root/doc/latex/classEKFCh__cond.tex @ 224

Revision 224, 16.8 kB (checked in by smidl, 16 years ago)

doc

  • Property svn:eol-style set to native
Line 
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 {\tt Q}. 
6
7
8Inheritance diagram for EKFCh\_\-cond:\nopagebreak
9\begin{figure}[H]
10\begin{center}
11\leavevmode
12\includegraphics[width=102pt]{classEKFCh__cond__inherit__graph}
13\end{center}
14\end{figure}
15Collaboration diagram for EKFCh\_\-cond:\nopagebreak
16\begin{figure}[H]
17\begin{center}
18\leavevmode
19\includegraphics[width=400pt]{classEKFCh__cond__coll__graph}
20\end{center}
21\end{figure}
22\subsection*{Public Member Functions}
23\begin{CompactItemize}
24\item 
25\hypertarget{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{
26\hyperlink{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{EKFCh\_\-cond} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rC)}
27\label{classEKFCh__cond_727af5503bba3063c115994dd6adb059}
28
29\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
30\hypertarget{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{
31void \hyperlink{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{condition} (const vec \&val)}
32\label{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}
33
34\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
35\hypertarget{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{
36\hyperlink{classEKFCh__cond_727af5503bba3063c115994dd6adb059}{EKFCh\_\-cond} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rC)}
37\label{classEKFCh__cond_727af5503bba3063c115994dd6adb059}
38
39\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
40\hypertarget{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{
41void \hyperlink{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}{condition} (const vec \&val)}
42\label{classEKFCh__cond_93ccb6731b68f28e0fb43393d8c66e1d}
43
44\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
45\hypertarget{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{
46void \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)}
47\label{classEKFCh_0216bed270df59fe65d0d62d41f8257c}
48
49\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
50\hypertarget{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{
51void \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)}
52\label{classKalmanCh_92fb227287af05c9f0078d523c7c9793}
53
54\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item 
55\hypertarget{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{
56void \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{bayes} (const vec \&dt)}
57\label{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}
58
59\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
60\hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{
61void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)}
62\label{classKalmanCh_b261b20f6210d4c85131d33302df0adc}
63
64\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item 
65\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{
66const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const }
67\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}
68
69\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
70\hypertarget{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{
71const \hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \hyperlink{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{\_\-e} () const }
72\label{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}
73
74\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 
75\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{
76mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()}
77\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}
78
79\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
80\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{
81vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()}
82\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}
83
84\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
85\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
86virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
87\label{classBM_0186270f75189677f390fe088a9947e9}
88
89\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
90virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const
91\item 
92\hypertarget{classBM_cd0660f2a1a344b56ac39802708ff165}{
93vec \hyperlink{classBM_cd0660f2a1a344b56ac39802708ff165}{logpred\_\-m} (const mat \&dt) const }
94\label{classBM_cd0660f2a1a344b56ac39802708ff165}
95
96\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
97\hypertarget{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{
98virtual \hyperlink{classepdf}{epdf} $\ast$ \hyperlink{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{predictor} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}) const }
99\label{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}
100
101\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
102\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{
103const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const }
104\label{classBM_126bd2595c48e311fc2a7ab72876092a}
105
106\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
107\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{
108double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const }
109\label{classBM_87f4a547d2c29180be88175e5eab9c88}
110
111\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
112\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{
113void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)}
114\label{classBM_1ffa9f23669aabecc3760c06c6987522}
115
116\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
117virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false)
118\item 
119\hypertarget{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{
120const \hyperlink{classRV}{RV} \& \hyperlink{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{\_\-rvc} () const }
121\label{classBMcond_3fa60348b2da6b4208bb95b8d146900a}
122
123\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
124\subsection*{Protected Attributes}
125\begin{CompactItemize}
126\item 
127\hypertarget{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{
128\hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{pfxu}}
129\label{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}
130
131\begin{CompactList}\small\item\em Internal Model f(x,u). \item\end{CompactList}\item 
132\hypertarget{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{
133\hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{phxu}}
134\label{classEKFCh_02503fee942fb63bfbe27354cdf8e734}
135
136\begin{CompactList}\small\item\em Observation Model h(x,u). \item\end{CompactList}\item 
137\hypertarget{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{
138mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}}
139\label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}
140
141\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item 
142\hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{
143mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}}
144\label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}
145
146\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item 
147\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{
148\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}}
149\label{classKalman_7501230c2fafa3655887d2da23b3184c}
150
151\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item 
152\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{
153\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}}
154\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}
155
156\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item 
157\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{
158int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}}
159\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}
160
161\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item 
162\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{
163int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}}
164\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a}
165
166\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item 
167\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{
168int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}}
169\label{classKalman_b0153795a1444b6968a86409c778d9ce}
170
171\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item 
172\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{
173mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}}
174\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9}
175
176\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item 
177\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{
178mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}}
179\label{classKalman_dc87704284a6c0bca13bf51f4345a50a}
180
181\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item 
182\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{
183mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}}
184\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13}
185
186\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item 
187\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{
188mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}}
189\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}
190
191\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item 
192\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{
193\hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}}
194\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9}
195
196\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item 
197\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{
198\hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}}
199\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}
200
201\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item 
202\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{
203\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}}
204\label{classKalman_5568c74bac67ae6d3b1061dba60c9424}
205
206\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item 
207\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{
208\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}}
209\label{classKalman_e580ab06483952bd03f2e651763e184f}
210
211\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item 
212\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{
213mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}}
214\label{classKalman_d422f51467c7a06174af2476d2826132}
215
216\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item 
217\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{
218vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}}
219\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}
220
221\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item 
222\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{
223\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}}
224\label{classKalman_45c9f928d2d62e0c884900fb3380f904}
225
226\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item 
227\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{
228vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}}
229\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061}
230
231\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item 
232\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{
233\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}}
234\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}
235
236\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item 
237\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
238\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
239\label{classBM_af00f0612fabe66241dd507188cdbf88}
240
241\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
242\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
243double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
244\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
245
246\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
247\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
248bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
249\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
250
251\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 
252\hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{
253\hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}}
254\label{classBMcond_9ba793c8ec453f04d372d17195ed8dec}
255
256\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
257
258
259\subsection{Detailed Description}
260Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q}.
261
262\subsection{Member Function Documentation}
263\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{
264\index{EKFCh\_\-cond@{EKFCh\_\-cond}!logpred@{logpred}}
265\index{logpred@{logpred}!EKFCh_cond@{EKFCh\_\-cond}}
266\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{]}}}}
267\label{classBM_8a8ce6df431689964c41cc6c849cfd06}
268
269
270Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
271
272Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.
273
274Referenced by BM::logpred\_\-m().\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{
275\index{EKFCh\_\-cond@{EKFCh\_\-cond}!\_\-copy\_\-@{\_\-copy\_\-}}
276\index{\_\-copy\_\-@{\_\-copy\_\-}!EKFCh_cond@{EKFCh\_\-cond}}
277\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{]}}}}
278\label{classBM_eb58c81d6a7b75b05fc6f276eed78887}
279
280
281Copy 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; \} 
282
283Reimplemented in \hyperlink{classARX_5de61fbd4f97fa3216760b1f733f5af0}{ARX}, and \hyperlink{classBMEF_97f5312efe4a5bedb86d2daec59d8651}{BMEF}.
284
285The documentation for this class was generated from the following files:\begin{CompactItemize}
286\item 
287work/git/mixpp/pmsm/\hyperlink{mpf__u__delta_8cpp}{mpf\_\-u\_\-delta.cpp}\item 
288work/git/mixpp/pmsm/\hyperlink{mpf__u__weight_8cpp}{mpf\_\-u\_\-weight.cpp}\end{CompactItemize}
Note: See TracBrowser for help on using the browser.