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69  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1Kalman.html">Kalman</a>
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73<h1>bdm::Kalman&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::Kalman" --><!-- doxytag: inherits="bdm::BM,bdm::StateSpace" -->
74<p>Common abstract base for <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filters. 
75<a href="#_details">More...</a></p>
76
77<p><code>#include &lt;<a class="el" href="kalman_8h_source.html">kalman.h</a>&gt;</code></p>
78
79<p><a href="classbdm_1_1Kalman-members.html">List of all members.</a></p>
80<table border="0" cellpadding="0" cellspacing="0">
81<tr><td colspan="2"><h2>Public Member Functions</h2></td></tr>
82<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::Kalman::set_statistics" ref="ad9107617cd5482272ab046849cbfff49" args="(const vec &amp;mu0, const mat &amp;P0)" -->
83void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
84<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::Kalman::set_statistics" ref="a28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const sq_T &amp;P0)" -->
85void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const sq_T &amp;P0)</td></tr>
86<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="a8b0c3db41eb292edb20b826832c9b5fa" 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#a8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const </td></tr>
88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
89<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::Kalman::shared_posterior" ref="a4da2fdd01e9b335b133def9814eb0620" args="()" -->
90<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>
91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br/></td></tr>
92<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7fe88fc3471cab1911707bcdb6b4690a"></a><!-- doxytag: member="bdm::Kalman::from_setting" ref="a7fe88fc3471cab1911707bcdb6b4690a" args="(const Setting &amp;set)" -->
93void&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>
94<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>
95<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::Kalman::validate" ref="a34c508e3a9081be46e57634c2079bff4" args="()" -->
96void&nbsp;</td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr>
97<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::Kalman::to_string" ref="aaf0e6941ba5919cae1bc530e2181b109" args="()" -->
98virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#aaf0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br/></td></tr>
100<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::Kalman::to_setting" ref="a67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
101virtual 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>
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br/></td></tr>
103<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="a7a053883a11a93a979c28c3e6792ce20" 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)" -->
104void&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>
105<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::Kalman::_dimx" ref="ab1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
106int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr>
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
108<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::Kalman::_dimy" ref="af3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
109int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</a> ()</td></tr>
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
111<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::Kalman::_dimu" ref="aa238842025a0eaade26d5d79a0e9000e" args="()" -->
112int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">_dimu</a> ()</td></tr>
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
114<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa70f6c8ab37f955f408361150e13c47b"></a><!-- doxytag: member="bdm::Kalman::_A" ref="aa70f6c8ab37f955f408361150e13c47b" args="()" -->
115mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa70f6c8ab37f955f408361150e13c47b">_A</a> ()</td></tr>
116<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
117<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4272982f976ea9d0ea7c9b7182ed7e3c"></a><!-- doxytag: member="bdm::Kalman::_B" ref="a4272982f976ea9d0ea7c9b7182ed7e3c" args="()" -->
118mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a4272982f976ea9d0ea7c9b7182ed7e3c">_B</a> ()</td></tr>
119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
120<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec4c0923e2b5d0c3e5dfe119ffee511e"></a><!-- doxytag: member="bdm::Kalman::_C" ref="aec4c0923e2b5d0c3e5dfe119ffee511e" args="()" -->
121mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aec4c0923e2b5d0c3e5dfe119ffee511e">_C</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="ae0757fcc5e0ebaf0bd95f522bf405f06"></a><!-- doxytag: member="bdm::Kalman::_D" ref="ae0757fcc5e0ebaf0bd95f522bf405f06" args="()" -->
124mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ae0757fcc5e0ebaf0bd95f522bf405f06">_D</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="a4c908775f27db8d869b93078862a4934"></a><!-- doxytag: member="bdm::Kalman::_Q" ref="a4c908775f27db8d869b93078862a4934" args="()" -->
127sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a4c908775f27db8d869b93078862a4934">_Q</a> ()</td></tr>
128<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
129<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8c94418779eb70f6199fa3467c45f316"></a><!-- doxytag: member="bdm::Kalman::_R" ref="a8c94418779eb70f6199fa3467c45f316" args="()" -->
130sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a8c94418779eb70f6199fa3467c45f316">_R</a> ()</td></tr>
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
132<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
133<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrp559a25fdb98a7d1fd1c3771ac568d5e9"></a> </p>
134<br/><br/></div></td></tr>
135<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>
136<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
137<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpfb3595af27ed8bd142c95323c0dab340"></a> </p>
138<br/><br/></div></td></tr>
139<tr><td class="memItemLeft" align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a60b1779a577367c369a932cabd3a6188">bayes</a> (const vec &amp;dt)=0</td></tr>
140<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#a60b1779a577367c369a932cabd3a6188"></a><br/></td></tr>
141<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::Kalman::bayesB" ref="a1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
142virtual 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>
143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br/></td></tr>
144<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>
145<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::Kalman::logpred_m" ref="a0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
146vec&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>
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br/></td></tr>
148<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::Kalman::epredictor" ref="a688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
149virtual <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>
150<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}) $" src="form_14.png"/>. <br/></td></tr>
151<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="a598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
152virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_131.png"/>. <br/></td></tr>
154<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
155<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpb6eb094f9e6af11f8a7d9efa9d8e3623"></a> </p>
156<br/><br/></div></td></tr>
157<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::Kalman::_drv" ref="aff2d8755ba0b3def927d31305c03b09c" args="() const " -->
158const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
159<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::Kalman::set_drv" ref="af135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
160void&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>
161<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::Kalman::set_rv" ref="ab38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
162void&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>
163<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="a5be65d37dedfe33a3671e7065f523a70" args="() const " -->
164double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
165<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::Kalman::set_evalll" ref="a236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
166void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
167<tr><td colspan="2"><h2>Protected Attributes</h2></td></tr>
168<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::Kalman::yrv" ref="aaac28e226fe6cbff5a9ae38d8d025d7a" args="" -->
169<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>
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br/></td></tr>
171<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::Kalman::urv" ref="a44d4a8ab05d5311286e1da78b831633e" args="" -->
172<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>
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br/></td></tr>
174<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="abd69dfb802465f22dd84d73a180d5c92" args="" -->
175mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
176<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>
177<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::Kalman::est" ref="ac83599f2541eb01de329f7b0bb35bf43" args="" -->
178<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#ac83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
180<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="aba555c394c429f6831c9bbabfa2c944c" args="" -->
181<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#aba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br/></td></tr>
183<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="ac400357e37d27a4834b2b1d9211009ed" args="" -->
184<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>
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br/></td></tr>
186<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="a4064b6559d962633e4372b12f4cd204a" args="" -->
187double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
188<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br/></td></tr>
189<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afaff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="afaff0ad12556fe7dc0e2807d4fd938ee" args="" -->
190bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
191<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>
192<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ac3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
193int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br/></td></tr>
195<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="a3b784d85ca911866225a79193ae1441f" args="" -->
196int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br/></td></tr>
198<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="a95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
199int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
200<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br/></td></tr>
201<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::Kalman::A" ref="ade7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
202mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br/></td></tr>
204<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::Kalman::B" ref="a0cdaa906550290b759a1584d02b3ca51" args="" -->
205mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br/></td></tr>
207<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::Kalman::C" ref="ac7ec82d2200c956cff6dff559bd32ff9" args="" -->
208mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br/></td></tr>
210<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::Kalman::D" ref="ad5769a41b34eb518716120cf04dbc23f" args="" -->
211mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
212<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br/></td></tr>
213<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::Kalman::Q" ref="a66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
214sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br/></td></tr>
216<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::Kalman::R" ref="a11dd3493d62ec9329860386adb3e6084" args="" -->
217sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br/></td></tr>
219<tr><td colspan="2"><h2>Extension to conditional BM</h2></td></tr>
220<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>
221<br/><br/></td></tr>
222<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::Kalman::_rvc" ref="ab5e8e016be16e4029c789063cb3f3b33" args="() const " -->
223const <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>
224<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
225<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::Kalman::condition" ref="a6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
226virtual 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>
227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br/></td></tr>
228<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::Kalman::rvc" ref="ade95c590d650b2db423d53992f0906cb" args="" -->
229<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>
230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br/></td></tr>
231<tr><td colspan="2"><h2>Logging of results</h2></td></tr>
232<tr><td colspan="2"><p><a class="anchor" id="amgrp5b751fa78120752d90ae4487df3bfa73"></a> </p>
233<br/><br/></td></tr>
234<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aadb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::Kalman::set_options" ref="aadb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
235virtual 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>
236<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br/></td></tr>
237<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::Kalman::log_add" ref="a2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
238virtual 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>
239<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>
240<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::Kalman::logit" ref="ab517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
241virtual 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>
242<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::Kalman::LIDs" ref="a109c1a626a69031658e3a44e9e500cca" args="" -->
243ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
244<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>
245<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::Kalman::LFlags" ref="a398b7e7a162cf37d0022d6126495f207" args="" -->
246ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
247<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>
248</table>
249<hr/><a name="_details"></a><h2>Detailed Description</h2>
250<h3>template&lt;class sq_T&gt;<br/>
251 class bdm::Kalman&lt; sq_T &gt;</h3>
252
253<p>Common abstract base for <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filters. </p>
254<hr/><h2>Member Function Documentation</h2>
255<a class="anchor" id="a40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::Kalman::_copy_" ref="a40f01563651c1e4fe926189e41a6b8ab" args="() const " -->
256<div class="memitem">
257<div class="memproto">
258      <table class="memname">
259        <tr>
260          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_ </td>
261          <td>(</td>
262          <td class="paramname"></td>
263          <td>&nbsp;)&nbsp;</td>
264          <td> const<code> [inline, virtual, inherited]</code></td>
265        </tr>
266      </table>
267</div>
268<div class="memdoc">
269<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>
270<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>);}
271</pre></div> 
272<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>
273
274</div>
275</div>
276<a class="anchor" id="a60b1779a577367c369a932cabd3a6188"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="a60b1779a577367c369a932cabd3a6188" args="(const vec &amp;dt)=0" -->
277<div class="memitem">
278<div class="memproto">
279      <table class="memname">
280        <tr>
281          <td class="memname">virtual void bdm::BM::bayes </td>
282          <td>(</td>
283          <td class="paramtype">const vec &amp;&nbsp;</td>
284          <td class="paramname"> <em>dt</em></td>
285          <td>&nbsp;)&nbsp;</td>
286          <td><code> [pure virtual, inherited]</code></td>
287        </tr>
288      </table>
289</div>
290<div class="memdoc">
291
292<p>Incremental Bayes rule. </p>
293<dl><dt><b>Parameters:</b></dt><dd>
294  <table border="0" cellspacing="2" cellpadding="0">
295    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
296  </table>
297  </dd>
298</dl>
299
300<p>Implemented in <a class="el" href="classbdm_1_1ARX.html#a8bdf2974052e8ce74eb0d4f3791c58a3">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanFull.html#a081924bc97f453f674bb982b7951d053">bdm::KalmanFull</a>, <a class="el" href="classbdm_1_1KalmanCh.html#ab41fe5540548100b08e1684c3be767b6">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFfull.html#af149ae8e9ce14d9931a7bb2850736699">bdm::EKFfull</a>, <a class="el" href="classbdm_1_1EKFCh.html#a4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>, <a class="el" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e">bdm::MultiModel</a>, <a class="el" href="classbdm_1_1MixEF.html#a5bd7da667da183eed1577f11dff0c1f1">bdm::MixEF</a>, <a class="el" href="classbdm_1_1PF.html#a638946eea22d4964bf9350286bb4efd8">bdm::PF</a>, <a class="el" href="classbdm_1_1MPF.html#a286d040770d08bd7ff416cea617b1b14">bdm::MPF&lt; BM_T &gt;</a>, <a class="el" href="classbdm_1_1BMEF.html#ac287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#a1e4bf41b61937fd80f34049742e23f95">bdm::multiBM</a>.</p>
301
302<p>Referenced by <a class="el" href="bdmbase_8cpp_source.html#l00364">bdm::BM::bayesB()</a>.</p>
303
304</div>
305</div>
306<a class="anchor" id="a50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::Kalman::logpred" ref="a50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
307<div class="memitem">
308<div class="memproto">
309      <table class="memname">
310        <tr>
311          <td class="memname">virtual double bdm::BM::logpred </td>
312          <td>(</td>
313          <td class="paramtype">const vec &amp;&nbsp;</td>
314          <td class="paramname"> <em>dt</em></td>
315          <td>&nbsp;)&nbsp;</td>
316          <td> const<code> [inline, virtual, inherited]</code></td>
317        </tr>
318      </table>
319</div>
320<div class="memdoc">
321<p>Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. </p>
322
323<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>
324
325<p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p>
326
327<p>Referenced by <a class="el" href="bdmbase_8h_source.html#l00885">bdm::BM::logpred_m()</a>.</p>
328
329</div>
330</div>
331<hr/>The documentation for this class was generated from the following file:<ul>
332<li><a class="el" href="kalman_8h_source.html">kalman.h</a></li>
333</ul>
334</div>
335<hr size="1"/><address style="text-align: right;"><small>Generated on Sun Aug 30 22:10:50 2009 for mixpp by&nbsp;
336<a href="http://www.doxygen.org/index.html">
337<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>
338</body>
339</html>
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