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3<title>mixpp: bdm::KalmanFull Class Reference</title>
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66  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1KalmanFull.html">KalmanFull</a>
67  </div>
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69<div class="contents">
70<h1>bdm::KalmanFull Class Reference</h1><!-- doxytag: class="bdm::KalmanFull" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" -->Basic <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter with full matrices. 
71<a href="#_details">More...</a>
72<p>
73<code>#include &lt;<a class="el" href="kalman_8h_source.html">kalman.h</a>&gt;</code>
74<p>
75
76<p>
77<a href="classbdm_1_1KalmanFull-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
78<tr><td></td></tr>
79<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
80<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bdcc98c8b18c1cbdebdf218ae838fd11"></a><!-- doxytag: member="bdm::KalmanFull::KalmanFull" ref="bdcc98c8b18c1cbdebdf218ae838fd11" args="()" -->
81&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanFull.html#bdcc98c8b18c1cbdebdf218ae838fd11">KalmanFull</a> ()</td></tr>
82
83<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>
84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="081924bc97f453f674bb982b7951d053"></a><!-- doxytag: member="bdm::KalmanFull::bayes" ref="081924bc97f453f674bb982b7951d053" args="(const vec &amp;dt)" -->
85void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanFull.html#081924bc97f453f674bb982b7951d053">bayes</a> (const vec &amp;dt)</td></tr>
86
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" nowrap align="right" valign="top"><a class="anchor" name="d9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::KalmanFull::set_statistics" ref="d9107617cd5482272ab046849cbfff49" args="(const vec &amp;mu0, const mat &amp;P0)" -->
89void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &amp;mu0, const mat &amp;P0)</td></tr>
90
91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::KalmanFull::set_statistics" ref="28cded9e5f44f654cd383503e4e9694c" args="(const vec &amp;mu0, const fsqmat &amp;P0)" -->
92void&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>
93
94<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::KalmanFull::posterior" ref="8b0c3db41eb292edb20b826832c9b5fa" args="() const" -->
95const <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#8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const</td></tr>
96
97<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br></td></tr>
98<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::KalmanFull::shared_posterior" ref="4da2fdd01e9b335b133def9814eb0620" args="()" -->
99<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>
100
101<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">shared posterior <br></td></tr>
102<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7fe88fc3471cab1911707bcdb6b4690a"></a><!-- doxytag: member="bdm::KalmanFull::from_setting" ref="7fe88fc3471cab1911707bcdb6b4690a" args="(const Setting &amp;set)" -->
103void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7fe88fc3471cab1911707bcdb6b4690a">from_setting</a> (const Setting &amp;set)</td></tr>
104
105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">load basic elements of Kalman from structure <br></td></tr>
106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::KalmanFull::validate" ref="34c508e3a9081be46e57634c2079bff4" args="()" -->
107void&nbsp;</td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr>
108
109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::KalmanFull::to_string" ref="af0e6941ba5919cae1bc530e2181b109" args="()" -->
110virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#af0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
111
112<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br></td></tr>
113<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::KalmanFull::to_setting" ref="67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
114virtual 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>
115
116<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br></td></tr>
117<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::KalmanFull::set_parameters" ref="7a053883a11a93a979c28c3e6792ce20" 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)" -->
118void&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>
119
120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::KalmanFull::_dimx" ref="b1972e00d9b9dd22a0f983c7cb0b8b40" args="()" -->
121int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#b1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr>
122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::KalmanFull::_dimy" ref="f3d83a4b39e05df9fb4246fd6ddc2a60" args="()" -->
125int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#f3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</a> ()</td></tr>
126
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="a238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::KalmanFull::_dimu" ref="a238842025a0eaade26d5d79a0e9000e" args="()" -->
129int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a238842025a0eaade26d5d79a0e9000e">_dimu</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="ae0dd610bf28f52c4c7acec87e39ed5e"></a><!-- doxytag: member="bdm::KalmanFull::_A" ref="ae0dd610bf28f52c4c7acec87e39ed5e" args="() const" -->
133const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ae0dd610bf28f52c4c7acec87e39ed5e">_A</a> () const</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="19cabf296793357c130778fe74df54a4"></a><!-- doxytag: member="bdm::KalmanFull::_B" ref="19cabf296793357c130778fe74df54a4" args="() const" -->
137const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#19cabf296793357c130778fe74df54a4">_B</a> () const</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="5731f429df4a70dc0d0d1e6ea8e35125"></a><!-- doxytag: member="bdm::KalmanFull::_C" ref="5731f429df4a70dc0d0d1e6ea8e35125" args="() const" -->
141const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#5731f429df4a70dc0d0d1e6ea8e35125">_C</a> () const</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="286286acb308f9ee596cab9af503b252"></a><!-- doxytag: member="bdm::KalmanFull::_D" ref="286286acb308f9ee596cab9af503b252" args="() const" -->
145const mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#286286acb308f9ee596cab9af503b252">_D</a> () const</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="38a71e31f22f5459d10c3cbee1e4d977"></a><!-- doxytag: member="bdm::KalmanFull::_Q" ref="38a71e31f22f5459d10c3cbee1e4d977" args="() const" -->
149const <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#38a71e31f22f5459d10c3cbee1e4d977">_Q</a> () const</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="69ddac45b7a4efbf83b2232d0d5595ba"></a><!-- doxytag: member="bdm::KalmanFull::_R" ref="69ddac45b7a4efbf83b2232d0d5595ba" args="() const" -->
153const <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#69ddac45b7a4efbf83b2232d0d5595ba">_R</a> () const</td></tr>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
156<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
157<tr><td class="memItemLeft" nowrap 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#40f01563651c1e4fe926189e41a6b8ab">_copy_</a> () const </td></tr>
158
159<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::KalmanFull::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
161virtual 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>
162
163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
164<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>
165
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::KalmanFull::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
167vec&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>
168
169<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::KalmanFull::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " -->
171virtual <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>
172
173<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}) $" src="form_20.png">. <br></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::KalmanFull::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " -->
175virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr>
176
177<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_21.png">. <br></td></tr>
178<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::KalmanFull::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
180const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
181
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::KalmanFull::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
183void&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>
184
185<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::KalmanFull::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
186void&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>
187
188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::KalmanFull::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
189double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
190
191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::KalmanFull::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
192void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
193
194<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::KalmanFull::yrv" ref="aac28e226fe6cbff5a9ae38d8d025d7a" args="" -->
196<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>
197
198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of output <br></td></tr>
199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::KalmanFull::urv" ref="44d4a8ab05d5311286e1da78b831633e" args="" -->
200<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>
201
202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">id of input <br></td></tr>
203<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::KalmanFull::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" -->
204mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr>
205
206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Kalman gain. <br></td></tr>
207<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::KalmanFull::est" ref="c83599f2541eb01de329f7b0bb35bf43" args="" -->
208<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#c83599f2541eb01de329f7b0bb35bf43">est</a></td></tr>
209
210<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior <br></td></tr>
211<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::KalmanFull::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" -->
212<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#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr>
213
214<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">marginal on data f(y|y) <br></td></tr>
215<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::KalmanFull::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
216<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>
217
218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
219<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::KalmanFull::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
220double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
221
222<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
223<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::KalmanFull::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
224bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
225
226<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>
227<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::KalmanFull::dimx" ref="c3120f1c9cd7c3a0ba9944e4a2381f21" args="" -->
228int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr>
229
230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr>
231<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::KalmanFull::dimy" ref="3b784d85ca911866225a79193ae1441f" args="" -->
232int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f">dimy</a></td></tr>
233
234<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr>
235<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::KalmanFull::dimu" ref="95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" -->
236int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr>
237
238<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr>
239<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::KalmanFull::A" ref="de7d828a8d06cbbd5ac45afeaf9f0c7b" args="" -->
240mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr>
241
242<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr>
243<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::KalmanFull::B" ref="0cdaa906550290b759a1584d02b3ca51" args="" -->
244mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51">B</a></td></tr>
245
246<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr>
247<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::KalmanFull::C" ref="c7ec82d2200c956cff6dff559bd32ff9" args="" -->
248mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr>
249
250<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr>
251<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::KalmanFull::D" ref="d5769a41b34eb518716120cf04dbc23f" args="" -->
252mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f">D</a></td></tr>
253
254<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr>
255<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::KalmanFull::Q" ref="66248c83836424f1cd7c1b5b9a92cf1f" args="" -->
256<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#66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr>
257
258<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr>
259<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::KalmanFull::R" ref="11dd3493d62ec9329860386adb3e6084" args="" -->
260<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#11dd3493d62ec9329860386adb3e6084">R</a></td></tr>
261
262<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr>
263<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
264<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>
265<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::KalmanFull::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
266const <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>
267
268<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
269<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::KalmanFull::condition" ref="6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
270virtual 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>
271
272<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
273<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::KalmanFull::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
274<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>
275
276<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
277<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
278<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::KalmanFull::set_options" ref="adb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
279virtual 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>
280
281<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string, recognized are: "logbounds,logll". <br></td></tr>
282<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::KalmanFull::log_add" ref="2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
283virtual 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>
284
285<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>
286<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::KalmanFull::logit" ref="b517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
287virtual 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>
288
289<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::KalmanFull::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
290ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
291
292<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>
293<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::KalmanFull::LFlags" ref="398b7e7a162cf37d0022d6126495f207" args="" -->
294ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
295
296<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>
297</table>
298<hr><a name="_details"></a><h2>Detailed Description</h2>
299Basic <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> filter with full matrices. <hr><h2>Member Function Documentation</h2>
300<a class="anchor" name="40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::KalmanFull::_copy_" ref="40f01563651c1e4fe926189e41a6b8ab" args="() const " -->
301<div class="memitem">
302<div class="memproto">
303      <table class="memname">
304        <tr>
305          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td>
306          <td>(</td>
307          <td class="paramname">          </td>
308          <td>&nbsp;)&nbsp;</td>
309          <td> const<code> [inline, virtual, inherited]</code></td>
310        </tr>
311      </table>
312</div>
313<div class="memdoc">
314
315<p>
316Copy 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: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#40f01563651c1e4fe926189e41a6b8ab">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
317</pre></div> 
318<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1ARXfrg.html#420f3f195d231723f2f2329ec900de60">bdm::ARXfrg</a>, <a class="el" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>, and <a class="el" href="classbdm_1_1BMEF.html#62d2e4691bed41a1efa6b9c2e35e5c67">bdm::BMEF</a>.</p>
319
320</div>
321</div><p>
322<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::KalmanFull::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " -->
323<div class="memitem">
324<div class="memproto">
325      <table class="memname">
326        <tr>
327          <td class="memname">virtual double bdm::BM::logpred           </td>
328          <td>(</td>
329          <td class="paramtype">const vec &amp;&nbsp;</td>
330          <td class="paramname"> <em>dt</em>          </td>
331          <td>&nbsp;)&nbsp;</td>
332          <td> const<code> [inline, virtual, inherited]</code></td>
333        </tr>
334      </table>
335</div>
336<div class="memdoc">
337
338<p>
339Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
340<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>
341
342<p>References <a class="el" href="bdmerror_8h_source.html#l00051">bdm_error</a>.</p>
343
344<p>Referenced by <a class="el" href="bdmbase_8h_source.html#l01098">bdm::BM::logpred_m()</a>.</p>
345
346</div>
347</div><p>
348<hr>The documentation for this class was generated from the following files:<ul>
349<li><a class="el" href="kalman_8h_source.html">kalman.h</a><li>kalman.cpp</ul>
350</div>
351<hr size="1"><address style="text-align: right;"><small>Generated on Wed Oct 7 17:34:47 2009 for mixpp by&nbsp;
352<a href="http://www.doxygen.org/index.html">
353<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.9 </small></address>
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