root/doc/latex/classbdm_1_1EKFful__unQR.tex @ 270

Revision 270, 12.8 kB (checked in by smidl, 16 years ago)

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

Line 
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}
5{\tt \#include $<$ekf\_\-templ.h$>$}
6
7Inheritance diagram for bdm::EKFful\_\-unQR:\nopagebreak
8\begin{figure}[H]
9\begin{center}
10\leavevmode
11\includegraphics[width=141pt]{classbdm_1_1EKFful__unQR__inherit__graph}
12\end{center}
13\end{figure}
14
15
16\subsection{Detailed Description}
17Extended \hyperlink{classbdm_1_1Kalman}{Kalman} filter with unknown {\tt Q} and {\tt R}. \subsection*{Public Member Functions}
18\begin{CompactItemize}
19\item 
20\hypertarget{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}{
21\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)}
22\label{classbdm_1_1EKFful__unQR_58cd78b3bfcf989add9404de2982b281}
23
24\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
25\hypertarget{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}{
26void \hyperlink{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}{condition} (const vec \&QR0)}
27\label{classbdm_1_1EKFful__unQR_17a98c06f5efe38e0da0beb96d6f9584}
28
29\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item 
30\hypertarget{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}{
31void \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)}
32\label{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}
33
34\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
35\hypertarget{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{
36void \hyperlink{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{bayes} (const vec \&dt)}
37\label{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}
38
39\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
40\hypertarget{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{
41void \hyperlink{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{set\_\-est} (vec mu0, mat P0)}
42\label{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}
43
44\begin{CompactList}\small\item\em set estimates \item\end{CompactList}\item 
45\hypertarget{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{
46const \hyperlink{classbdm_1_1epdf}{epdf} \& \hyperlink{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{\_\-epdf} () const }
47\label{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}
48
49\begin{CompactList}\small\item\em dummy! \item\end{CompactList}\item 
50\hypertarget{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{
51const \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ $\ast$ \textbf{\_\-e} () const }
52\label{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}
53
54\item 
55\hypertarget{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}{
56const mat \textbf{\_\-R} ()}
57\label{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}
58
59\item 
60\hypertarget{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{
61const \hyperlink{classbdm_1_1RV}{RV} \& \hyperlink{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{\_\-rvc} () const }
62\label{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}
63
64\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize}
65\begin{Indent}{\bf Constructors}\par
66\begin{CompactItemize}
67\item 
68virtual \hyperlink{classbdm_1_1BM}{BM} $\ast$ \hyperlink{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{\_\-copy\_\-} ()
69\end{CompactItemize}
70\end{Indent}
71\begin{Indent}{\bf Mathematical operations}\par
72\begin{CompactItemize}
73\item 
74\hypertarget{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{
75virtual void \hyperlink{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{bayesB} (const mat \&Dt)}
76\label{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}
77
78\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
79virtual double \hyperlink{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{logpred} (const vec \&dt) const
80\item 
81\hypertarget{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{
82vec \hyperlink{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{logpred\_\-m} (const mat \&dt) const }
83\label{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}
84
85\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
86\hypertarget{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}{
87virtual \hyperlink{classbdm_1_1epdf}{epdf} $\ast$ \hyperlink{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}{epredictor} () const }
88\label{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}
89
90\begin{CompactList}\small\item\em Constructs a predictive density $ f(d_{t+1} |d_{t}, \ldots d_{0}) $. \item\end{CompactList}\item 
91\hypertarget{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}{
92virtual \hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$ \hyperlink{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}{predictor} () const }
93\label{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}
94
95\begin{CompactList}\small\item\em Constructs a conditional density 1-step ahead predictor. \item\end{CompactList}\end{CompactItemize}
96\end{Indent}
97\begin{Indent}{\bf Access to attributes}\par
98\begin{CompactItemize}
99\item 
100\hypertarget{classbdm_1_1BM_ff2d8755ba0b3def927d31305c03b09c}{
101const \hyperlink{classbdm_1_1RV}{RV} \& \textbf{\_\-drv} () const }
102\label{classbdm_1_1BM_ff2d8755ba0b3def927d31305c03b09c}
103
104\item 
105\hypertarget{classbdm_1_1BM_f135ae6dce7e9f30c9f88229c7930b96}{
106void \textbf{set\_\-drv} (const \hyperlink{classbdm_1_1RV}{RV} \&rv)}
107\label{classbdm_1_1BM_f135ae6dce7e9f30c9f88229c7930b96}
108
109\item 
110\hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{
111double \textbf{\_\-ll} () const }
112\label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}
113
114\item 
115\hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{
116void \textbf{set\_\-evalll} (bool evl0)}
117\label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}
118
119\end{CompactItemize}
120\end{Indent}
121\subsection*{Public Attributes}
122\begin{CompactItemize}
123\item 
124\hypertarget{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{
125vec \hyperlink{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{mu}}
126\label{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}
127
128\begin{CompactList}\small\item\em Mean value of the posterior density. \item\end{CompactList}\item 
129\hypertarget{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{
130mat \hyperlink{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{P}}
131\label{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}
132
133\begin{CompactList}\small\item\em Variance of the posterior density. \item\end{CompactList}\item 
134\hypertarget{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}{
135bool \textbf{evalll}}
136\label{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}
137
138\item 
139\hypertarget{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}{
140double \textbf{ll}}
141\label{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}
142
143\end{CompactItemize}
144\subsection*{Protected Attributes}
145\begin{CompactItemize}
146\item 
147\hypertarget{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}{
148int \textbf{dimx}}
149\label{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}
150
151\item 
152\hypertarget{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}{
153int \textbf{dimy}}
154\label{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}
155
156\item 
157\hypertarget{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}{
158int \textbf{dimu}}
159\label{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}
160
161\item 
162\hypertarget{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}{
163mat \textbf{A}}
164\label{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}
165
166\item 
167\hypertarget{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}{
168mat \textbf{B}}
169\label{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}
170
171\item 
172\hypertarget{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}{
173mat \textbf{C}}
174\label{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}
175
176\item 
177\hypertarget{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}{
178mat \textbf{D}}
179\label{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}
180
181\item 
182\hypertarget{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}{
183mat \textbf{R}}
184\label{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}
185
186\item 
187\hypertarget{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}{
188mat \textbf{Q}}
189\label{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}
190
191\item 
192\hypertarget{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}{
193mat \textbf{\_\-Pp}}
194\label{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}
195
196\item 
197\hypertarget{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}{
198mat \textbf{\_\-Ry}}
199\label{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}
200
201\item 
202\hypertarget{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}{
203mat \textbf{\_\-iRy}}
204\label{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}
205
206\item 
207\hypertarget{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}{
208mat \textbf{\_\-K}}
209\label{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}
210
211\item 
212\hypertarget{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{
213bool \hyperlink{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{evalll}}
214\label{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}
215
216\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 
217\hypertarget{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{
218double \hyperlink{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ll}}
219\label{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}
220
221\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item 
222\hypertarget{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}{
223\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}{drv}}
224\label{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}
225
226\begin{CompactList}\small\item\em Random variable of the data (optional). \item\end{CompactList}\item 
227\hypertarget{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{
228\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{rvc}}
229\label{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}
230
231\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize}
232\subsection*{Friends}
233\begin{CompactItemize}
234\item 
235\hypertarget{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{
236std::ostream \& \hyperlink{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{operator$<$$<$} (std::ostream \&os, const \hyperlink{classbdm_1_1KalmanFull}{KalmanFull} \&kf)}
237\label{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}
238
239\begin{CompactList}\small\item\em print elements of KF \item\end{CompactList}\end{CompactItemize}
240
241
242\subsection{Member Function Documentation}
243\hypertarget{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{
244\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}!\_\-copy\_\-@{\_\-copy\_\-}}
245\index{\_\-copy\_\-@{\_\-copy\_\-}!bdm::EKFful_unQR@{bdm::EKFful\_\-unQR}}
246\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual {\bf BM}$\ast$ bdm::BM::\_\-copy\_\- ()\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
247\label{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}
248
249
250Copy function required in vectors, Arrays of \hyperlink{classbdm_1_1BM}{BM} etc. Have to be DELETED manually! Prototype:
251
252\begin{Code}\begin{verbatim} BM* _copy_(){return new BM(*this);} 
253\end{verbatim}
254\end{Code}
255
256 
257
258Reimplemented in \hyperlink{classbdm_1_1ARX_60c40b5c6abc4c7e464b4ccae64a5a61}{bdm::ARX}.\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{
259\index{bdm::EKFful\_\-unQR@{bdm::EKFful\_\-unQR}!logpred@{logpred}}
260\index{logpred@{logpred}!bdm::EKFful_unQR@{bdm::EKFful\_\-unQR}}
261\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{]}}}}
262\label{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}
263
264
265Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
266
267Reimplemented in \hyperlink{classbdm_1_1ARX_080a7e531e3aa06694112863b15bc6a4}{bdm::ARX}, \hyperlink{classbdm_1_1MixEF_da724da464a75e07521941e430929efa}{bdm::MixEF}, and \hyperlink{classbdm_1_1multiBM_e157b607c1e3fa91d42aeea44458e2bf}{bdm::multiBM}.
268
269Referenced by bdm::BM::logpred\_\-m().
270
271The documentation for this class was generated from the following file:\begin{CompactItemize}
272\item 
273\hyperlink{ekf__templ_8h}{ekf\_\-templ.h}\end{CompactItemize}
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