\hypertarget{classbdm_1_1EKF}{ \section{bdm::EKF$<$ sq\_\-T $>$ Class Template Reference} \label{classbdm_1_1EKF}\index{bdm::EKF@{bdm::EKF}} } {\tt \#include $<$libKF.h$>$} Inheritance diagram for bdm::EKF$<$ sq\_\-T $>$:\nopagebreak \begin{figure}[H] \begin{center} \leavevmode \includegraphics[width=117pt]{classbdm_1_1EKF__inherit__graph} \end{center} \end{figure} \subsection{Detailed Description} \subsubsection*{template$<$class sq\_\-T$>$ class bdm::EKF$<$ sq\_\-T $>$} Extended \hyperlink{classbdm_1_1Kalman}{Kalman} Filter. An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. \subsection*{Public Member Functions} \begin{CompactItemize} \item \hypertarget{classbdm_1_1EKF_d087a8bb408d26ac4f5c542746b81059}{ \hyperlink{classbdm_1_1EKF_d087a8bb408d26ac4f5c542746b81059}{EKF} (\hyperlink{classbdm_1_1RV}{RV} rvx, \hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7}{rvy}, \hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94}{rvu})} \label{classbdm_1_1EKF_d087a8bb408d26ac4f5c542746b81059} \begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item \hypertarget{classbdm_1_1EKF_00fec1a0a6a467eb83fb36c65eba7bcb}{ void \hyperlink{classbdm_1_1EKF_00fec1a0a6a467eb83fb36c65eba7bcb}{set\_\-parameters} (\hyperlink{classbdm_1_1diffbifn}{diffbifn} $\ast$pfxu, \hyperlink{classbdm_1_1diffbifn}{diffbifn} $\ast$phxu, const sq\_\-T Q0, const sq\_\-T R0)} \label{classbdm_1_1EKF_00fec1a0a6a467eb83fb36c65eba7bcb} \begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item \hypertarget{classbdm_1_1EKF_3fb182ecc29b10ca1163cecbf3bcccfa}{ void \hyperlink{classbdm_1_1EKF_3fb182ecc29b10ca1163cecbf3bcccfa}{bayes} (const vec \&dt)} \label{classbdm_1_1EKF_3fb182ecc29b10ca1163cecbf3bcccfa} \begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_94eb8cc31731210089db0ba4e1a08a6c}{ void \hyperlink{classbdm_1_1Kalman_94eb8cc31731210089db0ba4e1a08a6c}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const \hyperlink{classfsqmat}{fsqmat} \&R0, const \hyperlink{classfsqmat}{fsqmat} \&Q0)} \label{classbdm_1_1Kalman_94eb8cc31731210089db0ba4e1a08a6c} \begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_9264fc6b173ecb803d2684b883f32c68}{ void \hyperlink{classbdm_1_1Kalman_9264fc6b173ecb803d2684b883f32c68}{set\_\-est} (const vec \&mu0, const \hyperlink{classfsqmat}{fsqmat} \&P0)} \label{classbdm_1_1Kalman_9264fc6b173ecb803d2684b883f32c68} \begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d}{ const \hyperlink{classbdm_1_1epdf}{epdf} \& \hyperlink{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d}{\_\-epdf} () const } \label{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d} \begin{CompactList}\small\item\em access function \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77}{ const \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ $\ast$ \textbf{\_\-e} () const } \label{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77} \item \hypertarget{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277}{ mat \& \hyperlink{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277}{\_\-\_\-K} ()} \label{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277} \begin{CompactList}\small\item\em access function \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_a250d1dbe7bba861dba2a324520cfa48}{ vec \hyperlink{classbdm_1_1Kalman_a250d1dbe7bba861dba2a324520cfa48}{\_\-dP} ()} \label{classbdm_1_1Kalman_a250d1dbe7bba861dba2a324520cfa48} \begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} \begin{Indent}{\bf Constructors}\par \begin{CompactItemize} \item virtual \hyperlink{classbdm_1_1BM}{BM} $\ast$ \hyperlink{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{\_\-copy\_\-} () \end{CompactItemize} \end{Indent} \begin{Indent}{\bf Mathematical operations}\par \begin{CompactItemize} \item \hypertarget{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{ virtual void \hyperlink{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{bayesB} (const mat \&Dt)} \label{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc} \begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item virtual double \hyperlink{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{logpred} (const vec \&dt) const \item \hypertarget{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{ vec \hyperlink{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{logpred\_\-m} (const mat \&dt) const } \label{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae} \begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item \hypertarget{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}{ virtual \hyperlink{classbdm_1_1epdf}{epdf} $\ast$ \hyperlink{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}{epredictor} () const } \label{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba} \begin{CompactList}\small\item\em Constructs a predictive density $ f(d_{t+1} |d_{t}, \ldots d_{0}) $. \item\end{CompactList}\item \hypertarget{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}{ virtual \hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$ \hyperlink{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}{predictor} () const } \label{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912} \begin{CompactList}\small\item\em Constructs a conditional density 1-step ahead predictor. \item\end{CompactList}\end{CompactItemize} \end{Indent} \begin{Indent}{\bf Access to attributes}\par \begin{CompactItemize} \item \hypertarget{classbdm_1_1BM_ff2d8755ba0b3def927d31305c03b09c}{ const \hyperlink{classbdm_1_1RV}{RV} \& \textbf{\_\-drv} () const } \label{classbdm_1_1BM_ff2d8755ba0b3def927d31305c03b09c} \item \hypertarget{classbdm_1_1BM_f135ae6dce7e9f30c9f88229c7930b96}{ void \textbf{set\_\-drv} (const \hyperlink{classbdm_1_1RV}{RV} \&rv)} \label{classbdm_1_1BM_f135ae6dce7e9f30c9f88229c7930b96} \item \hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{ double \textbf{\_\-ll} () const } \label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70} \item \hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{ void \textbf{set\_\-evalll} (bool evl0)} \label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f} \end{CompactItemize} \end{Indent} \subsection*{Protected Attributes} \begin{CompactItemize} \item \hypertarget{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7}{ \hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7}{rvy}} \label{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7} \begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94}{ \hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94}{rvu}} \label{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94} \begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_ba7699cdb3b1382a54d3e28b9b7517fa}{ int \hyperlink{classbdm_1_1Kalman_ba7699cdb3b1382a54d3e28b9b7517fa}{dimx}} \label{classbdm_1_1Kalman_ba7699cdb3b1382a54d3e28b9b7517fa} \begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_d2c36ba01760bf207b985bf321b7817f}{ int \hyperlink{classbdm_1_1Kalman_d2c36ba01760bf207b985bf321b7817f}{dimy}} \label{classbdm_1_1Kalman_d2c36ba01760bf207b985bf321b7817f} \begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_c5136ef617f6ac0e426bea222755d92b}{ int \hyperlink{classbdm_1_1Kalman_c5136ef617f6ac0e426bea222755d92b}{dimu}} \label{classbdm_1_1Kalman_c5136ef617f6ac0e426bea222755d92b} \begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_0a2072e2090c10fac74ad30a023a4ace}{ mat \hyperlink{classbdm_1_1Kalman_0a2072e2090c10fac74ad30a023a4ace}{A}} \label{classbdm_1_1Kalman_0a2072e2090c10fac74ad30a023a4ace} \begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_5977b2c81857948a35105f0e7840203c}{ mat \hyperlink{classbdm_1_1Kalman_5977b2c81857948a35105f0e7840203c}{B}} \label{classbdm_1_1Kalman_5977b2c81857948a35105f0e7840203c} \begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_818eba63a23972786a4579ad30294177}{ mat \hyperlink{classbdm_1_1Kalman_818eba63a23972786a4579ad30294177}{C}} \label{classbdm_1_1Kalman_818eba63a23972786a4579ad30294177} \begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_7b56ac423d0654b5755e4f852a870456}{ mat \hyperlink{classbdm_1_1Kalman_7b56ac423d0654b5755e4f852a870456}{D}} \label{classbdm_1_1Kalman_7b56ac423d0654b5755e4f852a870456} \begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_70f8bf19e81b532c60fd3a7a152425ee}{ \hyperlink{classfsqmat}{fsqmat} \hyperlink{classbdm_1_1Kalman_70f8bf19e81b532c60fd3a7a152425ee}{Q}} \label{classbdm_1_1Kalman_70f8bf19e81b532c60fd3a7a152425ee} \begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_475b088287cdfbba4dc60a3d027728b7}{ \hyperlink{classfsqmat}{fsqmat} \hyperlink{classbdm_1_1Kalman_475b088287cdfbba4dc60a3d027728b7}{R}} \label{classbdm_1_1Kalman_475b088287cdfbba4dc60a3d027728b7} \begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_383f329ff18bbe219254c8b3b916f40d}{ \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ \hyperlink{classbdm_1_1Kalman_383f329ff18bbe219254c8b3b916f40d}{est}} \label{classbdm_1_1Kalman_383f329ff18bbe219254c8b3b916f40d} \begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_ba555c394c429f6831c9bbabfa2c944c}{ \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ \hyperlink{classbdm_1_1Kalman_ba555c394c429f6831c9bbabfa2c944c}{fy}} \label{classbdm_1_1Kalman_ba555c394c429f6831c9bbabfa2c944c} \begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_bd69dfb802465f22dd84d73a180d5c92}{ mat \hyperlink{classbdm_1_1Kalman_bd69dfb802465f22dd84d73a180d5c92}{\_\-K}} \label{classbdm_1_1Kalman_bd69dfb802465f22dd84d73a180d5c92} \begin{CompactList}\small\item\em placeholder for Kalman gain \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_c249d45258c8578b13858ad3e7b729b1}{ vec \& \hyperlink{classbdm_1_1Kalman_c249d45258c8578b13858ad3e7b729b1}{\_\-yp}} \label{classbdm_1_1Kalman_c249d45258c8578b13858ad3e7b729b1} \begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_2dd268f2d7fbe6382cb8825a1114192a}{ \hyperlink{classfsqmat}{fsqmat} \& \hyperlink{classbdm_1_1Kalman_2dd268f2d7fbe6382cb8825a1114192a}{\_\-Ry}} \label{classbdm_1_1Kalman_2dd268f2d7fbe6382cb8825a1114192a} \begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_fa172078091e45561343fa513dd573b0}{ vec \& \hyperlink{classbdm_1_1Kalman_fa172078091e45561343fa513dd573b0}{\_\-mu}} \label{classbdm_1_1Kalman_fa172078091e45561343fa513dd573b0} \begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item \hypertarget{classbdm_1_1Kalman_00c27b0bf324f0018497921ca23c71ed}{ \hyperlink{classfsqmat}{fsqmat} \& \hyperlink{classbdm_1_1Kalman_00c27b0bf324f0018497921ca23c71ed}{\_\-P}} \label{classbdm_1_1Kalman_00c27b0bf324f0018497921ca23c71ed} \begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item \hypertarget{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}{ \hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}{drv}} \label{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed} \begin{CompactList}\small\item\em Random variable of the data (optional). \item\end{CompactList}\item \hypertarget{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ double \hyperlink{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ll}} \label{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a} \begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item \hypertarget{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{ bool \hyperlink{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{evalll}} \label{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee} \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} \subsection{Member Function Documentation} \hypertarget{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{ \index{bdm::EKF@{bdm::EKF}!\_\-copy\_\-@{\_\-copy\_\-}} \index{\_\-copy\_\-@{\_\-copy\_\-}!bdm::EKF@{bdm::EKF}} \subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual {\bf BM}$\ast$ bdm::BM::\_\-copy\_\- ()\hspace{0.3cm}{\tt \mbox{[}inline, virtual, inherited\mbox{]}}}} \label{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff} Copy function required in vectors, Arrays of \hyperlink{classbdm_1_1BM}{BM} etc. Have to be DELETED manually! Prototype: \begin{Code}\begin{verbatim} BM* _copy_(){return new BM(*this);} \end{verbatim} \end{Code} Reimplemented in \hyperlink{classbdm_1_1ARX_60c40b5c6abc4c7e464b4ccae64a5a61}{bdm::ARX}.\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{ \index{bdm::EKF@{bdm::EKF}!logpred@{logpred}} \index{logpred@{logpred}!bdm::EKF@{bdm::EKF}} \subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}virtual double bdm::BM::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt \mbox{[}inline, virtual, inherited\mbox{]}}}} \label{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0} Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. Reimplemented in \hyperlink{classbdm_1_1ARX_080a7e531e3aa06694112863b15bc6a4}{bdm::ARX}, \hyperlink{classbdm_1_1MixEF_da724da464a75e07521941e430929efa}{bdm::MixEF}, and \hyperlink{classbdm_1_1multiBM_e157b607c1e3fa91d42aeea44458e2bf}{bdm::multiBM}. Referenced by bdm::BM::logpred\_\-m(). The documentation for this class was generated from the following file:\begin{CompactItemize} \item \hyperlink{libKF_8h}{libKF.h}\end{CompactItemize}