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1\hypertarget{classEKF__unQ}{
2\section{EKF\_\-unQ Class Reference}
3\label{classEKF__unQ}\index{EKF\_\-unQ@{EKF\_\-unQ}}
4}
5Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q}. 
6
7
8Inheritance diagram for EKF\_\-unQ:\nopagebreak
9\begin{figure}[H]
10\begin{center}
11\leavevmode
12\includegraphics[width=95pt]{classEKF__unQ__inherit__graph}
13\end{center}
14\end{figure}
15Collaboration diagram for EKF\_\-unQ:\nopagebreak
16\begin{figure}[H]
17\begin{center}
18\leavevmode
19\includegraphics[width=400pt]{classEKF__unQ__coll__graph}
20\end{center}
21\end{figure}
22\subsection*{Public Member Functions}
23\begin{CompactItemize}
24\item 
25\hypertarget{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{
26\hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)}
27\label{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}
28
29\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
30\hypertarget{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}{
31void \hyperlink{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}{condition} (const vec \&Q0)}
32\label{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}
33
34\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
35\hypertarget{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{
36\hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)}
37\label{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}
38
39\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
40\hypertarget{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}{
41void \hyperlink{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}{condition} (const vec \&Q0)}
42\label{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}
43
44\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
45\hypertarget{classEKF__unQ_44b49058c8eb27c7910ae31a1dfd3d21}{
46void \textbf{bayes} (const vec dt)}
47\label{classEKF__unQ_44b49058c8eb27c7910ae31a1dfd3d21}
48
49\item 
50\hypertarget{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{
51\hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)}
52\label{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}
53
54\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
55\hypertarget{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}{
56void \hyperlink{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}{condition} (const vec \&Q0)}
57\label{classEKF__unQ_cd06a8c662da244cf61bb5bd39688c99}
58
59\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
60\hypertarget{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{
61void \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)}
62\label{classEKFCh_0216bed270df59fe65d0d62d41f8257c}
63
64\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
65\hypertarget{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{
66void \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)}
67\label{classKalmanCh_92fb227287af05c9f0078d523c7c9793}
68
69\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item 
70\hypertarget{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{
71void \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{bayes} (const vec \&dt)}
72\label{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}
73
74\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
75\hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{
76void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)}
77\label{classKalmanCh_b261b20f6210d4c85131d33302df0adc}
78
79\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item 
80\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{
81const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const }
82\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}
83
84\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
85\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{
86mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()}
87\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}
88
89\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
90\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{
91vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()}
92\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}
93
94\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
95\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
96virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
97\label{classBM_0186270f75189677f390fe088a9947e9}
98
99\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
100virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const
101\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{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{
128mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}}
129\label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}
130
131\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item 
132\hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{
133mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}}
134\label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}
135
136\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item 
137\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{
138\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}}
139\label{classKalman_7501230c2fafa3655887d2da23b3184c}
140
141\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item 
142\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{
143\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}}
144\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}
145
146\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item 
147\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{
148int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}}
149\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}
150
151\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item 
152\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{
153int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}}
154\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a}
155
156\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item 
157\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{
158int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}}
159\label{classKalman_b0153795a1444b6968a86409c778d9ce}
160
161\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item 
162\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{
163mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}}
164\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9}
165
166\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item 
167\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{
168mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}}
169\label{classKalman_dc87704284a6c0bca13bf51f4345a50a}
170
171\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item 
172\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{
173mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}}
174\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13}
175
176\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item 
177\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{
178mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}}
179\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}
180
181\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item 
182\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{
183\hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}}
184\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9}
185
186\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item 
187\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{
188\hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}}
189\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}
190
191\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item 
192\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{
193\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}}
194\label{classKalman_5568c74bac67ae6d3b1061dba60c9424}
195
196\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item 
197\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{
198\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}}
199\label{classKalman_e580ab06483952bd03f2e651763e184f}
200
201\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item 
202\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{
203mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}}
204\label{classKalman_d422f51467c7a06174af2476d2826132}
205
206\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item 
207\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{
208vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}}
209\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}
210
211\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item 
212\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{
213\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}}
214\label{classKalman_45c9f928d2d62e0c884900fb3380f904}
215
216\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item 
217\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{
218vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}}
219\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061}
220
221\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item 
222\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{
223\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}}
224\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}
225
226\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item 
227\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
228\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
229\label{classBM_af00f0612fabe66241dd507188cdbf88}
230
231\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
232\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
233double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
234\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
235
236\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
237\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
238bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
239\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
240
241\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 
242\hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{
243\hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}}
244\label{classBMcond_9ba793c8ec453f04d372d17195ed8dec}
245
246\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
247
248
249\subsection{Detailed Description}
250Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q}.
251
252\subsection{Member Function Documentation}
253\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{
254\index{EKF\_\-unQ@{EKF\_\-unQ}!logpred@{logpred}}
255\index{logpred@{logpred}!EKF_unQ@{EKF\_\-unQ}}
256\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{]}}}}
257\label{classBM_8a8ce6df431689964c41cc6c849cfd06}
258
259
260Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
261
262Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{
263\index{EKF\_\-unQ@{EKF\_\-unQ}!\_\-copy\_\-@{\_\-copy\_\-}}
264\index{\_\-copy\_\-@{\_\-copy\_\-}!EKF_unQ@{EKF\_\-unQ}}
265\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{]}}}}
266\label{classBM_eb58c81d6a7b75b05fc6f276eed78887}
267
268
269Copy 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; \} 
270
271Reimplemented in \hyperlink{classARX_d2751057811c6fb8f4ff86e1648bcddc}{ARX}.
272
273Referenced by MixEF::MixEF().
274
275The documentation for this class was generated from the following files:\begin{CompactItemize}
276\item 
277work/git/mixpp/pmsm/pmsm\_\-sim.cpp\item 
278work/git/mixpp/pmsm/pmsm\_\-sim2.cpp\item 
279work/git/mixpp/pmsm/pmsm\_\-unkQpf.cpp\end{CompactItemize}
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