
169\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{
170int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}}
171\label{classKalman_b0153795a1444b6968a86409c778d9ce}
172
173\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item 
174\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{
175mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}}
176\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9}
177
178\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item 
179\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{
180mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}}
181\label{classKalman_dc87704284a6c0bca13bf51f4345a50a}
182
183\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item 
184\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{
185mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}}
186\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13}
187
188\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item 
189\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{
190mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}}
191\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}
192
193\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item 
194\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{
195\hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}}
196\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9}
197
198\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item 
199\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{
200\hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}}
201\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}
202
203\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item 
204\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{
205\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}}
206\label{classKalman_5568c74bac67ae6d3b1061dba60c9424}
207
208\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item 
209\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{
210\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}}
211\label{classKalman_e580ab06483952bd03f2e651763e184f}
212
213\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item 
214\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{
215mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}}
216\label{classKalman_d422f51467c7a06174af2476d2826132}
217
218\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item 
219\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{
220vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}}
221\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}
222
223\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item 
224\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{
225\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}}
226\label{classKalman_45c9f928d2d62e0c884900fb3380f904}
227
228\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item 
229\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{
230vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}}
231\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061}
232
233\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item 
234\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{
235\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}}
236\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}
237
238\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item 
239\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
240\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
241\label{classBM_af00f0612fabe66241dd507188cdbf88}
242
243\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
244\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
245double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
246\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
247
248\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
249\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
250bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
251\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
252
253\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}\item 
254\hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{
255\hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}}
256\label{classBMcond_9ba793c8ec453f04d372d17195ed8dec}
257
258\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
259
260
261\subsection{Detailed Description}
262Extended \hyperlink{classKalman}{Kalman} filter with unknown parameters in {\tt IM}.
263
264Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q}.
265
266\subsection{Member Function Documentation}
267\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{
268\index{EKFCh\_\-cond@{EKFCh\_\-cond}!logpred@{logpred}}
269\index{logpred@{logpred}!EKFCh_cond@{EKFCh\_\-cond}}
270\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{]}}}}
271\label{classBM_8a8ce6df431689964c41cc6c849cfd06}
272
273
274Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
275
276Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.
277
278Referenced by BM::logpred\_\-m().\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{
279\index{EKFCh\_\-cond@{EKFCh\_\-cond}!\_\-copy\_\-@{\_\-copy\_\-}}
280\index{\_\-copy\_\-@{\_\-copy\_\-}!EKFCh_cond@{EKFCh\_\-cond}}
281\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{]}}}}
282\label{classBM_eb58c81d6a7b75b05fc6f276eed78887}
283
284
285Copy 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; \} 
286
287Reimplemented in \hyperlink{classARX_5de61fbd4f97fa3216760b1f733f5af0}{ARX}, and \hyperlink{classBMEF_97f5312efe4a5bedb86d2daec59d8651}{BMEF}.
288
289The documentation for this class was generated from the following files:\begin{CompactItemize}
290\item 
291work/git/mixpp/bdm/estim/\hyperlink{ekf__templ_8h}{ekf\_\-templ.h}\item 
292work/git/mixpp/pmsm/\hyperlink{mpf__u__weight_8cpp}{mpf\_\-u\_\-weight.cpp}\end{CompactItemize}
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