| 1 | <?xml version='1.0' encoding='UTF-8' standalone='no'?> |
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| 2 | <doxygen xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="compound.xsd" version="1.5.6"> |
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| 3 | <compounddef id="arx_8h" kind="file"> |
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| 4 | <compoundname>arx.h</compoundname> |
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| 5 | <includes local="no">itpp/itbase.h</includes> |
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| 6 | <includes refid="libFN_8h" local="yes">../stat/libFN.h</includes> |
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| 7 | <includes refid="libEF_8h" local="yes">../stat/libEF.h</includes> |
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| 8 | <includedby refid="bdm_2estim_2arx_8cpp" local="yes">work/git/mixpp/bdm/estim/arx.cpp</includedby> |
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| 9 | <includedby refid="matlab_2mex_2arx_8cpp" local="yes">work/git/mixpp/matlab/mex/arx.cpp</includedby> |
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| 10 | <includedby refid="arx__c_8cpp" local="yes">work/git/mixpp/matlab/mex/arx_c.cpp</includedby> |
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| 11 | <includedby refid="linefit_8cpp" local="yes">work/git/mixpp/matlab/mex/linefit.cpp</includedby> |
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| 12 | <includedby refid="linefit2_8cpp" local="yes">work/git/mixpp/matlab/mex/linefit2.cpp</includedby> |
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| 13 | <includedby refid="merg__pred_8cpp" local="no">work/git/mixpp/mpdm/merg_pred.cpp</includedby> |
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| 14 | <includedby refid="sim__var__arx_8cpp" local="no">work/git/mixpp/pmsm/sim_var_arx.cpp</includedby> |
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| 15 | <includedby refid="arx__test_8cpp" local="no">work/git/mixpp/tests/arx_test.cpp</includedby> |
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| 16 | <incdepgraph> |
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| 17 | <node id="207"> |
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| 18 | <label>libBM.h</label> |
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| 19 | <link refid="libBM_8h"/> |
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| 20 | <childnode refid="205" relation="include"> |
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| 21 | </childnode> |
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| 22 | </node> |
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| 23 | <node id="210"> |
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| 24 | <label>../itpp_ext.h</label> |
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| 25 | <link refid="itpp__ext_8h-source"/> |
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| 26 | <childnode refid="205" relation="include"> |
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| 27 | </childnode> |
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| 28 | </node> |
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| 29 | <node id="208"> |
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| 30 | <label>../stat/libEF.h</label> |
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| 31 | <link refid="libEF_8h"/> |
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| 32 | <childnode refid="205" relation="include"> |
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| 33 | </childnode> |
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| 34 | <childnode refid="209" relation="include"> |
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| 35 | </childnode> |
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| 36 | <childnode refid="207" relation="include"> |
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| 37 | </childnode> |
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| 38 | <childnode refid="210" relation="include"> |
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| 39 | </childnode> |
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| 40 | </node> |
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| 41 | <node id="204"> |
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| 42 | <label>work/git/mixpp/bdm/estim/arx.h</label> |
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| 43 | <link refid="arx.h"/> |
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| 44 | <childnode refid="205" relation="include"> |
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| 45 | </childnode> |
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| 46 | <childnode refid="206" relation="include"> |
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| 47 | </childnode> |
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| 48 | <childnode refid="208" relation="include"> |
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| 49 | </childnode> |
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| 50 | </node> |
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| 51 | <node id="206"> |
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| 52 | <label>../stat/libFN.h</label> |
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| 53 | <link refid="libFN_8h-source"/> |
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| 54 | <childnode refid="205" relation="include"> |
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| 55 | </childnode> |
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| 56 | <childnode refid="207" relation="include"> |
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| 57 | </childnode> |
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| 58 | </node> |
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| 59 | <node id="205"> |
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| 60 | <label>itpp/itbase.h</label> |
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| 61 | </node> |
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| 62 | <node id="209"> |
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| 63 | <label>../math/libDC.h</label> |
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| 64 | <link refid="libDC_8h"/> |
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| 65 | <childnode refid="205" relation="include"> |
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| 66 | </childnode> |
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| 67 | </node> |
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| 68 | </incdepgraph> |
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| 69 | <invincdepgraph> |
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| 70 | <node id="211"> |
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| 71 | <label>work/git/mixpp/bdm/estim/arx.h</label> |
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| 72 | <link refid="arx.h"/> |
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| 73 | <childnode refid="212" relation="include"> |
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| 74 | </childnode> |
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| 75 | </node> |
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| 76 | <node id="212"> |
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| 77 | <label>work/git/mixpp/pmsm/sim_var_arx.cpp</label> |
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| 78 | <link refid="sim__var__arx_8cpp"/> |
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| 79 | </node> |
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| 80 | </invincdepgraph> |
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| 81 | <innerclass refid="classARX" prot="public">ARX</innerclass> |
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| 82 | <briefdescription> |
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| 83 | <para>Bayesian Filtering for generalized autoregressive (<ref refid="classARX" kindref="compound">ARX</ref>) model. </para> </briefdescription> |
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| 84 | <detaileddescription> |
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| 85 | <para><simplesect kind="author"><para>Vaclav Smidl.</para></simplesect> |
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| 86 | ----------------------------------- BDM++ - C++ library for Bayesian Decision Making under Uncertainty</para><para>Using IT++ for numerical operations ----------------------------------- </para> </detaileddescription> |
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| 87 | <programlisting> |
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| 88 | <codeline lineno="1"></codeline> |
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| 89 | <codeline lineno="13"><highlight class="preprocessor">#ifndef<sp/>AR_H</highlight></codeline> |
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| 90 | <codeline lineno="14"><highlight class="preprocessor"></highlight><highlight class="preprocessor">#define<sp/>AR_H</highlight></codeline> |
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| 91 | <codeline lineno="15"><highlight class="preprocessor"></highlight><highlight class="normal"></highlight></codeline> |
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| 92 | <codeline lineno="16"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/><itpp/itbase.h></highlight><highlight class="normal"></highlight></codeline> |
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| 93 | <codeline lineno="17"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>"../stat/libFN.h"</highlight><highlight class="normal"></highlight></codeline> |
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| 94 | <codeline lineno="18"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>"../stat/libEF.h"</highlight><highlight class="normal"></highlight></codeline> |
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| 95 | <codeline lineno="19"><highlight class="normal"></highlight></codeline> |
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| 96 | <codeline lineno="20"><highlight class="normal"></highlight><highlight class="keyword">using<sp/>namespace<sp/></highlight><highlight class="normal">itpp;</highlight></codeline> |
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| 97 | <codeline lineno="21"><highlight class="normal"></highlight></codeline> |
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| 98 | <codeline lineno="36" refid="classARX" refkind="compound"><highlight class="keyword">class<sp/></highlight><highlight class="normal"><ref refid="classARX" kindref="compound" tooltip="Linear Autoregressive model with Gaussian noise.">ARX</ref>:<sp/></highlight><highlight class="keyword">public</highlight><highlight class="normal"><sp/><ref refid="classBM" kindref="compound" tooltip="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</ref><sp/>{</highlight></codeline> |
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| 99 | <codeline lineno="37"><highlight class="normal"></highlight><highlight class="keyword">protected</highlight><highlight class="normal">:</highlight></codeline> |
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| 100 | <codeline lineno="39" refid="classARX_1691d023662beffa1dda611b416c0e27e" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classegiw" kindref="compound" tooltip="Gauss-inverse-Wishart density stored in LD form.">egiw</ref><sp/><ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>;</highlight></codeline> |
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| 101 | <codeline lineno="41" refid="classARX_12291297861dd74ca0175a01f910a0ef7" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classldmat" kindref="compound" tooltip="Matrix stored in LD form, (typically known as UD).">ldmat</ref><sp/>&<ref refid="classARX_12291297861dd74ca0175a01f910a0ef7" kindref="member" tooltip="cached value of est.V">V</ref>;</highlight></codeline> |
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| 102 | <codeline lineno="43" refid="classARX_1a4182c281098b2d86b62518a7493d9be" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>&<ref refid="classARX_1a4182c281098b2d86b62518a7493d9be" kindref="member" tooltip="cached value of est.nu">nu</ref>;</highlight></codeline> |
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| 103 | <codeline lineno="45" refid="classARX_1e467144efb0a5acbc10dba4eff8638fe" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classARX_1e467144efb0a5acbc10dba4eff8638fe" kindref="member" tooltip="forgetting factor">frg</ref>;</highlight></codeline> |
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| 104 | <codeline lineno="47" refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" kindref="member" tooltip="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</ref>;</highlight></codeline> |
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| 105 | <codeline lineno="49" refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" kindref="member" tooltip="total likelihood">tll</ref>;</highlight></codeline> |
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| 106 | <codeline lineno="50"><highlight class="normal"></highlight><highlight class="keyword">public</highlight><highlight class="normal">:</highlight></codeline> |
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| 107 | <codeline lineno="52" refid="classARX_15fc6c18e73dcc0f1135eef33f42db8be" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classARX_15fc6c18e73dcc0f1135eef33f42db8be" kindref="member" tooltip="Full constructor.">ARX</ref><sp/>(<ref refid="classRV" kindref="compound" tooltip="Class representing variables, most often random variables.">RV</ref><sp/>&<ref refid="classBM_1af00f0612fabe66241dd507188cdbf88" kindref="member" tooltip="Random variable of the posterior.">rv</ref>,<sp/>mat<sp/>&V0,<sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>&nu0,<sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>frg0=1.0)<sp/>:<sp/><ref refid="classBM" kindref="compound" tooltip="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</ref>(rv),<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>(rv,V0,nu0),<sp/><ref refid="classARX_12291297861dd74ca0175a01f910a0ef7" kindref="member" tooltip="cached value of est.V">V</ref>(<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>._V()),<sp/><ref refid="classARX_1a4182c281098b2d86b62518a7493d9be" kindref="member" tooltip="cached value of est.nu">nu</ref>(<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>._nu()),<sp/><ref refid="classARX_1e467144efb0a5acbc10dba4eff8638fe" kindref="member" tooltip="forgetting factor">frg</ref>(frg0){<ref refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" kindref="member" tooltip="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</ref>=<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>.<ref refid="classegiw_170eb1a0b88459b227f919b425b0d3359" kindref="member" tooltip="logarithm of the normalizing constant, ">lognc</ref>();<ref refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" kindref="member" tooltip="total likelihood">tll</ref>=0.0;};</highlight></codeline> |
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| 108 | <codeline lineno="54" refid="classARX_13ccef8dc9dbed00ec74dddc949845d39" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classARX_13ccef8dc9dbed00ec74dddc949845d39" kindref="member" tooltip="Set sufficient statistics.">set_parameters</ref>(mat<sp/>&V0,<sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>&nu0){<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>.<ref refid="classegiw_1533e792e1175bfa06d5d595dc5d080d5" kindref="member" tooltip="returns a pointer to the internal statistics. Use with Care!">_V</ref>()=V0;<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>.<ref refid="classegiw_108029c481ff95d24f093df0573879afe" kindref="member" tooltip="returns a pointer to the internal statistics. Use with Care!">_nu</ref>()=nu0;<ref refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" kindref="member" tooltip="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</ref>=<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>.<ref refid="classegiw_170eb1a0b88459b227f919b425b0d3359" kindref="member" tooltip="logarithm of the normalizing constant, ">lognc</ref>();<ref refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" kindref="member" tooltip="total likelihood">tll</ref>=<ref refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" kindref="member" tooltip="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</ref>;}</highlight></codeline> |
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| 109 | <codeline lineno="56" refid="classARX_129f55b43b8b6f5c4a55f6176aa85c494" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classARX_129f55b43b8b6f5c4a55f6176aa85c494" kindref="member" tooltip="Returns sufficient statistics.">get_parameters</ref>(mat<sp/>&V0,<sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>&nu0){V0=<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>.<ref refid="classegiw_1533e792e1175bfa06d5d595dc5d080d5" kindref="member" tooltip="returns a pointer to the internal statistics. Use with Care!">_V</ref>().<ref refid="classldmat_15b0515da8dc2293d9e4360b74cc26c9e" kindref="member" tooltip="Conversion to full matrix.">to_mat</ref>();<sp/>nu0=<ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>.<ref refid="classegiw_108029c481ff95d24f093df0573879afe" kindref="member" tooltip="returns a pointer to the internal statistics. Use with Care!">_nu</ref>();}</highlight></codeline> |
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| 110 | <codeline lineno="58"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classARX_1ba82c956ca893826811aefe1e4af465d" kindref="member" tooltip="Here .">bayes</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>vec<sp/>&dt<sp/>);</highlight></codeline> |
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| 111 | <codeline lineno="59" refid="classARX_19d8eff7a9df81786191a4c55b27e5b8a" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classepdf" kindref="compound" tooltip="Probability density function with numerical statistics, e.g. posterior density.">epdf</ref>&<sp/><ref refid="classARX_19d8eff7a9df81786191a4c55b27e5b8a" kindref="member" tooltip="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</ref>()<sp/>{</highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/><ref refid="classARX_1691d023662beffa1dda611b416c0e27e" kindref="member" tooltip="Posterior estimate of in the form of Normal-inverse Wishart density.">est</ref>;}</highlight></codeline> |
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| 112 | <codeline lineno="61"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>ivec<sp/><ref refid="classARX_1130bb7336aac681ce14b027b8f1409fa" kindref="member" tooltip="Brute force structure estimation.">structure_est</ref>(<ref refid="classegiw" kindref="compound" tooltip="Gauss-inverse-Wishart density stored in LD form.">egiw</ref><sp/>Eg0);</highlight></codeline> |
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| 113 | <codeline lineno="63" refid="classARX_1b8827048ceec8999849e2ed15400cae7" refkind="member"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classARX_1b8827048ceec8999849e2ed15400cae7" kindref="member" tooltip="access function">_tll</ref>(){</highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/><ref refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" kindref="member" tooltip="total likelihood">tll</ref>;}</highlight></codeline> |
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| 114 | <codeline lineno="64"><highlight class="normal">};</highlight></codeline> |
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| 115 | <codeline lineno="65"><highlight class="normal"></highlight></codeline> |
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| 116 | <codeline lineno="66"><highlight class="normal"></highlight></codeline> |
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| 117 | <codeline lineno="67"><highlight class="normal"></highlight><highlight class="preprocessor">#endif<sp/>//<sp/>AR_H</highlight></codeline> |
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| 118 | <codeline lineno="68"><highlight class="preprocessor"></highlight><highlight class="normal"></highlight></codeline> |
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| 119 | <codeline lineno="69"><highlight class="normal"></highlight></codeline> |
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| 120 | </programlisting> |
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| 121 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h"/> |
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| 122 | </compounddef> |
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| 123 | </doxygen> |
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