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| 67 | <h1>kalman.h</h1><a href="kalman_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 |
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| 68 | <a name="l00013"></a>00013 <span class="preprocessor">#ifndef KF_H</span> |
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| 69 | <a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define KF_H</span> |
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| 70 | <a name="l00015"></a>00015 <span class="preprocessor"></span> |
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| 71 | <a name="l00016"></a>00016 |
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| 72 | <a name="l00017"></a>00017 <span class="preprocessor">#include "../math/functions.h"</span> |
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| 73 | <a name="l00018"></a>00018 <span class="preprocessor">#include "../stat/exp_family.h"</span> |
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| 74 | <a name="l00019"></a>00019 <span class="preprocessor">#include "../math/chmat.h"</span> |
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| 75 | <a name="l00020"></a>00020 <span class="preprocessor">#include "../base/user_info.h"</span> |
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| 76 | <a name="l00021"></a>00021 |
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| 77 | <a name="l00022"></a>00022 <span class="keyword">namespace </span>bdm |
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| 78 | <a name="l00023"></a>00023 { |
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| 79 | <a name="l00024"></a>00024 |
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| 80 | <a name="l00032"></a>00032 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
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| 81 | <a name="l00033"></a><a class="code" href="classbdm_1_1StateSpace.html">00033</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a> |
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| 82 | <a name="l00034"></a>00034 { |
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| 83 | <a name="l00035"></a>00035 <span class="keyword">protected</span>: |
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| 84 | <a name="l00037"></a><a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21">00037</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>; |
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| 85 | <a name="l00039"></a><a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f">00039</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>; |
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| 86 | <a name="l00041"></a><a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf">00041</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>; |
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| 87 | <a name="l00043"></a><a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b">00043</a> mat <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>; |
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| 88 | <a name="l00045"></a><a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51">00045</a> mat <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>; |
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| 89 | <a name="l00047"></a><a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9">00047</a> mat <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>; |
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| 90 | <a name="l00049"></a><a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f">00049</a> mat <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>; |
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| 91 | <a name="l00051"></a><a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f">00051</a> sq_T <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>; |
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| 92 | <a name="l00053"></a><a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084">00053</a> sq_T <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>; |
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| 93 | <a name="l00054"></a>00054 <span class="keyword">public</span>: |
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| 94 | <a name="l00055"></a>00055 <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a>() : <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(), <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(), <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>(), <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>(), <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>(), <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>() {} |
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| 95 | <a name="l00056"></a>00056 <span class="keywordtype">void</span> set_parameters (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> mat &B0, <span class="keyword">const</span> mat &C0, <span class="keyword">const</span> mat &D0, <span class="keyword">const</span> sq_T &Q0, <span class="keyword">const</span> sq_T &R0); |
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| 96 | <a name="l00057"></a>00057 <span class="keywordtype">void</span> validate(); |
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| 97 | <a name="l00059"></a><a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd">00059</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd" title="not virtual in this case">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
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| 98 | <a name="l00060"></a>00060 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">"A"</span>, UI::compulsory); |
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| 99 | <a name="l00061"></a>00061 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <span class="keyword">set</span>, <span class="stringliteral">"B"</span>, UI::compulsory); |
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| 100 | <a name="l00062"></a>00062 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <span class="keyword">set</span>, <span class="stringliteral">"C"</span>, UI::compulsory); |
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| 101 | <a name="l00063"></a>00063 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <span class="keyword">set</span>, <span class="stringliteral">"D"</span>, UI::compulsory); |
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| 102 | <a name="l00064"></a>00064 mat Qtm, Rtm; |
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| 103 | <a name="l00065"></a>00065 <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Qtm, <span class="keyword">set</span>, <span class="stringliteral">"Q"</span>, UI::optional)){ |
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| 104 | <a name="l00066"></a>00066 vec dq; |
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| 105 | <a name="l00067"></a>00067 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dq, <span class="keyword">set</span>, <span class="stringliteral">"dQ"</span>, UI::compulsory); |
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| 106 | <a name="l00068"></a>00068 Qtm=diag(dq); |
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| 107 | <a name="l00069"></a>00069 } |
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| 108 | <a name="l00070"></a>00070 <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Rtm, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::optional)){ |
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| 109 | <a name="l00071"></a>00071 vec dr; |
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| 110 | <a name="l00072"></a>00072 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dr, <span class="keyword">set</span>, <span class="stringliteral">"dQ"</span>, UI::compulsory); |
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| 111 | <a name="l00073"></a>00073 Rtm=diag(dr); |
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| 112 | <a name="l00074"></a>00074 } |
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| 113 | <a name="l00075"></a>00075 <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>=Rtm; <span class="comment">// automatic conversion</span> |
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| 114 | <a name="l00076"></a>00076 <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>=Qtm; |
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| 115 | <a name="l00077"></a>00077 |
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| 116 | <a name="l00078"></a>00078 validate(); |
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| 117 | <a name="l00079"></a>00079 } |
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| 118 | <a name="l00081"></a><a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">00081</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40" title="access function">_dimx</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>;} |
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| 119 | <a name="l00083"></a><a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">00083</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60" title="access function">_dimy</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>;} |
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| 120 | <a name="l00085"></a><a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">00085</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e" title="access function">_dimu</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>;} |
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| 121 | <a name="l00087"></a><a class="code" href="classbdm_1_1StateSpace.html#aa70f6c8ab37f955f408361150e13c47b">00087</a> mat <a class="code" href="classbdm_1_1StateSpace.html#aa70f6c8ab37f955f408361150e13c47b" title="access function">_A</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>;} |
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| 122 | <a name="l00089"></a><a class="code" href="classbdm_1_1StateSpace.html#a4272982f976ea9d0ea7c9b7182ed7e3c">00089</a> mat <a class="code" href="classbdm_1_1StateSpace.html#a4272982f976ea9d0ea7c9b7182ed7e3c" title="access function">_B</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>;} |
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| 123 | <a name="l00091"></a><a class="code" href="classbdm_1_1StateSpace.html#aec4c0923e2b5d0c3e5dfe119ffee511e">00091</a> mat <a class="code" href="classbdm_1_1StateSpace.html#aec4c0923e2b5d0c3e5dfe119ffee511e" title="access function">_C</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>;} |
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| 124 | <a name="l00093"></a><a class="code" href="classbdm_1_1StateSpace.html#ae0757fcc5e0ebaf0bd95f522bf405f06">00093</a> mat <a class="code" href="classbdm_1_1StateSpace.html#ae0757fcc5e0ebaf0bd95f522bf405f06" title="access function">_D</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>;} |
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| 125 | <a name="l00095"></a><a class="code" href="classbdm_1_1StateSpace.html#a4c908775f27db8d869b93078862a4934">00095</a> sq_T <a class="code" href="classbdm_1_1StateSpace.html#a4c908775f27db8d869b93078862a4934" title="access function">_Q</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>;} |
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| 126 | <a name="l00097"></a><a class="code" href="classbdm_1_1StateSpace.html#a8c94418779eb70f6199fa3467c45f316">00097</a> sq_T <a class="code" href="classbdm_1_1StateSpace.html#a8c94418779eb70f6199fa3467c45f316" title="access function">_R</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>;} |
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| 127 | <a name="l00098"></a>00098 }; |
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| 128 | <a name="l00099"></a>00099 |
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| 129 | <a name="l00101"></a>00101 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
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| 130 | <a name="l00102"></a><a class="code" href="classbdm_1_1Kalman.html">00102</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>, <span class="keyword">public</span> <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a><sq_T> |
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| 131 | <a name="l00103"></a>00103 { |
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| 132 | <a name="l00104"></a>00104 <span class="keyword">protected</span>: |
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| 133 | <a name="l00106"></a><a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a">00106</a> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>; |
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| 134 | <a name="l00108"></a><a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e">00108</a> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>; |
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| 135 | <a name="l00110"></a><a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">00110</a> mat <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>; |
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| 136 | <a name="l00112"></a><a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">00112</a> <a class="code" href="classbdm_1_1shared__ptr.html" title="A naive implementation of roughly a subset of the std::tr1::shared_ptr spec.">shared_ptr<enorm<sq_T></a> > <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>; |
|---|
| 137 | <a name="l00114"></a><a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">00114</a> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a> <a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y|y)">fy</a>; |
|---|
| 138 | <a name="l00115"></a>00115 <span class="keyword">public</span>: |
|---|
| 139 | <a name="l00116"></a>00116 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>() : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>(), <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a><sq_T>(), <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(),<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(), <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(new <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a><sq_T>){} |
|---|
| 140 | <a name="l00117"></a>00117 <span class="keywordtype">void</span> set_statistics (<span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> mat &P0) {<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->set_parameters (mu0, P0); }; |
|---|
| 141 | <a name="l00118"></a>00118 <span class="keywordtype">void</span> set_statistics (<span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> sq_T &P0) {<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->set_parameters (mu0, P0); }; |
|---|
| 142 | <a name="l00120"></a><a class="code" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">00120</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a>& <a class="code" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa" title="posterior">posterior</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> *<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>.<a class="code" href="classbdm_1_1shared__ptr.html#a37ebcfb6750dd7b5630f1d2354c07a96">get</a>();} |
|---|
| 143 | <a name="l00122"></a><a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620">00122</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<epdf></a> <a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620" title="shared posterior">shared_posterior</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>;} |
|---|
| 144 | <a name="l00124"></a><a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a">00124</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) { |
|---|
| 145 | <a name="l00125"></a>00125 <a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">StateSpace<sq_T>::from_setting</a>(<span class="keyword">set</span>); |
|---|
| 146 | <a name="l00126"></a>00126 |
|---|
| 147 | <a name="l00127"></a>00127 mat P0; vec mu0; |
|---|
| 148 | <a name="l00128"></a>00128 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(mu0, <span class="keyword">set</span>, <span class="stringliteral">"mu0"</span>, UI::optional); |
|---|
| 149 | <a name="l00129"></a>00129 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(P0, <span class="keyword">set</span>, <span class="stringliteral">"P0"</span>, UI::optional); |
|---|
| 150 | <a name="l00130"></a>00130 set_statistics(mu0,P0); |
|---|
| 151 | <a name="l00131"></a>00131 <span class="comment">// Initial values</span> |
|---|
| 152 | <a name="l00132"></a>00132 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>, <span class="keyword">set</span>, <span class="stringliteral">"yrv"</span>, UI::optional); |
|---|
| 153 | <a name="l00133"></a>00133 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>, <span class="keyword">set</span>, <span class="stringliteral">"urv"</span>, UI::optional); |
|---|
| 154 | <a name="l00134"></a>00134 set_drv(concat(<a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>,<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>)); |
|---|
| 155 | <a name="l00135"></a>00135 |
|---|
| 156 | <a name="l00136"></a>00136 validate(); |
|---|
| 157 | <a name="l00137"></a>00137 } |
|---|
| 158 | <a name="l00138"></a>00138 <span class="keywordtype">void</span> validate() { |
|---|
| 159 | <a name="l00139"></a>00139 <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace<sq_T>::validate</a>(); |
|---|
| 160 | <a name="l00140"></a>00140 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->dimension(), <span class="stringliteral">"Statistics and model parameters mismatch"</span>); |
|---|
| 161 | <a name="l00141"></a>00141 } |
|---|
| 162 | <a name="l00142"></a>00142 }; |
|---|
| 163 | <a name="l00147"></a><a class="code" href="classbdm_1_1KalmanFull.html">00147</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a><fsqmat> |
|---|
| 164 | <a name="l00148"></a>00148 { |
|---|
| 165 | <a name="l00149"></a>00149 <span class="keyword">public</span>: |
|---|
| 166 | <a name="l00151"></a><a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11">00151</a> <a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11" title="For EKFfull;.">KalmanFull</a>() :<a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a><<a class="code" href="classbdm_1_1fsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a>>(){}; |
|---|
| 167 | <a name="l00153"></a>00153 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanFull.html#a081924bc97f453f674bb982b7951d053" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &dt); |
|---|
| 168 | <a name="l00154"></a>00154 }; |
|---|
| 169 | <a name="l00155"></a>00155 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanFull); |
|---|
| 170 | <a name="l00156"></a>00156 |
|---|
| 171 | <a name="l00157"></a>00157 |
|---|
| 172 | <a name="l00165"></a><a class="code" href="classbdm_1_1KalmanCh.html">00165</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a><chmat> |
|---|
| 173 | <a name="l00166"></a>00166 { |
|---|
| 174 | <a name="l00167"></a>00167 <span class="keyword">protected</span>: |
|---|
| 175 | <a name="l00170"></a>00170 mat preA; |
|---|
| 176 | <a name="l00172"></a><a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f">00172</a> mat <a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f" title="post array (triangular matrix)">postA</a>; |
|---|
| 177 | <a name="l00174"></a>00174 <span class="keyword">public</span>: |
|---|
| 178 | <a name="l00176"></a><a class="code" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996">00176</a> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996" title="copy constructor">_copy_</a>()<span class="keyword"> const </span>{ |
|---|
| 179 | <a name="l00177"></a>00177 <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a>* K = <span class="keyword">new</span> <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a>; |
|---|
| 180 | <a name="l00178"></a>00178 K-><a class="code" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="set parameters for adapt from Kalman">set_parameters</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); |
|---|
| 181 | <a name="l00179"></a>00179 K->set_statistics (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->_R()); |
|---|
| 182 | <a name="l00180"></a>00180 <span class="keywordflow">return</span> K; |
|---|
| 183 | <a name="l00181"></a>00181 } |
|---|
| 184 | <a name="l00183"></a>00183 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="set parameters for adapt from Kalman">set_parameters</a> (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> mat &B0, <span class="keyword">const</span> mat &C0, <span class="keyword">const</span> mat &D0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &Q0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &R0); |
|---|
| 185 | <a name="l00185"></a>00185 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); |
|---|
| 186 | <a name="l00186"></a>00186 |
|---|
| 187 | <a name="l00200"></a>00200 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ab41fe5540548100b08e1684c3be767b6" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &dt); |
|---|
| 188 | <a name="l00201"></a>00201 |
|---|
| 189 | <a name="l00202"></a><a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d">00202</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">from_setting</a>(<span class="keyword">const</span> Setting &<span class="keyword">set</span>){ |
|---|
| 190 | <a name="l00203"></a>00203 <a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">Kalman<chmat>::from_setting</a>(<span class="keyword">set</span>); |
|---|
| 191 | <a name="l00204"></a>00204 <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); |
|---|
| 192 | <a name="l00205"></a>00205 } |
|---|
| 193 | <a name="l00206"></a>00206 }; |
|---|
| 194 | <a name="l00207"></a>00207 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanCh); |
|---|
| 195 | <a name="l00208"></a>00208 |
|---|
| 196 | <a name="l00214"></a><a class="code" href="classbdm_1_1EKFfull.html">00214</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKFfull.html" title="Extended Kalman Filter in full matrices.">EKFfull</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a> |
|---|
| 197 | <a name="l00215"></a>00215 { |
|---|
| 198 | <a name="l00216"></a>00216 <span class="keyword">protected</span>: |
|---|
| 199 | <a name="l00218"></a><a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">00218</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> <a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>; |
|---|
| 200 | <a name="l00219"></a>00219 |
|---|
| 201 | <a name="l00221"></a><a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">00221</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> <a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>; |
|---|
| 202 | <a name="l00222"></a>00222 |
|---|
| 203 | <a name="l00223"></a>00223 <span class="keyword">public</span>: |
|---|
| 204 | <a name="l00225"></a>00225 <a class="code" href="classbdm_1_1EKFfull.html#a6939c345389abb8b2481457b4cfe1165" title="Default constructor.">EKFfull</a> (); |
|---|
| 205 | <a name="l00226"></a>00226 |
|---|
| 206 | <a name="l00228"></a>00228 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> &<a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> &<a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> mat Q0, <span class="keyword">const</span> mat R0); |
|---|
| 207 | <a name="l00229"></a>00229 |
|---|
| 208 | <a name="l00231"></a>00231 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#af149ae8e9ce14d9931a7bb2850736699" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &dt); |
|---|
| 209 | <a name="l00233"></a><a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841">00233</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> (<span class="keyword">const</span> vec &mu0, <span class="keyword">const</span> mat &P0) { |
|---|
| 210 | <a name="l00234"></a>00234 <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->set_parameters (mu0, P0); |
|---|
| 211 | <a name="l00235"></a>00235 }; |
|---|
| 212 | <a name="l00236"></a><a class="code" href="classbdm_1_1EKFfull.html#ad4f57cb8af64b06c530f528c32596d4d">00236</a> <span class="keyword">const</span> mat <a class="code" href="classbdm_1_1EKFfull.html#ad4f57cb8af64b06c530f528c32596d4d" title="access function">_R</a>() { |
|---|
| 213 | <a name="l00237"></a>00237 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->_R().to_mat(); |
|---|
| 214 | <a name="l00238"></a>00238 } |
|---|
| 215 | <a name="l00239"></a>00239 }; |
|---|
| 216 | <a name="l00240"></a>00240 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(EKFfull); |
|---|
| 217 | <a name="l00241"></a>00241 |
|---|
| 218 | <a name="l00242"></a>00242 |
|---|
| 219 | <a name="l00249"></a><a class="code" href="classbdm_1_1EKFCh.html">00249</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a> |
|---|
| 220 | <a name="l00250"></a>00250 { |
|---|
| 221 | <a name="l00251"></a>00251 <span class="keyword">protected</span>: |
|---|
| 222 | <a name="l00253"></a><a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a">00253</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> <a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>; |
|---|
| 223 | <a name="l00254"></a>00254 |
|---|
| 224 | <a name="l00256"></a><a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1">00256</a> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> <a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>; |
|---|
| 225 | <a name="l00257"></a>00257 <span class="keyword">public</span>: |
|---|
| 226 | <a name="l00259"></a><a class="code" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4">00259</a> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4" title="copy constructor duplicated - calls different set_parameters">_copy_</a>()<span class="keyword"> const </span>{ |
|---|
| 227 | <a name="l00260"></a>00260 <a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a>* E = <span class="keyword">new</span> <a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a>; |
|---|
| 228 | <a name="l00261"></a>00261 E-><a class="code" href="classbdm_1_1EKFCh.html#acd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); |
|---|
| 229 | <a name="l00262"></a>00262 E->set_statistics (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->_R()); |
|---|
| 230 | <a name="l00263"></a>00263 <span class="keywordflow">return</span> E; |
|---|
| 231 | <a name="l00264"></a>00264 } |
|---|
| 232 | <a name="l00266"></a>00266 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#acd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> &<a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> &<a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> Q0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> R0); |
|---|
| 233 | <a name="l00267"></a>00267 |
|---|
| 234 | <a name="l00269"></a>00269 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#a4c8609c37290b158f88a31dae4047225" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &dt); |
|---|
| 235 | <a name="l00270"></a>00270 |
|---|
| 236 | <a name="l00271"></a>00271 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#a3952e181ef0cf230c325ad3be1f002df" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
|---|
| 237 | <a name="l00272"></a>00272 |
|---|
| 238 | <a name="l00273"></a>00273 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
|---|
| 239 | <a name="l00274"></a>00274 |
|---|
| 240 | <a name="l00275"></a>00275 }; |
|---|
| 241 | <a name="l00276"></a>00276 |
|---|
| 242 | <a name="l00277"></a>00277 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (EKFCh); |
|---|
| 243 | <a name="l00278"></a>00278 SHAREDPTR (EKFCh); |
|---|
| 244 | <a name="l00279"></a>00279 |
|---|
| 245 | <a name="l00280"></a>00280 |
|---|
| 246 | <a name="l00282"></a>00282 |
|---|
| 247 | <a name="l00290"></a><a class="code" href="classbdm_1_1MultiModel.html">00290</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1MultiModel.html" title="(Switching) Multiple Model The model runs several models in parallel and evaluates...">MultiModel</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> |
|---|
| 248 | <a name="l00291"></a>00291 { |
|---|
| 249 | <a name="l00292"></a>00292 <span class="keyword">protected</span>: |
|---|
| 250 | <a name="l00294"></a><a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93">00294</a> Array<EKFCh*> <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>; |
|---|
| 251 | <a name="l00296"></a><a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a">00296</a> vec <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>; |
|---|
| 252 | <a name="l00298"></a><a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634">00298</a> vec <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>; |
|---|
| 253 | <a name="l00300"></a><a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c">00300</a> <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>; |
|---|
| 254 | <a name="l00302"></a><a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b">00302</a> <a class="code" href="classbdm_1_1enorm.html">enorm<chmat></a> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; |
|---|
| 255 | <a name="l00303"></a>00303 <span class="keyword">public</span>: |
|---|
| 256 | <a name="l00304"></a>00304 <span class="keywordtype">void</span> set_parameters (Array<EKFCh*> A, <span class="keywordtype">int</span> pol0 = 1) { |
|---|
| 257 | <a name="l00305"></a>00305 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> = A;<span class="comment">//TODO: test if evalll is set</span> |
|---|
| 258 | <a name="l00306"></a>00306 <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>.set_length (A.length()); |
|---|
| 259 | <a name="l00307"></a>00307 <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>.set_length (A.length()); |
|---|
| 260 | <a name="l00308"></a>00308 <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> = pol0; |
|---|
| 261 | <a name="l00309"></a>00309 |
|---|
| 262 | <a name="l00310"></a>00310 <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1epdf.html#af423e28448dbb69ef4905295ec8de8ff" title="Name its rv.">set_rv</a> (<a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> (<span class="stringliteral">"MM"</span>, A (0)-><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().dimension(), 0)); |
|---|
| 263 | <a name="l00311"></a>00311 <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.set_parameters (A (0)-><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().mean(), A (0)-><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()._R()); |
|---|
| 264 | <a name="l00312"></a>00312 } |
|---|
| 265 | <a name="l00313"></a><a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e">00313</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e" title="Incremental Bayes rule.">bayes</a> (<span class="keyword">const</span> vec &dt) { |
|---|
| 266 | <a name="l00314"></a>00314 <span class="keywordtype">int</span> n = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>.length(); |
|---|
| 267 | <a name="l00315"></a>00315 <span class="keywordtype">int</span> i; |
|---|
| 268 | <a name="l00316"></a>00316 <span class="keywordflow">for</span> (i = 0; i < n; i++) { |
|---|
| 269 | <a name="l00317"></a>00317 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)->bayes (dt); |
|---|
| 270 | <a name="l00318"></a>00318 <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> (i) = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)->_ll(); |
|---|
| 271 | <a name="l00319"></a>00319 } |
|---|
| 272 | <a name="l00320"></a>00320 <span class="keywordtype">double</span> mlls = max (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>); |
|---|
| 273 | <a name="l00321"></a>00321 <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> = exp (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> - mlls); |
|---|
| 274 | <a name="l00322"></a>00322 <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> /= sum (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>); <span class="comment">//normalization</span> |
|---|
| 275 | <a name="l00323"></a>00323 <span class="comment">//set statistics</span> |
|---|
| 276 | <a name="l00324"></a>00324 <span class="keywordflow">switch</span> (<a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>) { |
|---|
| 277 | <a name="l00325"></a>00325 <span class="keywordflow">case</span> 1: { |
|---|
| 278 | <a name="l00326"></a>00326 <span class="keywordtype">int</span> mi = max_index (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>); |
|---|
| 279 | <a name="l00327"></a>00327 <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm<chmat></a> &st = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (mi)->posterior() ; |
|---|
| 280 | <a name="l00328"></a>00328 <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.set_parameters (st.<a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), st._R()); |
|---|
| 281 | <a name="l00329"></a>00329 } |
|---|
| 282 | <a name="l00330"></a>00330 <span class="keywordflow">break</span>; |
|---|
| 283 | <a name="l00331"></a>00331 <span class="keywordflow">default</span>: |
|---|
| 284 | <a name="l00332"></a>00332 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"unknown policy"</span>); |
|---|
| 285 | <a name="l00333"></a>00333 } |
|---|
| 286 | <a name="l00334"></a>00334 <span class="comment">// copy result to all models</span> |
|---|
| 287 | <a name="l00335"></a>00335 <span class="keywordflow">for</span> (i = 0; i < n; i++) { |
|---|
| 288 | <a name="l00336"></a>00336 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)->set_statistics (<a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>._R()); |
|---|
| 289 | <a name="l00337"></a>00337 } |
|---|
| 290 | <a name="l00338"></a>00338 } |
|---|
| 291 | <a name="l00340"></a><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee">00340</a> <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm<chmat></a>& <a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()<span class="keyword"> const </span>{ |
|---|
| 292 | <a name="l00341"></a>00341 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; |
|---|
| 293 | <a name="l00342"></a>00342 } |
|---|
| 294 | <a name="l00343"></a>00343 |
|---|
| 295 | <a name="l00344"></a>00344 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#a7bd320fa2540883749b3f83cf2261878" title="This method arrange instance properties according the data stored in the Setting...">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>); |
|---|
| 296 | <a name="l00345"></a>00345 |
|---|
| 297 | <a name="l00346"></a>00346 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span> |
|---|
| 298 | <a name="l00347"></a>00347 |
|---|
| 299 | <a name="l00348"></a>00348 }; |
|---|
| 300 | <a name="l00349"></a>00349 |
|---|
| 301 | <a name="l00350"></a>00350 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (MultiModel); |
|---|
| 302 | <a name="l00351"></a>00351 SHAREDPTR (MultiModel); |
|---|
| 303 | <a name="l00352"></a>00352 |
|---|
| 304 | <a name="l00354"></a>00354 |
|---|
| 305 | <a name="l00361"></a>00361 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
|---|
| 306 | <a name="l00362"></a>00362 shared_ptr<StateSpace<fsqmat> > to_state_space(<span class="keyword">const</span> mlnorm<sq_T > &ml, ivec &theta_in_A, ivec &theta_in_C){ |
|---|
| 307 | <a name="l00363"></a>00363 <span class="comment">//get ids of yrv</span> |
|---|
| 308 | <a name="l00364"></a>00364 |
|---|
| 309 | <a name="l00365"></a>00365 ivec yids= unique(ml._rv()._ids()); <span class="comment">//yrv is now stored in _yrv</span> |
|---|
| 310 | <a name="l00366"></a>00366 ivec dids= unique(ml._rvc()._ids()); <span class="comment">//yrv is now stored in _yrv</span> |
|---|
| 311 | <a name="l00367"></a>00367 ivec uids=unique_complement(dids, yids); |
|---|
| 312 | <a name="l00368"></a>00368 |
|---|
| 313 | <a name="l00369"></a>00369 RV yrv_uni = RV(yids,zeros_i(yids.length())); |
|---|
| 314 | <a name="l00370"></a>00370 RV urv_uni = RV(uids,zeros_i(yids.length())); |
|---|
| 315 | <a name="l00371"></a>00371 <span class="comment">//We can do only 1d now... :(</span> |
|---|
| 316 | <a name="l00372"></a>00372 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(yrv_uni._dsize()==urv_uni._dsize()==1, <span class="stringliteral">"Only for SISO so far..."</span> ); |
|---|
| 317 | <a name="l00373"></a>00373 |
|---|
| 318 | <a name="l00374"></a>00374 RV xrv; <span class="comment">//empty</span> |
|---|
| 319 | <a name="l00375"></a>00375 RV Crv; <span class="comment">//empty</span> |
|---|
| 320 | <a name="l00376"></a>00376 <span class="keywordtype">int</span> td=ml._rvc().mintd(); |
|---|
| 321 | <a name="l00377"></a>00377 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> t=-1;t>=td;t--){ |
|---|
| 322 | <a name="l00378"></a>00378 xrv.add(yrv_uni); |
|---|
| 323 | <a name="l00379"></a>00379 Crv.add(urv_uni); |
|---|
| 324 | <a name="l00380"></a>00380 } |
|---|
| 325 | <a name="l00381"></a>00381 |
|---|
| 326 | <a name="l00382"></a>00382 <span class="keywordtype">int</span> dimx = xrv._dsize(); |
|---|
| 327 | <a name="l00383"></a>00383 |
|---|
| 328 | <a name="l00384"></a>00384 theta_in_A = ml._rv().dataind(xrv); |
|---|
| 329 | <a name="l00385"></a>00385 theta_in_C = ml._rvc().dataind(xrv); |
|---|
| 330 | <a name="l00386"></a>00386 <span class="comment">// some chcek of corretness</span> |
|---|
| 331 | <a name="l00387"></a>00387 |
|---|
| 332 | <a name="l00388"></a>00388 vec A1row = zeros(xrv._dsize()); |
|---|
| 333 | <a name="l00389"></a>00389 vec C1row = zeros(xrv._dsize()); |
|---|
| 334 | <a name="l00390"></a>00390 vec theta = ml._A().get_row(0); <span class="comment">// this </span> |
|---|
| 335 | <a name="l00391"></a>00391 set_subvector( A1row, theta_in_A, theta); |
|---|
| 336 | <a name="l00392"></a>00392 set_subvector( C1row, theta_in_C, theta); |
|---|
| 337 | <a name="l00393"></a>00393 |
|---|
| 338 | <a name="l00394"></a>00394 StateSpace<fsqmat> stsp=<span class="keyword">new</span> StateSpace<fsqmat>(); |
|---|
| 339 | <a name="l00395"></a>00395 mat A=zeros(dimx,dimx); |
|---|
| 340 | <a name="l00396"></a>00396 A.set_row(0,A1row); |
|---|
| 341 | <a name="l00397"></a>00397 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j=1; j<dimx; j++){A(j,j-1)=1.0;} <span class="comment">// off diagonal</span> |
|---|
| 342 | <a name="l00398"></a>00398 mat B=zeros(dimx,1); |
|---|
| 343 | <a name="l00399"></a>00399 B(0) = 1.0; |
|---|
| 344 | <a name="l00400"></a>00400 mat C=zeros(1,dimx); |
|---|
| 345 | <a name="l00401"></a>00401 C.set_row(0,C1row); |
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| 346 | <a name="l00402"></a>00402 stsp.set_parameters(A,B,C,zeros(1,1), zeros(dimx,dimx), ml._R()); |
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| 347 | <a name="l00403"></a>00403 <span class="keywordflow">return</span> stsp; |
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| 348 | <a name="l00404"></a>00404 } |
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| 349 | <a name="l00405"></a>00405 |
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| 350 | <a name="l00407"></a>00407 |
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| 351 | <a name="l00408"></a>00408 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
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| 352 | <a name="l00409"></a>00409 <span class="keywordtype">void</span> StateSpace<sq_T>::set_parameters (<span class="keyword">const</span> mat &A0, <span class="keyword">const</span> mat &B0, <span class="keyword">const</span> mat &C0, <span class="keyword">const</span> mat &D0, <span class="keyword">const</span> sq_T &Q0, <span class="keyword">const</span> sq_T &R0) |
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| 353 | <a name="l00410"></a>00410 { |
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| 354 | <a name="l00411"></a>00411 dimx = A0.rows(); |
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| 355 | <a name="l00412"></a>00412 dimu = B0.cols(); |
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| 356 | <a name="l00413"></a>00413 dimy = C0.rows(); |
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| 357 | <a name="l00414"></a>00414 |
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| 358 | <a name="l00415"></a>00415 A = A0; |
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| 359 | <a name="l00416"></a>00416 B = B0; |
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| 360 | <a name="l00417"></a>00417 C = C0; |
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| 361 | <a name="l00418"></a>00418 D = D0; |
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| 362 | <a name="l00419"></a>00419 R = R0; |
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| 363 | <a name="l00420"></a>00420 Q = Q0; |
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| 364 | <a name="l00421"></a>00421 <a class="code" href="classbdm_1_1root.html#a1c314bd6d6dacb8ba78ea5eb88fd9516" title="This method TODO.">validate</a>(); |
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| 365 | <a name="l00422"></a>00422 } |
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| 366 | <a name="l00423"></a>00423 |
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| 367 | <a name="l00424"></a>00424 <span class="keyword">template</span><<span class="keyword">class</span> sq_T> |
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| 368 | <a name="l00425"></a>00425 <span class="keywordtype">void</span> StateSpace<sq_T>::validate(){ |
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| 369 | <a name="l00426"></a>00426 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A.cols() == dimx, <span class="stringliteral">"KalmanFull: A is not square"</span>); |
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| 370 | <a name="l00427"></a>00427 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (B.rows() == dimx, <span class="stringliteral">"KalmanFull: B is not compatible"</span>); |
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| 371 | <a name="l00428"></a>00428 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (C.cols() == dimx, <span class="stringliteral">"KalmanFull: C is not square"</span>); |
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| 372 | <a name="l00429"></a>00429 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> ( (D.rows() == dimy) || (D.cols() == dimu), <span class="stringliteral">"KalmanFull: D is not compatible"</span>); |
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| 373 | <a name="l00430"></a>00430 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> ( (Q.cols() == dimx) || (Q.rows() == dimx), <span class="stringliteral">"KalmanFull: Q is not compatible"</span>); |
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| 374 | <a name="l00431"></a>00431 <a class="code" href="bdmerror_8h.html#a89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> ( (R.cols() == dimy) || (R.rows() == dimy), <span class="stringliteral">"KalmanFull: R is not compatible"</span>); |
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| 375 | <a name="l00432"></a>00432 } |
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| 376 | <a name="l00433"></a>00433 |
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| 377 | <a name="l00434"></a>00434 } |
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| 378 | <a name="l00435"></a>00435 <span class="preprocessor">#endif // KF_H</span> |
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| 379 | <a name="l00436"></a>00436 <span class="preprocessor"></span> |
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| 380 | <a name="l00437"></a>00437 |
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| 381 | </pre></div></div> |
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| 382 | <hr size="1"/><address style="text-align: right;"><small>Generated on Sun Aug 30 22:10:49 2009 for mixpp by |
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| 383 | <a href="http://www.doxygen.org/index.html"> |
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| 384 | <img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address> |
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| 385 | </body> |
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| 386 | </html> |
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