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1\hypertarget{classbdm_1_1EKFfull}{
2\section{bdm::EKFfull Class Reference}
3\label{classbdm_1_1EKFfull}\index{bdm::EKFfull@{bdm::EKFfull}}
4}
5Extended \hyperlink{classbdm_1_1Kalman}{Kalman} Filter in full matrices. 
6
7
8{\tt \#include $<$libKF.h$>$}
9
10Inheritance diagram for bdm::EKFfull:\nopagebreak
11\begin{figure}[H]
12\begin{center}
13\leavevmode
14\includegraphics[width=113pt]{classbdm_1_1EKFfull__inherit__graph}
15\end{center}
16\end{figure}
17Collaboration diagram for bdm::EKFfull:\nopagebreak
18\begin{figure}[H]
19\begin{center}
20\leavevmode
21\includegraphics[width=400pt]{classbdm_1_1EKFfull__coll__graph}
22\end{center}
23\end{figure}
24\subsection*{Public Member Functions}
25\begin{CompactItemize}
26\item 
27\hypertarget{classbdm_1_1EKFfull_38c0465c9edac6cedfe611373b0cce01}{
28\hyperlink{classbdm_1_1EKFfull_38c0465c9edac6cedfe611373b0cce01}{EKFfull} (\hyperlink{classbdm_1_1RV}{RV} rvx, \hyperlink{classbdm_1_1RV}{RV} rvy, \hyperlink{classbdm_1_1RV}{RV} rvu)}
29\label{classbdm_1_1EKFfull_38c0465c9edac6cedfe611373b0cce01}
30
31\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item 
32\hypertarget{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}{
33void \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)}
34\label{classbdm_1_1EKFfull_78748da361ba61fef162b0d8956d1743}
35
36\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item 
37\hypertarget{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{
38void \hyperlink{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}{bayes} (const vec \&dt)}
39\label{classbdm_1_1EKFfull_f149ae8e9ce14d9931a7bb2850736699}
40
41\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item 
42\hypertarget{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{
43void \hyperlink{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}{set\_\-est} (vec mu0, mat P0)}
44\label{classbdm_1_1EKFfull_7562b3d3c17241dab3baf70258742eb2}
45
46\begin{CompactList}\small\item\em set estimates \item\end{CompactList}\item 
47\hypertarget{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{
48const \hyperlink{classbdm_1_1epdf}{epdf} \& \hyperlink{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}{\_\-epdf} () const }
49\label{classbdm_1_1EKFfull_6ccc4fa7da522d1c2257156f72291a8a}
50
51\begin{CompactList}\small\item\em dummy! \item\end{CompactList}\item 
52\hypertarget{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{
53const \hyperlink{classbdm_1_1enorm}{enorm}$<$ \hyperlink{classfsqmat}{fsqmat} $>$ $\ast$ \hyperlink{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}{\_\-e} () const }
54\label{classbdm_1_1EKFfull_3d0e427d4d2fb7ac20358ce629f5d510}
55
56\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 
57\hypertarget{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}{
58const mat \textbf{\_\-R} ()}
59\label{classbdm_1_1EKFfull_d4f57cb8af64b06c530f528c32596d4d}
60
61\item 
62\hypertarget{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{
63virtual void \hyperlink{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{bayesB} (const mat \&Dt)}
64\label{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}
65
66\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item 
67virtual double \hyperlink{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{logpred} (const vec \&dt) const
68\item 
69\hypertarget{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{
70vec \hyperlink{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{logpred\_\-m} (const mat \&dt) const }
71\label{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}
72
73\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item 
74\hypertarget{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{
75virtual \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 }
76\label{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}
77
78\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item 
79\hypertarget{classbdm_1_1BM_40a3c891996391e3135518053a917793}{
80const \hyperlink{classbdm_1_1RV}{RV} \& \hyperlink{classbdm_1_1BM_40a3c891996391e3135518053a917793}{\_\-rv} () const }
81\label{classbdm_1_1BM_40a3c891996391e3135518053a917793}
82
83\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
84\hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{
85double \hyperlink{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{\_\-ll} () const }
86\label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}
87
88\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
89\hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{
90void \hyperlink{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{set\_\-evalll} (bool evl0)}
91\label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}
92
93\begin{CompactList}\small\item\em access function \item\end{CompactList}\item 
94virtual \hyperlink{classbdm_1_1BM}{BM} $\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-} (bool changerv=false)
95\end{CompactItemize}
96\subsection*{Public Attributes}
97\begin{CompactItemize}
98\item 
99\hypertarget{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{
100vec \hyperlink{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}{mu}}
101\label{classbdm_1_1KalmanFull_2defb75e58892615c5f95fd844f3a666}
102
103\begin{CompactList}\small\item\em Mean value of the posterior density. \item\end{CompactList}\item 
104\hypertarget{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{
105mat \hyperlink{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}{P}}
106\label{classbdm_1_1KalmanFull_acacd228e100c3e937de575ad2d7cd9c}
107
108\begin{CompactList}\small\item\em Variance of the posterior density. \item\end{CompactList}\item 
109\hypertarget{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}{
110bool \textbf{evalll}}
111\label{classbdm_1_1KalmanFull_0dba34bfba2aedd8c488692bcd14869b}
112
113\item 
114\hypertarget{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}{
115double \textbf{ll}}
116\label{classbdm_1_1KalmanFull_363ade67bd5a06c6a45c41e4d8afe11e}
117
118\end{CompactItemize}
119\subsection*{Protected Attributes}
120\begin{CompactItemize}
121\item 
122\hypertarget{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}{
123int \textbf{dimx}}
124\label{classbdm_1_1KalmanFull_427886a66cde0354e041ddef5aa60eab}
125
126\item 
127\hypertarget{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}{
128int \textbf{dimy}}
129\label{classbdm_1_1KalmanFull_2b0399b8904ccb81c2098cc3cc85ff8f}
130
131\item 
132\hypertarget{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}{
133int \textbf{dimu}}
134\label{classbdm_1_1KalmanFull_8e886b5d535ba7f9a39e66be34116788}
135
136\item 
137\hypertarget{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}{
138mat \textbf{A}}
139\label{classbdm_1_1KalmanFull_a24914cfc0297b9f3885df86e5011733}
140
141\item 
142\hypertarget{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}{
143mat \textbf{B}}
144\label{classbdm_1_1KalmanFull_ef28133db32cc60b710925266c37376d}
145
146\item 
147\hypertarget{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}{
148mat \textbf{C}}
149\label{classbdm_1_1KalmanFull_89ed156e063e19b32df2218bfaef42cf}
150
151\item 
152\hypertarget{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}{
153mat \textbf{D}}
154\label{classbdm_1_1KalmanFull_74e9f43b5b4d4a5e012e6178542d3e8f}
155
156\item 
157\hypertarget{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}{
158mat \textbf{R}}
159\label{classbdm_1_1KalmanFull_5c1fc8685511d21ba0e1688452105b7c}
160
161\item 
162\hypertarget{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}{
163mat \textbf{Q}}
164\label{classbdm_1_1KalmanFull_17d9a3316ecf81c149c2c1affb11af58}
165
166\item 
167\hypertarget{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}{
168mat \textbf{\_\-Pp}}
169\label{classbdm_1_1KalmanFull_f7fc60eca2893328d42f92246526d4b9}
170
171\item 
172\hypertarget{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}{
173mat \textbf{\_\-Ry}}
174\label{classbdm_1_1KalmanFull_b85742b33f95077f360a03ca2de05261}
175
176\item 
177\hypertarget{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}{
178mat \textbf{\_\-iRy}}
179\label{classbdm_1_1KalmanFull_09472aa8c06e79944d7637b70bf4e401}
180
181\item 
182\hypertarget{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}{
183mat \textbf{\_\-K}}
184\label{classbdm_1_1KalmanFull_7455b5deee5f14d978c82c5cc9357e29}
185
186\item 
187\hypertarget{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{
188\hyperlink{classbdm_1_1RV}{RV} \hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}}
189\label{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}
190
191\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item 
192\hypertarget{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{
193double \hyperlink{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ll}}
194\label{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}
195
196\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\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}\end{CompactItemize}
202\subsection*{Friends}
203\begin{CompactItemize}
204\item 
205\hypertarget{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{
206std::ostream \& \hyperlink{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}{operator$<$$<$} (std::ostream \&os, const \hyperlink{classbdm_1_1KalmanFull}{KalmanFull} \&kf)}
207\label{classbdm_1_1KalmanFull_86ba216243ed95bb46d80d88775d16af}
208
209\begin{CompactList}\small\item\em print elements of KF \item\end{CompactList}\end{CompactItemize}
210
211
212\subsection{Detailed Description}
213Extended \hyperlink{classbdm_1_1Kalman}{Kalman} Filter in full matrices.
214
215An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean.
216
217\subsection{Member Function Documentation}
218\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{
219\index{bdm::EKFfull@{bdm::EKFfull}!logpred@{logpred}}
220\index{logpred@{logpred}!bdm::EKFfull@{bdm::EKFfull}}
221\subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}virtual double bdm::BM::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
222\label{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}
223
224
225Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
226
227Reimplemented in \hyperlink{classbdm_1_1ARX_080a7e531e3aa06694112863b15bc6a4}{bdm::ARX}, \hyperlink{classbdm_1_1MixEF_da724da464a75e07521941e430929efa}{bdm::MixEF}, and \hyperlink{classbdm_1_1multiBM_e157b607c1e3fa91d42aeea44458e2bf}{bdm::multiBM}.
228
229Referenced by bdm::BM::logpred\_\-m().\hypertarget{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{
230\index{bdm::EKFfull@{bdm::EKFfull}!\_\-copy\_\-@{\_\-copy\_\-}}
231\index{\_\-copy\_\-@{\_\-copy\_\-}!bdm::EKFfull@{bdm::EKFfull}}
232\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual {\bf BM}$\ast$ bdm::BM::\_\-copy\_\- (bool {\em changerv} = {\tt false})\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}}
233\label{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}
234
235
236Copy 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; \} 
237
238Reimplemented in \hyperlink{classbdm_1_1ARX_20ff2de8d862f28de7da83444d65bcdb}{bdm::ARX}, and \hyperlink{classbdm_1_1BMEF_5912dbcf28ae711e30b08c2fa766a3e6}{bdm::BMEF}.
239
240The documentation for this class was generated from the following files:\begin{CompactItemize}
241\item 
242\hyperlink{libKF_8h}{libKF.h}\item 
243libKF.cpp\end{CompactItemize}
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