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09/24/08 13:31:03 (16 years ago)
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  • doc/latex/classEKFful__unQR.tex

    r145 r172  
     1\hypertarget{classEKFful__unQR}{ 
    12\section{EKFful\_\-unQR Class Reference} 
    23\label{classEKFful__unQR}\index{EKFful\_\-unQR@{EKFful\_\-unQR}} 
    3 Extended \doxyref{Kalman}{p.}{classKalman} filter with unknown {\tt Q} and {\tt R}.   
     4} 
     5Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q} and {\tt R}.   
    46 
    57 
    … …  
    2325\begin{CompactItemize} 
    2426\item  
    25 {\bf EKFful\_\-unQR} ({\bf RV} rx, {\bf RV} ry, {\bf RV} ru, {\bf RV} rQR)\label{classEKFful__unQR_873e3a72264f6e777c4443220db15d79} 
     27\hypertarget{classEKFful__unQR_873e3a72264f6e777c4443220db15d79}{ 
     28\hyperlink{classEKFful__unQR_873e3a72264f6e777c4443220db15d79}{EKFful\_\-unQR} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQR)} 
     29\label{classEKFful__unQR_873e3a72264f6e777c4443220db15d79} 
    2630 
    2731\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item  
    28 void {\bf condition} (const vec \&QR0)\label{classEKFful__unQR_b586e534c8a8d219561b0c020329d412} 
     32\hypertarget{classEKFful__unQR_b586e534c8a8d219561b0c020329d412}{ 
     33void \hyperlink{classEKFful__unQR_b586e534c8a8d219561b0c020329d412}{condition} (const vec \&QR0)} 
     34\label{classEKFful__unQR_b586e534c8a8d219561b0c020329d412} 
    2935 
    3036\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item  
    31 void {\bf set\_\-parameters} ({\bf diffbifn} $\ast$pfxu, {\bf diffbifn} $\ast$phxu, const mat Q0, const mat R0)\label{classEKFfull_fc753106e0d4cf68e4f2160fd54458c0} 
     37\hypertarget{classEKFfull_fc753106e0d4cf68e4f2160fd54458c0}{ 
     38void \hyperlink{classEKFfull_fc753106e0d4cf68e4f2160fd54458c0}{set\_\-parameters} (\hyperlink{classdiffbifn}{diffbifn} $\ast$pfxu, \hyperlink{classdiffbifn}{diffbifn} $\ast$phxu, const mat Q0, const mat R0)} 
     39\label{classEKFfull_fc753106e0d4cf68e4f2160fd54458c0} 
    3240 
    3341\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item  
    34 void {\bf bayes} (const vec \&dt)\label{classEKFfull_8ca46f177e395fa714bbd8bd29ea43e0} 
    35  
    36 \begin{CompactList}\small\item\em Here dt = [yt;ut] of appropriate dimensions. \item\end{CompactList}\item  
    37 void {\bf bayes} (mat Dt)\label{classBM_87b07867fd4c133aa89a18543f68d9f9} 
     42\hypertarget{classEKFfull_8ca46f177e395fa714bbd8bd29ea43e0}{ 
     43void \hyperlink{classEKFfull_8ca46f177e395fa714bbd8bd29ea43e0}{bayes} (const vec \&dt)} 
     44\label{classEKFfull_8ca46f177e395fa714bbd8bd29ea43e0} 
     45 
     46\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item  
     47\hypertarget{classEKFfull_7bb76ea74c144ea0b36db99f94750b7b}{ 
     48void \hyperlink{classEKFfull_7bb76ea74c144ea0b36db99f94750b7b}{set\_\-est} (vec mu0, mat P0)} 
     49\label{classEKFfull_7bb76ea74c144ea0b36db99f94750b7b} 
     50 
     51\begin{CompactList}\small\item\em set estimates \item\end{CompactList}\item  
     52\hypertarget{classEKFfull_170a748ad944bdebb0b3073463876abe}{ 
     53const \hyperlink{classepdf}{epdf} \& \hyperlink{classEKFfull_170a748ad944bdebb0b3073463876abe}{\_\-epdf} () const } 
     54\label{classEKFfull_170a748ad944bdebb0b3073463876abe} 
     55 
     56\begin{CompactList}\small\item\em dummy! \item\end{CompactList}\item  
     57\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{ 
     58virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)} 
     59\label{classBM_0186270f75189677f390fe088a9947e9} 
    3860 
    3961\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item  
    40 void {\bf set\_\-est} (vec mu0, mat P0)\label{classEKFfull_7bb76ea74c144ea0b36db99f94750b7b} 
    41  
    42 \begin{CompactList}\small\item\em set estimates \item\end{CompactList}\item  
    43 {\bf epdf} \& {\bf \_\-epdf} ()\label{classEKFfull_4080d68f79dade36ccf547d57e64bdc2} 
    44  
    45 \begin{CompactList}\small\item\em dummy! \item\end{CompactList}\item  
    46 const {\bf RV} \& {\bf \_\-rv} () const \label{classBM_126bd2595c48e311fc2a7ab72876092a} 
     62virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const  
     63\item  
     64\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{ 
     65const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const } 
     66\label{classBM_126bd2595c48e311fc2a7ab72876092a} 
    4767 
    4868\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    49 double {\bf \_\-ll} () const \label{classBM_87f4a547d2c29180be88175e5eab9c88} 
     69\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{ 
     70double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const } 
     71\label{classBM_87f4a547d2c29180be88175e5eab9c88} 
    5072 
    5173\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    52 const {\bf RV} \& {\bf \_\-rvc} () const \label{classBMcond_3fa60348b2da6b4208bb95b8d146900a} 
     74\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{ 
     75void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)} 
     76\label{classBM_1ffa9f23669aabecc3760c06c6987522} 
     77 
     78\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     79virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false) 
     80\item  
     81\hypertarget{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{ 
     82const \hyperlink{classRV}{RV} \& \hyperlink{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{\_\-rvc} () const } 
     83\label{classBMcond_3fa60348b2da6b4208bb95b8d146900a} 
    5384 
    5485\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} 
    … …  
    5687\begin{CompactItemize} 
    5788\item  
    58 vec {\bf mu}\label{classKalmanFull_fb5aec635e2720cc5ac31bc01c18a68a} 
     89\hypertarget{classKalmanFull_fb5aec635e2720cc5ac31bc01c18a68a}{ 
     90vec \hyperlink{classKalmanFull_fb5aec635e2720cc5ac31bc01c18a68a}{mu}} 
     91\label{classKalmanFull_fb5aec635e2720cc5ac31bc01c18a68a} 
    5992 
    6093\begin{CompactList}\small\item\em Mean value of the posterior density. \item\end{CompactList}\item  
    61 mat {\bf P}\label{classKalmanFull_b75dc059e84fa8ffc076203b30f926cc} 
     94\hypertarget{classKalmanFull_b75dc059e84fa8ffc076203b30f926cc}{ 
     95mat \hyperlink{classKalmanFull_b75dc059e84fa8ffc076203b30f926cc}{P}} 
     96\label{classKalmanFull_b75dc059e84fa8ffc076203b30f926cc} 
    6297 
    6398\begin{CompactList}\small\item\em Variance of the posterior density. \item\end{CompactList}\item  
    64 bool \textbf{evalll}\label{classKalmanFull_c17d69e125acd2673e6688fd86dd3f84} 
    65  
    66 \item  
    67 double \textbf{ll}\label{classKalmanFull_3aa4bf6128980d0627413dcf9cd07308} 
     99\hypertarget{classKalmanFull_c17d69e125acd2673e6688fd86dd3f84}{ 
     100bool \textbf{evalll}} 
     101\label{classKalmanFull_c17d69e125acd2673e6688fd86dd3f84} 
     102 
     103\item  
     104\hypertarget{classKalmanFull_3aa4bf6128980d0627413dcf9cd07308}{ 
     105double \textbf{ll}} 
     106\label{classKalmanFull_3aa4bf6128980d0627413dcf9cd07308} 
    68107 
    69108\end{CompactItemize} 
    … …  
    71110\begin{CompactItemize} 
    72111\item  
    73 int \textbf{dimx}\label{classKalmanFull_c5353e66238ed717dba79e0499118226} 
    74  
    75 \item  
    76 int \textbf{dimy}\label{classKalmanFull_761fadcc12dd4cb83bb8b5e27db01947} 
    77  
    78 \item  
    79 int \textbf{dimu}\label{classKalmanFull_609a4a0fcde78fd7aac2f01b34e952c9} 
    80  
    81 \item  
    82 mat \textbf{A}\label{classKalmanFull_554de4c953761380cd5a14a02542e007} 
    83  
    84 \item  
    85 mat \textbf{B}\label{classKalmanFull_ac7ade2a603a1b05419e36c5aae21755} 
    86  
    87 \item  
    88 mat \textbf{C}\label{classKalmanFull_5a9a8326ae17b519109fcdad59ea74a3} 
    89  
    90 \item  
    91 mat \textbf{D}\label{classKalmanFull_8f992a2d6b66d2e8bd9174b28cc0f074} 
    92  
    93 \item  
    94 mat \textbf{R}\label{classKalmanFull_bbd2dab10da47237a5f0d9e55fd61f24} 
    95  
    96 \item  
    97 mat \textbf{Q}\label{classKalmanFull_a8777c1fe67763395d3ddeb326239851} 
    98  
    99 \item  
    100 mat \textbf{\_\-Pp}\label{classKalmanFull_905823cf4157a11b8b824e45809dac55} 
    101  
    102 \item  
    103 mat \textbf{\_\-Ry}\label{classKalmanFull_b1b946b3a43f7d86cf4b6dc0dd6e3210} 
    104  
    105 \item  
    106 mat \textbf{\_\-iRy}\label{classKalmanFull_c7d915386a9d60b1bc309ae9166764f6} 
    107  
    108 \item  
    109 mat \textbf{\_\-K}\label{classKalmanFull_4c8354ea4801529f3071189ddd10d760} 
    110  
    111 \item  
    112 bool {\bf evalll}\label{classBM_bf6fb59b30141074f8ee1e2f43d03129} 
    113  
    114 \begin{CompactList}\small\item\em If true, the filter will compute likelihood of the data record and store it in {\tt ll} . Set to false if you want to save time. \item\end{CompactList}\item  
    115 double {\bf ll}\label{classBM_5623fef6572a08c2b53b8c87b82dc979} 
     112\hypertarget{classKalmanFull_c5353e66238ed717dba79e0499118226}{ 
     113int \textbf{dimx}} 
     114\label{classKalmanFull_c5353e66238ed717dba79e0499118226} 
     115 
     116\item  
     117\hypertarget{classKalmanFull_761fadcc12dd4cb83bb8b5e27db01947}{ 
     118int \textbf{dimy}} 
     119\label{classKalmanFull_761fadcc12dd4cb83bb8b5e27db01947} 
     120 
     121\item  
     122\hypertarget{classKalmanFull_609a4a0fcde78fd7aac2f01b34e952c9}{ 
     123int \textbf{dimu}} 
     124\label{classKalmanFull_609a4a0fcde78fd7aac2f01b34e952c9} 
     125 
     126\item  
     127\hypertarget{classKalmanFull_554de4c953761380cd5a14a02542e007}{ 
     128mat \textbf{A}} 
     129\label{classKalmanFull_554de4c953761380cd5a14a02542e007} 
     130 
     131\item  
     132\hypertarget{classKalmanFull_ac7ade2a603a1b05419e36c5aae21755}{ 
     133mat \textbf{B}} 
     134\label{classKalmanFull_ac7ade2a603a1b05419e36c5aae21755} 
     135 
     136\item  
     137\hypertarget{classKalmanFull_5a9a8326ae17b519109fcdad59ea74a3}{ 
     138mat \textbf{C}} 
     139\label{classKalmanFull_5a9a8326ae17b519109fcdad59ea74a3} 
     140 
     141\item  
     142\hypertarget{classKalmanFull_8f992a2d6b66d2e8bd9174b28cc0f074}{ 
     143mat \textbf{D}} 
     144\label{classKalmanFull_8f992a2d6b66d2e8bd9174b28cc0f074} 
     145 
     146\item  
     147\hypertarget{classKalmanFull_bbd2dab10da47237a5f0d9e55fd61f24}{ 
     148mat \textbf{R}} 
     149\label{classKalmanFull_bbd2dab10da47237a5f0d9e55fd61f24} 
     150 
     151\item  
     152\hypertarget{classKalmanFull_a8777c1fe67763395d3ddeb326239851}{ 
     153mat \textbf{Q}} 
     154\label{classKalmanFull_a8777c1fe67763395d3ddeb326239851} 
     155 
     156\item  
     157\hypertarget{classKalmanFull_905823cf4157a11b8b824e45809dac55}{ 
     158mat \textbf{\_\-Pp}} 
     159\label{classKalmanFull_905823cf4157a11b8b824e45809dac55} 
     160 
     161\item  
     162\hypertarget{classKalmanFull_b1b946b3a43f7d86cf4b6dc0dd6e3210}{ 
     163mat \textbf{\_\-Ry}} 
     164\label{classKalmanFull_b1b946b3a43f7d86cf4b6dc0dd6e3210} 
     165 
     166\item  
     167\hypertarget{classKalmanFull_c7d915386a9d60b1bc309ae9166764f6}{ 
     168mat \textbf{\_\-iRy}} 
     169\label{classKalmanFull_c7d915386a9d60b1bc309ae9166764f6} 
     170 
     171\item  
     172\hypertarget{classKalmanFull_4c8354ea4801529f3071189ddd10d760}{ 
     173mat \textbf{\_\-K}} 
     174\label{classKalmanFull_4c8354ea4801529f3071189ddd10d760} 
     175 
     176\item  
     177\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{ 
     178bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}} 
     179\label{classBM_bf6fb59b30141074f8ee1e2f43d03129} 
     180 
     181\begin{CompactList}\small\item\em If true, the filter will compute likelihood of the data record and store it in {\tt ll} . Set to false if you want to save computational time. \item\end{CompactList}\item  
     182\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{ 
     183double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}} 
     184\label{classBM_5623fef6572a08c2b53b8c87b82dc979} 
    116185 
    117186\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item  
    118 {\bf RV} {\bf rv}\label{classBM_af00f0612fabe66241dd507188cdbf88} 
     187\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{ 
     188\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}} 
     189\label{classBM_af00f0612fabe66241dd507188cdbf88} 
    119190 
    120191\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item  
    121 {\bf RV} {\bf rvc}\label{classBMcond_9ba793c8ec453f04d372d17195ed8dec} 
     192\hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{ 
     193\hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}} 
     194\label{classBMcond_9ba793c8ec453f04d372d17195ed8dec} 
    122195 
    123196\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize} 
    … …  
    125198\begin{CompactItemize} 
    126199\item  
    127 std::ostream \& {\bf operator$<$$<$} (std::ostream \&os, const {\bf KalmanFull} \&kf)\label{classKalmanFull_86ba216243ed95bb46d80d88775d16af} 
     200\hypertarget{classKalmanFull_86ba216243ed95bb46d80d88775d16af}{ 
     201std::ostream \& \hyperlink{classKalmanFull_86ba216243ed95bb46d80d88775d16af}{operator$<$$<$} (std::ostream \&os, const \hyperlink{classKalmanFull}{KalmanFull} \&kf)} 
     202\label{classKalmanFull_86ba216243ed95bb46d80d88775d16af} 
    128203 
    129204\begin{CompactList}\small\item\em print elements of KF \item\end{CompactList}\end{CompactItemize} 
    … …  
    131206 
    132207\subsection{Detailed Description} 
    133 Extended \doxyref{Kalman}{p.}{classKalman} filter with unknown {\tt Q} and {\tt R}.  
     208Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q} and {\tt R}.  
     209 
     210\subsection{Member Function Documentation} 
     211\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{ 
     212\index{EKFful\_\-unQR@{EKFful\_\-unQR}!logpred@{logpred}} 
     213\index{logpred@{logpred}!EKFful_unQR@{EKFful\_\-unQR}} 
     214\subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}virtual double BM::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}} 
     215\label{classBM_8a8ce6df431689964c41cc6c849cfd06} 
     216 
     217 
     218Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.  
     219 
     220Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{ 
     221\index{EKFful\_\-unQR@{EKFful\_\-unQR}!\_\-copy\_\-@{\_\-copy\_\-}} 
     222\index{\_\-copy\_\-@{\_\-copy\_\-}!EKFful_unQR@{EKFful\_\-unQR}} 
     223\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual {\bf BM}$\ast$ BM::\_\-copy\_\- (bool {\em changerv} = {\tt false})\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}} 
     224\label{classBM_eb58c81d6a7b75b05fc6f276eed78887} 
     225 
     226 
     227Copy function required in vectors, Arrays of \hyperlink{classBM}{BM} etc. Have to be DELETED manually! Prototype: BM$\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-()}\{\hyperlink{classBM}{BM} Tmp$\ast$=new Tmp(this$\ast$); return Tmp; \}  
     228 
     229Reimplemented in \hyperlink{classARX_d2751057811c6fb8f4ff86e1648bcddc}{ARX}. 
     230 
     231Referenced by MixEF::MixEF(). 
    134232 
    135233The documentation for this class was generated from the following file:\begin{CompactItemize} 
    136234\item  
    137 work/git/mixpp/bdm/estim/{\bf ekf\_\-templ.h}\end{CompactItemize} 
     235work/git/mixpp/bdm/estim/\hyperlink{ekf__templ_8h}{ekf\_\-templ.h}\end{CompactItemize}