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3<title>mixpp: bdm::KalmanCh Class Reference</title>
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[259]49<div class="navigation" id="top">
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[271]52      <li><a href="main.html"><span>Main&nbsp;Page</span></a></li>
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[259]62      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
63      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
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[271]66  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1KalmanCh.html">KalmanCh</a>
[259]67  </div>
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69<div class="contents">
[590]70<h1>bdm::KalmanCh Class Reference</h1><!-- doxytag: class="bdm::KalmanCh" --><!-- doxytag: inherits="Kalman&lt; chmat &gt;" --><a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter in square <a class="el" href="classbdm_1_1root.html" title="Root class of BDM objects.">root</a> form. 
[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>
[290]74<p>
[259]75
76<p>
[290]77<a href="classbdm_1_1KalmanCh-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>
[287]80<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="24ce65bdaa538d4d5153d709a929b996"></a><!-- doxytag: member="bdm::KalmanCh::_copy_" ref="24ce65bdaa538d4d5153d709a929b996" args="() const " -->
81<a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">_copy_</a> () const </td></tr>
[259]82
[287]83<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">copy constructor <br></td></tr>
[271]84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="20a4d4c664e8ac8a3f1bb7b0d11c6d87"></a><!-- doxytag: member="bdm::KalmanCh::set_parameters" ref="20a4d4c664e8ac8a3f1bb7b0d11c6d87" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const chmat &amp;Q0, const chmat &amp;R0)" -->
[538]85void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classbdm_1_1chmat.html">chmat</a> &amp;Q0, const <a class="el" href="classbdm_1_1chmat.html">chmat</a> &amp;R0)</td></tr>
[259]86
[590]87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set parameters for adapt from <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> <br></td></tr>
88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c983b1a2687312ab733d4c859cf83c1e"></a><!-- doxytag: member="bdm::KalmanCh::initialize" ref="c983b1a2687312ab733d4c859cf83c1e" args="()" -->
89void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#c983b1a2687312ab733d4c859cf83c1e">initialize</a> ()</td></tr>
[259]90
[590]91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">initialize internal parametetrs <br></td></tr>
[259]92<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6">bayes</a> (const vec &amp;dt)</td></tr>
93
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#b41fe5540548100b08e1684c3be767b6"></a><br></td></tr>
[590]95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="13f68cef5b14c8753012ad3ed695689d"></a><!-- doxytag: member="bdm::KalmanCh::from_setting" ref="13f68cef5b14c8753012ad3ed695689d" args="(const Setting &amp;set)" -->
96void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#13f68cef5b14c8753012ad3ed695689d">from_setting</a> (const Setting &amp;set)</td></tr>
[259]97
[590]98<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>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::KalmanCh::set_statistics" ref="d9107617cd5482272ab046849cbfff49" args="(const vec &amp;mu0, const mat &amp;P0)" -->
100void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
[271]101
[590]102<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::KalmanCh::set_statistics" ref="28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
103void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const <a class="el" href="classbdm_1_1chmat.html">chmat</a> &amp;P0)</td></tr>
[259]104
[590]105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::KalmanCh::posterior" ref="8b0c3db41eb292edb20b826832c9b5fa" args="() const" -->
106const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1chmat.html">chmat</a> &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const</td></tr>
[259]107
[590]108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br></td></tr>
109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::KalmanCh::shared_posterior" ref="4da2fdd01e9b335b133def9814eb0620" args="()" -->
110<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>
111
112<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br></td></tr>
113<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::KalmanCh::validate" ref="34c508e3a9081be46e57634c2079bff4" args="()" -->
114void&nbsp;</td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr>
115
[396]116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::KalmanCh::to_string" ref="af0e6941ba5919cae1bc530e2181b109" args="()" -->
117virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#af0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
[353]118
119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br></td></tr>
[396]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::KalmanCh::to_setting" ref="67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
121virtual 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]122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br></td></tr>
[590]124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::KalmanCh::_dimx" ref="b1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
125int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#b1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr>
[368]126
[590]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="f3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::KalmanCh::_dimy" ref="f3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
129int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#f3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</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="a238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::KalmanCh::_dimu" ref="a238842025a0eaade26d5d79a0e9000e" args="()" -->
133int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a238842025a0eaade26d5d79a0e9000e">_dimu</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="a70f6c8ab37f955f408361150e13c47b"></a><!-- doxytag: member="bdm::KalmanCh::_A" ref="a70f6c8ab37f955f408361150e13c47b" args="()" -->
137mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a70f6c8ab37f955f408361150e13c47b">_A</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="4272982f976ea9d0ea7c9b7182ed7e3c"></a><!-- doxytag: member="bdm::KalmanCh::_B" ref="4272982f976ea9d0ea7c9b7182ed7e3c" args="()" -->
141mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#4272982f976ea9d0ea7c9b7182ed7e3c">_B</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="ec4c0923e2b5d0c3e5dfe119ffee511e"></a><!-- doxytag: member="bdm::KalmanCh::_C" ref="ec4c0923e2b5d0c3e5dfe119ffee511e" args="()" -->
145mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ec4c0923e2b5d0c3e5dfe119ffee511e">_C</a> ()</td></tr>
146
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e0757fcc5e0ebaf0bd95f522bf405f06"></a><!-- doxytag: member="bdm::KalmanCh::_D" ref="e0757fcc5e0ebaf0bd95f522bf405f06" args="()" -->
149mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#e0757fcc5e0ebaf0bd95f522bf405f06">_D</a> ()</td></tr>
150
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c908775f27db8d869b93078862a4934"></a><!-- doxytag: member="bdm::KalmanCh::_Q" ref="4c908775f27db8d869b93078862a4934" args="()" -->
153<a class="el" href="classbdm_1_1chmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#4c908775f27db8d869b93078862a4934">_Q</a> ()</td></tr>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8c94418779eb70f6199fa3467c45f316"></a><!-- doxytag: member="bdm::KalmanCh::_R" ref="8c94418779eb70f6199fa3467c45f316" args="()" -->
157<a class="el" href="classbdm_1_1chmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#8c94418779eb70f6199fa3467c45f316">_R</a> ()</td></tr>
158
159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
[270]160<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]161<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::KalmanCh::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
162virtual 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>
163
164<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
165<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>
166
167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::KalmanCh::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
168vec&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>
169
170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[270]171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::KalmanCh::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
172virtual <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]173
[397]174<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}) $" src="form_14.png">. <br></td></tr>
[270]175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::KalmanCh::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
176virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
[259]177
[538]178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_131.png">. <br></td></tr>
[270]179<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[269]180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::KalmanCh::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[270]181const <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]182
183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::KalmanCh::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
[270]184void&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]185
[271]186<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::KalmanCh::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
187void&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>
188
[259]189<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanCh::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[270]190double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[259]191
192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::KalmanCh::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
[270]193void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[259]194
195<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
[590]196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::KalmanCh::yrv" ref="aac28e226fe6cbff5a9ae38d8d025d7a" args="" -->
197<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]198
[590]199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br></td></tr>
200<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::KalmanCh::urv" ref="44d4a8ab05d5311286e1da78b831633e" 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_1Kalman.html#44d4a8ab05d5311286e1da78b831633e">urv</a></td></tr>
[259]202
[590]203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br></td></tr>
204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanCh::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
205mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
[259]206
[590]207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Kalman gain. <br></td></tr>
208<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::KalmanCh::est" ref="c83599f2541eb01de329f7b0bb35bf43" args="" -->
209<a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>&lt; <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1chmat.html">chmat</a> &gt; &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
[259]210
[590]211<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br></td></tr>
212<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanCh::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
213<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1chmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
[259]214
[590]215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br></td></tr>
216<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::KalmanCh::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
217<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>
218
219<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
220<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanCh::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
221double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
222
223<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
224<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanCh::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
225bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
226
227<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>
228<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::KalmanCh::dimx" ref="c3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
229int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
230
[259]231<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
[590]232<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::KalmanCh::dimy" ref="3b784d85ca911866225a79193ae1441f" args="" -->
233int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
[259]234
235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
[590]236<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::KalmanCh::dimu" ref="95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
237int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
[259]238
239<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
[590]240<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::KalmanCh::A" ref="de7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
241mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
[259]242
243<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
[590]244<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::KalmanCh::B" ref="0cdaa906550290b759a1584d02b3ca51" args="" -->
245mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
[259]246
247<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
[590]248<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::KalmanCh::C" ref="c7ec82d2200c956cff6dff559bd32ff9" args="" -->
249mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
[259]250
251<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
[590]252<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::KalmanCh::D" ref="d5769a41b34eb518716120cf04dbc23f" args="" -->
253mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
[259]254
255<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
[590]256<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::KalmanCh::Q" ref="66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
257<a class="el" href="classbdm_1_1chmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
[259]258
259<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
[590]260<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::KalmanCh::R" ref="11dd3493d62ec9329860386adb3e6084" args="" -->
261<a class="el" href="classbdm_1_1chmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
[259]262
263<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
[590]264<tr><td colspan="2"><div class="groupHeader">Internal storage - needs initialize()</div></td></tr>
265<tr><td colspan="2"><div class="groupText">pre array (triangular matrix) <br><br></div></td></tr>
266<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::KalmanCh::preA" ref="48611c8582706cfa62e832be0972e75d" args="" -->
267mat&nbsp;</td><td class="memItemRight" valign="bottom"><b>preA</b></td></tr>
[259]268
[590]269<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::KalmanCh::postA" ref="bcbd68f51d4b57246e7784ca5900171f" args="" -->
270mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
[259]271
[590]272<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr>
[290]273<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
274<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>
275<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::KalmanCh::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
276const <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>
277
278<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
279<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::KalmanCh::condition" ref="6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
280virtual 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>
281
282<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
283<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::KalmanCh::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
284<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>
285
286<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
287<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
[353]288<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::KalmanCh::set_options" ref="adb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
289virtual 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]290
[472]291<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br></td></tr>
[323]292<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::KalmanCh::log_add" ref="2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
293virtual 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]294
295<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]296<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::KalmanCh::logit" ref="b517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
297virtual 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]298
299<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::KalmanCh::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
300ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
301
[353]302<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>
303<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::KalmanCh::LFlags" ref="398b7e7a162cf37d0022d6126495f207" args="" -->
304ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
[290]305
[353]306<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]307</table>
[290]308<hr><a name="_details"></a><h2>Detailed Description</h2>
[590]309<a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter in square <a class="el" href="classbdm_1_1root.html" title="Root class of BDM objects.">root</a> form.
[290]310<p>
[396]311Trivial example: <div class="fragment"><pre class="fragment"><span class="preprocessor">#include "<a class="code" href="kalman_8h.html" title="Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.">estim/kalman.h</a>"</span>
[290]312<span class="keyword">using namespace </span>bdm;
[538]313
[290]314<span class="comment">// estimation of AR(0) model</span>
315<span class="keywordtype">int</span> main() {
316        <span class="comment">//dimensions</span>
[538]317        <span class="keywordtype">int</span> dx = 3, dy = 3, du = 1;
[290]318        <span class="comment">// matrices</span>
[538]319        mat A = eye ( dx );
320        mat B = zeros ( dx, du );
321        mat C = eye ( dx );
322        mat D = zeros ( dy, du );
323        mat Q = eye ( dx );
324        mat R = 0.1 * eye ( dy );
[290]325        <span class="comment">//prior</span>
[538]326        mat P0 = 100 * eye ( dx );
327        vec mu0 = zeros ( dx );
[290]328        <span class="comment">// Estimator</span>
329        KalmanCh KF;
[538]330        KF.set_parameters ( A, B, C, D,<span class="comment">/*covariances*/</span> Q, R );
331        KF.set_statistics ( mu0, P0 );
[290]332        <span class="comment">// Estimation loop</span>
[538]333        <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i &lt; 100; i++ ) {
334                KF.bayes ( randn ( dx + du ) );
[290]335        }
336        <span class="comment">//print results</span>
337        cout &lt;&lt; <span class="stringliteral">"Posterior estimate of x is: "</span>  &lt;&lt; endl;
[538]338        cout &lt;&lt; <span class="stringliteral">"mean: "</span> &lt;&lt; KF.posterior().mean() &lt;&lt; endl;
339        cout &lt;&lt; <span class="stringliteral">"variance: "</span> &lt;&lt; KF.posterior().variance() &lt;&lt; endl;
[290]340}
[590]341</pre></div><p>
342Complete constructor: <hr><h2>Member Function Documentation</h2>
[259]343<a class="anchor" name="b41fe5540548100b08e1684c3be767b6"></a><!-- doxytag: member="bdm::KalmanCh::bayes" ref="b41fe5540548100b08e1684c3be767b6" args="(const vec &amp;dt)" -->
344<div class="memitem">
345<div class="memproto">
346      <table class="memname">
347        <tr>
348          <td class="memname">void bdm::KalmanCh::bayes           </td>
349          <td>(</td>
350          <td class="paramtype">const vec &amp;&nbsp;</td>
351          <td class="paramname"> <em>dt</em>          </td>
352          <td>&nbsp;)&nbsp;</td>
353          <td><code> [virtual]</code></td>
354        </tr>
355      </table>
356</div>
357<div class="memdoc">
358
359<p>
360Here dt = [yt;ut] of appropriate dimensions.
361<p>
362The following equality hold::<p class="formulaDsp">
[397]363<img class="formulaDsp" alt="\[ \left[\begin{array}{cc} R^{0.5}\\ P_{t|t-1}^{0.5}C' &amp; P_{t|t-1}^{0.5}CA'\\ &amp; Q^{0.5}\end{array}\right]<\mathrm{orth.oper.}>=\left[\begin{array}{cc} R_{y}^{0.5} &amp; KA'\\ &amp; P_{t+1|t}^{0.5}\\ \\\end{array}\right]\]" src="form_31.png">
[259]364<p>
365<p>
366Thus this object evaluates only predictors! Not filtering densities.
[590]367<p>Implements <a class="el" href="classbdm_1_1BM.html#60b1779a577367c369a932cabd3a6188">bdm::BM</a>.</p>
[259]368
[353]369<p>Reimplemented in <a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>.</p>
[259]370
[590]371<p>References <a class="el" href="chmat_8h-source.html#l00090">bdm::chmat::_Ch()</a>, <a class="el" href="kalman_8h-source.html#l00110">bdm::Kalman&lt; chmat &gt;::_K</a>, <a class="el" href="exp__family_8h-source.html#l00171">bdm::enorm&lt; sq_T &gt;::_mu()</a>, <a class="el" href="exp__family_8h-source.html#l00174">bdm::enorm&lt; sq_T &gt;::_R()</a>, <a class="el" href="kalman_8h-source.html#l00043">bdm::StateSpace&lt; chmat &gt;::A</a>, <a class="el" href="kalman_8h-source.html#l00045">bdm::StateSpace&lt; chmat &gt;::B</a>, <a class="el" href="bdmerror_8h-source.html#l00059">bdm_warning</a>, <a class="el" href="kalman_8h-source.html#l00047">bdm::StateSpace&lt; chmat &gt;::C</a>, <a class="el" href="kalman_8h-source.html#l00049">bdm::StateSpace&lt; chmat &gt;::D</a>, <a class="el" href="kalman_8h-source.html#l00041">bdm::StateSpace&lt; chmat &gt;::dimu</a>, <a class="el" href="kalman_8h-source.html#l00037">bdm::StateSpace&lt; chmat &gt;::dimx</a>, <a class="el" href="kalman_8h-source.html#l00039">bdm::StateSpace&lt; chmat &gt;::dimy</a>, <a class="el" href="kalman_8h-source.html#l00112">bdm::Kalman&lt; chmat &gt;::est</a>, <a class="el" href="bdmbase_8h-source.html#l00850">bdm::BM::evalll</a>, <a class="el" href="exp__family_8h-source.html#l00054">bdm::eEF::evallog()</a>, <a class="el" href="kalman_8h-source.html#l00114">bdm::Kalman&lt; chmat &gt;::fy</a>, <a class="el" href="bdmbase_8h-source.html#l00848">bdm::BM::ll</a>, and <a class="el" href="kalman_8h-source.html#l00172">postA</a>.</p>
[259]372
373</div>
374</div><p>
[270]375<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanCh::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
[259]376<div class="memitem">
377<div class="memproto">
378      <table class="memname">
379        <tr>
[270]380          <td class="memname">virtual double bdm::BM::logpred           </td>
[259]381          <td>(</td>
[270]382          <td class="paramtype">const vec &amp;&nbsp;</td>
383          <td class="paramname"> <em>dt</em>          </td>
[259]384          <td>&nbsp;)&nbsp;</td>
[270]385          <td> const<code> [inline, virtual, inherited]</code></td>
[259]386        </tr>
387      </table>
388</div>
389<div class="memdoc">
390
391<p>
[270]392Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
393<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]394
[590]395<p>References <a class="el" href="bdmerror_8h-source.html#l00051">bdm_error</a>.</p>
[270]396
[590]397<p>Referenced by <a class="el" href="bdmbase_8h-source.html#l00885">bdm::BM::logpred_m()</a>.</p>
398
[259]399</div>
400</div><p>
401<hr>The documentation for this class was generated from the following files:<ul>
[538]402<li><a class="el" href="kalman_8h-source.html">kalman.h</a><li>kalman.cpp</ul>
[397]403</div>
[590]404<hr size="1"><address style="text-align: right;"><small>Generated on Sat Aug 29 20:49:46 2009 for mixpp by&nbsp;
[259]405<a href="http://www.doxygen.org/index.html">
[538]406<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
[259]407</body>
408</html>
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