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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<hr/><a name="_details"></a><h2>Detailed Description</h2>
77<h3>template&lt;class sq_T&gt;<br/>
78 class bdm::Kalman&lt; sq_T &gt;</h3>
79
80<p>Common abstract base for <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filters. </p>
81
82<p><code>#include &lt;<a class="el" href="kalman_8h_source.html">kalman.h</a>&gt;</code></p>
83
84<p><a href="classbdm_1_1Kalman-members.html">List of all members.</a></p>
85<table border="0" cellpadding="0" cellspacing="0">
86<tr><td colspan="2"><h2>Public Member Functions</h2></td></tr>
87<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b22c45cffa949d70b8e5ac92ed5ce25"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="a8b22c45cffa949d70b8e5ac92ed5ce25" args="(const Kalman&lt; sq_T &gt; &amp;K0)" -->
88&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a8b22c45cffa949d70b8e5ac92ed5ce25">Kalman</a> (const <a class="el" href="classbdm_1_1Kalman.html">Kalman</a>&lt; sq_T &gt; &amp;K0)</td></tr>
89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br/></td></tr>
90<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)" -->
91void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49">set_statistics</a> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set statistics of the posterior <br/></td></tr>
93<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)" -->
94void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a28cded9e5f44f654cd383503e4e9694c">set_statistics</a> (const vec &amp;mu0, const sq_T &amp;P0)</td></tr>
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set statistics of the posterior <br/></td></tr>
96<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="a8b0c3db41eb292edb20b826832c9b5fa" args="() const " -->
97const <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>
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return correctly typed posterior (covariant return) <br/></td></tr>
99<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::Kalman::shared_posterior" ref="a4da2fdd01e9b335b133def9814eb0620" args="()" -->
100<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>
101<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br/></td></tr>
102<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)" -->
103void&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>
104<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>
105<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::Kalman::validate" ref="a34c508e3a9081be46e57634c2079bff4" args="()" -->
106void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a34c508e3a9081be46e57634c2079bff4">validate</a> ()</td></tr>
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">validate object <br/></td></tr>
108<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::Kalman::to_string" ref="aaf0e6941ba5919cae1bc530e2181b109" args="()" -->
109virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#aaf0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br/></td></tr>
111<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 " -->
112virtual 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>
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br/></td></tr>
114<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)" -->
115void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a7a053883a11a93a979c28c3e6792ce20">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;Q0, const sq_T &amp;R0)</td></tr>
116<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set all matrix parameters <br/></td></tr>
117<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::Kalman::_dimx" ref="ab1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
118int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</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="af3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::Kalman::_dimy" ref="af3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
121int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</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="aa238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::Kalman::_dimu" ref="aa238842025a0eaade26d5d79a0e9000e" args="()" -->
124int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">_dimu</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="aae0dd610bf28f52c4c7acec87e39ed5e"></a><!-- doxytag: member="bdm::Kalman::_A" ref="aae0dd610bf28f52c4c7acec87e39ed5e" args="() const " -->
127const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">_A</a> () const </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="a19cabf296793357c130778fe74df54a4"></a><!-- doxytag: member="bdm::Kalman::_B" ref="a19cabf296793357c130778fe74df54a4" args="() const " -->
130const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">_B</a> () const </td></tr>
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
132<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5731f429df4a70dc0d0d1e6ea8e35125"></a><!-- doxytag: member="bdm::Kalman::_C" ref="a5731f429df4a70dc0d0d1e6ea8e35125" args="() const " -->
133const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">_C</a> () const </td></tr>
134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
135<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a286286acb308f9ee596cab9af503b252"></a><!-- doxytag: member="bdm::Kalman::_D" ref="a286286acb308f9ee596cab9af503b252" args="() const " -->
136const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">_D</a> () const </td></tr>
137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
138<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a38a71e31f22f5459d10c3cbee1e4d977"></a><!-- doxytag: member="bdm::Kalman::_Q" ref="a38a71e31f22f5459d10c3cbee1e4d977" args="() const " -->
139const sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">_Q</a> () const </td></tr>
140<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
141<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69ddac45b7a4efbf83b2232d0d5595ba"></a><!-- doxytag: member="bdm::Kalman::_R" ref="a69ddac45b7a4efbf83b2232d0d5595ba" args="() const " -->
142const sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">_R</a> () const </td></tr>
143<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
144<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
145<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrp559a25fdb98a7d1fd1c3771ac568d5e9"></a> </p>
146<br/><br/></div></td></tr>
147<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>
148<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype:.  <a href="#a40f01563651c1e4fe926189e41a6b8ab"></a><br/></td></tr>
149<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
150<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpfb3595af27ed8bd142c95323c0dab340"></a> </p>
151<br/><br/></div></td></tr>
152<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>
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#a60b1779a577367c369a932cabd3a6188"></a><br/></td></tr>
154<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)" -->
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::Kalman::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::Kalman::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>
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}) $" src="form_20.png"/>. <br/></td></tr>
164<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="a598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
165virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_21.png"/>. <br/></td></tr>
167<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
168<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpb6eb094f9e6af11f8a7d9efa9d8e3623"></a> access function </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::Kalman::_drv" ref="aff2d8755ba0b3def927d31305c03b09c" args="() const " -->
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>
172<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)" -->
173void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#af135ae6dce7e9f30c9f88229c7930b96">set_drv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
175<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)" -->
176void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ab38d92f17620813ad872d86e01a26e5e">set_rv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access to rv of the posterior <br/></td></tr>
178<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="a5be65d37dedfe33a3671e7065f523a70" args="() const " -->
179double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr>
180<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return internal log-likelihood of the last data vector <br/></td></tr>
181<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)" -->
182void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr>
183<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">switch evaluation of log-likelihood on/off <br/></td></tr>
184<tr><td colspan="2"><h2>Protected Attributes</h2></td></tr>
185<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::Kalman::yrv" ref="aaac28e226fe6cbff5a9ae38d8d025d7a" args="" -->
186<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>
187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br/></td></tr>
188<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::Kalman::urv" ref="a44d4a8ab05d5311286e1da78b831633e" args="" -->
189<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>
190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br/></td></tr>
191<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="abd69dfb802465f22dd84d73a180d5c92" args="" -->
192mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
193<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>
194<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::Kalman::est" ref="ac83599f2541eb01de329f7b0bb35bf43" args="" -->
195<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>
196<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
197<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="aba555c394c429f6831c9bbabfa2c944c" args="" -->
198<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>
199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br/></td></tr>
200<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="ac400357e37d27a4834b2b1d9211009ed" args="" -->
201<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>
202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br/></td></tr>
203<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="a4064b6559d962633e4372b12f4cd204a" args="" -->
204double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br/></td></tr>
206<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afaff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="afaff0ad12556fe7dc0e2807d4fd938ee" args="" -->
207bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
208<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>
209<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ac3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
210int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
211<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br/></td></tr>
212<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="a3b784d85ca911866225a79193ae1441f" args="" -->
213int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
214<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br/></td></tr>
215<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="a95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
216int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
217<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br/></td></tr>
218<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::Kalman::A" ref="ade7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
219mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
220<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br/></td></tr>
221<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::Kalman::B" ref="a0cdaa906550290b759a1584d02b3ca51" args="" -->
222mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
223<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br/></td></tr>
224<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::Kalman::C" ref="ac7ec82d2200c956cff6dff559bd32ff9" args="" -->
225mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
226<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br/></td></tr>
227<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::Kalman::D" ref="ad5769a41b34eb518716120cf04dbc23f" args="" -->
228mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
229<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br/></td></tr>
230<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::Kalman::Q" ref="a66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
231sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
232<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br/></td></tr>
233<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::Kalman::R" ref="a11dd3493d62ec9329860386adb3e6084" args="" -->
234sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br/></td></tr>
236<tr><td colspan="2"><h2>Extension to conditional BM</h2></td></tr>
237<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>
238<br/><br/></td></tr>
239<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::Kalman::_rvc" ref="ab5e8e016be16e4029c789063cb3f3b33" args="() const " -->
240const <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>
241<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
242<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)" -->
243virtual 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>
244<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br/></td></tr>
245<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::Kalman::rvc" ref="ade95c590d650b2db423d53992f0906cb" args="" -->
246<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>
247<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br/></td></tr>
248<tr><td colspan="2"><h2>Logging of results</h2></td></tr>
249<tr><td colspan="2"><p><a class="anchor" id="amgrp5b751fa78120752d90ae4487df3bfa73"></a> </p>
250<br/><br/></td></tr>
251<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)" -->
252virtual 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>
253<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br/></td></tr>
254<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;)" -->
255virtual 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>
256<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>
257<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)" -->
258virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ab517e1679eaa94e803ea4cd0b8efbcd7">logit</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L)</td></tr>
259<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Save results to the given <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>, details of what is stored is configured by <code>LIDs</code> and <code>options</code>. <br/></td></tr>
260<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::Kalman::LIDs" ref="a109c1a626a69031658e3a44e9e500cca" args="" -->
261ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
262<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>
263<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::Kalman::LFlags" ref="a398b7e7a162cf37d0022d6126495f207" args="" -->
264ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
265<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>
266</table>
267<hr/><h2>Member Function Documentation</h2>
268<a class="anchor" id="a40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::Kalman::_copy_" ref="a40f01563651c1e4fe926189e41a6b8ab" args="() const " -->
269<div class="memitem">
270<div class="memproto">
271      <table class="memname">
272        <tr>
273          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_ </td>
274          <td>(</td>
275          <td class="paramname"></td>
276          <td>&nbsp;)&nbsp;</td>
277          <td> const<code> [inline, virtual, inherited]</code></td>
278        </tr>
279      </table>
280</div>
281<div class="memdoc">
282
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" title="Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!...">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
285</pre></div> 
286<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#aca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1ARXfrg.html#a420f3f195d231723f2f2329ec900de60">bdm::ARXfrg</a>, <a class="el" href="classbdm_1_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1">bdm::KalmanFull</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>
287
288<p>Referenced by <a class="el" href="particles_8h_source.html#l00316">bdm::MPF::set_BM()</a>.</p>
289
290</div>
291</div>
292<a class="anchor" id="a60b1779a577367c369a932cabd3a6188"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="a60b1779a577367c369a932cabd3a6188" args="(const vec &amp;dt)=0" -->
293<div class="memitem">
294<div class="memproto">
295      <table class="memname">
296        <tr>
297          <td class="memname">virtual void bdm::BM::bayes </td>
298          <td>(</td>
299          <td class="paramtype">const vec &amp;&nbsp;</td>
300          <td class="paramname"> <em>dt</em></td>
301          <td>&nbsp;)&nbsp;</td>
302          <td><code> [pure virtual, inherited]</code></td>
303        </tr>
304      </table>
305</div>
306<div class="memdoc">
307
308<p>Incremental Bayes rule. </p>
309<dl><dt><b>Parameters:</b></dt><dd>
310  <table border="0" cellspacing="2" cellpadding="0">
311    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
312  </table>
313  </dd>
314</dl>
315
316<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#a0fbe47b20c491f25030ef2875c148892">bdm::MPF</a>, <a class="el" href="classbdm_1_1mexBM.html#aa99452b52f731f561b01029af18c68f7">bdm::mexBM</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>
317
318<p>Referenced by <a class="el" href="bdmbase_8cpp_source.html#l00394">bdm::BM::bayesB()</a>.</p>
319
320</div>
321</div>
322<a class="anchor" id="a50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::Kalman::logpred" ref="a50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
323<div class="memitem">
324<div class="memproto">
325      <table class="memname">
326        <tr>
327          <td class="memname">virtual double bdm::BM::logpred </td>
328          <td>(</td>
329          <td class="paramtype">const vec &amp;&nbsp;</td>
330          <td class="paramname"> <em>dt</em></td>
331          <td>&nbsp;)&nbsp;</td>
332          <td> const<code> [inline, virtual, inherited]</code></td>
333        </tr>
334      </table>
335</div>
336<div class="memdoc">
337<p>Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. </p>
338
339<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>
340
341<p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p>
342
343<p>Referenced by <a class="el" href="bdmbase_8h_source.html#l01102">bdm::BM::logpred_m()</a>.</p>
344
345</div>
346</div>
347<hr/>The documentation for this class was generated from the following file:<ul>
348<li><a class="el" href="kalman_8h_source.html">kalman.h</a></li>
349</ul>
350</div>
351<hr size="1"/><address style="text-align: right;"><small>Generated on Thu Oct 15 00:07:49 2009 for mixpp by&nbsp;
352<a href="http://www.doxygen.org/index.html">
353<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>
354</body>
355</html>
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