[262] | 1 | |
---|
[386] | 2 | #include <estim/kalman.h> |
---|
| 3 | #include <estim/particles.h> |
---|
[32] | 4 | |
---|
[254] | 5 | using namespace bdm; |
---|
[32] | 6 | |
---|
| 7 | //These lines are needed for use of cout and endl |
---|
| 8 | using std::cout; |
---|
| 9 | using std::endl; |
---|
| 10 | |
---|
| 11 | int main() { |
---|
| 12 | // Klaman filter |
---|
[477] | 13 | mat A, B, C, D, R, Q, P0; |
---|
[32] | 14 | vec mu0; |
---|
| 15 | mat Mu0;// read from matlab |
---|
| 16 | // input from Matlab |
---|
[477] | 17 | it_file fin ( "testKF.it" ); |
---|
[32] | 18 | |
---|
[477] | 19 | mat Dt, XQRt, eR, eQ; |
---|
[32] | 20 | int Ndat; |
---|
| 21 | |
---|
[477] | 22 | bool xxx = fin.seek ( "d" ); |
---|
| 23 | if ( !xxx ) { |
---|
| 24 | it_error ( "testKF.it not found" ); |
---|
| 25 | } |
---|
| 26 | fin >> Dt; |
---|
| 27 | fin.seek ( "A" ); |
---|
[32] | 28 | fin >> A; |
---|
[477] | 29 | fin.seek ( "B" ); |
---|
[32] | 30 | fin >> B; |
---|
[477] | 31 | fin.seek ( "C" ); |
---|
[32] | 32 | fin >> C; |
---|
[477] | 33 | fin.seek ( "D" ); |
---|
[32] | 34 | fin >> D; |
---|
[477] | 35 | fin.seek ( "R" ); |
---|
[32] | 36 | fin >> R; |
---|
[477] | 37 | fin.seek ( "Q" ); |
---|
| 38 | fin >> Q; |
---|
| 39 | fin.seek ( "P0" ); |
---|
| 40 | fin >> P0; |
---|
| 41 | fin.seek ( "mu0" ); |
---|
| 42 | fin >> Mu0; |
---|
| 43 | mu0 = Mu0.get_col ( 0 ); |
---|
| 44 | |
---|
[32] | 45 | Ndat = Dt.cols(); |
---|
[477] | 46 | XQRt = zeros ( 5, Ndat ); |
---|
| 47 | mat Xt = zeros ( 2, Ndat ); |
---|
[32] | 48 | |
---|
| 49 | // cout << KF; |
---|
[477] | 50 | RV rx ( "{x }", "2" ); |
---|
| 51 | RV ru ( "{u }", "1" ); |
---|
| 52 | RV ry ( "{y }", "1" ); |
---|
| 53 | RV rQR ( "{Q,R }", "3" ); |
---|
[32] | 54 | // |
---|
[270] | 55 | KFcondQR KF; |
---|
[32] | 56 | // KF with R unknown |
---|
[477] | 57 | KF.set_parameters ( A, B, C, D, ldmat ( R ), ldmat ( Q ) ); |
---|
| 58 | KF.set_est ( mu0, ldmat ( P0 ) ); |
---|
[32] | 59 | // |
---|
[270] | 60 | Kalman<ldmat> KFtr; |
---|
[33] | 61 | // KF with R unknown |
---|
[477] | 62 | KFtr.set_parameters ( A, B, C, D, ldmat ( R ), ldmat ( Q ) ); |
---|
| 63 | KFtr.set_est ( mu0, ldmat ( P0 ) ); |
---|
| 64 | |
---|
[270] | 65 | mgamma evolQR; |
---|
[477] | 66 | evolQR.set_parameters ( 10.0, "1 1 1" ); //sigma = 1/10 mu |
---|
| 67 | |
---|
[283] | 68 | MPF<KFcondQR> KF_QR; |
---|
[477] | 69 | KF_QR.set_parameters ( &evolQR, &evolQR, 100 ); |
---|
| 70 | evolQR.condition ( "1 1 1" ); |
---|
| 71 | KF_QR.set_statistics ( evolQR.e(), &KF ); |
---|
| 72 | const epdf& mpost = KF_QR.posterior(); |
---|
| 73 | const epdf& mposttr = KFtr.posterior(); |
---|
[32] | 74 | |
---|
[477] | 75 | XQRt.set_col ( 0, mpost.mean() ); |
---|
| 76 | Xt.set_col ( 0, mposttr.mean() ); |
---|
| 77 | for ( int t = 1; t < Ndat; t++ ) { |
---|
| 78 | KF_QR.bayes ( Dt.get_col ( t ) ); |
---|
| 79 | KFtr.bayes ( Dt.get_col ( t ) ); |
---|
| 80 | |
---|
| 81 | XQRt.set_col ( t, mpost.mean() ); |
---|
| 82 | Xt.set_col ( t, mposttr.mean() ); |
---|
[32] | 83 | } |
---|
[477] | 84 | |
---|
| 85 | it_file fou ( "testKF_QR_res.it" ); |
---|
| 86 | fou << Name ( "xqrth" ) << XQRt; |
---|
| 87 | fou << Name ( "xth" ) << Xt; |
---|
[32] | 88 | //Exit program: |
---|
| 89 | return 0; |
---|
| 90 | |
---|
| 91 | } |
---|