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1\hypertarget{classEKFCh__unQ}{
2\section{EKFCh\_\-unQ Class Reference}
3\label{classEKFCh__unQ}\index{EKFCh\_\-unQ@{EKFCh\_\-unQ}}
4}
5Extended \hyperlink{classKalman}{Kalman} filter in Choleski form with unknown {\tt Q}. 
6
7
8{\tt \#include $<$ekf\_\-templ.h$>$}
9
10Inheritance diagram for EKFCh\_\-unQ:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=102pt]{classEKFCh__unQ__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for EKFCh\_\-unQ:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=400pt]{classEKFCh__unQ__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
27\hypertarget{classEKFCh__unQ_53936bd5a157cc210dccb56b5ef038b0}{
28\hyperlink{classEKFCh__unQ_53936bd5a157cc210dccb56b5ef038b0}{EKFCh\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)}
29\label{classEKFCh__unQ_53936bd5a157cc210dccb56b5ef038b0}
30
31\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
32\hypertarget{classEKFCh__unQ_dd27c8acf387887d477bf62bbaebe1ce}{
33void \hyperlink{classEKFCh__unQ_dd27c8acf387887d477bf62bbaebe1ce}{condition} (const vec \&Q0)}
34\label{classEKFCh__unQ_dd27c8acf387887d477bf62bbaebe1ce}
35
36\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
37\hypertarget{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{
38void \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)}
39\label{classEKFCh_0216bed270df59fe65d0d62d41f8257c}
40
41\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \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}
45
46\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item 
47\hypertarget{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{
48void \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{bayes} (const vec \&dt)}
49\label{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}
50
51\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
52\hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{
53void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)}
54\label{classKalmanCh_b261b20f6210d4c85131d33302df0adc}
55
56\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item 
57\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{
58const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const }
59\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}
60
61\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
62\hypertarget{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{
63const \hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \hyperlink{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{\_\-e} () const }
64\label{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}
65
66\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 
67\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{
68mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()}
69\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}
70
71\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
72\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{
73vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()}
74\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}
75
76\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
77\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
78virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
79\label{classBM_0186270f75189677f390fe088a9947e9}
80
81\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
82virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const
83\item 
84\hypertarget{classBM_cd0660f2a1a344b56ac39802708ff165}{
85vec \hyperlink{classBM_cd0660f2a1a344b56ac39802708ff165}{logpred\_\-m} (const mat \&dt) const }
86\label{classBM_cd0660f2a1a344b56ac39802708ff165}
87
88\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
89\hypertarget{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{
90virtual \hyperlink{classepdf}{epdf} $\ast$ \hyperlink{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{predictor} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}) const }
91\label{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}
92
93\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
94\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{
95const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const }
96\label{classBM_126bd2595c48e311fc2a7ab72876092a}
97
98\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
99\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{
100double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const }
101\label{classBM_87f4a547d2c29180be88175e5eab9c88}
102
103\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
104\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{
105void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)}
106\label{classBM_1ffa9f23669aabecc3760c06c6987522}
107
108\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
109virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false)
110\item 
111\hypertarget{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{
112const \hyperlink{classRV}{RV} \& \hyperlink{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{\_\-rvc} () const }
113\label{classBMcond_3fa60348b2da6b4208bb95b8d146900a}
114
115\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
116\subsection*{Protected Attributes}
117\begin{CompactItemize}
118\item 
119\hypertarget{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{
120\hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{pfxu}}
121\label{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}
122
123\begin{CompactList}\small\item\em Internal Model f(x,u). \item\end{CompactList}\item 
124\hypertarget{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{
125\hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{phxu}}
126\label{classEKFCh_02503fee942fb63bfbe27354cdf8e734}
127
128\begin{CompactList}\small\item\em Observation Model h(x,u). \item\end{CompactList}\item 
129\hypertarget{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{
130mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}}
131\label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}
132
133\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item 
134\hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{
135mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}}
136\label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}
137
138\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item 
139\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{
140\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}}
141\label{classKalman_7501230c2fafa3655887d2da23b3184c}
142
143\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item 
144\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{
145\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}}
146\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}
147
148\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item 
149\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{
150int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}}
151\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}
152
153\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item 
154\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{
155int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}}
156\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a}
157
158\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item 
159\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{
160int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}}
161\label{classKalman_b0153795a1444b6968a86409c778d9ce}
162
163\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item 
164\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{
165mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}}
166\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9}
167
168\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item 
169\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{
170mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}}
171\label{classKalman_dc87704284a6c0bca13bf51f4345a50a}
172
173\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item 
174\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{
175mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}}
176\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13}
177
178\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item 
179\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{
180mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}}
181\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}
182
183\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item 
184\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{
185\hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}}
186\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9}
187
188\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item 
189\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{
190\hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}}
191\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}
192
193\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item 
194\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{
195\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}}
196\label{classKalman_5568c74bac67ae6d3b1061dba60c9424}
197
198\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item 
199\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{
200\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}}
201\label{classKalman_e580ab06483952bd03f2e651763e184f}
202
203\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item 
204\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{
205mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}}
206\label{classKalman_d422f51467c7a06174af2476d2826132}
207
208\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item 
209\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{
210vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}}
211\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}
212
213\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item 
214\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{
215\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}}
216\label{classKalman_45c9f928d2d62e0c884900fb3380f904}
217
218\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item 
219\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{
220vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}}
221\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061}
222
223\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item 
224\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{
225\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}}
226\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}
227
228\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item 
229\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
230\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
231\label{classBM_af00f0612fabe66241dd507188cdbf88}
232
233\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
234\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
235double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
236\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
237
238\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
239\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
240bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
241\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
242
243\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 
244\hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{
245\hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}}
246\label{classBMcond_9ba793c8ec453f04d372d17195ed8dec}
247
248\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
249
250
251\subsection{Detailed Description}
252Extended \hyperlink{classKalman}{Kalman} filter in Choleski form with unknown {\tt Q}.
253
254\subsection{Member Function Documentation}
255\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{
256\index{EKFCh\_\-unQ@{EKFCh\_\-unQ}!logpred@{logpred}}
257\index{logpred@{logpred}!EKFCh_unQ@{EKFCh\_\-unQ}}
258\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{]}}}}
259\label{classBM_8a8ce6df431689964c41cc6c849cfd06}
260
261
262Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
263
264Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.
265
266Referenced by BM::logpred\_\-m().\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{
267\index{EKFCh\_\-unQ@{EKFCh\_\-unQ}!\_\-copy\_\-@{\_\-copy\_\-}}
268\index{\_\-copy\_\-@{\_\-copy\_\-}!EKFCh_unQ@{EKFCh\_\-unQ}}
269\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{]}}}}
270\label{classBM_eb58c81d6a7b75b05fc6f276eed78887}
271
272
273Copy 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; \} 
274
275Reimplemented in \hyperlink{classARX_5de61fbd4f97fa3216760b1f733f5af0}{ARX}, and \hyperlink{classBMEF_97f5312efe4a5bedb86d2daec59d8651}{BMEF}.
276
277The documentation for this class was generated from the following file:\begin{CompactItemize}
278\item 
279work/git/mixpp/bdm/estim/\hyperlink{ekf__templ_8h}{ekf\_\-templ.h}\end{CompactItemize}
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