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[259] | 5 | <title>mixpp: bdm::EKFfull Class Reference</title> |
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[271] | 69 | <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1EKFfull.html">EKFfull</a> |
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[259] | 70 | </div> |
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| 71 | </div> |
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| 72 | <div class="contents"> |
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[591] | 73 | <h1>bdm::EKFfull Class Reference</h1><!-- doxytag: class="bdm::EKFfull" --><!-- doxytag: inherits="bdm::KalmanFull" --> |
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| 74 | <p>Extended <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> Filter in full matrices. |
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| 75 | <a href="#_details">More...</a></p> |
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[616] | 76 | <hr/><a name="_details"></a><h2>Detailed Description</h2> |
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| 77 | <p>Extended <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> Filter in full matrices. </p> |
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| 78 | <p>An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. </p> |
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[259] | 79 | |
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[591] | 80 | <p><code>#include <<a class="el" href="kalman_8h_source.html">kalman.h</a>></code></p> |
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[259] | 81 | |
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[591] | 82 | <p><a href="classbdm_1_1EKFfull-members.html">List of all members.</a></p> |
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| 83 | <table border="0" cellpadding="0" cellspacing="0"> |
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| 84 | <tr><td colspan="2"><h2>Public Member Functions</h2></td></tr> |
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| 85 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6939c345389abb8b2481457b4cfe1165"></a><!-- doxytag: member="bdm::EKFfull::EKFfull" ref="a6939c345389abb8b2481457b4cfe1165" args="()" --> |
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| 86 | </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a6939c345389abb8b2481457b4cfe1165">EKFfull</a> ()</td></tr> |
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| 87 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Default constructor. <br/></td></tr> |
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| 88 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8a68f95124a4b01f9ce23225f3c736a4"></a><!-- doxytag: member="bdm::EKFfull::set_parameters" ref="a8a68f95124a4b01f9ce23225f3c736a4" args="(const shared_ptr< diffbifn > &pfxu, const shared_ptr< diffbifn > &phxu, const mat Q0, const mat R0)" --> |
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| 89 | void </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>< <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> > &<a class="el" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">pfxu</a>, const <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> > &<a class="el" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">phxu</a>, const mat Q0, const mat R0)</td></tr> |
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| 90 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br/></td></tr> |
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| 91 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af149ae8e9ce14d9931a7bb2850736699"></a><!-- doxytag: member="bdm::EKFfull::bayes" ref="af149ae8e9ce14d9931a7bb2850736699" args="(const vec &dt)" --> |
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| 92 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#af149ae8e9ce14d9931a7bb2850736699">bayes</a> (const vec &dt)</td></tr> |
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| 93 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br/></td></tr> |
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| 94 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44986d667c19bcf7708495a4a5afc841"></a><!-- doxytag: member="bdm::EKFfull::set_statistics" ref="a44986d667c19bcf7708495a4a5afc841" args="(const vec &mu0, const mat &P0)" --> |
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| 95 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841">set_statistics</a> (const vec &mu0, const mat &P0)</td></tr> |
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| 96 | <tr><td class="mdescLeft"> </td><td class="mdescRight">set estimates <br/></td></tr> |
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| 97 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad4f57cb8af64b06c530f528c32596d4d"></a><!-- doxytag: member="bdm::EKFfull::_R" ref="ad4f57cb8af64b06c530f528c32596d4d" args="()" --> |
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[608] | 98 | const mat </td><td class="memItemRight" valign="bottom"><b>_R</b> ()</td></tr> |
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[591] | 99 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::EKFfull::set_statistics" ref="a28cded9e5f44f654cd383503e4e9694c" args="(const vec &mu0, const fsqmat &P0)" --> |
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[590] | 100 | void </td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &mu0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &P0)</td></tr> |
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[591] | 101 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::EKFfull::posterior" ref="a8b0c3db41eb292edb20b826832c9b5fa" args="() const" --> |
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| 102 | const <a class="el" href="classbdm_1_1enorm.html">enorm</a>< <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> > & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const</td></tr> |
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| 103 | <tr><td class="mdescLeft"> </td><td class="mdescRight">posterior <br/></td></tr> |
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| 104 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::EKFfull::shared_posterior" ref="a4da2fdd01e9b335b133def9814eb0620" args="()" --> |
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| 105 | <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1epdf.html">epdf</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620">shared_posterior</a> ()</td></tr> |
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| 106 | <tr><td class="mdescLeft"> </td><td class="mdescRight">shared posterior <br/></td></tr> |
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| 107 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7fe88fc3471cab1911707bcdb6b4690a"></a><!-- doxytag: member="bdm::EKFfull::from_setting" ref="a7fe88fc3471cab1911707bcdb6b4690a" args="(const Setting &set)" --> |
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| 108 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a">from_setting</a> (const Setting &set)</td></tr> |
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| 109 | <tr><td class="mdescLeft"> </td><td class="mdescRight">load basic elements of Kalman from structure <br/></td></tr> |
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| 110 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::EKFfull::validate" ref="a34c508e3a9081be46e57634c2079bff4" args="()" --> |
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[590] | 111 | void </td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr> |
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[591] | 112 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::EKFfull::to_string" ref="aaf0e6941ba5919cae1bc530e2181b109" args="()" --> |
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| 113 | virtual string </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#aaf0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr> |
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| 114 | <tr><td class="mdescLeft"> </td><td class="mdescRight">This method returns a basic info about the current instance. <br/></td></tr> |
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| 115 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::EKFfull::to_setting" ref="a67d954d255ede776eade7334d4895790" args="(Setting &set) const " --> |
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| 116 | virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#a67d954d255ede776eade7334d4895790">to_setting</a> (Setting &set) const </td></tr> |
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| 117 | <tr><td class="mdescLeft"> </td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br/></td></tr> |
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| 118 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::EKFfull::set_parameters" ref="a7a053883a11a93a979c28c3e6792ce20" args="(const mat &A0, const mat &B0, const mat &C0, const mat &D0, const fsqmat &Q0, const fsqmat &R0)" --> |
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[590] | 119 | void </td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &Q0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &R0)</td></tr> |
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[591] | 120 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::EKFfull::_dimx" ref="ab1972e00d9b9dd22a0f983c7cb0b8b40" args="()" --> |
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| 121 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr> |
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| 122 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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| 123 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::EKFfull::_dimy" ref="af3d83a4b39e05df9fb4246fd6ddc2a60" args="()" --> |
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| 124 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</a> ()</td></tr> |
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| 125 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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| 126 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::EKFfull::_dimu" ref="aa238842025a0eaade26d5d79a0e9000e" args="()" --> |
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| 127 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">_dimu</a> ()</td></tr> |
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| 128 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[608] | 129 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aae0dd610bf28f52c4c7acec87e39ed5e"></a><!-- doxytag: member="bdm::EKFfull::_A" ref="aae0dd610bf28f52c4c7acec87e39ed5e" args="() const" --> |
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| 130 | const mat & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">_A</a> () const</td></tr> |
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[591] | 131 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[608] | 132 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a19cabf296793357c130778fe74df54a4"></a><!-- doxytag: member="bdm::EKFfull::_B" ref="a19cabf296793357c130778fe74df54a4" args="() const" --> |
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| 133 | const mat & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">_B</a> () const</td></tr> |
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[591] | 134 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[608] | 135 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5731f429df4a70dc0d0d1e6ea8e35125"></a><!-- doxytag: member="bdm::EKFfull::_C" ref="a5731f429df4a70dc0d0d1e6ea8e35125" args="() const" --> |
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| 136 | const mat & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">_C</a> () const</td></tr> |
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[591] | 137 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[608] | 138 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a286286acb308f9ee596cab9af503b252"></a><!-- doxytag: member="bdm::EKFfull::_D" ref="a286286acb308f9ee596cab9af503b252" args="() const" --> |
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| 139 | const mat & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">_D</a> () const</td></tr> |
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[591] | 140 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[608] | 141 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a38a71e31f22f5459d10c3cbee1e4d977"></a><!-- doxytag: member="bdm::EKFfull::_Q" ref="a38a71e31f22f5459d10c3cbee1e4d977" args="() const" --> |
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| 142 | const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">_Q</a> () const</td></tr> |
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[591] | 143 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[608] | 144 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69ddac45b7a4efbf83b2232d0d5595ba"></a><!-- doxytag: member="bdm::EKFfull::_R" ref="a69ddac45b7a4efbf83b2232d0d5595ba" args="() const" --> |
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| 145 | const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">_R</a> () const</td></tr> |
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| 146 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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[270] | 147 | <tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr> |
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[591] | 148 | <tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrp559a25fdb98a7d1fd1c3771ac568d5e9"></a> </p> |
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| 149 | <br/><br/></div></td></tr> |
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| 150 | <tr><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a40f01563651c1e4fe926189e41a6b8ab">_copy_</a> () const </td></tr> |
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[270] | 151 | <tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> |
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[591] | 152 | <tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpfb3595af27ed8bd142c95323c0dab340"></a> </p> |
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| 153 | <br/><br/></div></td></tr> |
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| 154 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKFfull::bayesB" ref="a1dee3fddaf021e62d925289660a707dc" args="(const mat &Dt)" --> |
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| 155 | virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &Dt)</td></tr> |
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| 156 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br/></td></tr> |
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| 157 | <tr><td class="memItemLeft" align="right" valign="top">virtual double </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &dt) const </td></tr> |
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| 158 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKFfull::logpred_m" ref="a0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &dt) const " --> |
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| 159 | vec </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &dt) const </td></tr> |
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| 160 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix version of logpred. <br/></td></tr> |
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| 161 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKFfull::epredictor" ref="a688d7a2aced1e06aa1c468d73a9e5eba" args="() const " --> |
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| 162 | virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr> |
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[608] | 163 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_20.png"/>. <br/></td></tr> |
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[591] | 164 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKFfull::predictor" ref="a598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " --> |
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| 165 | virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> * </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr> |
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[608] | 166 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_21.png"/>. <br/></td></tr> |
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[270] | 167 | <tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> |
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[591] | 168 | <tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpb6eb094f9e6af11f8a7d9efa9d8e3623"></a> </p> |
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| 169 | <br/><br/></div></td></tr> |
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| 170 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKFfull::_drv" ref="aff2d8755ba0b3def927d31305c03b09c" args="() const " --> |
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[270] | 171 | const <a class="el" href="classbdm_1_1RV.html">RV</a> & </td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> |
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[591] | 172 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKFfull::set_drv" ref="af135ae6dce7e9f30c9f88229c7930b96" args="(const RV &rv)" --> |
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[270] | 173 | void </td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &rv)</td></tr> |
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[591] | 174 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::EKFfull::set_rv" ref="ab38d92f17620813ad872d86e01a26e5e" args="(const RV &rv)" --> |
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[271] | 175 | void </td><td class="memItemRight" valign="bottom"><b>set_rv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &rv)</td></tr> |
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[591] | 176 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKFfull::_ll" ref="a5be65d37dedfe33a3671e7065f523a70" args="() const " --> |
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[270] | 177 | double </td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> |
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[591] | 178 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKFfull::set_evalll" ref="a236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> |
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[270] | 179 | void </td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> |
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[591] | 180 | <tr><td colspan="2"><h2>Protected Attributes</h2></td></tr> |
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| 181 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aee5bfb3f09dfa994596c5bc68306f7d6"></a><!-- doxytag: member="bdm::EKFfull::pfxu" ref="aee5bfb3f09dfa994596c5bc68306f7d6" args="" --> |
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| 182 | <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">pfxu</a></td></tr> |
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| 183 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Internal Model f(x,u). <br/></td></tr> |
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| 184 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6432c675b1a9b83898b4ff19eab9b45c"></a><!-- doxytag: member="bdm::EKFfull::phxu" ref="a6432c675b1a9b83898b4ff19eab9b45c" args="" --> |
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| 185 | <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">phxu</a></td></tr> |
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| 186 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Observation Model h(x,u). <br/></td></tr> |
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| 187 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::EKFfull::yrv" ref="aaac28e226fe6cbff5a9ae38d8d025d7a" args="" --> |
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| 188 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a">yrv</a></td></tr> |
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| 189 | <tr><td class="mdescLeft"> </td><td class="mdescRight">id of output <br/></td></tr> |
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| 190 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::EKFfull::urv" ref="a44d4a8ab05d5311286e1da78b831633e" args="" --> |
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| 191 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e">urv</a></td></tr> |
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| 192 | <tr><td class="mdescLeft"> </td><td class="mdescRight">id of input <br/></td></tr> |
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| 193 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKFfull::_K" ref="abd69dfb802465f22dd84d73a180d5c92" args="" --> |
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| 194 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> |
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| 195 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Kalman gain. <br/></td></tr> |
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| 196 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::EKFfull::est" ref="ac83599f2541eb01de329f7b0bb35bf43" args="" --> |
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| 197 | <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1enorm.html">enorm</a>< <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> > > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">est</a></td></tr> |
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| 198 | <tr><td class="mdescLeft"> </td><td class="mdescRight">posterior <br/></td></tr> |
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| 199 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKFfull::fy" ref="aba555c394c429f6831c9bbabfa2c944c" args="" --> |
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| 200 | <a class="el" href="classbdm_1_1enorm.html">enorm</a>< <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr> |
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| 201 | <tr><td class="mdescLeft"> </td><td class="mdescRight">marginal on data f(y|y) <br/></td></tr> |
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| 202 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKFfull::drv" ref="ac400357e37d27a4834b2b1d9211009ed" args="" --> |
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| 203 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed">drv</a></td></tr> |
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| 204 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Random variable of the data (optional). <br/></td></tr> |
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| 205 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKFfull::ll" ref="a4064b6559d962633e4372b12f4cd204a" args="" --> |
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| 206 | double </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a">ll</a></td></tr> |
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| 207 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Logarithm of marginalized data likelihood. <br/></td></tr> |
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| 208 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afaff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKFfull::evalll" ref="afaff0ad12556fe7dc0e2807d4fd938ee" args="" --> |
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| 209 | bool </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr> |
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| 210 | <tr><td class="mdescLeft"> </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> |
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| 211 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::EKFfull::dimx" ref="ac3120f1c9cd7c3a0ba9944e4a2381f21" args="" --> |
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| 212 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr> |
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| 213 | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rv.count() <br/></td></tr> |
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| 214 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::EKFfull::dimy" ref="a3b784d85ca911866225a79193ae1441f" args="" --> |
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| 215 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">dimy</a></td></tr> |
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| 216 | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rvy.count() <br/></td></tr> |
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| 217 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::EKFfull::dimu" ref="a95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" --> |
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| 218 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr> |
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| 219 | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rvu.count() <br/></td></tr> |
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| 220 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::EKFfull::A" ref="ade7d828a8d06cbbd5ac45afeaf9f0c7b" args="" --> |
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| 221 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr> |
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| 222 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix A. <br/></td></tr> |
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| 223 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::EKFfull::B" ref="a0cdaa906550290b759a1584d02b3ca51" args="" --> |
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| 224 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">B</a></td></tr> |
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| 225 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix B. <br/></td></tr> |
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| 226 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::EKFfull::C" ref="ac7ec82d2200c956cff6dff559bd32ff9" args="" --> |
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| 227 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr> |
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| 228 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix C. <br/></td></tr> |
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| 229 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::EKFfull::D" ref="ad5769a41b34eb518716120cf04dbc23f" args="" --> |
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| 230 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">D</a></td></tr> |
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| 231 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix D. <br/></td></tr> |
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| 232 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::EKFfull::Q" ref="a66248c83836424f1cd7c1b5b9a92cf1f" args="" --> |
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| 233 | <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr> |
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| 234 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix Q in square-root form. <br/></td></tr> |
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| 235 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::EKFfull::R" ref="a11dd3493d62ec9329860386adb3e6084" args="" --> |
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| 236 | <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084">R</a></td></tr> |
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| 237 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix R in square-root form. <br/></td></tr> |
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| 238 | <tr><td colspan="2"><h2>Extension to conditional BM</h2></td></tr> |
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| 239 | <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> |
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| 240 | <br/><br/></td></tr> |
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| 241 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::EKFfull::_rvc" ref="ab5e8e016be16e4029c789063cb3f3b33" args="() const " --> |
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| 242 | const <a class="el" href="classbdm_1_1RV.html">RV</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ab5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr> |
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| 243 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br/></td></tr> |
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| 244 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::EKFfull::condition" ref="a6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &val)" --> |
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| 245 | virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a6799f4b16a6a59ed58b1d0d6e17116f4">condition</a> (const vec &val)</td></tr> |
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| 246 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br/></td></tr> |
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| 247 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::EKFfull::rvc" ref="ade95c590d650b2db423d53992f0906cb" args="" --> |
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| 248 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ade95c590d650b2db423d53992f0906cb">rvc</a></td></tr> |
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| 249 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Name of extension variable. <br/></td></tr> |
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| 250 | <tr><td colspan="2"><h2>Logging of results</h2></td></tr> |
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| 251 | <tr><td colspan="2"><p><a class="anchor" id="amgrp5b751fa78120752d90ae4487df3bfa73"></a> </p> |
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| 252 | <br/><br/></td></tr> |
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| 253 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aadb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::EKFfull::set_options" ref="aadb539fa2585c8a2a91c54e5aebf330e" args="(const string &opt)" --> |
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| 254 | virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#aadb539fa2585c8a2a91c54e5aebf330e">set_options</a> (const string &opt)</td></tr> |
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| 255 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br/></td></tr> |
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| 256 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::EKFfull::log_add" ref="a2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &L, const string &name="")" --> |
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| 257 | virtual void </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> &L, const string &name="")</td></tr> |
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| 258 | <tr><td class="mdescLeft"> </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> |
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| 259 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::EKFfull::logit" ref="ab517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &L)" --> |
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[323] | 260 | virtual void </td><td class="memItemRight" valign="bottom"><b>logit</b> (<a class="el" href="classbdm_1_1logger.html">logger</a> &L)</td></tr> |
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[591] | 261 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::EKFfull::LIDs" ref="a109c1a626a69031658e3a44e9e500cca" args="" --> |
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| 262 | ivec </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr> |
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| 263 | <tr><td class="mdescLeft"> </td><td class="mdescRight">IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. <br/></td></tr> |
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| 264 | <tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::EKFfull::LFlags" ref="a398b7e7a162cf37d0022d6126495f207" args="" --> |
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| 265 | ivec </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr> |
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| 266 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. <br/></td></tr> |
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[259] | 267 | </table> |
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[591] | 268 | <hr/><h2>Member Function Documentation</h2> |
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| 269 | <a class="anchor" id="a40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::EKFfull::_copy_" ref="a40f01563651c1e4fe926189e41a6b8ab" args="() const " --> |
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[259] | 270 | <div class="memitem"> |
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| 271 | <div class="memproto"> |
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| 272 | <table class="memname"> |
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| 273 | <tr> |
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[591] | 274 | <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_ </td> |
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[259] | 275 | <td>(</td> |
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[591] | 276 | <td class="paramname"></td> |
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[259] | 277 | <td> ) </td> |
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[287] | 278 | <td> const<code> [inline, virtual, inherited]</code></td> |
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[259] | 279 | </tr> |
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| 280 | </table> |
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| 281 | </div> |
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| 282 | <div class="memdoc"> |
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[591] | 283 | <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> |
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| 284 | <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#a40f01563651c1e4fe926189e41a6b8ab">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);} |
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[270] | 285 | </pre></div> |
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[591] | 286 | <p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#aca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>, and <a class="el" href="classbdm_1_1BMEF.html#a62d2e4691bed41a1efa6b9c2e35e5c67">bdm::BMEF</a>.</p> |
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[259] | 287 | |
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| 288 | </div> |
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[591] | 289 | </div> |
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| 290 | <a class="anchor" id="a50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKFfull::logpred" ref="a50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &dt) const " --> |
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[259] | 291 | <div class="memitem"> |
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| 292 | <div class="memproto"> |
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| 293 | <table class="memname"> |
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| 294 | <tr> |
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[591] | 295 | <td class="memname">virtual double bdm::BM::logpred </td> |
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[259] | 296 | <td>(</td> |
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[270] | 297 | <td class="paramtype">const vec & </td> |
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[591] | 298 | <td class="paramname"> <em>dt</em></td> |
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[259] | 299 | <td> ) </td> |
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[270] | 300 | <td> const<code> [inline, virtual, inherited]</code></td> |
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[259] | 301 | </tr> |
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| 302 | </table> |
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| 303 | </div> |
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| 304 | <div class="memdoc"> |
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[591] | 305 | <p>Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. </p> |
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[259] | 306 | |
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[591] | 307 | <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> |
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[259] | 308 | |
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[591] | 309 | <p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p> |
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[270] | 310 | |
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[614] | 311 | <p>Referenced by <a class="el" href="bdmbase_8h_source.html#l01093">bdm::BM::logpred_m()</a>.</p> |
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[590] | 312 | |
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[259] | 313 | </div> |
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[397] | 314 | </div> |
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[591] | 315 | <hr/>The documentation for this class was generated from the following files:<ul> |
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| 316 | <li><a class="el" href="kalman_8h_source.html">kalman.h</a></li> |
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| 317 | <li>kalman.cpp</li> |
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| 318 | </ul> |
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| 319 | </div> |
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[617] | 320 | <hr size="1"/><address style="text-align: right;"><small>Generated on Tue Sep 15 23:42:48 2009 for mixpp by |
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[259] | 321 | <a href="http://www.doxygen.org/index.html"> |
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[591] | 322 | <img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address> |
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[259] | 323 | </body> |
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| 324 | </html> |
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