[172] | 1 | \hypertarget{classKFcondQR}{ |
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[30] | 2 | \section{KFcondQR Class Reference} |
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| 3 | \label{classKFcondQR}\index{KFcondQR@{KFcondQR}} |
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[172] | 4 | } |
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| 5 | \hyperlink{classKalman}{Kalman} Filter with conditional diagonal matrices R and Q. |
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[30] | 6 | |
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| 7 | |
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| 8 | {\tt \#include $<$libKF.h$>$} |
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| 9 | |
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| 10 | Inheritance diagram for KFcondQR:\nopagebreak |
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| 11 | \begin{figure}[H] |
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| 12 | \begin{center} |
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| 13 | \leavevmode |
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[91] | 14 | \includegraphics[width=102pt]{classKFcondQR__inherit__graph} |
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[30] | 15 | \end{center} |
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| 16 | \end{figure} |
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| 17 | Collaboration diagram for KFcondQR:\nopagebreak |
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| 18 | \begin{figure}[H] |
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| 19 | \begin{center} |
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| 20 | \leavevmode |
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[33] | 21 | \includegraphics[width=400pt]{classKFcondQR__coll__graph} |
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[30] | 22 | \end{center} |
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| 23 | \end{figure} |
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| 24 | \subsection*{Public Member Functions} |
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| 25 | \begin{CompactItemize} |
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| 26 | \item |
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[172] | 27 | \hypertarget{classKFcondQR_3f3968f92c7bbe4b0902d5e14ecc1cb4}{ |
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| 28 | \hyperlink{classKFcondQR_3f3968f92c7bbe4b0902d5e14ecc1cb4}{KFcondQR} (\hyperlink{classRV}{RV} rvx, \hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}, \hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}, \hyperlink{classRV}{RV} rvRQ)} |
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| 29 | \label{classKFcondQR_3f3968f92c7bbe4b0902d5e14ecc1cb4} |
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[30] | 30 | |
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[33] | 31 | \begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item |
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[172] | 32 | \hypertarget{classKFcondQR_c9ecf292a85327aa6309c9fd70ceb606}{ |
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| 33 | void \hyperlink{classKFcondQR_c9ecf292a85327aa6309c9fd70ceb606}{condition} (const vec \&RQ)} |
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| 34 | \label{classKFcondQR_c9ecf292a85327aa6309c9fd70ceb606} |
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[30] | 35 | |
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| 36 | \begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item |
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[172] | 37 | \hypertarget{classKalman_239b28a0380946f5749b2f8d2807f93a}{ |
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| 38 | void \hyperlink{classKalman_239b28a0380946f5749b2f8d2807f93a}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const \hyperlink{classldmat}{ldmat} \&R0, const \hyperlink{classldmat}{ldmat} \&Q0)} |
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| 39 | \label{classKalman_239b28a0380946f5749b2f8d2807f93a} |
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[30] | 40 | |
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| 41 | \begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item |
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[172] | 42 | \hypertarget{classKalman_80bcf29466d9a9dd2b8f74699807d0c0}{ |
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| 43 | void \hyperlink{classKalman_80bcf29466d9a9dd2b8f74699807d0c0}{set\_\-est} (const vec \&mu0, const \hyperlink{classldmat}{ldmat} \&P0)} |
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| 44 | \label{classKalman_80bcf29466d9a9dd2b8f74699807d0c0} |
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[30] | 45 | |
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| 46 | \begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item |
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[172] | 47 | \hypertarget{classKalman_7750ffd73f261828a32c18aaeb65c75c}{ |
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| 48 | void \hyperlink{classKalman_7750ffd73f261828a32c18aaeb65c75c}{bayes} (const vec \&dt)} |
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| 49 | \label{classKalman_7750ffd73f261828a32c18aaeb65c75c} |
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[30] | 50 | |
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[172] | 51 | \begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item |
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| 52 | \hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{ |
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| 53 | const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const } |
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| 54 | \label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe} |
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[30] | 55 | |
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[172] | 56 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\item |
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[210] | 57 | \hypertarget{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{ |
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| 58 | const \hyperlink{classenorm}{enorm}$<$ \hyperlink{classldmat}{ldmat} $>$ $\ast$ \hyperlink{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{\_\-e} () const } |
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| 59 | \label{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07} |
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| 60 | |
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| 61 | \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 |
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[172] | 62 | \hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{ |
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| 63 | mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()} |
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| 64 | \label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79} |
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[30] | 65 | |
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[33] | 66 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\item |
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[172] | 67 | \hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{ |
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| 68 | vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()} |
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| 69 | \label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce} |
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[79] | 70 | |
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| 71 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\item |
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[172] | 72 | \hypertarget{classBM_0186270f75189677f390fe088a9947e9}{ |
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| 73 | virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)} |
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| 74 | \label{classBM_0186270f75189677f390fe088a9947e9} |
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[79] | 75 | |
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[172] | 76 | \begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item |
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| 77 | virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const |
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| 78 | \item |
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[180] | 79 | \hypertarget{classBM_cd0660f2a1a344b56ac39802708ff165}{ |
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| 80 | vec \hyperlink{classBM_cd0660f2a1a344b56ac39802708ff165}{logpred\_\-m} (const mat \&dt) const } |
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| 81 | \label{classBM_cd0660f2a1a344b56ac39802708ff165} |
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| 82 | |
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| 83 | \begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item |
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[210] | 84 | \hypertarget{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{ |
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| 85 | virtual \hyperlink{classepdf}{epdf} $\ast$ \hyperlink{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{predictor} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}) const } |
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| 86 | \label{classBM_5594d68ee9aa6fc8c1e79019da5c9d56} |
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[180] | 87 | |
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| 88 | \begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item |
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[172] | 89 | \hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{ |
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| 90 | const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const } |
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| 91 | \label{classBM_126bd2595c48e311fc2a7ab72876092a} |
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| 92 | |
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[79] | 93 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\item |
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[172] | 94 | \hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{ |
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| 95 | double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const } |
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| 96 | \label{classBM_87f4a547d2c29180be88175e5eab9c88} |
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[33] | 97 | |
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| 98 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\item |
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[172] | 99 | \hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{ |
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| 100 | void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)} |
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| 101 | \label{classBM_1ffa9f23669aabecc3760c06c6987522} |
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[33] | 102 | |
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| 103 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\item |
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[172] | 104 | virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false) |
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| 105 | \item |
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| 106 | \hypertarget{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{ |
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| 107 | const \hyperlink{classRV}{RV} \& \hyperlink{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{\_\-rvc} () const } |
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| 108 | \label{classBMcond_3fa60348b2da6b4208bb95b8d146900a} |
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[33] | 109 | |
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| 110 | \begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} |
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[30] | 111 | \subsection*{Protected Attributes} |
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| 112 | \begin{CompactItemize} |
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| 113 | \item |
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[172] | 114 | \hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{ |
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| 115 | \hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}} |
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| 116 | \label{classKalman_7501230c2fafa3655887d2da23b3184c} |
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[30] | 117 | |
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[33] | 118 | \begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item |
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[172] | 119 | \hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{ |
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| 120 | \hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}} |
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| 121 | \label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498} |
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[30] | 122 | |
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[33] | 123 | \begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item |
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[172] | 124 | \hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{ |
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| 125 | int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}} |
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| 126 | \label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb} |
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[30] | 127 | |
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[33] | 128 | \begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item |
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[172] | 129 | \hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{ |
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| 130 | int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}} |
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| 131 | \label{classKalman_ba17b956df1e38b31fbbc299c8213b6a} |
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[30] | 132 | |
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[33] | 133 | \begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item |
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[172] | 134 | \hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{ |
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| 135 | int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}} |
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| 136 | \label{classKalman_b0153795a1444b6968a86409c778d9ce} |
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[30] | 137 | |
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[33] | 138 | \begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item |
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[172] | 139 | \hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{ |
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| 140 | mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}} |
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| 141 | \label{classKalman_5e02efe86ee91e9c74b93b425fe060b9} |
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[30] | 142 | |
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[33] | 143 | \begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item |
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[172] | 144 | \hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{ |
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| 145 | mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}} |
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| 146 | \label{classKalman_dc87704284a6c0bca13bf51f4345a50a} |
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[30] | 147 | |
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[33] | 148 | \begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item |
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[172] | 149 | \hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{ |
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| 150 | mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}} |
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| 151 | \label{classKalman_86a805cd6515872d1132ad0d6eb5dc13} |
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[30] | 152 | |
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[33] | 153 | \begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item |
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[172] | 154 | \hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{ |
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| 155 | mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}} |
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| 156 | \label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1} |
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[30] | 157 | |
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[33] | 158 | \begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item |
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[172] | 159 | \hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{ |
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| 160 | \hyperlink{classldmat}{ldmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}} |
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| 161 | \label{classKalman_9b69015c800eb93f3ee49da23a6f55d9} |
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[30] | 162 | |
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[33] | 163 | \begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item |
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[172] | 164 | \hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{ |
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| 165 | \hyperlink{classldmat}{ldmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}} |
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| 166 | \label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec} |
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[30] | 167 | |
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[33] | 168 | \begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item |
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[172] | 169 | \hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{ |
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| 170 | \hyperlink{classenorm}{enorm}$<$ \hyperlink{classldmat}{ldmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}} |
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| 171 | \label{classKalman_5568c74bac67ae6d3b1061dba60c9424} |
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[30] | 172 | |
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| 173 | \begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item |
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[172] | 174 | \hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{ |
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| 175 | \hyperlink{classenorm}{enorm}$<$ \hyperlink{classldmat}{ldmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}} |
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| 176 | \label{classKalman_e580ab06483952bd03f2e651763e184f} |
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[30] | 177 | |
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| 178 | \begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item |
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[172] | 179 | \hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{ |
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| 180 | mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}} |
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| 181 | \label{classKalman_d422f51467c7a06174af2476d2826132} |
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[30] | 182 | |
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[172] | 183 | \begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item |
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| 184 | \hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{ |
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| 185 | vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}} |
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| 186 | \label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd} |
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[30] | 187 | |
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[33] | 188 | \begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item |
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[172] | 189 | \hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{ |
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| 190 | \hyperlink{classldmat}{ldmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}} |
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| 191 | \label{classKalman_45c9f928d2d62e0c884900fb3380f904} |
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[30] | 192 | |
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[33] | 193 | \begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item |
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[172] | 194 | \hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{ |
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| 195 | vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}} |
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| 196 | \label{classKalman_fe803a81d2d847b0b1db3c6b29c18061} |
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[30] | 197 | |
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[33] | 198 | \begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item |
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[172] | 199 | \hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{ |
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| 200 | \hyperlink{classldmat}{ldmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}} |
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| 201 | \label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf} |
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[30] | 202 | |
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[33] | 203 | \begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item |
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[172] | 204 | \hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{ |
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| 205 | \hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}} |
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| 206 | \label{classBM_af00f0612fabe66241dd507188cdbf88} |
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[30] | 207 | |
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| 208 | \begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item |
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[172] | 209 | \hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{ |
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| 210 | double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}} |
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| 211 | \label{classBM_5623fef6572a08c2b53b8c87b82dc979} |
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[30] | 212 | |
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| 213 | \begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item |
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[172] | 214 | \hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{ |
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| 215 | bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}} |
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| 216 | \label{classBM_bf6fb59b30141074f8ee1e2f43d03129} |
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[30] | 217 | |
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[172] | 218 | \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 |
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| 219 | \hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{ |
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| 220 | \hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}} |
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| 221 | \label{classBMcond_9ba793c8ec453f04d372d17195ed8dec} |
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[30] | 222 | |
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[33] | 223 | \begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize} |
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[30] | 224 | |
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| 225 | |
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| 226 | \subsection{Detailed Description} |
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[172] | 227 | \hyperlink{classKalman}{Kalman} Filter with conditional diagonal matrices R and Q. |
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[30] | 228 | |
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[172] | 229 | \subsection{Member Function Documentation} |
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| 230 | \hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{ |
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| 231 | \index{KFcondQR@{KFcondQR}!logpred@{logpred}} |
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| 232 | \index{logpred@{logpred}!KFcondQR@{KFcondQR}} |
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| 233 | \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{]}}}} |
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| 234 | \label{classBM_8a8ce6df431689964c41cc6c849cfd06} |
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| 235 | |
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| 236 | |
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| 237 | Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. |
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| 238 | |
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[180] | 239 | Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}. |
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| 240 | |
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| 241 | Referenced by BM::logpred\_\-m().\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{ |
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[172] | 242 | \index{KFcondQR@{KFcondQR}!\_\-copy\_\-@{\_\-copy\_\-}} |
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| 243 | \index{\_\-copy\_\-@{\_\-copy\_\-}!KFcondQR@{KFcondQR}} |
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| 244 | \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{]}}}} |
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| 245 | \label{classBM_eb58c81d6a7b75b05fc6f276eed78887} |
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| 246 | |
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| 247 | |
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| 248 | Copy 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; \} |
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| 249 | |
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[210] | 250 | Reimplemented in \hyperlink{classARX_5de61fbd4f97fa3216760b1f733f5af0}{ARX}, and \hyperlink{classBMEF_97f5312efe4a5bedb86d2daec59d8651}{BMEF}. |
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[172] | 251 | |
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[30] | 252 | The documentation for this class was generated from the following files:\begin{CompactItemize} |
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| 253 | \item |
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[172] | 254 | work/git/mixpp/bdm/estim/\hyperlink{libKF_8h}{libKF.h}\item |
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[145] | 255 | work/git/mixpp/bdm/estim/libKF.cpp\end{CompactItemize} |
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