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69  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1KalmanCh.html">KalmanCh</a>
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73<h1>bdm::KalmanCh Class Reference</h1><!-- doxytag: class="bdm::KalmanCh" --><!-- doxytag: inherits="Kalman&lt; chmat &gt;" -->
74<p><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. 
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_1KalmanCh-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="a24ce65bdaa538d4d5153d709a929b996"></a><!-- doxytag: member="bdm::KalmanCh::_copy_" ref="a24ce65bdaa538d4d5153d709a929b996" args="() const " -->
83<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#a24ce65bdaa538d4d5153d709a929b996">_copy_</a> () const </td></tr>
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">copy constructor <br/></td></tr>
85<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a20a4d4c664e8ac8a3f1bb7b0d11c6d87"></a><!-- doxytag: member="bdm::KalmanCh::set_parameters" ref="a20a4d4c664e8ac8a3f1bb7b0d11c6d87" 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)" -->
86void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87">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>
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" align="right" valign="top"><a class="anchor" id="ac983b1a2687312ab733d4c859cf83c1e"></a><!-- doxytag: member="bdm::KalmanCh::initialize" ref="ac983b1a2687312ab733d4c859cf83c1e" args="()" -->
89void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e">initialize</a> ()</td></tr>
90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">initialize internal parametetrs <br/></td></tr>
91<tr><td class="memItemLeft" align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#ab41fe5540548100b08e1684c3be767b6">bayes</a> (const vec &amp;dt)</td></tr>
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#ab41fe5540548100b08e1684c3be767b6"></a><br/></td></tr>
93<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a13f68cef5b14c8753012ad3ed695689d"></a><!-- doxytag: member="bdm::KalmanCh::from_setting" ref="a13f68cef5b14c8753012ad3ed695689d" args="(const Setting &amp;set)" -->
94void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d">from_setting</a> (const Setting &amp;set)</td></tr>
95<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>
96<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::KalmanCh::set_statistics" ref="ad9107617cd5482272ab046849cbfff49" args="(const vec &amp;mu0, const mat &amp;P0)" -->
97void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
98<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::KalmanCh::set_statistics" ref="a28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const chmat &amp;P0)" -->
99void&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>
100<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::KalmanCh::posterior" ref="a8b0c3db41eb292edb20b826832c9b5fa" args="() const" -->
101const <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#a8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const</td></tr>
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
103<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::KalmanCh::shared_posterior" ref="a4da2fdd01e9b335b133def9814eb0620" args="()" -->
104<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>
105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br/></td></tr>
106<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::KalmanCh::validate" ref="a34c508e3a9081be46e57634c2079bff4" args="()" -->
107void&nbsp;</td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr>
108<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::KalmanCh::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::KalmanCh::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="ab1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::KalmanCh::_dimx" ref="ab1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
115int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</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="af3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::KalmanCh::_dimy" ref="af3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
118int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</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="aa238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::KalmanCh::_dimu" ref="aa238842025a0eaade26d5d79a0e9000e" args="()" -->
121int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">_dimu</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="aae0dd610bf28f52c4c7acec87e39ed5e"></a><!-- doxytag: member="bdm::KalmanCh::_A" ref="aae0dd610bf28f52c4c7acec87e39ed5e" args="() const" -->
124const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">_A</a> () const</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="a19cabf296793357c130778fe74df54a4"></a><!-- doxytag: member="bdm::KalmanCh::_B" ref="a19cabf296793357c130778fe74df54a4" args="() const" -->
127const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">_B</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="a5731f429df4a70dc0d0d1e6ea8e35125"></a><!-- doxytag: member="bdm::KalmanCh::_C" ref="a5731f429df4a70dc0d0d1e6ea8e35125" args="() const" -->
130const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">_C</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="a286286acb308f9ee596cab9af503b252"></a><!-- doxytag: member="bdm::KalmanCh::_D" ref="a286286acb308f9ee596cab9af503b252" args="() const" -->
133const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">_D</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="a38a71e31f22f5459d10c3cbee1e4d977"></a><!-- doxytag: member="bdm::KalmanCh::_Q" ref="a38a71e31f22f5459d10c3cbee1e4d977" args="() const" -->
136const <a class="el" href="classbdm_1_1chmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">_Q</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="a69ddac45b7a4efbf83b2232d0d5595ba"></a><!-- doxytag: member="bdm::KalmanCh::_R" ref="a69ddac45b7a4efbf83b2232d0d5595ba" args="() const" -->
139const <a class="el" href="classbdm_1_1chmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">_R</a> () const</td></tr>
140<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
141<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
142<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpfb3595af27ed8bd142c95323c0dab340"></a> </p>
143<br/><br/></div></td></tr>
144<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::KalmanCh::bayesB" ref="a1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
145virtual 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>
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br/></td></tr>
147<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>
148<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::KalmanCh::logpred_m" ref="a0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
149vec&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>
150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br/></td></tr>
151<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::KalmanCh::epredictor" ref="a688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
152virtual <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>
153<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}) $" src="form_20.png"/>. <br/></td></tr>
154<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::KalmanCh::predictor" ref="a598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
155virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
156<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_21.png"/>. <br/></td></tr>
157<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
158<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpb6eb094f9e6af11f8a7d9efa9d8e3623"></a> </p>
159<br/><br/></div></td></tr>
160<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::KalmanCh::_drv" ref="aff2d8755ba0b3def927d31305c03b09c" args="() const " -->
161const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
162<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::KalmanCh::set_drv" ref="af135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
163void&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>
164<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::KalmanCh::set_rv" ref="ab38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
165void&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>
166<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanCh::_ll" ref="a5be65d37dedfe33a3671e7065f523a70" args="() const " -->
167double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
168<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::KalmanCh::set_evalll" ref="a236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
169void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
170<tr><td colspan="2"><h2>Protected Attributes</h2></td></tr>
171<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::KalmanCh::yrv" ref="aaac28e226fe6cbff5a9ae38d8d025d7a" 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#aaac28e226fe6cbff5a9ae38d8d025d7a">yrv</a></td></tr>
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br/></td></tr>
174<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::KalmanCh::urv" ref="a44d4a8ab05d5311286e1da78b831633e" args="" -->
175<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>
176<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br/></td></tr>
177<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanCh::_K" ref="abd69dfb802465f22dd84d73a180d5c92" args="" -->
178mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Kalman gain. <br/></td></tr>
180<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::KalmanCh::est" ref="ac83599f2541eb01de329f7b0bb35bf43" args="" -->
181<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#ac83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
183<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanCh::fy" ref="aba555c394c429f6831c9bbabfa2c944c" args="" -->
184<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#aba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br/></td></tr>
186<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::KalmanCh::drv" ref="ac400357e37d27a4834b2b1d9211009ed" args="" -->
187<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>
188<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br/></td></tr>
189<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanCh::ll" ref="a4064b6559d962633e4372b12f4cd204a" args="" -->
190double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br/></td></tr>
192<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afaff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanCh::evalll" ref="afaff0ad12556fe7dc0e2807d4fd938ee" args="" -->
193bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
194<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>
195<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::KalmanCh::dimx" ref="ac3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
196int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br/></td></tr>
198<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::KalmanCh::dimy" ref="a3b784d85ca911866225a79193ae1441f" args="" -->
199int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
200<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br/></td></tr>
201<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::KalmanCh::dimu" ref="a95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
202int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br/></td></tr>
204<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::KalmanCh::A" ref="ade7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
205mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br/></td></tr>
207<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::KalmanCh::B" ref="a0cdaa906550290b759a1584d02b3ca51" args="" -->
208mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br/></td></tr>
210<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::KalmanCh::C" ref="ac7ec82d2200c956cff6dff559bd32ff9" args="" -->
211mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
212<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br/></td></tr>
213<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::KalmanCh::D" ref="ad5769a41b34eb518716120cf04dbc23f" args="" -->
214mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br/></td></tr>
216<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::KalmanCh::Q" ref="a66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
217<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#a66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br/></td></tr>
219<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::KalmanCh::R" ref="a11dd3493d62ec9329860386adb3e6084" args="" -->
220<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#a11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
221<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br/></td></tr>
222<tr><td colspan="2"><div class="groupHeader">Internal storage - needs initialize()</div></td></tr>
223<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrp8e7cc8660ce5a5290690101f4a487179"></a> pre array (triangular matrix) </p>
224<br/><br/></div></td></tr>
225<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a48611c8582706cfa62e832be0972e75d"></a><!-- doxytag: member="bdm::KalmanCh::preA" ref="a48611c8582706cfa62e832be0972e75d" args="" -->
226mat&nbsp;</td><td class="memItemRight" valign="bottom"><b>preA</b></td></tr>
227<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abcbd68f51d4b57246e7784ca5900171f"></a><!-- doxytag: member="bdm::KalmanCh::postA" ref="abcbd68f51d4b57246e7784ca5900171f" args="" -->
228mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f">postA</a></td></tr>
229<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br/></td></tr>
230<tr><td colspan="2"><h2>Extension to conditional BM</h2></td></tr>
231<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>
232<br/><br/></td></tr>
233<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::KalmanCh::_rvc" ref="ab5e8e016be16e4029c789063cb3f3b33" args="() const " -->
234const <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>
235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
236<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::KalmanCh::condition" ref="a6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
237virtual 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>
238<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br/></td></tr>
239<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::KalmanCh::rvc" ref="ade95c590d650b2db423d53992f0906cb" args="" -->
240<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>
241<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br/></td></tr>
242<tr><td colspan="2"><h2>Logging of results</h2></td></tr>
243<tr><td colspan="2"><p><a class="anchor" id="amgrp5b751fa78120752d90ae4487df3bfa73"></a> </p>
244<br/><br/></td></tr>
245<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aadb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::KalmanCh::set_options" ref="aadb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
246virtual 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>
247<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br/></td></tr>
248<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::KalmanCh::log_add" ref="a2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
249virtual 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>
250<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>
251<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::KalmanCh::logit" ref="ab517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
252virtual 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>
253<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::KalmanCh::LIDs" ref="a109c1a626a69031658e3a44e9e500cca" args="" -->
254ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
255<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>
256<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::KalmanCh::LFlags" ref="a398b7e7a162cf37d0022d6126495f207" args="" -->
257ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
258<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</table>
260<hr/><a name="_details"></a><h2>Detailed Description</h2>
261<p><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. </p>
262<p>Trivial example: </p>
263<div class="fragment"><pre class="fragment"><span class="preprocessor">#include &quot;<a class="code" href="kalman_8h.html" title="Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.">estim/kalman.h</a>&quot;</span>
264<span class="keyword">using namespace </span>bdm;
265
266<span class="comment">// estimation of AR(0) model</span>
267<span class="keywordtype">int</span> main() {
268        <span class="comment">//dimensions</span>
269        <span class="keywordtype">int</span> dx = 3, dy = 3, du = 1;
270        <span class="comment">// matrices</span>
271        mat A = eye ( dx );
272        mat B = zeros ( dx, du );
273        mat C = eye ( dx );
274        mat D = zeros ( dy, du );
275        mat Q = eye ( dx );
276        mat R = 0.1 * eye ( dy );
277        <span class="comment">//prior</span>
278        mat P0 = 100 * eye ( dx );
279        vec mu0 = zeros ( dx );
280        <span class="comment">// Estimator</span>
281        KalmanCh KF;
282        KF.set_parameters ( A, B, C, D,<span class="comment">/*covariances*/</span> Q, R );
283        KF.set_statistics ( mu0, P0 );
284        <span class="comment">// Estimation loop</span>
285        <span class="keywordflow">for</span> ( <span class="keywordtype">int</span> i = 0; i &lt; 100; i++ ) {
286                KF.bayes ( randn ( dx + du ) );
287        }
288        <span class="comment">//print results</span>
289        cout &lt;&lt; <span class="stringliteral">&quot;Posterior estimate of x is: &quot;</span>  &lt;&lt; endl;
290        cout &lt;&lt; <span class="stringliteral">&quot;mean: &quot;</span> &lt;&lt; KF.posterior().mean() &lt;&lt; endl;
291        cout &lt;&lt; <span class="stringliteral">&quot;variance: &quot;</span> &lt;&lt; KF.posterior().variance() &lt;&lt; endl;
292}
293</pre></div><p>Complete constructor: </p>
294<hr/><h2>Member Function Documentation</h2>
295<a class="anchor" id="ab41fe5540548100b08e1684c3be767b6"></a><!-- doxytag: member="bdm::KalmanCh::bayes" ref="ab41fe5540548100b08e1684c3be767b6" args="(const vec &amp;dt)" -->
296<div class="memitem">
297<div class="memproto">
298      <table class="memname">
299        <tr>
300          <td class="memname">void bdm::KalmanCh::bayes </td>
301          <td>(</td>
302          <td class="paramtype">const vec &amp;&nbsp;</td>
303          <td class="paramname"> <em>dt</em></td>
304          <td>&nbsp;)&nbsp;</td>
305          <td><code> [virtual]</code></td>
306        </tr>
307      </table>
308</div>
309<div class="memdoc">
310
311<p>Here dt = [yt;ut] of appropriate dimensions. </p>
312<p>The following equality hold::</p>
313<p class="formulaDsp">
314<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_39.png"/>
315</p>
316<p>Thus this object evaluates only predictors! Not filtering densities. </p>
317
318<p>Implements <a class="el" href="classbdm_1_1BM.html#a60b1779a577367c369a932cabd3a6188">bdm::BM</a>.</p>
319
320<p>Reimplemented in <a class="el" href="classbdm_1_1EKFCh.html#a4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>.</p>
321
322<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="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#l01058">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#l01056">bdm::BM::ll</a>, and <a class="el" href="kalman_8h_source.html#l00172">postA</a>.</p>
323
324</div>
325</div>
326<a class="anchor" id="a50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanCh::logpred" ref="a50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
327<div class="memitem">
328<div class="memproto">
329      <table class="memname">
330        <tr>
331          <td class="memname">virtual double bdm::BM::logpred </td>
332          <td>(</td>
333          <td class="paramtype">const vec &amp;&nbsp;</td>
334          <td class="paramname"> <em>dt</em></td>
335          <td>&nbsp;)&nbsp;</td>
336          <td> const<code> [inline, virtual, inherited]</code></td>
337        </tr>
338      </table>
339</div>
340<div class="memdoc">
341<p>Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. </p>
342
343<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>
344
345<p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p>
346
347<p>Referenced by <a class="el" href="bdmbase_8h_source.html#l01093">bdm::BM::logpred_m()</a>.</p>
348
349</div>
350</div>
351<hr/>The documentation for this class was generated from the following files:<ul>
352<li><a class="el" href="kalman_8h_source.html">kalman.h</a></li>
353<li>kalman.cpp</li>
354</ul>
355</div>
356<hr size="1"/><address style="text-align: right;"><small>Generated on Sun Sep 13 22:40:43 2009 for mixpp by&nbsp;
357<a href="http://www.doxygen.org/index.html">
358<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>
359</body>
360</html>
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