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Revision 19, 1.2 kB
(checked in by smidl, 17 years ago)
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Switch to CMake
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| [7] | 1 | #include <itpp/itbase.h> |
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| [15] | 2 | #include "../bdm/estim/libKF.h" |
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| [7] | 3 | |
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| 4 | using namespace itpp; |
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| 5 | |
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| 6 | //These lines are needed for use of cout and endl |
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| 7 | using std::cout; |
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| 8 | using std::endl; |
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| 9 | |
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| 10 | int main() { |
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| 11 | |
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| [19] | 12 | |
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| [8] | 13 | // Klaman filter |
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| 14 | mat A, B,C,D,R,Q,P0; |
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| 15 | vec mu0; |
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| 16 | mat Mu0;; |
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| 17 | // input from Matlab |
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| [9] | 18 | it_file fin( "testKF.it" ); |
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| [11] | 19 | |
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| [8] | 20 | mat Dt, Xt,Xt2; |
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| 21 | int Ndat; |
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| [7] | 22 | |
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| [18] | 23 | bool xxx= fin.seek( "d" ); |
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| 24 | fin >>Dt; |
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| [8] | 25 | fin.seek( "A" ); |
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| 26 | fin >> A; |
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| 27 | fin.seek( "B" ); |
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| 28 | fin >> B; |
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| 29 | fin.seek( "C" ); |
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| 30 | fin >> C; |
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| 31 | fin.seek( "D" ); |
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| 32 | fin >> D; |
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| 33 | fin.seek( "R" ); |
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| 34 | fin >> R; |
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| 35 | fin.seek( "Q" ); fin >> Q; |
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| 36 | fin.seek( "P0" ); fin >> P0; |
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| [18] | 37 | fin.seek( "mu0" ); fin >> Mu0; |
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| 38 | mu0=Mu0.get_col(0); |
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| [7] | 39 | |
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| [8] | 40 | Ndat = Dt.cols(); |
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| 41 | Xt=zeros( 2,Ndat ); |
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| 42 | Xt2=zeros( 2,Ndat ); |
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| [7] | 43 | |
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| [19] | 44 | Kalman<ldmat> KF( A,B,C,D,ldmat(diag(R)),ldmat(diag(Q)),ldmat(diag(P0)),mu0 ); |
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| [8] | 45 | // cout << KF; |
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| 46 | KalmanFull KF2( A,B,C,D,R,Q,P0,mu0 ); |
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| 47 | |
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| [7] | 48 | Xt.set_col( 0,KF.mu ); |
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| [8] | 49 | Xt2.set_col( 0,KF.mu ); |
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| [7] | 50 | for ( int t=1;t<Ndat;t++ ) { |
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| 51 | KF.bayes( Dt.get_col( t )); |
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| [8] | 52 | KF2.bayes( Dt.get_col( t )); |
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| [7] | 53 | Xt.set_col(t,KF.mu); |
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| [8] | 54 | Xt2.set_col(t,KF2.mu); |
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| [7] | 55 | // Kmu = KF.mu; |
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| 56 | // cout << "t:" <<t<< " " << dt<<" "<<Kmu <<endl; |
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| 57 | } |
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| 58 | |
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| [9] | 59 | it_file fou( "testKF_res.it" ); |
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| [7] | 60 | fou << Name("xth") << Xt; |
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| [8] | 61 | fou << Name("xth2") << Xt2; |
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| [7] | 62 | //Exit program: |
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| 63 | return 0; |
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| 64 | |
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| 65 | } |
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