root/doc/latex/classKalmanCh.tex @ 199

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1\hypertarget{classKalmanCh}{
2\section{KalmanCh Class Reference}
3\label{classKalmanCh}\index{KalmanCh@{KalmanCh}}
4}
5\hyperlink{classKalman}{Kalman} filter in square root form. 
6
7
8{\tt \#include $<$libKF.h$>$}
9
10Inheritance diagram for KalmanCh:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=95pt]{classKalmanCh__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for KalmanCh:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=400pt]{classKalmanCh__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
27\hypertarget{classKalmanCh_d11f110cccaa66177514632d37b086bb}{
28\hyperlink{classKalmanCh_d11f110cccaa66177514632d37b086bb}{KalmanCh} (\hyperlink{classRV}{RV} rvx0, \hyperlink{classRV}{RV} rvy0, \hyperlink{classRV}{RV} rvu0)}
29\label{classKalmanCh_d11f110cccaa66177514632d37b086bb}
30
31\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
32\hypertarget{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{
33void \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)}
34\label{classKalmanCh_92fb227287af05c9f0078d523c7c9793}
35
36\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item 
37\hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{
38void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)}
39\label{classKalmanCh_b261b20f6210d4c85131d33302df0adc}
40
41\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item 
42void \hyperlink{classKalmanCh_cca758192846940409822b9bd778d4e1}{bayes} (const vec \&dt)
43\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
44\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{
45const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const }
46\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}
47
48\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
49\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{
50mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()}
51\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}
52
53\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
54\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{
55vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()}
56\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}
57
58\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
59\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{
60virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)}
61\label{classBM_0186270f75189677f390fe088a9947e9}
62
63\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
64virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const
65\item 
66\hypertarget{classBM_cd0660f2a1a344b56ac39802708ff165}{
67vec \hyperlink{classBM_cd0660f2a1a344b56ac39802708ff165}{logpred\_\-m} (const mat \&dt) const }
68\label{classBM_cd0660f2a1a344b56ac39802708ff165}
69
70\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
71\hypertarget{classBM_a627c5a79cc6f5221b7e09675525e032}{
72virtual \hyperlink{classepdf}{epdf} $\ast$ \hyperlink{classBM_a627c5a79cc6f5221b7e09675525e032}{predictor} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv})}
73\label{classBM_a627c5a79cc6f5221b7e09675525e032}
74
75\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
76\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{
77const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const }
78\label{classBM_126bd2595c48e311fc2a7ab72876092a}
79
80\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
81\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{
82double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const }
83\label{classBM_87f4a547d2c29180be88175e5eab9c88}
84
85\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
86\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{
87void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)}
88\label{classBM_1ffa9f23669aabecc3760c06c6987522}
89
90\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
91virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false)
92\end{CompactItemize}
93\subsection*{Protected Attributes}
94\begin{CompactItemize}
95\item 
96\hypertarget{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{
97mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}}
98\label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}
99
100\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item 
101\hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{
102mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}}
103\label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}
104
105\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item 
106\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{
107\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}}
108\label{classKalman_7501230c2fafa3655887d2da23b3184c}
109
110\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item 
111\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{
112\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}}
113\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}
114
115\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item 
116\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{
117int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}}
118\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}
119
120\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item 
121\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{
122int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}}
123\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a}
124
125\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item 
126\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{
127int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}}
128\label{classKalman_b0153795a1444b6968a86409c778d9ce}
129
130\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item 
131\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{
132mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}}
133\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9}
134
135\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item 
136\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{
137mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}}
138\label{classKalman_dc87704284a6c0bca13bf51f4345a50a}
139
140\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item 
141\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{
142mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}}
143\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13}
144
145\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item 
146\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{
147mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}}
148\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}
149
150\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item 
151\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{
152\hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}}
153\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9}
154
155\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item 
156\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{
157\hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}}
158\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}
159
160\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item 
161\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{
162\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}}
163\label{classKalman_5568c74bac67ae6d3b1061dba60c9424}
164
165\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item 
166\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{
167\hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}}
168\label{classKalman_e580ab06483952bd03f2e651763e184f}
169
170\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item 
171\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{
172mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}}
173\label{classKalman_d422f51467c7a06174af2476d2826132}
174
175\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item 
176\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{
177vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}}
178\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}
179
180\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item 
181\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{
182\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}}
183\label{classKalman_45c9f928d2d62e0c884900fb3380f904}
184
185\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item 
186\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{
187vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}}
188\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061}
189
190\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item 
191\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{
192\hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}}
193\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}
194
195\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item 
196\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{
197\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}}
198\label{classBM_af00f0612fabe66241dd507188cdbf88}
199
200\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
201\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{
202double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}}
203\label{classBM_5623fef6572a08c2b53b8c87b82dc979}
204
205\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
206\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{
207bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}}
208\label{classBM_bf6fb59b30141074f8ee1e2f43d03129}
209
210\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}\end{CompactItemize}
211
212
213\subsection{Detailed Description}
214\hyperlink{classKalman}{Kalman} filter in square root form.
215
216\subsection{Member Function Documentation}
217\hypertarget{classKalmanCh_cca758192846940409822b9bd778d4e1}{
218\index{KalmanCh@{KalmanCh}!bayes@{bayes}}
219\index{bayes@{bayes}!KalmanCh@{KalmanCh}}
220\subsubsection[bayes]{\setlength{\rightskip}{0pt plus 5cm}void KalmanCh::bayes (const vec \& {\em dt})\hspace{0.3cm}{\tt  \mbox{[}virtual\mbox{]}}}}
221\label{classKalmanCh_cca758192846940409822b9bd778d4e1}
222
223
224Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions.
225
226The following equality hold::\[ \left[\begin{array}{cc} R^{0.5}\\ P_{t|t-1}^{0.5}C' & P_{t|t-1}^{0.5}CA'\\ & Q^{0.5}\end{array}\right]<\mathrm{orth.oper.}>=\left[\begin{array}{cc} R_{y}^{0.5} & KA'\\ & P_{t+1|t}^{0.5}\\ \\\end{array}\right]\]
227
228Thus this object evaluates only predictors! Not filtering densities.
229
230Reimplemented from \hyperlink{classKalman_7750ffd73f261828a32c18aaeb65c75c}{Kalman$<$ chmat $>$}.
231
232Reimplemented in \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{EKFCh}.
233
234References chmat::\_\-Ch(), Kalman$<$ chmat $>$::\_\-K, Kalman$<$ chmat $>$::\_\-mu, Kalman$<$ chmat $>$::\_\-P, Kalman$<$ chmat $>$::\_\-Ry, Kalman$<$ chmat $>$::\_\-yp, Kalman$<$ chmat $>$::A, Kalman$<$ chmat $>$::B, Kalman$<$ chmat $>$::C, Kalman$<$ chmat $>$::D, Kalman$<$ chmat $>$::dimu, Kalman$<$ chmat $>$::dimx, Kalman$<$ chmat $>$::dimy, BM::evalll, eEF::evalpdflog(), Kalman$<$ chmat $>$::fy, BM::ll, postA, preA, and chmat::to\_\-mat().\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{
235\index{KalmanCh@{KalmanCh}!logpred@{logpred}}
236\index{logpred@{logpred}!KalmanCh@{KalmanCh}}
237\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{]}}}}
238\label{classBM_8a8ce6df431689964c41cc6c849cfd06}
239
240
241Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
242
243Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.
244
245Referenced by BM::logpred\_\-m().\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{
246\index{KalmanCh@{KalmanCh}!\_\-copy\_\-@{\_\-copy\_\-}}
247\index{\_\-copy\_\-@{\_\-copy\_\-}!KalmanCh@{KalmanCh}}
248\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{]}}}}
249\label{classBM_eb58c81d6a7b75b05fc6f276eed78887}
250
251
252Copy 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; \} 
253
254Reimplemented in \hyperlink{classARX_5de61fbd4f97fa3216760b1f733f5af0}{ARX}.
255
256Referenced by MixEF::init().
257
258The documentation for this class was generated from the following files:\begin{CompactItemize}
259\item 
260work/git/mixpp/bdm/estim/\hyperlink{libKF_8h}{libKF.h}\item 
261work/git/mixpp/bdm/estim/libKF.cpp\end{CompactItemize}
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