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3<title>mixpp: bdm::Kalman&lt; sq_T &gt; Class Template Reference</title>
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[271]66  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1Kalman.html">Kalman</a>
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69<div class="contents">
[590]70<h1>bdm::Kalman&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::Kalman" --><!-- doxytag: inherits="bdm::BM,StateSpace&lt; sq_T &gt;" -->Common abstract base for <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filters. 
[290]71<a href="#_details">More...</a>
[259]72<p>
[538]73<code>#include &lt;<a class="el" href="kalman_8h-source.html">kalman.h</a>&gt;</code>
[259]74<p>
[270]75
76<p>
[290]77<a href="classbdm_1_1Kalman-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
[259]78<tr><td></td></tr>
79<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[590]80<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::Kalman::set_statistics" ref="d9107617cd5482272ab046849cbfff49" args="(const vec &amp;mu0, const mat &amp;P0)" -->
81void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
[259]82
[590]83<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::Kalman::set_statistics" ref="28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const sq_T &amp;P0)" -->
84void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const sq_T &amp;P0)</td></tr>
[259]85
[590]86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="8b0c3db41eb292edb20b826832c9b5fa" args="() const " -->
87const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const </td></tr>
[259]88
[590]89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br></td></tr>
90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::Kalman::shared_posterior" ref="4da2fdd01e9b335b133def9814eb0620" args="()" -->
91<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#4da2fdd01e9b335b133def9814eb0620">shared_posterior</a> ()</td></tr>
[259]92
[590]93<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br></td></tr>
94<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7fe88fc3471cab1911707bcdb6b4690a"></a><!-- doxytag: member="bdm::Kalman::from_setting" ref="7fe88fc3471cab1911707bcdb6b4690a" args="(const Setting &amp;set)" -->
95void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7fe88fc3471cab1911707bcdb6b4690a">from_setting</a> (const Setting &amp;set)</td></tr>
[259]96
[590]97<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>
98<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::Kalman::validate" ref="34c508e3a9081be46e57634c2079bff4" args="()" -->
99void&nbsp;</td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr>
[259]100
[396]101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::Kalman::to_string" ref="af0e6941ba5919cae1bc530e2181b109" args="()" -->
102virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#af0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
[353]103
104<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br></td></tr>
[396]105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::Kalman::to_setting" ref="67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
106virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#67d954d255ede776eade7334d4895790">to_setting</a> (Setting &amp;set) const </td></tr>
[353]107
108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br></td></tr>
[590]109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="7a053883a11a93a979c28c3e6792ce20" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;Q0, const sq_T &amp;R0)" -->
110void&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 sq_T &amp;Q0, const sq_T &amp;R0)</td></tr>
[368]111
[590]112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::Kalman::_dimx" ref="b1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
113int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#b1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr>
114
115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::Kalman::_dimy" ref="f3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
117int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#f3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</a> ()</td></tr>
118
119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::Kalman::_dimu" ref="a238842025a0eaade26d5d79a0e9000e" args="()" -->
121int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a238842025a0eaade26d5d79a0e9000e">_dimu</a> ()</td></tr>
122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a70f6c8ab37f955f408361150e13c47b"></a><!-- doxytag: member="bdm::Kalman::_A" ref="a70f6c8ab37f955f408361150e13c47b" args="()" -->
125mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a70f6c8ab37f955f408361150e13c47b">_A</a> ()</td></tr>
126
127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
128<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4272982f976ea9d0ea7c9b7182ed7e3c"></a><!-- doxytag: member="bdm::Kalman::_B" ref="4272982f976ea9d0ea7c9b7182ed7e3c" args="()" -->
129mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#4272982f976ea9d0ea7c9b7182ed7e3c">_B</a> ()</td></tr>
130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec4c0923e2b5d0c3e5dfe119ffee511e"></a><!-- doxytag: member="bdm::Kalman::_C" ref="ec4c0923e2b5d0c3e5dfe119ffee511e" args="()" -->
133mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ec4c0923e2b5d0c3e5dfe119ffee511e">_C</a> ()</td></tr>
134
135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
136<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e0757fcc5e0ebaf0bd95f522bf405f06"></a><!-- doxytag: member="bdm::Kalman::_D" ref="e0757fcc5e0ebaf0bd95f522bf405f06" args="()" -->
137mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#e0757fcc5e0ebaf0bd95f522bf405f06">_D</a> ()</td></tr>
138
139<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c908775f27db8d869b93078862a4934"></a><!-- doxytag: member="bdm::Kalman::_Q" ref="4c908775f27db8d869b93078862a4934" args="()" -->
141sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#4c908775f27db8d869b93078862a4934">_Q</a> ()</td></tr>
142
143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8c94418779eb70f6199fa3467c45f316"></a><!-- doxytag: member="bdm::Kalman::_R" ref="8c94418779eb70f6199fa3467c45f316" args="()" -->
145sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#8c94418779eb70f6199fa3467c45f316">_R</a> ()</td></tr>
146
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[270]148<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
[287]149<tr><td class="memItemLeft" nowrap 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#40f01563651c1e4fe926189e41a6b8ab">_copy_</a> () const </td></tr>
[270]150
151<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[590]152<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#60b1779a577367c369a932cabd3a6188">bayes</a> (const vec &amp;dt)=0</td></tr>
153
154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#60b1779a577367c369a932cabd3a6188"></a><br></td></tr>
[259]155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::Kalman::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
156virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
157
158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
159<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr>
160
161<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::Kalman::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
162vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
163
164<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[270]165<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::Kalman::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
166virtual <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#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr>
[259]167
[397]168<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}) $" src="form_14.png">. <br></td></tr>
[270]169<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
170virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
[259]171
[538]172<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_131.png">. <br></td></tr>
[270]173<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[269]174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::Kalman::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[270]175const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
[269]176
177<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::Kalman::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
[270]178void&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>
[269]179
[271]180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::Kalman::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
181void&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>
182
[259]183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[270]184double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[259]185
186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::Kalman::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
[270]187void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[259]188
189<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
[590]190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::Kalman::yrv" ref="aac28e226fe6cbff5a9ae38d8d025d7a" 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#aac28e226fe6cbff5a9ae38d8d025d7a">yrv</a></td></tr>
[259]192
[590]193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br></td></tr>
194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::Kalman::urv" ref="44d4a8ab05d5311286e1da78b831633e" args="" -->
195<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#44d4a8ab05d5311286e1da78b831633e">urv</a></td></tr>
[259]196
[590]197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br></td></tr>
198<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
199mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
[259]200
[590]201<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight"><a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> gain. <br></td></tr>
202<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::Kalman::est" ref="c83599f2541eb01de329f7b0bb35bf43" args="" -->
203<a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt; &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
204
205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br></td></tr>
206<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
207<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
208
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br></td></tr>
210<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
211<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#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr>
212
213<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
214<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
215double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
216
217<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
218<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
219bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
220
221<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>
222<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="c3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
223int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
224
[259]225<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[590]226<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="3b784d85ca911866225a79193ae1441f" args="" -->
227int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
[259]228
229<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[590]230<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
231int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
[259]232
233<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[590]234<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::Kalman::A" ref="de7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
235mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
[259]236
237<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[590]238<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::Kalman::B" ref="0cdaa906550290b759a1584d02b3ca51" args="" -->
239mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
[259]240
241<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[590]242<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::Kalman::C" ref="c7ec82d2200c956cff6dff559bd32ff9" args="" -->
243mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
[259]244
245<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[590]246<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::Kalman::D" ref="d5769a41b34eb518716120cf04dbc23f" args="" -->
247mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
[259]248
249<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
[590]250<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::Kalman::Q" ref="66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
251sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
[259]252
253<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[590]254<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::Kalman::R" ref="11dd3493d62ec9329860386adb3e6084" args="" -->
255sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
[259]256
257<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[290]258<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
259<tr><td colspan="2">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 <br><br></td></tr>
260<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::Kalman::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
261const <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#b5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr>
262
263<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
264<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::Kalman::condition" ref="6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
265virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#6799f4b16a6a59ed58b1d0d6e17116f4">condition</a> (const vec &amp;val)</td></tr>
266
267<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
268<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::Kalman::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
269<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#de95c590d650b2db423d53992f0906cb">rvc</a></td></tr>
270
271<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
272<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
[353]273<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::Kalman::set_options" ref="adb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
274virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#adb539fa2585c8a2a91c54e5aebf330e">set_options</a> (const string &amp;opt)</td></tr>
[290]275
[472]276<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br></td></tr>
[323]277<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::Kalman::log_add" ref="2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
278virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#2298ca6af9b13a78a4c9e18ab43f1827">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L, const string &amp;name=&quot;&quot;)</td></tr>
[290]279
280<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>
[323]281<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::Kalman::logit" ref="b517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
282virtual 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>
[290]283
284<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::Kalman::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
285ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
286
[353]287<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>
288<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::Kalman::LFlags" ref="398b7e7a162cf37d0022d6126495f207" args="" -->
289ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
[290]290
[353]291<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]292</table>
[290]293<hr><a name="_details"></a><h2>Detailed Description</h2>
294<h3>template&lt;class sq_T&gt;<br>
295 class bdm::Kalman&lt; sq_T &gt;</h3>
296
[590]297Common abstract base for <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filters. <hr><h2>Member Function Documentation</h2>
[287]298<a class="anchor" name="40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::Kalman::_copy_" ref="40f01563651c1e4fe926189e41a6b8ab" args="() const " -->
[259]299<div class="memitem">
300<div class="memproto">
301      <table class="memname">
302        <tr>
[270]303          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
[259]304          <td>(</td>
[270]305          <td class="paramname">          </td>
[259]306          <td>&nbsp;)&nbsp;</td>
[287]307          <td> const<code> [inline, virtual, inherited]</code></td>
[259]308        </tr>
309      </table>
310</div>
311<div class="memdoc">
312
313<p>
[287]314Copy 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: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#40f01563651c1e4fe926189e41a6b8ab">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
[270]315</pre></div> 
[590]316<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>, and <a class="el" href="classbdm_1_1BMEF.html#62d2e4691bed41a1efa6b9c2e35e5c67">bdm::BMEF</a>.</p>
[259]317
318</div>
319</div><p>
[590]320<a class="anchor" name="60b1779a577367c369a932cabd3a6188"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="60b1779a577367c369a932cabd3a6188" args="(const vec &amp;dt)=0" -->
321<div class="memitem">
322<div class="memproto">
323      <table class="memname">
324        <tr>
325          <td class="memname">virtual void bdm::BM::bayes           </td>
326          <td>(</td>
327          <td class="paramtype">const vec &amp;&nbsp;</td>
328          <td class="paramname"> <em>dt</em>          </td>
329          <td>&nbsp;)&nbsp;</td>
330          <td><code> [pure virtual, inherited]</code></td>
331        </tr>
332      </table>
333</div>
334<div class="memdoc">
335
336<p>
337Incremental Bayes rule.
338<p>
339<dl compact><dt><b>Parameters:</b></dt><dd>
340  <table border="0" cellspacing="2" cellpadding="0">
341    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
342  </table>
343</dl>
344
345<p>Implemented in <a class="el" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanFull.html#081924bc97f453f674bb982b7951d053">bdm::KalmanFull</a>, <a class="el" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFfull.html#f149ae8e9ce14d9931a7bb2850736699">bdm::EKFfull</a>, <a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>, <a class="el" href="classbdm_1_1MultiModel.html#a915deeddb0e94c337d02ebc0abe535e">bdm::MultiModel</a>, <a class="el" href="classbdm_1_1MixEF.html#5bd7da667da183eed1577f11dff0c1f1">bdm::MixEF</a>, <a class="el" href="classbdm_1_1PF.html#638946eea22d4964bf9350286bb4efd8">bdm::PF</a>, <a class="el" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14">bdm::MPF&lt; BM_T &gt;</a>, <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#1e4bf41b61937fd80f34049742e23f95">bdm::multiBM</a>.</p>
346
347<p>Referenced by <a class="el" href="bdmbase_8cpp-source.html#l00364">bdm::BM::bayesB()</a>.</p>
348
349</div>
350</div><p>
[270]351<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::Kalman::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
[259]352<div class="memitem">
353<div class="memproto">
354      <table class="memname">
355        <tr>
[270]356          <td class="memname">virtual double bdm::BM::logpred           </td>
[259]357          <td>(</td>
[270]358          <td class="paramtype">const vec &amp;&nbsp;</td>
359          <td class="paramname"> <em>dt</em>          </td>
[259]360          <td>&nbsp;)&nbsp;</td>
[270]361          <td> const<code> [inline, virtual, inherited]</code></td>
[259]362        </tr>
363      </table>
364</div>
365<div class="memdoc">
366
367<p>
[270]368Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
369<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p>
[259]370
[590]371<p>References <a class="el" href="bdmerror_8h-source.html#l00051">bdm_error</a>.</p>
[270]372
[590]373<p>Referenced by <a class="el" href="bdmbase_8h-source.html#l00885">bdm::BM::logpred_m()</a>.</p>
374
[259]375</div>
376</div><p>
377<hr>The documentation for this class was generated from the following file:<ul>
[538]378<li><a class="el" href="kalman_8h-source.html">kalman.h</a></ul>
[397]379</div>
[590]380<hr size="1"><address style="text-align: right;"><small>Generated on Sat Aug 29 20:49:46 2009 for mixpp by&nbsp;
[259]381<a href="http://www.doxygen.org/index.html">
[538]382<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
[259]383</body>
384</html>
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