root/testKF.cpp @ 7

#include <itpp/itbase.h>
#include "libKF.h"
#include "libDC.h"

using namespace itpp;

//These lines are needed for use of cout and endl
using std::cout;
using std::endl;

int main() {

        mat A="1 -0.5; 1 0";
        mat B="1;0";
        mat C="1 0";
        mat D="0";
        ldmat R=ldmat("0.1");
        ldmat Q=ldmat("0.2 0 ; 0 0.02");

        ldmat P0=Q; P0*=1000.0; //increase P0
        vec mu0="0 0";

        Kalman<ldmat> KF( A,B,C,D,R,Q,P0,mu0 );
//      cout << KF;

        it_file fin( "matlab/testKF.it" );
        mat Dt;

        fin >> Name( "d" ) >> Dt;
        int Ndat = Dt.cols();
        mat Xt=zeros( 2,Ndat );
        

        Xt.set_col( 0,KF.mu );
        for ( int t=1;t<Ndat;t++ ) {
                KF.bayes( Dt.get_col( t ));
                Xt.set_col(t,KF.mu);
//              Kmu = KF.mu;
//              cout <<  "t:" <<t<< "  " << dt<<"  "<<Kmu <<endl;

        }

        it_file fou( "matlab/testKF_res.it" );
        fou << Name("xth") << Xt;
        //Exit program:
        return 0;

}