root/library/doc/html/classbdm_1_1KalmanFull.html @ 614

Revision 614, 35.0 kB (checked in by smidl, 15 years ago)

doc

RevLine 
[591]1<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
2<html xmlns="http://www.w3.org/1999/xhtml">
3<head>
4<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
[259]5<title>mixpp: bdm::KalmanFull Class Reference</title>
[591]6<link href="tabs.css" rel="stylesheet" type="text/css"/>
7<link href="doxygen.css" rel="stylesheet" type="text/css"/>
8</head>
9<body>
10<!-- Generated by Doxygen 1.6.1 -->
[271]11<script type="text/javascript">
12<!--
13function changeDisplayState (e){
14  var num=this.id.replace(/[^[0-9]/g,'');
15  var button=this.firstChild;
16  var sectionDiv=document.getElementById('dynsection'+num);
17  if (sectionDiv.style.display=='none'||sectionDiv.style.display==''){
18    sectionDiv.style.display='block';
19    button.src='open.gif';
20  }else{
21    sectionDiv.style.display='none';
22    button.src='closed.gif';
23  }
24}
25function initDynSections(){
26  var divs=document.getElementsByTagName('div');
27  var sectionCounter=1;
28  for(var i=0;i<divs.length-1;i++){
29    if(divs[i].className=='dynheader'&&divs[i+1].className=='dynsection'){
30      var header=divs[i];
31      var section=divs[i+1];
32      var button=header.firstChild;
33      if (button!='IMG'){
34        divs[i].insertBefore(document.createTextNode(' '),divs[i].firstChild);
35        button=document.createElement('img');
36        divs[i].insertBefore(button,divs[i].firstChild);
37      }
38      header.style.cursor='pointer';
39      header.onclick=changeDisplayState;
40      header.id='dynheader'+sectionCounter;
41      button.src='closed.gif';
42      section.id='dynsection'+sectionCounter;
43      section.style.display='none';
44      section.style.marginLeft='14px';
45      sectionCounter++;
46    }
47  }
48}
49window.onload = initDynSections;
50-->
51</script>
[259]52<div class="navigation" id="top">
53  <div class="tabs">
54    <ul>
[271]55      <li><a href="main.html"><span>Main&nbsp;Page</span></a></li>
[259]56      <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
[290]57      <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
[259]58      <li><a href="files.html"><span>Files</span></a></li>
59    </ul>
60  </div>
61  <div class="tabs">
62    <ul>
63      <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
[290]64      <li><a href="classes.html"><span>Class&nbsp;Index</span></a></li>
[259]65      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
66      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
67    </ul>
68  </div>
[271]69  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1KalmanFull.html">KalmanFull</a>
[259]70  </div>
71</div>
72<div class="contents">
[591]73<h1>bdm::KalmanFull Class Reference</h1><!-- doxytag: class="bdm::KalmanFull" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" -->
74<p>Basic <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter with full matrices. 
75<a href="#_details">More...</a></p>
[259]76
[591]77<p><code>#include &lt;<a class="el" href="kalman_8h_source.html">kalman.h</a>&gt;</code></p>
[259]78
[591]79<p><a href="classbdm_1_1KalmanFull-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="abdcc98c8b18c1cbdebdf218ae838fd11"></a><!-- doxytag: member="bdm::KalmanFull::KalmanFull" ref="abdcc98c8b18c1cbdebdf218ae838fd11" args="()" -->
83&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11">KalmanFull</a> ()</td></tr>
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">For <a class="el" href="classbdm_1_1EKFfull.html" title="Extended Kalman Filter in full matrices.">EKFfull</a>;. <br/></td></tr>
85<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a081924bc97f453f674bb982b7951d053"></a><!-- doxytag: member="bdm::KalmanFull::bayes" ref="a081924bc97f453f674bb982b7951d053" args="(const vec &amp;dt)" -->
86void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanFull.html#a081924bc97f453f674bb982b7951d053">bayes</a> (const vec &amp;dt)</td></tr>
87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br/></td></tr>
88<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::KalmanFull::set_statistics" ref="ad9107617cd5482272ab046849cbfff49" args="(const vec &amp;mu0, const mat &amp;P0)" -->
[590]89void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
[591]90<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::KalmanFull::set_statistics" ref="a28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const fsqmat &amp;P0)" -->
[590]91void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;P0)</td></tr>
[591]92<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::KalmanFull::posterior" ref="a8b0c3db41eb292edb20b826832c9b5fa" args="() const" -->
93const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const</td></tr>
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
95<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::KalmanFull::shared_posterior" ref="a4da2fdd01e9b335b133def9814eb0620" args="()" -->
96<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>
97<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br/></td></tr>
98<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7fe88fc3471cab1911707bcdb6b4690a"></a><!-- doxytag: member="bdm::KalmanFull::from_setting" ref="a7fe88fc3471cab1911707bcdb6b4690a" args="(const Setting &amp;set)" -->
99void&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>
100<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">load basic elements of Kalman from structure <br/></td></tr>
101<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::KalmanFull::validate" ref="a34c508e3a9081be46e57634c2079bff4" args="()" -->
[590]102void&nbsp;</td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr>
[591]103<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::KalmanFull::to_string" ref="aaf0e6941ba5919cae1bc530e2181b109" args="()" -->
104virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#aaf0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br/></td></tr>
106<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::KalmanFull::to_setting" ref="a67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
107virtual 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>
108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br/></td></tr>
109<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::KalmanFull::set_parameters" ref="a7a053883a11a93a979c28c3e6792ce20" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;Q0, const fsqmat &amp;R0)" -->
[590]110void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;Q0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;R0)</td></tr>
[591]111<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::KalmanFull::_dimx" ref="ab1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
112int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr>
113<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
114<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::KalmanFull::_dimy" ref="af3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
115int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</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="aa238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::KalmanFull::_dimu" ref="aa238842025a0eaade26d5d79a0e9000e" args="()" -->
118int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">_dimu</a> ()</td></tr>
119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[608]120<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aae0dd610bf28f52c4c7acec87e39ed5e"></a><!-- doxytag: member="bdm::KalmanFull::_A" ref="aae0dd610bf28f52c4c7acec87e39ed5e" args="() const" -->
121const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">_A</a> () const</td></tr>
[591]122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[608]123<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a19cabf296793357c130778fe74df54a4"></a><!-- doxytag: member="bdm::KalmanFull::_B" ref="a19cabf296793357c130778fe74df54a4" args="() const" -->
124const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">_B</a> () const</td></tr>
[591]125<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[608]126<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5731f429df4a70dc0d0d1e6ea8e35125"></a><!-- doxytag: member="bdm::KalmanFull::_C" ref="a5731f429df4a70dc0d0d1e6ea8e35125" args="() const" -->
127const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">_C</a> () const</td></tr>
[591]128<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[608]129<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a286286acb308f9ee596cab9af503b252"></a><!-- doxytag: member="bdm::KalmanFull::_D" ref="a286286acb308f9ee596cab9af503b252" args="() const" -->
130const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">_D</a> () const</td></tr>
[591]131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[608]132<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a38a71e31f22f5459d10c3cbee1e4d977"></a><!-- doxytag: member="bdm::KalmanFull::_Q" ref="a38a71e31f22f5459d10c3cbee1e4d977" args="() const" -->
133const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">_Q</a> () const</td></tr>
[591]134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[608]135<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69ddac45b7a4efbf83b2232d0d5595ba"></a><!-- doxytag: member="bdm::KalmanFull::_R" ref="a69ddac45b7a4efbf83b2232d0d5595ba" args="() const" -->
136const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">_R</a> () const</td></tr>
[591]137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
[590]138<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
[591]139<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrp559a25fdb98a7d1fd1c3771ac568d5e9"></a> </p>
140<br/><br/></div></td></tr>
141<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>
[590]142<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[591]143<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpfb3595af27ed8bd142c95323c0dab340"></a> </p>
144<br/><br/></div></td></tr>
145<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::KalmanFull::bayesB" ref="a1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
146virtual 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>
147<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br/></td></tr>
148<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>
149<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::KalmanFull::logpred_m" ref="a0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
150vec&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>
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br/></td></tr>
152<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::KalmanFull::epredictor" ref="a688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
153virtual <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>
[608]154<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}) $" src="form_20.png"/>. <br/></td></tr>
[591]155<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::KalmanFull::predictor" ref="a598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
156virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
[608]157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_21.png"/>. <br/></td></tr>
[590]158<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[591]159<tr><td colspan="2"><div class="groupText"><p><a class="anchor" id="amgrpb6eb094f9e6af11f8a7d9efa9d8e3623"></a> </p>
160<br/><br/></div></td></tr>
161<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::KalmanFull::_drv" ref="aff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[590]162const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
[591]163<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::KalmanFull::set_drv" ref="af135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
[590]164void&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>
[591]165<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::KalmanFull::set_rv" ref="ab38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
[590]166void&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>
[591]167<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanFull::_ll" ref="a5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[590]168double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[591]169<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::KalmanFull::set_evalll" ref="a236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
[590]170void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[591]171<tr><td colspan="2"><h2>Protected Attributes</h2></td></tr>
172<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::KalmanFull::yrv" ref="aaac28e226fe6cbff5a9ae38d8d025d7a" args="" -->
173<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>
174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br/></td></tr>
175<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::KalmanFull::urv" ref="a44d4a8ab05d5311286e1da78b831633e" args="" -->
176<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>
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br/></td></tr>
178<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanFull::_K" ref="abd69dfb802465f22dd84d73a180d5c92" args="" -->
179mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
180<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Kalman gain. <br/></td></tr>
181<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::KalmanFull::est" ref="ac83599f2541eb01de329f7b0bb35bf43" args="" -->
182<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_1fsqmat.html">fsqmat</a> &gt; &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
183<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br/></td></tr>
184<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanFull::fy" ref="aba555c394c429f6831c9bbabfa2c944c" args="" -->
185<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br/></td></tr>
187<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::KalmanFull::drv" ref="ac400357e37d27a4834b2b1d9211009ed" args="" -->
188<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>
189<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br/></td></tr>
190<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanFull::ll" ref="a4064b6559d962633e4372b12f4cd204a" args="" -->
191double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
192<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br/></td></tr>
193<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afaff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanFull::evalll" ref="afaff0ad12556fe7dc0e2807d4fd938ee" args="" -->
194bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#afaff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
195<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>
196<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::KalmanFull::dimx" ref="ac3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
197int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br/></td></tr>
199<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::KalmanFull::dimy" ref="a3b784d85ca911866225a79193ae1441f" args="" -->
200int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
201<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br/></td></tr>
202<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::KalmanFull::dimu" ref="a95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
203int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
204<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br/></td></tr>
205<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::KalmanFull::A" ref="ade7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
206mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br/></td></tr>
208<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::KalmanFull::B" ref="a0cdaa906550290b759a1584d02b3ca51" args="" -->
209mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
210<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br/></td></tr>
211<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::KalmanFull::C" ref="ac7ec82d2200c956cff6dff559bd32ff9" args="" -->
212mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
213<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br/></td></tr>
214<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::KalmanFull::D" ref="ad5769a41b34eb518716120cf04dbc23f" args="" -->
215mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
216<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br/></td></tr>
217<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::KalmanFull::Q" ref="a66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
218<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
219<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br/></td></tr>
220<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::KalmanFull::R" ref="a11dd3493d62ec9329860386adb3e6084" args="" -->
221<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
222<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br/></td></tr>
223<tr><td colspan="2"><h2>Extension to conditional BM</h2></td></tr>
224<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>
225<br/><br/></td></tr>
226<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::KalmanFull::_rvc" ref="ab5e8e016be16e4029c789063cb3f3b33" args="() const " -->
227const <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>
228<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br/></td></tr>
229<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::KalmanFull::condition" ref="a6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
230virtual 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>
231<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br/></td></tr>
232<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::KalmanFull::rvc" ref="ade95c590d650b2db423d53992f0906cb" args="" -->
233<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>
234<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br/></td></tr>
235<tr><td colspan="2"><h2>Logging of results</h2></td></tr>
236<tr><td colspan="2"><p><a class="anchor" id="amgrp5b751fa78120752d90ae4487df3bfa73"></a> </p>
237<br/><br/></td></tr>
238<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aadb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::KalmanFull::set_options" ref="aadb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
239virtual 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>
240<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br/></td></tr>
241<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::KalmanFull::log_add" ref="a2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
242virtual 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>
243<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>
244<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::KalmanFull::logit" ref="ab517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
[590]245virtual 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>
[591]246<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::KalmanFull::LIDs" ref="a109c1a626a69031658e3a44e9e500cca" args="" -->
247ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
248<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>
249<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::KalmanFull::LFlags" ref="a398b7e7a162cf37d0022d6126495f207" args="" -->
250ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
251<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]252</table>
[591]253<hr/><a name="_details"></a><h2>Detailed Description</h2>
254<p>Basic <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter with full matrices. </p>
255<hr/><h2>Member Function Documentation</h2>
256<a class="anchor" id="a40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::KalmanFull::_copy_" ref="a40f01563651c1e4fe926189e41a6b8ab" args="() const " -->
[590]257<div class="memitem">
258<div class="memproto">
259      <table class="memname">
260        <tr>
[591]261          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_ </td>
[590]262          <td>(</td>
[591]263          <td class="paramname"></td>
[590]264          <td>&nbsp;)&nbsp;</td>
265          <td> const<code> [inline, virtual, inherited]</code></td>
266        </tr>
267      </table>
268</div>
269<div class="memdoc">
[591]270<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>
271<div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#a40f01563651c1e4fe926189e41a6b8ab">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
[590]272</pre></div> 
[591]273<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#aca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>, and <a class="el" href="classbdm_1_1BMEF.html#a62d2e4691bed41a1efa6b9c2e35e5c67">bdm::BMEF</a>.</p>
[590]274
275</div>
[591]276</div>
277<a class="anchor" id="a50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanFull::logpred" ref="a50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
[590]278<div class="memitem">
279<div class="memproto">
280      <table class="memname">
281        <tr>
[591]282          <td class="memname">virtual double bdm::BM::logpred </td>
[590]283          <td>(</td>
284          <td class="paramtype">const vec &amp;&nbsp;</td>
[591]285          <td class="paramname"> <em>dt</em></td>
[590]286          <td>&nbsp;)&nbsp;</td>
287          <td> const<code> [inline, virtual, inherited]</code></td>
288        </tr>
289      </table>
290</div>
291<div class="memdoc">
[591]292<p>Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out. </p>
[590]293
[591]294<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>
[590]295
[591]296<p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p>
[590]297
[614]298<p>Referenced by <a class="el" href="bdmbase_8h_source.html#l01093">bdm::BM::logpred_m()</a>.</p>
[590]299
300</div>
[397]301</div>
[591]302<hr/>The documentation for this class was generated from the following files:<ul>
303<li><a class="el" href="kalman_8h_source.html">kalman.h</a></li>
304<li>kalman.cpp</li>
305</ul>
306</div>
[614]307<hr size="1"/><address style="text-align: right;"><small>Generated on Sun Sep 13 22:40:43 2009 for mixpp by&nbsp;
[259]308<a href="http://www.doxygen.org/index.html">
[591]309<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>
[259]310</body>
311</html>
Note: See TracBrowser for help on using the browser.