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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
68	<a name="l00013"></a>00013 <span class="preprocessor">#ifndef KF_H</span>
69	<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define KF_H</span>
70	<a name="l00015"></a>00015 <span class="preprocessor"></span>
71	<a name="l00016"></a>00016
72	<a name="l00017"></a>00017 <span class="preprocessor">#include "../math/functions.h"</span>
73	<a name="l00018"></a>00018 <span class="preprocessor">#include "../stat/exp_family.h"</span>
74	<a name="l00019"></a>00019 <span class="preprocessor">#include "../math/chmat.h"</span>
75	<a name="l00020"></a>00020 <span class="preprocessor">#include "../base/user_info.h"</span>
76	<a name="l00021"></a>00021
77	<a name="l00022"></a>00022 <span class="keyword">namespace </span>bdm
78	<a name="l00023"></a>00023 {
79	<a name="l00024"></a>00024
80	<a name="l00032"></a>00032 <span class="keyword">template</span><<span class="keyword">class</span> sq_T>
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>
82	<a name="l00034"></a>00034 {
83	<a name="l00035"></a>00035 <span class="keyword">protected</span>:
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>;
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>;
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>;
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>;
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>;
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>;
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>;
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>;
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>;
93	<a name="l00054"></a>00054 <span class="keyword">public</span>:
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>() {}
95	<a name="l00056"></a>00056 <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace<sq_T></a> &S0) : <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>), <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>), <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>), <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(S0.<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>(S0.<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>(S0.<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>(S0.<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>(S0.<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>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>) {}
96	<a name="l00057"></a>00057 <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);
97	<a name="l00058"></a>00058 <span class="keywordtype">void</span> validate();
98	<a name="l00060"></a><a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd">00060</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>) {
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#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">"A"</span>, UI::compulsory);
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#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <span class="keyword">set</span>, <span class="stringliteral">"B"</span>, UI::compulsory);
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#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <span class="keyword">set</span>, <span class="stringliteral">"C"</span>, UI::compulsory);
102	<a name="l00064"></a>00064 <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);
103	<a name="l00065"></a>00065 mat Qtm, Rtm;
104	<a name="l00066"></a>00066 <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)){
105	<a name="l00067"></a>00067 vec dq;
106	<a name="l00068"></a>00068 <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);
107	<a name="l00069"></a>00069 Qtm=diag(dq);
108	<a name="l00070"></a>00070 }
109	<a name="l00071"></a>00071 <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)){
110	<a name="l00072"></a>00072 vec dr;
111	<a name="l00073"></a>00073 <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);
112	<a name="l00074"></a>00074 Rtm=diag(dr);
113	<a name="l00075"></a>00075 }
114	<a name="l00076"></a>00076 <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>
115	<a name="l00077"></a>00077 <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>=Qtm;
116	<a name="l00078"></a>00078
117	<a name="l00079"></a>00079 validate();
118	<a name="l00080"></a>00080 }
119	<a name="l00082"></a><a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">00082</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>;}
120	<a name="l00084"></a><a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">00084</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>;}
121	<a name="l00086"></a><a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">00086</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>;}
122	<a name="l00088"></a><a class="code" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">00088</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e" title="access function">_A</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>;}
123	<a name="l00090"></a><a class="code" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">00090</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4" title="access function">_B</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>;}
124	<a name="l00092"></a><a class="code" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">00092</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125" title="access function">_C</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>;}
125	<a name="l00094"></a><a class="code" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">00094</a> <span class="keyword">const</span> mat& <a class="code" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252" title="access function">_D</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>;}
126	<a name="l00096"></a><a class="code" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">00096</a> <span class="keyword">const</span> sq_T& <a class="code" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977" title="access function">_Q</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>;}
127	<a name="l00098"></a><a class="code" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">00098</a> <span class="keyword">const</span> sq_T& <a class="code" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba" title="access function">_R</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>;}
128	<a name="l00099"></a>00099 };
129	<a name="l00100"></a>00100
130	<a name="l00102"></a>00102 <span class="keyword">template</span><<span class="keyword">class</span> sq_T>
131	<a name="l00103"></a><a class="code" href="classbdm_1_1Kalman.html">00103</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>
132	<a name="l00104"></a>00104 {
133	<a name="l00105"></a>00105 <span class="keyword">protected</span>:
134	<a name="l00107"></a><a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a">00107</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>;
135	<a name="l00109"></a><a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e">00109</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>;
136	<a name="l00111"></a><a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">00111</a> mat <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>;
137	<a name="l00113"></a><a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">00113</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>;
138	<a name="l00115"></a><a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">00115</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>;
139	<a name="l00116"></a>00116 <span class="keyword">public</span>:
140	<a name="l00117"></a>00117 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman<sq_T></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<sq_T></a>(), <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>(<span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a>){}
141	<a name="l00118"></a>00118 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman<sq_T></a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman<sq_T></a> &K0) : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>(K0), <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace<sq_T></a>(K0), <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(K0.yrv),<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(K0.urv), <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(K0._K), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(<span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm<sq_T></a>(*K0.est)), <a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y\|y)">fy</a>(K0.fy){}
142	<a name="l00119"></a>00119 <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); };
143	<a name="l00120"></a>00120 <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); };
144	<a name="l00122"></a><a class="code" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">00122</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>();}
145	<a name="l00124"></a><a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620">00124</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>;}
146	<a name="l00126"></a><a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a">00126</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>) {
147	<a name="l00127"></a>00127 <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>);
148	<a name="l00128"></a>00128
149	<a name="l00129"></a>00129 mat P0; vec mu0;
150	<a name="l00130"></a>00130 <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);
151	<a name="l00131"></a>00131 <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);
152	<a name="l00132"></a>00132 set_statistics(mu0,P0);
153	<a name="l00133"></a>00133 <span class="comment">// Initial values</span>
154	<a name="l00134"></a>00134 <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);
155	<a name="l00135"></a>00135 <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);
156	<a name="l00136"></a>00136 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>));
157	<a name="l00137"></a>00137
158	<a name="l00138"></a>00138 validate();
159	<a name="l00139"></a>00139 }
160	<a name="l00140"></a>00140 <span class="keywordtype">void</span> validate() {
161	<a name="l00141"></a>00141 <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace<sq_T>::validate</a>();
162	<a name="l00142"></a>00142 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->dimension(), <span class="stringliteral">"Statistics and model parameters mismatch"</span>);
163	<a name="l00143"></a>00143 }
164	<a name="l00144"></a>00144 };
165	<a name="l00149"></a><a class="code" href="classbdm_1_1KalmanFull.html">00149</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>
166	<a name="l00150"></a>00150 {
167	<a name="l00151"></a>00151 <span class="keyword">public</span>:
168	<a name="l00153"></a><a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11">00153</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>>(){};
169	<a name="l00155"></a>00155 <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);
170	<a name="l00156"></a><a class="code" href="classbdm_1_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1">00156</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_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1" title="Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!...">_copy_</a>()<span class="keyword"> const </span>{
171	<a name="l00157"></a>00157 <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a>* K = <span class="keyword">new</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a>;
172	<a name="l00158"></a>00158 K->set_parameters (<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>);
173	<a name="l00159"></a>00159 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());
174	<a name="l00160"></a>00160 <span class="keywordflow">return</span> K;
175	<a name="l00161"></a>00161 }
176	<a name="l00162"></a>00162 };
177	<a name="l00163"></a>00163 <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);
178	<a name="l00164"></a>00164
179	<a name="l00165"></a>00165
180	<a name="l00173"></a><a class="code" href="classbdm_1_1KalmanCh.html">00173</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>
181	<a name="l00174"></a>00174 {
182	<a name="l00175"></a>00175 <span class="keyword">protected</span>:
183	<a name="l00178"></a>00178 mat preA;
184	<a name="l00180"></a><a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f">00180</a> mat <a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f" title="post array (triangular matrix)">postA</a>;
185	<a name="l00182"></a>00182 <span class="keyword">public</span>:
186	<a name="l00184"></a><a class="code" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996">00184</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>{
187	<a name="l00185"></a>00185 <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>;
188	<a name="l00186"></a>00186 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>);
189	<a name="l00187"></a>00187 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());
190	<a name="l00188"></a>00188 <span class="keywordflow">return</span> K;
191	<a name="l00189"></a>00189 }
192	<a name="l00191"></a>00191 <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);
193	<a name="l00193"></a>00193 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>();
194	<a name="l00194"></a>00194
195	<a name="l00208"></a>00208 <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);
196	<a name="l00209"></a>00209
197	<a name="l00210"></a><a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d">00210</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>){
198	<a name="l00211"></a>00211 <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>);
199	<a name="l00212"></a>00212 <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>();
200	<a name="l00213"></a>00213 }
201	<a name="l00214"></a>00214 };
202	<a name="l00215"></a>00215 <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);
203	<a name="l00216"></a>00216
204	<a name="l00222"></a><a class="code" href="classbdm_1_1EKFfull.html">00222</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>
205	<a name="l00223"></a>00223 {
206	<a name="l00224"></a>00224 <span class="keyword">protected</span>:
207	<a name="l00226"></a><a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">00226</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>;
208	<a name="l00227"></a>00227
209	<a name="l00229"></a><a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">00229</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>;
210	<a name="l00230"></a>00230
211	<a name="l00231"></a>00231 <span class="keyword">public</span>:
212	<a name="l00233"></a>00233 <a class="code" href="classbdm_1_1EKFfull.html#a6939c345389abb8b2481457b4cfe1165" title="Default constructor.">EKFfull</a> ();
213	<a name="l00234"></a>00234
214	<a name="l00236"></a>00236 <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);
215	<a name="l00237"></a>00237
216	<a name="l00239"></a>00239 <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);
217	<a name="l00241"></a><a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841">00241</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) {
218	<a name="l00242"></a>00242 <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->set_parameters (mu0, P0);
219	<a name="l00243"></a>00243 };
220	<a name="l00244"></a>00244 <span class="keyword">const</span> mat _R() {
221	<a name="l00245"></a>00245 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>->_R().to_mat();
222	<a name="l00246"></a>00246 }
223	<a name="l00247"></a><a class="code" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c">00247</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &<span class="keyword">set</span>) {
224	<a name="l00248"></a>00248 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> IM = UI::build<diffbifn> ( <span class="keyword">set</span>, <span class="stringliteral">"IM"</span>, UI::compulsory );
225	<a name="l00249"></a>00249 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr<diffbifn></a> OM = UI::build<diffbifn> ( <span class="keyword">set</span>, <span class="stringliteral">"OM"</span>, UI::compulsory );
226	<a name="l00250"></a>00250
227	<a name="l00251"></a>00251 <span class="comment">//statistics</span>
228	<a name="l00252"></a>00252 <span class="keywordtype">int</span> dim = IM->dimension();
229	<a name="l00253"></a>00253 vec mu0;
230	<a name="l00254"></a>00254 <span class="keywordflow">if</span> ( !<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( mu0, <span class="keyword">set</span>, <span class="stringliteral">"mu0"</span> ) )
231	<a name="l00255"></a>00255 mu0 = zeros ( dim );
232	<a name="l00256"></a>00256
233	<a name="l00257"></a>00257 mat P0;
234	<a name="l00258"></a>00258 vec dP0;
235	<a name="l00259"></a>00259 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dP0, <span class="keyword">set</span>, <span class="stringliteral">"dP0"</span> ) )
236	<a name="l00260"></a>00260 P0 = diag ( dP0 );
237	<a name="l00261"></a>00261 <span class="keywordflow">else</span> <span class="keywordflow">if</span> ( !<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( P0, <span class="keyword">set</span>, <span class="stringliteral">"P0"</span> ) )
238	<a name="l00262"></a>00262 P0 = eye ( dim );
239	<a name="l00263"></a>00263
240	<a name="l00264"></a>00264 <a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> ( mu0, P0 );
241	<a name="l00265"></a>00265
242	<a name="l00266"></a>00266 <span class="comment">//parameters</span>
243	<a name="l00267"></a>00267 vec dQ, dR;
244	<a name="l00268"></a>00268 <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 );
245	<a name="l00269"></a>00269 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dR, <span class="keyword">set</span>, <span class="stringliteral">"dR"</span>, UI::compulsory );
246	<a name="l00270"></a>00270 <a class="code" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( IM, OM, diag ( dQ ), diag ( dR ) );
247	<a name="l00271"></a>00271
248	<a name="l00272"></a>00272 <span class="comment">//connect</span>
249	<a name="l00273"></a>00273 <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<RV></a> <a class="code" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a> = UI::build<RV> ( <span class="keyword">set</span>, <span class="stringliteral">"drv"</span>, UI::compulsory );
250	<a name="l00274"></a>00274 set_drv ( *drv );
251	<a name="l00275"></a>00275 <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<RV></a> rv = UI::build<RV> ( <span class="keyword">set</span>, <span class="stringliteral">"rv"</span>, UI::compulsory );
252	<a name="l00276"></a>00276 set_rv ( *rv );
253	<a name="l00277"></a>00277
254	<a name="l00278"></a>00278 <span class="keywordtype">string</span> options;
255	<a name="l00279"></a>00279 <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( options, <span class="keyword">set</span>, <span class="stringliteral">"options"</span> ) )
256	<a name="l00280"></a>00280 <a class="code" href="classbdm_1_1BM.html#aadb539fa2585c8a2a91c54e5aebf330e" title="Set boolean options from a string, recognized are: &quot;logbounds,logll&quot;.">set_options</a> ( options );
257	<a name="l00281"></a>00281 <span class="comment">// pfxu = UI::build<diffbifn>(set, "IM", UI::compulsory);</span>
258	<a name="l00282"></a>00282 <span class="comment">// phxu = UI::build<diffbifn>(set, "OM", UI::compulsory);</span>
259	<a name="l00283"></a>00283 <span class="comment">// </span>
260	<a name="l00284"></a>00284 <span class="comment">// mat R0;</span>
261	<a name="l00285"></a>00285 <span class="comment">// UI::get(R0, set, "R",UI::compulsory);</span>
262	<a name="l00286"></a>00286 <span class="comment">// mat Q0;</span>
263	<a name="l00287"></a>00287 <span class="comment">// UI::get(Q0, set, "Q",UI::compulsory);</span>
264	<a name="l00288"></a>00288 <span class="comment">// </span>
265	<a name="l00289"></a>00289 <span class="comment">// </span>
266	<a name="l00290"></a>00290 <span class="comment">// mat P0; vec mu0;</span>
267	<a name="l00291"></a>00291 <span class="comment">// UI::get(mu0, set, "mu0", UI::optional);</span>
268	<a name="l00292"></a>00292 <span class="comment">// UI::get(P0, set, "P0", UI::optional);</span>
269	<a name="l00293"></a>00293 <span class="comment">// set_statistics(mu0,P0);</span>
270	<a name="l00294"></a>00294 <span class="comment">// // Initial values</span>
271	<a name="l00295"></a>00295 <span class="comment">// UI::get (yrv, set, "yrv", UI::optional);</span>
272	<a name="l00296"></a>00296 <span class="comment">// UI::get (urv, set, "urv", UI::optional);</span>
273	<a name="l00297"></a>00297 <span class="comment">// set_drv(concat(yrv,urv));</span>
274	<a name="l00298"></a>00298 <span class="comment">// </span>
275	<a name="l00299"></a>00299 <span class="comment">// // setup StateSpace</span>
276	<a name="l00300"></a>00300 <span class="comment">// pfxu->dfdu_cond(mu0, zeros(pfxu->_dimu()), A,true);</span>
277	<a name="l00301"></a>00301 <span class="comment">// phxu->dfdu_cond(mu0, zeros(pfxu->_dimu()), C,true);</span>
278	<a name="l00302"></a>00302 <span class="comment">// </span>
279	<a name="l00303"></a>00303 validate();
280	<a name="l00304"></a>00304 }
281	<a name="l00305"></a>00305 <span class="keywordtype">void</span> validate() {
282	<a name="l00306"></a>00306 <span class="comment">// check stats and IM and OM</span>
283	<a name="l00307"></a>00307 }
284	<a name="l00308"></a>00308 };
285	<a name="l00309"></a>00309 <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);
286	<a name="l00310"></a>00310
287	<a name="l00311"></a>00311
288	<a name="l00318"></a><a class="code" href="classbdm_1_1EKFCh.html">00318</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>
289	<a name="l00319"></a>00319 {
290	<a name="l00320"></a>00320 <span class="keyword">protected</span>:
291	<a name="l00322"></a><a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a">00322</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>;
292	<a name="l00323"></a>00323
293	<a name="l00325"></a><a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1">00325</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>;
294	<a name="l00326"></a>00326 <span class="keyword">public</span>:
295	<a name="l00328"></a><a class="code" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4">00328</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>{
296	<a name="l00329"></a>00329 <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>;
297	<a name="l00330"></a>00330 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>);
298	<a name="l00331"></a>00331 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());
299	<a name="l00332"></a>00332 <span class="keywordflow">return</span> E;
300	<a name="l00333"></a>00333 }
301	<a name="l00335"></a>00335 <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);
302	<a name="l00336"></a>00336
303	<a name="l00338"></a>00338 <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);
304	<a name="l00339"></a>00339
305	<a name="l00340"></a>00340 <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>);
306	<a name="l00341"></a>00341
307	<a name="l00342"></a>00342 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span>
308	<a name="l00343"></a>00343
309	<a name="l00344"></a>00344 };
310	<a name="l00345"></a>00345
311	<a name="l00346"></a>00346 <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);
312	<a name="l00347"></a>00347 SHAREDPTR (EKFCh);
313	<a name="l00348"></a>00348
314	<a name="l00349"></a>00349
315	<a name="l00351"></a>00351
316	<a name="l00359"></a><a class="code" href="classbdm_1_1MultiModel.html">00359</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>
317	<a name="l00360"></a>00360 {
318	<a name="l00361"></a>00361 <span class="keyword">protected</span>:
319	<a name="l00363"></a><a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93">00363</a> Array<EKFCh*> <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>;
320	<a name="l00365"></a><a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a">00365</a> vec <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>;
321	<a name="l00367"></a><a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634">00367</a> vec <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>;
322	<a name="l00369"></a><a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c">00369</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>;
323	<a name="l00371"></a><a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b">00371</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>;
324	<a name="l00372"></a>00372 <span class="keyword">public</span>:
325	<a name="l00373"></a>00373 <span class="keywordtype">void</span> set_parameters (Array<EKFCh*> A, <span class="keywordtype">int</span> pol0 = 1) {
326	<a name="l00374"></a>00374 <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>
327	<a name="l00375"></a>00375 <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>.set_length (A.length());
328	<a name="l00376"></a>00376 <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>.set_length (A.length());
329	<a name="l00377"></a>00377 <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> = pol0;
330	<a name="l00378"></a>00378
331	<a name="l00379"></a>00379 <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));
332	<a name="l00380"></a>00380 <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());
333	<a name="l00381"></a>00381 }
334	<a name="l00382"></a><a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e">00382</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) {
335	<a name="l00383"></a>00383 <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();
336	<a name="l00384"></a>00384 <span class="keywordtype">int</span> i;
337	<a name="l00385"></a>00385 <span class="keywordflow">for</span> (i = 0; i < n; i++) {
338	<a name="l00386"></a>00386 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)->bayes (dt);
339	<a name="l00387"></a>00387 <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();
340	<a name="l00388"></a>00388 }
341	<a name="l00389"></a>00389 <span class="keywordtype">double</span> mlls = max (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>);
342	<a name="l00390"></a>00390 <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);
343	<a name="l00391"></a>00391 <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>
344	<a name="l00392"></a>00392 <span class="comment">//set statistics</span>
345	<a name="l00393"></a>00393 <span class="keywordflow">switch</span> (<a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>) {
346	<a name="l00394"></a>00394 <span class="keywordflow">case</span> 1: {
347	<a name="l00395"></a>00395 <span class="keywordtype">int</span> mi = max_index (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>);
348	<a name="l00396"></a>00396 <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() ;
349	<a name="l00397"></a>00397 <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());
350	<a name="l00398"></a>00398 }
351	<a name="l00399"></a>00399 <span class="keywordflow">break</span>;
352	<a name="l00400"></a>00400 <span class="keywordflow">default</span>:
353	<a name="l00401"></a>00401 <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"unknown policy"</span>);
354	<a name="l00402"></a>00402 }
355	<a name="l00403"></a>00403 <span class="comment">// copy result to all models</span>
356	<a name="l00404"></a>00404 <span class="keywordflow">for</span> (i = 0; i < n; i++) {
357	<a name="l00405"></a>00405 <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());
358	<a name="l00406"></a>00406 }
359	<a name="l00407"></a>00407 }
360	<a name="l00409"></a><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee">00409</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>{
361	<a name="l00410"></a>00410 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>;
362	<a name="l00411"></a>00411 }
363	<a name="l00412"></a>00412
364	<a name="l00413"></a>00413 <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>);
365	<a name="l00414"></a>00414
366	<a name="l00415"></a>00415 <span class="comment">// TODO dodelat void to_setting( Setting &set ) const;</span>
367	<a name="l00416"></a>00416
368	<a name="l00417"></a>00417 };
369	<a name="l00418"></a>00418
370	<a name="l00419"></a>00419 <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);
371	<a name="l00420"></a>00420 SHAREDPTR (MultiModel);
372	<a name="l00421"></a>00421
373	<a name="l00423"></a>00423
374	<a name="l00431"></a>00431 <span class="comment">//template<class sq_T></span>
375	<a name="l00432"></a><a class="code" href="classbdm_1_1StateCanonical.html">00432</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1StateCanonical.html" title="conversion of outer ARX model (mlnorm) to state space model">StateCanonical</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a><fsqmat>{
376	<a name="l00433"></a>00433 <span class="keyword">protected</span>:
377	<a name="l00435"></a><a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1">00435</a> <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&gt;A">th2A</a>;
378	<a name="l00437"></a><a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d">00437</a> <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&gt;C">th2C</a>;
379	<a name="l00439"></a><a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89">00439</a> <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&gt;D">th2D</a>;
380	<a name="l00441"></a><a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730">00441</a> vec <a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>;
381	<a name="l00443"></a><a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d">00443</a> vec <a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>;
382	<a name="l00445"></a><a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6">00445</a> vec <a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>;
383	<a name="l00446"></a>00446
384	<a name="l00447"></a>00447 <span class="keyword">public</span>:
385	<a name="l00449"></a><a class="code" href="classbdm_1_1StateCanonical.html#ad3ad57524c2af597b36ab1592fddc26c">00449</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateCanonical.html#ad3ad57524c2af597b36ab1592fddc26c" title="set up this object to match given mlnorm">connect_mlnorm</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<fsqmat></a> &ml){
386	<a name="l00450"></a>00450 <span class="comment">//get ids of yrv </span>
387	<a name="l00451"></a>00451 <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &yrv = ml._rv();
388	<a name="l00452"></a>00452 <span class="comment">//need to determine u_t - it is all in _rvc that is not in ml._rv()</span>
389	<a name="l00453"></a>00453 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rgr0 = ml._rvc().remove_time();
390	<a name="l00454"></a>00454 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> urv = rgr0.<a class="code" href="classbdm_1_1RV.html#aaec44dabdf0a6d90fbae95e1356eda39" title="Subtract another variable from the current one.">subt</a>(yrv);
391	<a name="l00455"></a>00455
392	<a name="l00456"></a>00456 <span class="comment">//We can do only 1d now... :(</span>
393	<a name="l00457"></a>00457 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(yrv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()==1, <span class="stringliteral">"Only for SISO so far..."</span> );
394	<a name="l00458"></a>00458
395	<a name="l00459"></a>00459 <span class="comment">// create names for </span>
396	<a name="l00460"></a>00460 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> xrv; <span class="comment">//empty</span>
397	<a name="l00461"></a>00461 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> Crv; <span class="comment">//empty</span>
398	<a name="l00462"></a>00462 <span class="keywordtype">int</span> td=ml._rvc().<a class="code" href="classbdm_1_1RV.html#a9a5c5aeeaf39299d07763377b05a8241" title="Minimum time-offset.">mint</a>();
399	<a name="l00463"></a>00463 <span class="comment">// assuming strictly proper function!!!</span>
400	<a name="l00464"></a>00464 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> t=-1;t>=td;t--){
401	<a name="l00465"></a>00465 xrv.add(yrv.<a class="code" href="classbdm_1_1RV.html#a627222f49abc5d07e5e8aecac7708ee2" title="create new RV from the current one with time shifted by given value">copy_t</a>(t));
402	<a name="l00466"></a>00466 Crv.<a class="code" href="classbdm_1_1RV.html#a87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a>(urv.<a class="code" href="classbdm_1_1RV.html#a627222f49abc5d07e5e8aecac7708ee2" title="create new RV from the current one with time shifted by given value">copy_t</a>(t));
403	<a name="l00467"></a>00467 }
404	<a name="l00468"></a>00468
405	<a name="l00469"></a>00469 this-><a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> = xrv._dsize();
406	<a name="l00470"></a>00470 this-><a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> = yrv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>();
407	<a name="l00471"></a>00471 this-><a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> = urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>();
408	<a name="l00472"></a>00472
409	<a name="l00473"></a>00473 <span class="comment">// get mapp</span>
410	<a name="l00474"></a>00474 <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&gt;A">th2A</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(xrv, ml._rvc());
411	<a name="l00475"></a>00475 <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&gt;C">th2C</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(Crv, ml._rvc());
412	<a name="l00476"></a>00476 <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&gt;D">th2D</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(urv, ml._rvc());
413	<a name="l00477"></a>00477
414	<a name="l00478"></a>00478 <span class="comment">//set matrix sizes</span>
415	<a name="l00479"></a>00479 this-><a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>=zeros(<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>,<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>);
416	<a name="l00480"></a>00480 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j=1; j<<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>; j++){<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(j,j-1)=1.0;} <span class="comment">// off diagonal</span>
417	<a name="l00481"></a>00481 this-><a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>=zeros(dimx,1);
418	<a name="l00482"></a>00482 this-><a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(0) = 1.0;
419	<a name="l00483"></a>00483 this-><a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>=zeros(1,dimx);
420	<a name="l00484"></a>00484 this-><a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>=zeros(1,urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>());
421	<a name="l00485"></a>00485 this-><a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a> = zeros(dimx,dimx);
422	<a name="l00486"></a>00486 <span class="comment">// R is set by update</span>
423	<a name="l00487"></a>00487
424	<a name="l00488"></a>00488 <span class="comment">//set cache</span>
425	<a name="l00489"></a>00489 this-><a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a> = zeros(xrv._dsize());
426	<a name="l00490"></a>00490 this-><a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a> = zeros(xrv._dsize());
427	<a name="l00491"></a>00491 this-><a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a> = zeros(urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>());
428	<a name="l00492"></a>00492
429	<a name="l00493"></a>00493 <a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e" title="fast function to update parameters from ml - not checked for compatibility!!">update_from</a>(ml);
430	<a name="l00494"></a>00494 validate();
431	<a name="l00495"></a>00495 };
432	<a name="l00497"></a><a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e">00497</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e" title="fast function to update parameters from ml - not checked for compatibility!!">update_from</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm<fsqmat></a> &ml){
433	<a name="l00498"></a>00498
434	<a name="l00499"></a>00499 vec theta = ml.<a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23" title="access function">_A</a>().get_row(0); <span class="comment">// this </span>
435	<a name="l00500"></a>00500
436	<a name="l00501"></a>00501 <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&gt;A">th2A</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &quot;Up&quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>);
437	<a name="l00502"></a>00502 <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&gt;C">th2C</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &quot;Up&quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>);
438	<a name="l00503"></a>00503 <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&gt;D">th2D</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &quot;Up&quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>);
439	<a name="l00504"></a>00504
440	<a name="l00505"></a>00505 <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a> = ml.<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>();
441	<a name="l00506"></a>00506
442	<a name="l00507"></a>00507 <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>);
443	<a name="l00508"></a>00508 <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>+<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>*<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>);
444	<a name="l00509"></a>00509 <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>);
445	<a name="l00510"></a>00510
446	<a name="l00511"></a>00511 }
447	<a name="l00512"></a>00512 };
448	<a name="l00513"></a>00513
449	<a name="l00515"></a>00515
450	<a name="l00516"></a>00516 <span class="keyword">template</span><<span class="keyword">class</span> sq_T>
451	<a name="l00517"></a>00517 <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)
452	<a name="l00518"></a>00518 {
453	<a name="l00519"></a>00519
454	<a name="l00520"></a>00520 <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a> = A0;
455	<a name="l00521"></a>00521 <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a> = B0;
456	<a name="l00522"></a>00522 <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a> = C0;
457	<a name="l00523"></a>00523 <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a> = D0;
458	<a name="l00524"></a>00524 <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a> = R0;
459	<a name="l00525"></a>00525 <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a> = Q0;
460	<a name="l00526"></a>00526 validate();
461	<a name="l00527"></a>00527 }
462	<a name="l00528"></a>00528
463	<a name="l00529"></a>00529 <span class="keyword">template</span><<span class="keyword">class</span> sq_T>
464	<a name="l00530"></a>00530 <span class="keywordtype">void</span> StateSpace<sq_T>::validate(){
465	<a name="l00531"></a>00531 <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> = <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.rows();
466	<a name="l00532"></a>00532 <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> = <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>.cols();
467	<a name="l00533"></a>00533 <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> = <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.rows();
468	<a name="l00534"></a>00534 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">"KalmanFull: A is not square"</span>);
469	<a name="l00535"></a>00535 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">"KalmanFull: B is not compatible"</span>);
470	<a name="l00536"></a>00536 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">"KalmanFull: C is not square"</span>);
471	<a name="l00537"></a>00537 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>) && (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>), <span class="stringliteral">"KalmanFull: D is not compatible"</span>);
472	<a name="l00538"></a>00538 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>) && (<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>), <span class="stringliteral">"KalmanFull: Q is not compatible"</span>);
473	<a name="l00539"></a>00539 <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>) && (<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>), <span class="stringliteral">"KalmanFull: R is not compatible"</span>);
474	<a name="l00540"></a>00540 }
475	<a name="l00541"></a>00541
476	<a name="l00542"></a>00542 }
477	<a name="l00543"></a>00543 <span class="preprocessor">#endif // KF_H</span>
478	<a name="l00544"></a>00544 <span class="preprocessor"></span>
479	<a name="l00545"></a>00545
480	</pre></div></div>
481	<hr size="1"/><address style="text-align: right;"><small>Generated on Mon Oct 12 19:37:19 2009 for mixpp by
482	<a href="http://www.doxygen.org/index.html">
483	<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>
484	</body>
485	</html>

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