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[261]1\hypertarget{classbdm_1_1EKFful__unQR}{
2\section{bdm::EKFful\_\-unQR Class Reference}
3\label{classbdm_1_1EKFful__unQR}\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}}
4}
5Extended \hyperlink{classbdm_1_1Kalman}{Kalman} filter with unknown {\tt Q} and {\tt R}. 
6
7
8{\tt \#include $<$ekf\_\-templ.h$>$}
9
10Inheritance diagram for bdm::EKFful\_\-unQR:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=141pt]{classbdm_1_1EKFful__unQR__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for bdm::EKFful\_\-unQR:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=400pt]{classbdm_1_1EKFful__unQR__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
27\hypertarget{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}{
28\hyperlink{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}{EKFful\_\-unQR} (\hyperlink{classbdm_1_1RV}{RV} rx, \hyperlink{classbdm_1_1RV}{RV} ry, \hyperlink{classbdm_1_1RV}{RV} ru, \hyperlink{classbdm_1_1RV}{RV} rQR)}
29\label{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}
30
31\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
32\hypertarget{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}{
33void \hyperlink{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}{condition} (const vec \&QR0)}
34\label{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}
35
36\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
37\hypertarget{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}{
38void \hyperlink{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}{set\_\-parameters} (\hyperlink{classbdm_1_1diffbifn}{diffbifn} $\ast$pfxu, \hyperlink{classbdm_1_1diffbifn}{diffbifn} $\ast$phxu, const mat Q0, const mat R0)}
39\label{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}
40
41\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
42\hypertarget{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{
43void \hyperlink{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{bayes} (const vec \&dt)}
44\label{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}
45
46\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
47\hypertarget{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{
48void \hyperlink{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{set\_\-est} (vec mu0, mat P0)}
49\label{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}
50
51\begin{CompactList}\small\item\em set estimates \item\end{CompactList}\item 
52\hypertarget{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{
53const \hyperlink{classbdm_1_1epdf}{epdf} \& \hyperlink{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{\_\-epdf} () const }
54\label{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}
55
56\begin{CompactList}\small\item\em dummy! \item\end{CompactList}\item 
57\hypertarget{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{
58const \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ $\ast$ \hyperlink{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{\_\-e} () const }
59\label{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}
60
61\begin{CompactList}\small\item\em Returns a pointer to the \hyperlink{classbdm_1_1epdf}{epdf} representing posterior density on parameters. Use with care! \item\end{CompactList}\item 
62\hypertarget{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}{
63const mat \textbf{\_\-R} ()}
64\label{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}
65
66\item 
67\hypertarget{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{
68virtual void \hyperlink{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{bayesB} (const mat \&Dt)}
69\label{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}
70
71\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
72virtual double \hyperlink{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{logpred} (const vec \&dt) const
73\item 
74\hypertarget{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{
75vec \hyperlink{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{logpred\_\-m} (const mat \&dt) const }
76\label{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}
77
78\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
79\hypertarget{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{
80virtual \hyperlink{classbdm_1_1epdf}{epdf} $\ast$ \hyperlink{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{predictor} (const \hyperlink{classbdm_1_1RV}{RV} \&\hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}) const }
81\label{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}
82
83\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
84\hypertarget{classbdm_1_1BM_40a3c891996391e3135518053a917793}{
85const \hyperlink{classbdm_1_1RV}{RV} \& \hyperlink{classbdm_1_1BM_40a3c891996391e3135518053a917793}{\_\-rv} () const }
86\label{classbdm_1_1BM_40a3c891996391e3135518053a917793}
87
88\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
89\hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{
90double \hyperlink{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{\_\-ll} () const }
91\label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}
92
93\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
94\hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{
95void \hyperlink{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{set\_\-evalll} (bool evl0)}
96\label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}
97
98\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
99virtual \hyperlink{classbdm_1_1BM}{BM} $\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-} (bool changerv=false)
100\item 
101\hypertarget{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{
102const \hyperlink{classbdm_1_1RV}{RV} \& \hyperlink{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{\_\-rvc} () const }
103\label{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}
104
105\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
106\subsection*{Public Attributes}
107\begin{CompactItemize}
108\item 
109\hypertarget{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{
110vec \hyperlink{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{mu}}
111\label{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}
112
113\begin{CompactList}\small\item\em Mean value of the posterior density. \item\end{CompactList}\item 
114\hypertarget{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{
115mat \hyperlink{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{P}}
116\label{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}
117
118\begin{CompactList}\small\item\em Variance of the posterior density. \item\end{CompactList}\item 
119\hypertarget{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}{
120bool \textbf{evalll}}
121\label{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}
122
123\item 
124\hypertarget{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}{
125double \textbf{ll}}
126\label{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}
127
128\end{CompactItemize}
129\subsection*{Protected Attributes}
130\begin{CompactItemize}
131\item 
132\hypertarget{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}{
133int \textbf{dimx}}
134\label{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}
135
136\item 
137\hypertarget{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}{
138int \textbf{dimy}}
139\label{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}
140
141\item 
142\hypertarget{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}{
143int \textbf{dimu}}
144\label{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}
145
146\item 
147\hypertarget{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}{
148mat \textbf{A}}
149\label{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}
150
151\item 
152\hypertarget{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}{
153mat \textbf{B}}
154\label{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}
155
156\item 
157\hypertarget{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}{
158mat \textbf{C}}
159\label{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}
160
161\item 
162\hypertarget{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}{
163mat \textbf{D}}
164\label{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}
165
166\item 
167\hypertarget{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}{
168mat \textbf{R}}
169\label{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}
170
171\item 
172\hypertarget{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}{
173mat \textbf{Q}}
174\label{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}
175
176\item 
177\hypertarget{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}{
178mat \textbf{\_\-Pp}}
179\label{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}
180
181\item 
182\hypertarget{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}{
183mat \textbf{\_\-Ry}}
184\label{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}
185
186\item 
187\hypertarget{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}{
188mat \textbf{\_\-iRy}}
189\label{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}
190
191\item 
192\hypertarget{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}{
193mat \textbf{\_\-K}}
194\label{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}
195
196\item 
197\hypertarget{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{
198bool \hyperlink{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{evalll}}
199\label{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}
200
201\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 
202\hypertarget{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{
203double \hyperlink{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ll}}
204\label{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}
205
206\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
207\hypertarget{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{
208\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}}
209\label{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}
210
211\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
212\hypertarget{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{
213\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{rvc}}
214\label{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}
215
216\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
217\subsection*{Friends}
218\begin{CompactItemize}
219\item 
220\hypertarget{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{
221std::ostream \& \hyperlink{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{operator$<$$<$} (std::ostream \&os, const \hyperlink{classbdm_1_1KalmanFull}{KalmanFull} \&kf)}
222\label{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}
223
224\begin{CompactList}\small\item\em print elements of KF \item\end{CompactList}\end{CompactItemize}
225
226
227\subsection{Detailed Description}
228Extended \hyperlink{classbdm_1_1Kalman}{Kalman} filter with unknown {\tt Q} and {\tt R}.
229
230\subsection{Member Function Documentation}
231\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{
232\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}!logpred@{logpred}}
233\index{logpred@{logpred}!bdm::EKFful_unQR@{bdm::EKFful\_\-unQR}}
234\subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}virtual double bdm::BM::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
235\label{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}
236
237
238Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
239
240Reimplemented in \hyperlink{classbdm_1_1ARX_080a7e531e3aa06694112863b15bc6a4}{bdm::ARX}, \hyperlink{classbdm_1_1MixEF_da724da464a75e07521941e430929efa}{bdm::MixEF}, and \hyperlink{classbdm_1_1multiBM_e157b607c1e3fa91d42aeea44458e2bf}{bdm::multiBM}.
241
242Referenced by bdm::BM::logpred\_\-m().\hypertarget{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{
243\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}!\_\-copy\_\-@{\_\-copy\_\-}}
244\index{\_\-copy\_\-@{\_\-copy\_\-}!bdm::EKFful_unQR@{bdm::EKFful\_\-unQR}}
245\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual {\bf BM}$\ast$ bdm::BM::\_\-copy\_\- (bool {\em changerv} = {\tt false})\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
246\label{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}
247
248
249Copy function required in vectors, Arrays of \hyperlink{classbdm_1_1BM}{BM} etc. Have to be DELETED manually! Prototype: BM$\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-()}\{\hyperlink{classbdm_1_1BM}{BM} Tmp$\ast$=new Tmp(this$\ast$); return Tmp; \} 
250
251Reimplemented in \hyperlink{classbdm_1_1ARX_20ff2de8d862f28de7da83444d65bcdb}{bdm::ARX}, and \hyperlink{classbdm_1_1BMEF_5912dbcf28ae711e30b08c2fa766a3e6}{bdm::BMEF}.
252
253The documentation for this class was generated from the following file:\begin{CompactItemize}
254\item 
255\hyperlink{ekf__templ_8h}{ekf\_\-templ.h}\end{CompactItemize}
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