bdm::StateCanonical Class Reference

conversion of outer ARX model (mlnorm) to state space model More...


Detailed Description

conversion of outer ARX model (mlnorm) to state space model

The model is constructed as:

\[ x_{t+1} = Ax_t + B u_t + R^{1/2} e_t, y_t=Cx_t+Du_t + R^{1/2}w_t, \]

For example, for: Using Frobenius form, see [].

For easier use in the future, indeces theta_in_A and theta_in_C are set. TODO - explain

#include <kalman.h>

List of all members.

Public Member Functions

void connect_mlnorm (const mlnorm< fsqmat > &ml)
 set up this object to match given mlnorm
void update_from (const mlnorm< fsqmat > &ml)
 fast function to update parameters from ml - not checked for compatibility!!
void set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const fsqmat &Q0, const fsqmat &R0)
void validate ()
void from_setting (const Setting &set)
 not virtual in this case
int _dimx ()
 access function
int _dimy ()
 access function
int _dimu ()
 access function
const mat & _A () const
 access function
const mat & _B () const
 access function
const mat & _C () const
 access function
const mat & _D () const
 access function
const fsqmat_Q () const
 access function
const fsqmat_R () const
 access function

Protected Attributes

datalink_part th2A
 remember connection from theta ->A
datalink_part th2C
 remember connection from theta ->C
datalink_part th2D
 remember connection from theta ->D
vec A1row
 cached first row of A
vec C1row
 cached first row of C
vec D1row
 cached first row of D
int dimx
 cache of rv.count()
int dimy
 cache of rvy.count()
int dimu
 cache of rvu.count()
mat A
 Matrix A.
mat B
 Matrix B.
mat C
 Matrix C.
mat D
 Matrix D.
fsqmat Q
 Matrix Q in square-root form.
fsqmat R
 Matrix R in square-root form.

The documentation for this class was generated from the following file:

Generated on Sun Sep 13 23:08:56 2009 for mixpp by  doxygen 1.6.1