\hypertarget{classbdm_1_1MPF}{ \section{bdm::MPF$<$ BM\_\-T $>$ Class Template Reference} \label{classbdm_1_1MPF}\index{bdm::MPF@{bdm::MPF}} } {\tt \#include $<$libPF.h$>$} Inheritance diagram for bdm::MPF$<$ BM\_\-T $>$::\begin{figure}[H] \begin{center} \leavevmode \includegraphics[height=4cm]{classbdm_1_1MPF} \end{center} \end{figure} \subsection{Detailed Description} \subsubsection*{template$<$class BM\_\-T$>$ class bdm::MPF$<$ BM\_\-T $>$} Marginalized Particle filter. Trivial version: proposal = parameter evolution, observation model is not used. (it is assumed to be part of \hyperlink{classbdm_1_1BM}{BM}). \subsection*{Public Member Functions} \begin{CompactItemize} \item \hypertarget{classbdm_1_1MPF_ca0e773df05fd70cf8ef3a7f1b3e42ef}{ \hyperlink{classbdm_1_1MPF_ca0e773df05fd70cf8ef3a7f1b3e42ef}{MPF} (\hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$par0, \hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$obs0, int \hyperlink{classbdm_1_1PF_eeafaf9b8ad75fe62ee9fd6369e3f7fe}{n}, const BM\_\-T \&BMcond0)} \label{classbdm_1_1MPF_ca0e773df05fd70cf8ef3a7f1b3e42ef} \begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item void \hyperlink{classbdm_1_1MPF_286d040770d08bd7ff416cea617b1b14}{bayes} (const vec \&dt) \begin{CompactList}\small\item\em Incremental Bayes rule. \item\end{CompactList}\item \hypertarget{classbdm_1_1MPF_25d5dc30b1260b07edb6183bdd73ef16}{ const \hyperlink{classbdm_1_1epdf}{epdf} \& \textbf{posterior} () const } \label{classbdm_1_1MPF_25d5dc30b1260b07edb6183bdd73ef16} \item \hypertarget{classbdm_1_1MPF_1401874aa88a7a3f2593070646779af2}{ const \hyperlink{classbdm_1_1epdf}{epdf} $\ast$ \textbf{\_\-e} () const } \label{classbdm_1_1MPF_1401874aa88a7a3f2593070646779af2} \item \hypertarget{classbdm_1_1MPF_dcecdaf2acbbee51acf3018a70989a7e}{ void \hyperlink{classbdm_1_1MPF_dcecdaf2acbbee51acf3018a70989a7e}{set\_\-est} (const \hyperlink{classbdm_1_1epdf}{epdf} \&epdf0)} \label{classbdm_1_1MPF_dcecdaf2acbbee51acf3018a70989a7e} \begin{CompactList}\small\item\em Set postrior of {\tt rvc} to samples from epdf0. Statistics of Bms are not re-computed! Use only for initialization! \item\end{CompactList}\item \hypertarget{classbdm_1_1MPF_82b5a34d9ed0e78452f98d2ecbf1e93c}{ \hyperlink{classbdm_1_1BM}{BM} $\ast$ \hyperlink{classbdm_1_1MPF_82b5a34d9ed0e78452f98d2ecbf1e93c}{\_\-BM} (int i)} \label{classbdm_1_1MPF_82b5a34d9ed0e78452f98d2ecbf1e93c} \begin{CompactList}\small\item\em Access function. \item\end{CompactList}\item \hypertarget{classbdm_1_1PF_78a9f6809827be1d9bfe215d03b1c6ed}{ vec $\ast$ \hyperlink{classbdm_1_1PF_78a9f6809827be1d9bfe215d03b1c6ed}{\_\-\_\-w} ()} \label{classbdm_1_1PF_78a9f6809827be1d9bfe215d03b1c6ed} \begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} \begin{Indent}{\bf Constructors}\par \begin{CompactItemize} \item \hypertarget{classbdm_1_1PF_e6d63c627cd1600eb0a88294d0ff6ca3}{ void \textbf{set\_\-parameters} (\hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$par0, \hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$obs0, int n0)} \label{classbdm_1_1PF_e6d63c627cd1600eb0a88294d0ff6ca3} \item \hypertarget{classbdm_1_1PF_9830cb311f67e8276d3f2b167ab681b9}{ void \textbf{set\_\-statistics} (const vec w0, \hyperlink{classbdm_1_1epdf}{epdf} $\ast$epdf0)} \label{classbdm_1_1PF_9830cb311f67e8276d3f2b167ab681b9} \end{CompactItemize} \end{Indent} \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_b38d92f17620813ad872d86e01a26e5e}{ void \textbf{set\_\-rv} (const \hyperlink{classbdm_1_1RV}{RV} \&rv)} \label{classbdm_1_1BM_b38d92f17620813ad872d86e01a26e5e} \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_1PF_eeafaf9b8ad75fe62ee9fd6369e3f7fe}{ int \hyperlink{classbdm_1_1PF_eeafaf9b8ad75fe62ee9fd6369e3f7fe}{n}} \label{classbdm_1_1PF_eeafaf9b8ad75fe62ee9fd6369e3f7fe} \begin{CompactList}\small\item\em number of particles; \item\end{CompactList}\item \hypertarget{classbdm_1_1PF_dc049265b9086cad7071f98d00a2b9af}{ \hyperlink{classbdm_1_1eEmp}{eEmp} \hyperlink{classbdm_1_1PF_dc049265b9086cad7071f98d00a2b9af}{est}} \label{classbdm_1_1PF_dc049265b9086cad7071f98d00a2b9af} \begin{CompactList}\small\item\em posterior density \item\end{CompactList}\item \hypertarget{classbdm_1_1PF_f5149d5522d1095d39240c4c607f61a3}{ vec \& \hyperlink{classbdm_1_1PF_f5149d5522d1095d39240c4c607f61a3}{\_\-w}} \label{classbdm_1_1PF_f5149d5522d1095d39240c4c607f61a3} \begin{CompactList}\small\item\em pointer into {\tt \hyperlink{classbdm_1_1eEmp}{eEmp}} \item\end{CompactList}\item \hypertarget{classbdm_1_1PF_914bd66025692c4018dbd482cb3c47c1}{ Array$<$ vec $>$ \& \hyperlink{classbdm_1_1PF_914bd66025692c4018dbd482cb3c47c1}{\_\-samples}} \label{classbdm_1_1PF_914bd66025692c4018dbd482cb3c47c1} \begin{CompactList}\small\item\em pointer into {\tt \hyperlink{classbdm_1_1eEmp}{eEmp}} \item\end{CompactList}\item \hypertarget{classbdm_1_1PF_521e9621d3b5e1274275f323691afdaf}{ \hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$ \hyperlink{classbdm_1_1PF_521e9621d3b5e1274275f323691afdaf}{par}} \label{classbdm_1_1PF_521e9621d3b5e1274275f323691afdaf} \begin{CompactList}\small\item\em Parameter evolution model. \item\end{CompactList}\item \hypertarget{classbdm_1_1PF_d6e7a62fba1e0a0d73c9b87f4fb683ec}{ \hyperlink{classbdm_1_1mpdf}{mpdf} $\ast$ \hyperlink{classbdm_1_1PF_d6e7a62fba1e0a0d73c9b87f4fb683ec}{obs}} \label{classbdm_1_1PF_d6e7a62fba1e0a0d73c9b87f4fb683ec} \begin{CompactList}\small\item\em Observation model. \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*{Classes} \begin{CompactItemize} \item class \textbf{mpfepdf} \begin{CompactList}\small\item\em internal class for MPDF providing composition of \hyperlink{classbdm_1_1eEmp}{eEmp} with external components \item\end{CompactList}\end{CompactItemize} \subsection{Member Function Documentation} \hypertarget{classbdm_1_1MPF_286d040770d08bd7ff416cea617b1b14}{ \index{bdm::MPF@{bdm::MPF}!bayes@{bayes}} \index{bayes@{bayes}!bdm::MPF@{bdm::MPF}} \subsubsection[bayes]{\setlength{\rightskip}{0pt plus 5cm}template$<$class BM\_\-T$>$ void {\bf bdm::MPF}$<$ BM\_\-T $>$::bayes (const vec \& {\em dt})\hspace{0.3cm}{\tt \mbox{[}inline, virtual\mbox{]}}}} \label{classbdm_1_1MPF_286d040770d08bd7ff416cea617b1b14} Incremental Bayes rule. \begin{Desc} \item[Parameters:] \begin{description} \item[{\em dt}]vector of input data \end{description} \end{Desc} Reimplemented from \hyperlink{classbdm_1_1PF_638946eea22d4964bf9350286bb4efd8}{bdm::PF}. References bdm::mpdf::\_\-e(), bdm::PF::\_\-samples, bdm::PF::\_\-w, bdm::PF::est, bdm::epdf::evallog(), bdm::PF::n, bdm::PF::par, bdm::eEmp::resample(), and bdm::mpdf::samplecond().\hypertarget{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{ \index{bdm::MPF@{bdm::MPF}!\_\-copy\_\-@{\_\-copy\_\-}} \index{\_\-copy\_\-@{\_\-copy\_\-}!bdm::MPF@{bdm::MPF}} \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::MPF@{bdm::MPF}!logpred@{logpred}} \index{logpred@{logpred}!bdm::MPF@{bdm::MPF}} \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{libPF_8h}{libPF.h}\end{CompactItemize}