\hypertarget{classbdm_1_1EKFful__unQR}{
\section{bdm::EKFful\_\-unQR Class Reference}
\label{classbdm_1_1EKFful__unQR}\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}}
}
Extended \hyperlink{classbdm_1_1Kalman}{Kalman} filter with unknown {\tt Q} and {\tt R}.  


{\tt \#include $<$ekf\_\-templ.h$>$}

Inheritance diagram for bdm::EKFful\_\-unQR:\nopagebreak
\begin{figure}[H]
\begin{center}
\leavevmode
\includegraphics[width=141pt]{classbdm_1_1EKFful__unQR__inherit__graph}
\end{center}
\end{figure}
Collaboration diagram for bdm::EKFful\_\-unQR:\nopagebreak
\begin{figure}[H]
\begin{center}
\leavevmode
\includegraphics[width=400pt]{classbdm_1_1EKFful__unQR__coll__graph}
\end{center}
\end{figure}
\subsection*{Public Member Functions}
\begin{CompactItemize}
\item 
\hypertarget{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}{
\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)}
\label{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}

\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}{
void \hyperlink{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}{condition} (const vec \&QR0)}
\label{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}

\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}{
void \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)}
\label{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}

\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{
void \hyperlink{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{bayes} (const vec \&dt)}
\label{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}

\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{
void \hyperlink{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{set\_\-est} (vec mu0, mat P0)}
\label{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}

\begin{CompactList}\small\item\em set estimates \item\end{CompactList}\item 
\hypertarget{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{
const \hyperlink{classbdm_1_1epdf}{epdf} \& \hyperlink{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{\_\-epdf} () const }
\label{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}

\begin{CompactList}\small\item\em dummy! \item\end{CompactList}\item 
\hypertarget{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{
const \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ $\ast$ \hyperlink{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{\_\-e} () const }
\label{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}

\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 
\hypertarget{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}{
const mat \textbf{\_\-R} ()}
\label{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}

\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_710e7d69c0d8791fb41a7cd4683cca2c}{
virtual \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 }
\label{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}

\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
\hypertarget{classbdm_1_1BM_40a3c891996391e3135518053a917793}{
const \hyperlink{classbdm_1_1RV}{RV} \& \hyperlink{classbdm_1_1BM_40a3c891996391e3135518053a917793}{\_\-rv} () const }
\label{classbdm_1_1BM_40a3c891996391e3135518053a917793}

\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
\hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{
double \hyperlink{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{\_\-ll} () const }
\label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}

\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
\hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{
void \hyperlink{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{set\_\-evalll} (bool evl0)}
\label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}

\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
virtual \hyperlink{classbdm_1_1BM}{BM} $\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-} (bool changerv=false)
\item 
\hypertarget{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{
const \hyperlink{classbdm_1_1RV}{RV} \& \hyperlink{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{\_\-rvc} () const }
\label{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}

\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
\subsection*{Public Attributes}
\begin{CompactItemize}
\item 
\hypertarget{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{
vec \hyperlink{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{mu}}
\label{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}

\begin{CompactList}\small\item\em Mean value of the posterior density. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{
mat \hyperlink{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{P}}
\label{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}

\begin{CompactList}\small\item\em Variance of the posterior density. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}{
bool \textbf{evalll}}
\label{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}

\item 
\hypertarget{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}{
double \textbf{ll}}
\label{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}

\end{CompactItemize}
\subsection*{Protected Attributes}
\begin{CompactItemize}
\item 
\hypertarget{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}{
int \textbf{dimx}}
\label{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}

\item 
\hypertarget{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}{
int \textbf{dimy}}
\label{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}

\item 
\hypertarget{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}{
int \textbf{dimu}}
\label{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}

\item 
\hypertarget{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}{
mat \textbf{A}}
\label{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}

\item 
\hypertarget{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}{
mat \textbf{B}}
\label{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}

\item 
\hypertarget{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}{
mat \textbf{C}}
\label{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}

\item 
\hypertarget{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}{
mat \textbf{D}}
\label{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}

\item 
\hypertarget{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}{
mat \textbf{R}}
\label{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}

\item 
\hypertarget{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}{
mat \textbf{Q}}
\label{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}

\item 
\hypertarget{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}{
mat \textbf{\_\-Pp}}
\label{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}

\item 
\hypertarget{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}{
mat \textbf{\_\-Ry}}
\label{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}

\item 
\hypertarget{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}{
mat \textbf{\_\-iRy}}
\label{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}

\item 
\hypertarget{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}{
mat \textbf{\_\-K}}
\label{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}

\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}\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_18d6db4af8ee42077741d9e3618153ca}{
\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}}
\label{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}

\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
\hypertarget{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{
\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{rvc}}
\label{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}

\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
\subsection*{Friends}
\begin{CompactItemize}
\item 
\hypertarget{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{
std::ostream \& \hyperlink{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{operator$<$$<$} (std::ostream \&os, const \hyperlink{classbdm_1_1KalmanFull}{KalmanFull} \&kf)}
\label{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}

\begin{CompactList}\small\item\em print elements of KF \item\end{CompactList}\end{CompactItemize}


\subsection{Detailed Description}
Extended \hyperlink{classbdm_1_1Kalman}{Kalman} filter with unknown {\tt Q} and {\tt R}. 

\subsection{Member Function Documentation}
\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{
\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}!logpred@{logpred}}
\index{logpred@{logpred}!bdm::EKFful_unQR@{bdm::EKFful\_\-unQR}}
\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().\hypertarget{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{
\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}!\_\-copy\_\-@{\_\-copy\_\-}}
\index{\_\-copy\_\-@{\_\-copy\_\-}!bdm::EKFful_unQR@{bdm::EKFful\_\-unQR}}
\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{]}}}}
\label{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}


Copy 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; \} 

Reimplemented in \hyperlink{classbdm_1_1ARX_20ff2de8d862f28de7da83444d65bcdb}{bdm::ARX}, and \hyperlink{classbdm_1_1BMEF_5912dbcf28ae711e30b08c2fa766a3e6}{bdm::BMEF}.

The documentation for this class was generated from the following file:\begin{CompactItemize}
\item 
\hyperlink{ekf__templ_8h}{ekf\_\-templ.h}\end{CompactItemize}