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