[262] | 1 | |
---|
[384] | 2 | #include "kalman.h" |
---|
[7] | 3 | |
---|
[477] | 4 | namespace bdm { |
---|
[7] | 5 | |
---|
| 6 | using std::endl; |
---|
| 7 | |
---|
| 8 | |
---|
| 9 | |
---|
[679] | 10 | void KalmanFull::bayes ( const vec &yt, const vec &cond ) { |
---|
[961] | 11 | bdm_assert_debug ( yt.length() == ( dimy ), "KalmanFull::bayes wrong size of dt, " + |
---|
| 12 | num2str(yt.length()) + ", expected size is " + num2str(dimy) ); |
---|
| 13 | bdm_assert_debug ( cond.length() == ( dimc ), "KalmanFull::bayes wrong size of cond, " + |
---|
| 14 | num2str(cond.length()) + ", expected size is " + num2str(dimc) ); |
---|
| 15 | |
---|
[679] | 16 | const vec &u = cond; // in this case cond=ut |
---|
| 17 | const vec &y = yt; |
---|
[737] | 18 | |
---|
[679] | 19 | vec& mu = est._mu(); |
---|
| 20 | mat &P = est._R(); |
---|
[583] | 21 | mat& _Ry = fy._R(); |
---|
[653] | 22 | vec& yp = fy._mu(); |
---|
[7] | 23 | //Time update |
---|
[477] | 24 | mu = A * mu + B * u; |
---|
[737] | 25 | P = A * P * A.transpose() + ( mat ) Q; |
---|
[7] | 26 | |
---|
| 27 | //Data update |
---|
[737] | 28 | _Ry = C * P * C.transpose() + ( mat ) R; |
---|
[583] | 29 | _K = P * C.transpose() * inv ( _Ry ); |
---|
[477] | 30 | P -= _K * C * P; // P = P -KCP; |
---|
[653] | 31 | yp = C * mu + D * u; |
---|
| 32 | mu += _K * ( y - yp ); |
---|
[37] | 33 | |
---|
| 34 | if ( evalll ) { |
---|
[737] | 35 | ll = fy.evallog ( y ); |
---|
[37] | 36 | } |
---|
[7] | 37 | }; |
---|
| 38 | |
---|
| 39 | |
---|
[62] | 40 | |
---|
[477] | 41 | /////////////////////////////// EKFS |
---|
[583] | 42 | EKFfull::EKFfull ( ) : KalmanFull () {}; |
---|
[62] | 43 | |
---|
[527] | 44 | void EKFfull::set_parameters ( const shared_ptr<diffbifn> &pfxu0, const shared_ptr<diffbifn> &phxu0, const mat Q0, const mat R0 ) { |
---|
[62] | 45 | pfxu = pfxu0; |
---|
| 46 | phxu = phxu0; |
---|
| 47 | |
---|
[737] | 48 | set_dim ( pfxu0->_dimx() ); |
---|
[283] | 49 | dimy = phxu0->dimension(); |
---|
[679] | 50 | dimc = pfxu0->_dimu(); |
---|
[737] | 51 | est.set_parameters ( zeros ( dimension() ), eye ( dimension() ) ); |
---|
[477] | 52 | |
---|
[679] | 53 | A.set_size ( dimension(), dimension() ); |
---|
| 54 | C.set_size ( dimy, dimension() ); |
---|
[62] | 55 | //initialize matrices A C, later, these will be only updated! |
---|
[679] | 56 | pfxu->dfdx_cond ( est._mu(), zeros ( dimc ), A, true ); |
---|
[62] | 57 | B.clear(); |
---|
[679] | 58 | phxu->dfdx_cond ( est._mu(), zeros ( dimc ), C, true ); |
---|
[62] | 59 | D.clear(); |
---|
| 60 | |
---|
| 61 | R = R0; |
---|
| 62 | Q = Q0; |
---|
| 63 | } |
---|
| 64 | |
---|
[737] | 65 | void EKFfull::bayes ( const vec &yt, const vec &cond ) { |
---|
[679] | 66 | bdm_assert_debug ( yt.length() == ( dimy ), "EKFull::bayes wrong size of dt" ); |
---|
| 67 | bdm_assert_debug ( cond.length() == ( dimc ), "EKFull::bayes wrong size of dt" ); |
---|
[737] | 68 | |
---|
[679] | 69 | const vec &u = cond; |
---|
| 70 | const vec &y = yt; //lazy to change it |
---|
| 71 | vec &mu = est._mu(); |
---|
| 72 | mat &P = est._R(); |
---|
[583] | 73 | mat& _Ry = fy._R(); |
---|
[653] | 74 | vec& yp = fy._mu(); |
---|
[737] | 75 | |
---|
[679] | 76 | pfxu->dfdx_cond ( mu, zeros ( dimc ), A, true ); |
---|
| 77 | phxu->dfdx_cond ( mu, zeros ( dimc ), C, true ); |
---|
[477] | 78 | |
---|
[62] | 79 | //Time update |
---|
[477] | 80 | mu = pfxu->eval ( mu, u );// A*mu + B*u; |
---|
[737] | 81 | P = A * P * A.transpose() + ( mat ) Q; |
---|
[62] | 82 | |
---|
| 83 | //Data update |
---|
[737] | 84 | _Ry = C * P * C.transpose() + ( mat ) R; |
---|
[583] | 85 | _K = P * C.transpose() * inv ( _Ry ); |
---|
[477] | 86 | P -= _K * C * P; // P = P -KCP; |
---|
[653] | 87 | yp = phxu->eval ( mu, u ); |
---|
[477] | 88 | mu += _K * ( y - yp ); |
---|
[62] | 89 | |
---|
| 90 | if ( BM::evalll ) { |
---|
[737] | 91 | ll = fy.evallog ( y ); |
---|
[62] | 92 | } |
---|
| 93 | }; |
---|
| 94 | |
---|
| 95 | |
---|
| 96 | |
---|
[477] | 97 | void KalmanCh::set_parameters ( const mat &A0, const mat &B0, const mat &C0, const mat &D0, const chmat &Q0, const chmat &R0 ) { |
---|
[37] | 98 | |
---|
[583] | 99 | ( ( StateSpace<chmat>* ) this )->set_parameters ( A0, B0, C0, D0, Q0, R0 ); |
---|
[737] | 100 | |
---|
| 101 | _K = zeros ( dimension(), dimy ); |
---|
[583] | 102 | } |
---|
| 103 | |
---|
[737] | 104 | void KalmanCh::initialize() { |
---|
[679] | 105 | preA = zeros ( dimy + dimension() + dimension(), dimy + dimension() ); |
---|
[271] | 106 | // preA.clear(); |
---|
[477] | 107 | preA.set_submatrix ( 0, 0, R._Ch() ); |
---|
[679] | 108 | preA.set_submatrix ( dimy + dimension(), dimy, Q._Ch() ); |
---|
[37] | 109 | } |
---|
| 110 | |
---|
[679] | 111 | void KalmanCh::bayes ( const vec &yt, const vec &cond ) { |
---|
[737] | 112 | bdm_assert_debug ( yt.length() == dimy, "yt mismatch" ); |
---|
| 113 | bdm_assert_debug ( cond.length() == dimc, "yt mismatch" ); |
---|
| 114 | |
---|
[679] | 115 | const vec &u = cond; |
---|
| 116 | const vec &y = yt; |
---|
[477] | 117 | vec pom ( dimy ); |
---|
| 118 | |
---|
[737] | 119 | chmat &_P = est._R(); |
---|
[679] | 120 | vec &_mu = est._mu(); |
---|
[737] | 121 | mat _K ( dimension(), dimy ); |
---|
| 122 | chmat &_Ry = fy._R(); |
---|
[583] | 123 | vec &_yp = fy._mu(); |
---|
[37] | 124 | //TODO get rid of Q in qr()! |
---|
[907] | 125 | // mat Q; |
---|
[37] | 126 | |
---|
| 127 | //R and Q are already set in set_parameters() |
---|
[477] | 128 | preA.set_submatrix ( dimy, 0, ( _P._Ch() ) *C.T() ); |
---|
[37] | 129 | //Fixme can be more efficient if .T() is not used |
---|
[477] | 130 | preA.set_submatrix ( dimy, dimy, ( _P._Ch() ) *A.T() ); |
---|
[37] | 131 | |
---|
[477] | 132 | if ( !qr ( preA, postA ) ) { |
---|
[565] | 133 | bdm_warning ( "QR in KalmanCh unstable!" ); |
---|
[477] | 134 | } |
---|
[37] | 135 | |
---|
[477] | 136 | ( _Ry._Ch() ) = postA ( 0, dimy - 1, 0, dimy - 1 ); |
---|
[679] | 137 | _K = inv ( A ) * ( postA ( 0, dimy - 1 , dimy, dimy + dimension() - 1 ) ).T(); |
---|
| 138 | ( _P._Ch() ) = postA ( dimy, dimy + dimension() - 1, dimy, dimy + dimension() - 1 ); |
---|
[37] | 139 | |
---|
[477] | 140 | _mu = A * ( _mu ) + B * u; |
---|
| 141 | _yp = C * _mu - D * u; |
---|
| 142 | |
---|
| 143 | backward_substitution ( _Ry._Ch(), ( y - _yp ), pom ); |
---|
| 144 | _mu += ( _K ) * pom; |
---|
| 145 | |
---|
| 146 | /* cout << "P:" <<_P.to_mat() <<endl; |
---|
| 147 | cout << "Ry:" <<_Ry.to_mat() <<endl; |
---|
| 148 | cout << "_K:" <<_K <<endl;*/ |
---|
| 149 | |
---|
| 150 | if ( evalll == true ) { //likelihood of observation y |
---|
| 151 | ll = fy.evallog ( y ); |
---|
[37] | 152 | } |
---|
| 153 | } |
---|
| 154 | |
---|
[739] | 155 | void StateCanonical::connect_mlnorm ( const mlnorm<fsqmat> &ml ) { |
---|
| 156 | //get ids of yrv |
---|
| 157 | const RV &yrv = ml._rv(); |
---|
| 158 | //need to determine u_t - it is all in _rvc that is not in ml._rv() |
---|
| 159 | RV rgr0 = ml._rvc().remove_time(); |
---|
| 160 | RV urv = rgr0.subt ( yrv ); |
---|
[37] | 161 | |
---|
[739] | 162 | //We can do only 1d now... :( |
---|
| 163 | bdm_assert ( yrv._dsize() == 1, "Only for SISO so far..." ); |
---|
[37] | 164 | |
---|
[739] | 165 | // create names for |
---|
| 166 | RV xrv; //empty |
---|
| 167 | RV Crv; //empty |
---|
| 168 | int td = ml._rvc().mint(); |
---|
| 169 | // assuming strictly proper function!!! |
---|
| 170 | for ( int t = -1; t >= td; t-- ) { |
---|
| 171 | xrv.add ( yrv.copy_t ( t ) ); |
---|
| 172 | Crv.add ( urv.copy_t ( t ) ); |
---|
| 173 | } |
---|
| 174 | |
---|
| 175 | // get mapp |
---|
| 176 | th2A.set_connection ( xrv, ml._rvc() ); |
---|
| 177 | th2C.set_connection ( Crv, ml._rvc() ); |
---|
| 178 | th2D.set_connection ( urv, ml._rvc() ); |
---|
| 179 | |
---|
| 180 | //set matrix sizes |
---|
| 181 | this->A = zeros ( xrv._dsize(), xrv._dsize() ); |
---|
| 182 | for ( int j = 1; j < xrv._dsize(); j++ ) { |
---|
| 183 | A ( j, j - 1 ) = 1.0; // off diagonal |
---|
| 184 | } |
---|
| 185 | this->B = zeros ( xrv._dsize(), 1 ); |
---|
| 186 | this->B ( 0 ) = 1.0; |
---|
| 187 | this->C = zeros ( 1, xrv._dsize() ); |
---|
| 188 | this->D = zeros ( 1, urv._dsize() ); |
---|
| 189 | this->Q = zeros ( xrv._dsize(), xrv._dsize() ); |
---|
| 190 | // R is set by update |
---|
| 191 | |
---|
| 192 | //set cache |
---|
| 193 | this->A1row = zeros ( xrv._dsize() ); |
---|
| 194 | this->C1row = zeros ( xrv._dsize() ); |
---|
| 195 | this->D1row = zeros ( urv._dsize() ); |
---|
| 196 | |
---|
| 197 | update_from ( ml ); |
---|
| 198 | validate(); |
---|
| 199 | }; |
---|
| 200 | |
---|
| 201 | void StateCanonical::update_from ( const mlnorm<fsqmat> &ml ) { |
---|
| 202 | |
---|
| 203 | vec theta = ml._A().get_row ( 0 ); // this |
---|
| 204 | |
---|
| 205 | th2A.filldown ( theta, A1row ); |
---|
| 206 | th2C.filldown ( theta, C1row ); |
---|
| 207 | th2D.filldown ( theta, D1row ); |
---|
| 208 | |
---|
| 209 | R = ml._R(); |
---|
| 210 | |
---|
| 211 | A.set_row ( 0, A1row ); |
---|
| 212 | C.set_row ( 0, C1row + D1row ( 0 ) *A1row ); |
---|
| 213 | D.set_row ( 0, D1row ); |
---|
| 214 | } |
---|
| 215 | |
---|
| 216 | void StateFromARX::connect_mlnorm ( const mlnorm<chmat> &ml, RV &xrv, RV &urv ) { |
---|
| 217 | //get ids of yrv |
---|
| 218 | const RV &yrv = ml._rv(); |
---|
| 219 | //need to determine u_t - it is all in _rvc that is not in ml._rv() |
---|
| 220 | const RV &rgr = ml._rvc(); |
---|
| 221 | RV rgr0 = rgr.remove_time(); |
---|
| 222 | urv = rgr0.subt ( yrv ); |
---|
| 223 | |
---|
| 224 | // create names for state variables |
---|
| 225 | xrv = yrv; |
---|
| 226 | |
---|
| 227 | int y_multiplicity = -rgr.mint ( yrv ); |
---|
| 228 | int y_block_size = yrv.length() * ( y_multiplicity ); // current yt + all delayed yts |
---|
| 229 | for ( int m = 0; m < y_multiplicity - 1; m++ ) { // ========= -1 is important see arx2statespace_notes |
---|
| 230 | xrv.add ( yrv.copy_t ( -m - 1 ) ); //add delayed yt |
---|
| 231 | } |
---|
| 232 | //! temporary RV for connection to ml.rvc, since notation of xrv and ml.rvc does not match |
---|
| 233 | RV xrv_ml = xrv.copy_t ( -1 ); |
---|
| 234 | |
---|
| 235 | // add regressors |
---|
| 236 | ivec u_block_sizes ( urv.length() ); // no_blocks = yt + unique rgr |
---|
| 237 | for ( int r = 0; r < urv.length(); r++ ) { |
---|
| 238 | RV R = urv.subselect ( vec_1 ( r ) ); //non-delayed element of rgr |
---|
| 239 | int r_size = urv.size ( r ); |
---|
| 240 | int r_multiplicity = -rgr.mint ( R ); |
---|
| 241 | u_block_sizes ( r ) = r_size * r_multiplicity ; |
---|
| 242 | for ( int m = 0; m < r_multiplicity; m++ ) { |
---|
| 243 | xrv.add ( R.copy_t ( -m - 1 ) ); //add delayed yt |
---|
| 244 | xrv_ml.add ( R.copy_t ( -m - 1 ) ); //add delayed yt |
---|
| 245 | } |
---|
| 246 | } |
---|
| 247 | // add constant |
---|
| 248 | if ( any ( ml._mu_const() != 0.0 ) ) { |
---|
| 249 | have_constant = true; |
---|
| 250 | xrv.add ( RV ( "bdm_reserved_constant_one", 1 ) ); |
---|
| 251 | } else { |
---|
| 252 | have_constant = false; |
---|
| 253 | } |
---|
| 254 | |
---|
| 255 | |
---|
| 256 | // get mapp |
---|
| 257 | th2A.set_connection ( xrv_ml, ml._rvc() ); |
---|
| 258 | th2B.set_connection ( urv, ml._rvc() ); |
---|
| 259 | |
---|
| 260 | //set matrix sizes |
---|
| 261 | this->A = zeros ( xrv._dsize(), xrv._dsize() ); |
---|
| 262 | //create y block |
---|
| 263 | diagonal_part ( this->A, yrv._dsize(), 0, y_block_size - yrv._dsize() ); |
---|
| 264 | |
---|
| 265 | this->B = zeros ( xrv._dsize(), urv._dsize() ); |
---|
| 266 | //add diagonals for rgr |
---|
| 267 | int active_x = y_block_size; |
---|
[884] | 268 | int active_Bcol = 0; |
---|
[739] | 269 | for ( int r = 0; r < urv.length(); r++ ) { |
---|
[744] | 270 | if (u_block_sizes(r)>0){ |
---|
| 271 | diagonal_part ( this->A, active_x + urv.size ( r ), active_x, u_block_sizes ( r ) - urv.size ( r ) ); |
---|
[884] | 272 | this->B.set_submatrix ( active_x, active_Bcol, eye ( urv.size ( r ) ) ); |
---|
| 273 | active_Bcol+=u_block_sizes(r); |
---|
[744] | 274 | } |
---|
[739] | 275 | active_x += u_block_sizes ( r ); |
---|
| 276 | } |
---|
| 277 | this->C = zeros ( yrv._dsize(), xrv._dsize() ); |
---|
| 278 | this->C.set_submatrix ( 0, 0, eye ( yrv._dsize() ) ); |
---|
| 279 | this->D = zeros ( yrv._dsize(), urv._dsize() ); |
---|
| 280 | this->R.setCh ( zeros ( yrv._dsize(), yrv._dsize() ) ); |
---|
| 281 | this->Q.setCh ( zeros ( xrv._dsize(), xrv._dsize() ) ); |
---|
| 282 | // Q is set by update |
---|
| 283 | |
---|
| 284 | update_from ( ml ); |
---|
| 285 | validate(); |
---|
| 286 | } |
---|
| 287 | |
---|
| 288 | void StateFromARX::update_from ( const mlnorm<chmat> &ml ) { |
---|
| 289 | vec Arow = zeros ( A.cols() ); |
---|
| 290 | vec Brow = zeros ( B.cols() ); |
---|
| 291 | // ROW- WISE EVALUATION ===== |
---|
| 292 | for ( int i = 0; i < ml._rv()._dsize(); i++ ) { |
---|
| 293 | |
---|
| 294 | vec theta = ml._A().get_row ( i ); |
---|
| 295 | |
---|
| 296 | th2A.filldown ( theta, Arow ); |
---|
| 297 | if ( have_constant ) { |
---|
| 298 | // constant is always at the end no need for datalink |
---|
| 299 | Arow ( A.cols() - 1 ) = ml._mu_const() ( i ); |
---|
| 300 | } |
---|
| 301 | this->A.set_row ( i, Arow ); |
---|
| 302 | |
---|
| 303 | th2B.filldown ( theta, Brow ); |
---|
| 304 | this->B.set_row ( i, Brow ); |
---|
| 305 | } |
---|
| 306 | this->Q._Ch().set_submatrix ( 0, 0, ml.__R()._Ch() ); |
---|
| 307 | |
---|
| 308 | } |
---|
| 309 | |
---|
| 310 | |
---|
[527] | 311 | void EKFCh::set_parameters ( const shared_ptr<diffbifn> &pfxu0, const shared_ptr<diffbifn> &phxu0, const chmat Q0, const chmat R0 ) { |
---|
[37] | 312 | pfxu = pfxu0; |
---|
| 313 | phxu = phxu0; |
---|
| 314 | |
---|
[737] | 315 | set_dim ( pfxu0->_dimx() ); |
---|
[283] | 316 | dimy = phxu0->dimension(); |
---|
[679] | 317 | dimc = pfxu0->_dimu(); |
---|
[737] | 318 | |
---|
[679] | 319 | vec &_mu = est._mu(); |
---|
[477] | 320 | // if mu is not set, set it to zeros, just for constant terms of A and C |
---|
[737] | 321 | if ( _mu.length() != dimension() ) _mu = zeros ( dimension() ); |
---|
[679] | 322 | A = zeros ( dimension(), dimension() ); |
---|
| 323 | C = zeros ( dimy, dimension() ); |
---|
| 324 | preA = zeros ( dimy + dimension() + dimension(), dimy + dimension() ); |
---|
[477] | 325 | |
---|
[37] | 326 | //initialize matrices A C, later, these will be only updated! |
---|
[679] | 327 | pfxu->dfdx_cond ( _mu, zeros ( dimc ), A, true ); |
---|
[37] | 328 | // pfxu->dfdu_cond ( *_mu,zeros ( dimu ),B,true ); |
---|
| 329 | B.clear(); |
---|
[679] | 330 | phxu->dfdx_cond ( _mu, zeros ( dimc ), C, true ); |
---|
[37] | 331 | // phxu->dfdu_cond ( *_mu,zeros ( dimu ),D,true ); |
---|
| 332 | D.clear(); |
---|
| 333 | |
---|
| 334 | R = R0; |
---|
| 335 | Q = Q0; |
---|
| 336 | |
---|
| 337 | // Cholesky special! |
---|
| 338 | preA.clear(); |
---|
[477] | 339 | preA.set_submatrix ( 0, 0, R._Ch() ); |
---|
[679] | 340 | preA.set_submatrix ( dimy + dimension(), dimy, Q._Ch() ); |
---|
[37] | 341 | } |
---|
| 342 | |
---|
| 343 | |
---|
[679] | 344 | void EKFCh::bayes ( const vec &yt, const vec &cond ) { |
---|
[37] | 345 | |
---|
[477] | 346 | vec pom ( dimy ); |
---|
[679] | 347 | const vec &u = cond; |
---|
| 348 | const vec &y = yt; |
---|
| 349 | vec &_mu = est._mu(); |
---|
| 350 | chmat &_P = est._R(); |
---|
[583] | 351 | chmat &_Ry = fy._R(); |
---|
| 352 | vec &_yp = fy._mu(); |
---|
[737] | 353 | |
---|
[477] | 354 | pfxu->dfdx_cond ( _mu, u, A, false ); //update A by a derivative of fx |
---|
| 355 | phxu->dfdx_cond ( _mu, u, C, false ); //update A by a derivative of fx |
---|
[37] | 356 | |
---|
| 357 | //R and Q are already set in set_parameters() |
---|
[477] | 358 | preA.set_submatrix ( dimy, 0, ( _P._Ch() ) *C.T() ); |
---|
[37] | 359 | //Fixme can be more efficient if .T() is not used |
---|
[477] | 360 | preA.set_submatrix ( dimy, dimy, ( _P._Ch() ) *A.T() ); |
---|
[37] | 361 | |
---|
[62] | 362 | // mat Sttm = _P->to_mat(); |
---|
[225] | 363 | // cout << preA <<endl; |
---|
| 364 | // cout << "_mu:" << _mu <<endl; |
---|
[62] | 365 | |
---|
[477] | 366 | if ( !qr ( preA, postA ) ) { |
---|
[565] | 367 | bdm_warning ( "QR in EKFCh unstable!" ); |
---|
[477] | 368 | } |
---|
[37] | 369 | |
---|
[225] | 370 | |
---|
[477] | 371 | ( _Ry._Ch() ) = postA ( 0, dimy - 1, 0, dimy - 1 ); |
---|
[679] | 372 | _K = inv ( A ) * ( postA ( 0, dimy - 1 , dimy, dimy + dimension() - 1 ) ).T(); |
---|
| 373 | ( _P._Ch() ) = postA ( dimy, dimy + dimension() - 1, dimy, dimy + dimension() - 1 ); |
---|
[477] | 374 | |
---|
[62] | 375 | // mat iRY = inv(_Ry->to_mat()); |
---|
| 376 | // mat Stt = Sttm - Sttm * C.T() * iRY * C * Sttm; |
---|
| 377 | // mat _K2 = Stt*C.T()*inv(R.to_mat()); |
---|
| 378 | |
---|
| 379 | // prediction |
---|
[477] | 380 | _mu = pfxu->eval ( _mu , u ); |
---|
| 381 | _yp = phxu->eval ( _mu, u ); |
---|
| 382 | |
---|
| 383 | /* vec mu2 = *_mu + ( _K2 ) * ( y-*_yp );*/ |
---|
| 384 | |
---|
[62] | 385 | //correction //= initial value is already prediction! |
---|
[477] | 386 | backward_substitution ( _Ry._Ch(), ( y - _yp ), pom ); |
---|
| 387 | _mu += ( _K ) * pom ; |
---|
[62] | 388 | |
---|
[477] | 389 | /* _K = (_P->to_mat())*C.transpose() * ( _iRy->to_mat() ); |
---|
| 390 | *_mu = pfxu->eval ( *_mu ,u ) + ( _K )* ( y-*_yp );*/ |
---|
| 391 | |
---|
[215] | 392 | // cout << "P:" <<_P.to_mat() <<endl; |
---|
| 393 | // cout << "Ry:" <<_Ry.to_mat() <<endl; |
---|
[225] | 394 | // cout << "_mu:" <<_mu <<endl; |
---|
| 395 | // cout << "dt:" <<dt <<endl; |
---|
[37] | 396 | |
---|
[477] | 397 | if ( evalll == true ) { //likelihood of observation y |
---|
| 398 | ll = fy.evallog ( y ); |
---|
[37] | 399 | } |
---|
| 400 | } |
---|
| 401 | |
---|
[477] | 402 | void EKFCh::from_setting ( const Setting &set ) { |
---|
[737] | 403 | BM::from_setting ( set ); |
---|
[527] | 404 | shared_ptr<diffbifn> IM = UI::build<diffbifn> ( set, "IM", UI::compulsory ); |
---|
| 405 | shared_ptr<diffbifn> OM = UI::build<diffbifn> ( set, "OM", UI::compulsory ); |
---|
[477] | 406 | |
---|
[357] | 407 | //statistics |
---|
[477] | 408 | int dim = IM->dimension(); |
---|
[357] | 409 | vec mu0; |
---|
[477] | 410 | if ( !UI::get ( mu0, set, "mu0" ) ) |
---|
| 411 | mu0 = zeros ( dim ); |
---|
[357] | 412 | |
---|
| 413 | mat P0; |
---|
[471] | 414 | vec dP0; |
---|
[477] | 415 | if ( UI::get ( dP0, set, "dP0" ) ) |
---|
| 416 | P0 = diag ( dP0 ); |
---|
| 417 | else if ( !UI::get ( P0, set, "P0" ) ) |
---|
| 418 | P0 = eye ( dim ); |
---|
| 419 | |
---|
| 420 | set_statistics ( mu0, P0 ); |
---|
| 421 | |
---|
[357] | 422 | //parameters |
---|
[477] | 423 | vec dQ, dR; |
---|
| 424 | UI::get ( dQ, set, "dQ", UI::compulsory ); |
---|
| 425 | UI::get ( dR, set, "dR", UI::compulsory ); |
---|
| 426 | set_parameters ( IM, OM, diag ( dQ ), diag ( dR ) ); |
---|
[262] | 427 | } |
---|
[357] | 428 | |
---|
[477] | 429 | void MultiModel::from_setting ( const Setting &set ) { |
---|
[357] | 430 | Array<EKFCh*> A; |
---|
[477] | 431 | UI::get ( A, set, "models", UI::compulsory ); |
---|
| 432 | |
---|
| 433 | set_parameters ( A ); |
---|
[679] | 434 | set_yrv ( A ( 0 )->_yrv() ); |
---|
[357] | 435 | //set_rv(A(0)->_rv()); |
---|
| 436 | } |
---|
| 437 | |
---|
| 438 | } |
---|