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69  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1EKFful__unQR.html">EKFful_unQR</a>
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73<h1>bdm::EKFful_unQR Class Reference</h1><!-- doxytag: class="bdm::EKFful_unQR" --><!-- doxytag: inherits="bdm::EKFfull" -->
74<p>Extended <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter with unknown <code>Q</code> and <code>R</code>. 
75<a href="#_details">More...</a></p>
76<hr/><a name="_details"></a><h2>Detailed Description</h2>
77<p>Extended <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter with unknown <code>Q</code> and <code>R</code>. </p>
78
79<p><code>#include &lt;<a class="el" href="ekf__template_8h_source.html">ekf_template.h</a>&gt;</code></p>
80
81<p><a href="classbdm_1_1EKFful__unQR-members.html">List of all members.</a></p>
82<table border="0" cellpadding="0" cellspacing="0">
83<tr><td colspan="2"><h2>Public Member Functions</h2></td></tr>
84<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a17a98c06f5efe38e0da0beb96d6f9584"></a><!-- doxytag: member="bdm::EKFful_unQR::condition" ref="a17a98c06f5efe38e0da0beb96d6f9584" args="(const vec &amp;QR0)" -->
85void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFful__unQR.html#a17a98c06f5efe38e0da0beb96d6f9584">condition</a> (const vec &amp;QR0)</td></tr>
86<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br/></td></tr>
87<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8a68f95124a4b01f9ce23225f3c736a4"></a><!-- doxytag: member="bdm::EKFful_unQR::set_parameters" ref="a8a68f95124a4b01f9ce23225f3c736a4" args="(const shared_ptr&lt; diffbifn &gt; &amp;pfxu, const shared_ptr&lt; diffbifn &gt; &amp;phxu, const mat Q0, const mat R0)" -->
88void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4">set_parameters</a> (const <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> &gt; &amp;<a class="el" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">pfxu</a>, const <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> &gt; &amp;<a class="el" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">phxu</a>, const mat Q0, const mat R0)</td></tr>
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br/></td></tr>
90<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::EKFful_unQR::set_parameters" ref="a7a053883a11a93a979c28c3e6792ce20" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;Q0, const fsqmat &amp;R0)" -->
91void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a7a053883a11a93a979c28c3e6792ce20">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;Q0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;R0)</td></tr>
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set all matrix parameters <br/></td></tr>
93<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af149ae8e9ce14d9931a7bb2850736699"></a><!-- doxytag: member="bdm::EKFful_unQR::bayes" ref="af149ae8e9ce14d9931a7bb2850736699" args="(const vec &amp;dt)" -->
94void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#af149ae8e9ce14d9931a7bb2850736699">bayes</a> (const vec &amp;dt)</td></tr>
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br/></td></tr>
96<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44986d667c19bcf7708495a4a5afc841"></a><!-- doxytag: member="bdm::EKFful_unQR::set_statistics" ref="a44986d667c19bcf7708495a4a5afc841" args="(const vec &amp;mu0, const mat &amp;P0)" -->
97void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841">set_statistics</a> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set estimates <br/></td></tr>
99<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::EKFful_unQR::set_statistics" ref="a28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const fsqmat &amp;P0)" -->
100void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a28cded9e5f44f654cd383503e4e9694c">set_statistics</a> (const vec &amp;mu0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;P0)</td></tr>
101<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set statistics of the posterior <br/></td></tr>
102<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad4f57cb8af64b06c530f528c32596d4d"></a><!-- doxytag: member="bdm::EKFful_unQR::_R" ref="ad4f57cb8af64b06c530f528c32596d4d" args="()" -->
103const mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#ad4f57cb8af64b06c530f528c32596d4d">_R</a> ()</td></tr>
104<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
105<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69ddac45b7a4efbf83b2232d0d5595ba"></a><!-- doxytag: member="bdm::EKFful_unQR::_R" ref="a69ddac45b7a4efbf83b2232d0d5595ba" args="() const" -->
106const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">_R</a> () const</td></tr>
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
108<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afa89558667ff0f44f470f1146aa4681c"></a><!-- doxytag: member="bdm::EKFful_unQR::from_setting" ref="afa89558667ff0f44f470f1146aa4681c" args="(const Setting &amp;set)" -->
109void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c">from_setting</a> (const Setting &amp;set)</td></tr>
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">load basic elements of <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> from structure <br/></td></tr>
111<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a167aa6b713df5cd2ce3df78ddcfd02a4"></a><!-- doxytag: member="bdm::EKFful_unQR::validate" ref="a167aa6b713df5cd2ce3df78ddcfd02a4" args="()" -->
112void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a167aa6b713df5cd2ce3df78ddcfd02a4">validate</a> ()</td></tr>
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">validate object <br/></td></tr>
114<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1">_copy_</a> () const </td></tr>
115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype:.  <a href="#ab77ade422273f60b8955122b81abf3c1"></a><br/></td></tr>
116<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::EKFful_unQR::posterior" ref="a8b0c3db41eb292edb20b826832c9b5fa" args="() const" -->
117const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const</td></tr>
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return correctly typed posterior (covariant return) <br/></td></tr>
119<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::EKFful_unQR::shared_posterior" ref="a4da2fdd01e9b335b133def9814eb0620" args="()" -->
120<a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1epdf.html">epdf</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620">shared_posterior</a> ()</td></tr>
121<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br/></td></tr>
122<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::EKFful_unQR::to_string" ref="aaf0e6941ba5919cae1bc530e2181b109" args="()" -->
123virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#aaf0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
124<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br/></td></tr>
125<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::EKFful_unQR::to_setting" ref="a67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
126virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#a67d954d255ede776eade7334d4895790">to_setting</a> (Setting &amp;set) const </td></tr>
127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br/></td></tr>
128<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::EKFful_unQR::_dimx" ref="ab1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
129int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr>
130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
131<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::EKFful_unQR::_dimy" ref="af3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
132int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</a> ()</td></tr>
133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
134<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::EKFful_unQR::_dimu" ref="aa238842025a0eaade26d5d79a0e9000e" args="()" -->
135int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">_dimu</a> ()</td></tr>
136<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
137<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aae0dd610bf28f52c4c7acec87e39ed5e"></a><!-- doxytag: member="bdm::EKFful_unQR::_A" ref="aae0dd610bf28f52c4c7acec87e39ed5e" args="() const" -->
138const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">_A</a> () const</td></tr>
139<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
140<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a19cabf296793357c130778fe74df54a4"></a><!-- doxytag: member="bdm::EKFful_unQR::_B" ref="a19cabf296793357c130778fe74df54a4" args="() const" -->
141const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">_B</a> () const</td></tr>
142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
143<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5731f429df4a70dc0d0d1e6ea8e35125"></a><!-- doxytag: member="bdm::EKFful_unQR::_C" ref="a5731f429df4a70dc0d0d1e6ea8e35125" args="() const" -->
144const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">_C</a> () const</td></tr>
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
146<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a286286acb308f9ee596cab9af503b252"></a><!-- doxytag: member="bdm::EKFful_unQR::_D" ref="a286286acb308f9ee596cab9af503b252" args="() const" -->
147const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">_D</a> () const</td></tr>
148<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
149<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a38a71e31f22f5459d10c3cbee1e4d977"></a><!-- doxytag: member="bdm::EKFful_unQR::_Q" ref="a38a71e31f22f5459d10c3cbee1e4d977" args="() const" -->
150const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">_Q</a> () const</td></tr>
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
152<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
153<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpfb3595af27ed8bd142c95323c0dab340"></a> </p>
154<br/><br/></div></td></tr>
155<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKFful_unQR::bayesB" ref="a1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
156virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br/></td></tr>
158<tr><td class="memItemLeft" align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr>
159<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKFful_unQR::logpred_m" ref="a0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
160vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
161<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br/></td></tr>
162<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKFful_unQR::epredictor" ref="a688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
163virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr>
164<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_20.png"/>. <br/></td></tr>
165<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKFful_unQR::predictor" ref="a598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
166virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_21.png"/>. <br/></td></tr>
168<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
169<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpb6eb094f9e6af11f8a7d9efa9d8e3623"></a> access function </p>
170<br/><br/></div></td></tr>
171<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKFful_unQR::_drv" ref="aff2d8755ba0b3def927d31305c03b09c" args="() const " -->
172const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
173<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKFful_unQR::set_drv" ref="af135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
174void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#af135ae6dce7e9f30c9f88229c7930b96">set_drv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
175<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
176<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::EKFful_unQR::set_rv" ref="ab38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
177void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ab38d92f17620813ad872d86e01a26e5e">set_rv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access to rv of the posterior <br/></td></tr>
179<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKFful_unQR::_ll" ref="a5be65d37dedfe33a3671e7065f523a70" args="() const " -->
180double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr>
181<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return internal log-likelihood of the last data vector <br/></td></tr>
182<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKFful_unQR::set_evalll" ref="a236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
183void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr>
184<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">switch evaluation of log-likelihood on/off <br/></td></tr>
185<tr><td colspan="2"><h2>Protected Attributes</h2></td></tr>
186<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aee5bfb3f09dfa994596c5bc68306f7d6"></a><!-- doxytag: member="bdm::EKFful_unQR::pfxu" ref="aee5bfb3f09dfa994596c5bc68306f7d6" args="" -->
187<a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">pfxu</a></td></tr>
188<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Internal Model f(x,u). <br/></td></tr>
189<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6432c675b1a9b83898b4ff19eab9b45c"></a><!-- doxytag: member="bdm::EKFful_unQR::phxu" ref="a6432c675b1a9b83898b4ff19eab9b45c" args="" -->
190<a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">phxu</a></td></tr>
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Observation Model h(x,u). <br/></td></tr>
192<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::EKFful_unQR::yrv" ref="aaac28e226fe6cbff5a9ae38d8d025d7a" args="" -->
193<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a">yrv</a></td></tr>
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br/></td></tr>
195<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::EKFful_unQR::urv" ref="a44d4a8ab05d5311286e1da78b831633e" args="" -->
196<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e">urv</a></td></tr>
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br/></td></tr>
198<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKFful_unQR::_K" ref="abd69dfb802465f22dd84d73a180d5c92" args="" -->
199mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
200<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Kalman gain. <br/></td></tr>
201<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::EKFful_unQR::est" ref="ac83599f2541eb01de329f7b0bb35bf43" args="" -->
202<a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt; &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
204<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKFful_unQR::fy" ref="aba555c394c429f6831c9bbabfa2c944c" args="" -->
205<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br/></td></tr>
207<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKFful_unQR::drv" ref="ac400357e37d27a4834b2b1d9211009ed" args="" -->
208<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed">drv</a></td></tr>
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br/></td></tr>
210<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKFful_unQR::ll" ref="a4064b6559d962633e4372b12f4cd204a" args="" -->
211double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
212<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br/></td></tr>
213<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afaff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKFful_unQR::evalll" ref="afaff0ad12556fe7dc0e2807d4fd938ee" args="" -->
214bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br/></td></tr>
216<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::EKFful_unQR::dimx" ref="ac3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
217int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br/></td></tr>
219<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::EKFful_unQR::dimy" ref="a3b784d85ca911866225a79193ae1441f" args="" -->
220int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
221<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br/></td></tr>
222<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::EKFful_unQR::dimu" ref="a95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
223int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
224<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br/></td></tr>
225<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::EKFful_unQR::A" ref="ade7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
226mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br/></td></tr>
228<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::EKFful_unQR::B" ref="a0cdaa906550290b759a1584d02b3ca51" args="" -->
229mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br/></td></tr>
231<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::EKFful_unQR::C" ref="ac7ec82d2200c956cff6dff559bd32ff9" args="" -->
232mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
233<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br/></td></tr>
234<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::EKFful_unQR::D" ref="ad5769a41b34eb518716120cf04dbc23f" args="" -->
235mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
236<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br/></td></tr>
237<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::EKFful_unQR::Q" ref="a66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
238<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
239<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br/></td></tr>
240<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::EKFful_unQR::R" ref="a11dd3493d62ec9329860386adb3e6084" args="" -->
241<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
242<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br/></td></tr>
243<tr><td colspan="2"><h2>Extension to conditional BM</h2></td></tr>
244<tr><td colspan="2"><p><a class="anchor" id="amgrp74e1db869c28ea37aac65bd658ff5da4"></a> This extension is useful e.g. in Marginalized Particle Filter (<a class="el" href="classbdm_1_1MPF.html">bdm::MPF</a>). Alternatively, it can be used for automated connection to <a class="el" href="classbdm_1_1DS.html" title="Abstract class for discrete-time sources of data.">DS</a> when the condition is observed </p>
245<br/><br/></td></tr>
246<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::EKFful_unQR::_rvc" ref="ab5e8e016be16e4029c789063cb3f3b33" args="() const " -->
247const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ab5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr>
248<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
249<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::EKFful_unQR::rvc" ref="ade95c590d650b2db423d53992f0906cb" args="" -->
250<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ade95c590d650b2db423d53992f0906cb">rvc</a></td></tr>
251<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br/></td></tr>
252<tr><td colspan="2"><h2>Logging of results</h2></td></tr>
253<tr><td colspan="2"><p><a class="anchor" id="amgrp5b751fa78120752d90ae4487df3bfa73"></a> </p>
254<br/><br/></td></tr>
255<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aadb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::EKFful_unQR::set_options" ref="aadb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
256virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#aadb539fa2585c8a2a91c54e5aebf330e">set_options</a> (const string &amp;opt)</td></tr>
257<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br/></td></tr>
258<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::EKFful_unQR::log_add" ref="a2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
259virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a2298ca6af9b13a78a4c9e18ab43f1827">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L, const string &amp;name=&quot;&quot;)</td></tr>
260<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Add all logged variables to a <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>. <br/></td></tr>
261<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::EKFful_unQR::logit" ref="ab517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
262virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ab517e1679eaa94e803ea4cd0b8efbcd7">logit</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L)</td></tr>
263<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Save results to the given <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>, details of what is stored is configured by <code>LIDs</code> and <code>options</code>. <br/></td></tr>
264<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::EKFful_unQR::LIDs" ref="a109c1a626a69031658e3a44e9e500cca" args="" -->
265ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
266<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. <br/></td></tr>
267<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::EKFful_unQR::LFlags" ref="a398b7e7a162cf37d0022d6126495f207" args="" -->
268ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
269<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. <br/></td></tr>
270</table>
271<hr/><h2>Member Function Documentation</h2>
272<a class="anchor" id="ab77ade422273f60b8955122b81abf3c1"></a><!-- doxytag: member="bdm::EKFful_unQR::_copy_" ref="ab77ade422273f60b8955122b81abf3c1" args="() const " -->
273<div class="memitem">
274<div class="memproto">
275      <table class="memname">
276        <tr>
277          <td class="memname"><a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::KalmanFull::_copy_ </td>
278          <td>(</td>
279          <td class="paramname"></td>
280          <td>&nbsp;)&nbsp;</td>
281          <td> const<code> [inline, virtual, inherited]</code></td>
282        </tr>
283      </table>
284</div>
285<div class="memdoc">
286
287<p>Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype:. </p>
288<div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1" title="Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!...">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
289</pre></div> 
290<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#a40f01563651c1e4fe926189e41a6b8ab">bdm::BM</a>.</p>
291
292<p>References <a class="el" href="kalman_8h_source.html#l00043">bdm::StateSpace&lt; fsqmat &gt;::A</a>, <a class="el" href="kalman_8h_source.html#l00045">bdm::StateSpace&lt; fsqmat &gt;::B</a>, <a class="el" href="kalman_8h_source.html#l00047">bdm::StateSpace&lt; fsqmat &gt;::C</a>, <a class="el" href="kalman_8h_source.html#l00049">bdm::StateSpace&lt; fsqmat &gt;::D</a>, <a class="el" href="kalman_8h_source.html#l00116">bdm::Kalman&lt; fsqmat &gt;::est</a>, <a class="el" href="kalman_8h_source.html#l00051">bdm::StateSpace&lt; fsqmat &gt;::Q</a>, <a class="el" href="kalman_8h_source.html#l00053">bdm::StateSpace&lt; fsqmat &gt;::R</a>, <a class="el" href="kalman_8h_source.html#l00526">bdm::StateSpace&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="kalman_8h_source.html#l00124">bdm::Kalman&lt; sq_T &gt;::set_statistics()</a>.</p>
293
294</div>
295</div>
296<a class="anchor" id="a50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKFful_unQR::logpred" ref="a50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
297<div class="memitem">
298<div class="memproto">
299      <table class="memname">
300        <tr>
301          <td class="memname">virtual double bdm::BM::logpred </td>
302          <td>(</td>
303          <td class="paramtype">const vec &amp;&nbsp;</td>
304          <td class="paramname"> <em>dt</em></td>
305          <td>&nbsp;)&nbsp;</td>
306          <td> const<code> [inline, virtual, inherited]</code></td>
307        </tr>
308      </table>
309</div>
310<div class="memdoc">
311<p>Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. </p>
312
313<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#a080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#ada724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#ae157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p>
314
315<p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p>
316
317<p>Referenced by <a class="el" href="bdmbase_8h_source.html#l01102">bdm::BM::logpred_m()</a>.</p>
318
319</div>
320</div>
321<hr/>The documentation for this class was generated from the following file:<ul>
322<li><a class="el" href="ekf__template_8h_source.html">ekf_template.h</a></li>
323</ul>
324</div>
325<hr size="1"/><address style="text-align: right;"><small>Generated on Thu Oct 15 00:07:49 2009 for mixpp by&nbsp;
326<a href="http://www.doxygen.org/index.html">
327<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>
328</body>
329</html>
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