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  • doc/latex/classKalman.tex

    r145 r172  
     1\hypertarget{classKalman}{ 
    12\section{Kalman$<$ sq\_\-T $>$ Class Template Reference} 
    23\label{classKalman}\index{Kalman@{Kalman}} 
    3 \doxyref{Kalman}{p.}{classKalman} filter with covariance matrices in square root form.   
     4} 
     5\hyperlink{classKalman}{Kalman} filter with covariance matrices in square root form.   
    46 
    57 
    … …  
    2325\begin{CompactItemize} 
    2426\item  
    25 {\bf Kalman} ({\bf RV} rvx0, {\bf RV} rvy0, {\bf RV} rvu0)\label{classKalman_3d56b0a97b8c1e25fdd3b10eef3c2ad3} 
     27\hypertarget{classKalman_3d56b0a97b8c1e25fdd3b10eef3c2ad3}{ 
     28\hyperlink{classKalman_3d56b0a97b8c1e25fdd3b10eef3c2ad3}{Kalman} (\hyperlink{classRV}{RV} rvx0, \hyperlink{classRV}{RV} rvy0, \hyperlink{classRV}{RV} rvu0)} 
     29\label{classKalman_3d56b0a97b8c1e25fdd3b10eef3c2ad3} 
    2630 
    2731\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item  
    28 {\bf Kalman} (const {\bf Kalman}$<$ sq\_\-T $>$ \&K0)\label{classKalman_ce38e31810aea4db45a83ad05eaba009} 
     32\hypertarget{classKalman_ce38e31810aea4db45a83ad05eaba009}{ 
     33\hyperlink{classKalman_ce38e31810aea4db45a83ad05eaba009}{Kalman} (const \hyperlink{classKalman}{Kalman}$<$ sq\_\-T $>$ \&K0)} 
     34\label{classKalman_ce38e31810aea4db45a83ad05eaba009} 
    2935 
    3036\begin{CompactList}\small\item\em Copy constructor. \item\end{CompactList}\item  
    31 void {\bf set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const sq\_\-T \&R0, const sq\_\-T \&Q0)\label{classKalman_239b28a0380946f5749b2f8d2807f93a} 
     37\hypertarget{classKalman_239b28a0380946f5749b2f8d2807f93a}{ 
     38void \hyperlink{classKalman_239b28a0380946f5749b2f8d2807f93a}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const sq\_\-T \&R0, const sq\_\-T \&Q0)} 
     39\label{classKalman_239b28a0380946f5749b2f8d2807f93a} 
    3240 
    3341\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item  
    34 void {\bf set\_\-est} (const vec \&mu0, const sq\_\-T \&P0)\label{classKalman_80bcf29466d9a9dd2b8f74699807d0c0} 
     42\hypertarget{classKalman_80bcf29466d9a9dd2b8f74699807d0c0}{ 
     43void \hyperlink{classKalman_80bcf29466d9a9dd2b8f74699807d0c0}{set\_\-est} (const vec \&mu0, const sq\_\-T \&P0)} 
     44\label{classKalman_80bcf29466d9a9dd2b8f74699807d0c0} 
    3545 
    3646\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item  
    37 void {\bf bayes} (const vec \&dt)\label{classKalman_7750ffd73f261828a32c18aaeb65c75c} 
    38  
    39 \begin{CompactList}\small\item\em Here dt = [yt;ut] of appropriate dimensions. \item\end{CompactList}\item  
    40 {\bf epdf} \& {\bf \_\-epdf} ()\label{classKalman_a213c57aef55b2645e550bed81cfc0d4} 
    41  
    42 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    43 mat \& {\bf \_\-\_\-K} ()\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79} 
    44  
    45 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    46 vec {\bf \_\-dP} ()\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce} 
    47  
    48 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    49 void {\bf bayes} (mat Dt)\label{classBM_87b07867fd4c133aa89a18543f68d9f9} 
     47\hypertarget{classKalman_7750ffd73f261828a32c18aaeb65c75c}{ 
     48void \hyperlink{classKalman_7750ffd73f261828a32c18aaeb65c75c}{bayes} (const vec \&dt)} 
     49\label{classKalman_7750ffd73f261828a32c18aaeb65c75c} 
     50 
     51\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item  
     52\hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{ 
     53const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const } 
     54\label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe} 
     55 
     56\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     57\hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{ 
     58mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()} 
     59\label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79} 
     60 
     61\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     62\hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{ 
     63vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()} 
     64\label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce} 
     65 
     66\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     67\hypertarget{classBM_0186270f75189677f390fe088a9947e9}{ 
     68virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)} 
     69\label{classBM_0186270f75189677f390fe088a9947e9} 
    5070 
    5171\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item  
    52 const {\bf RV} \& {\bf \_\-rv} () const \label{classBM_126bd2595c48e311fc2a7ab72876092a} 
    53  
    54 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    55 double {\bf \_\-ll} () const \label{classBM_87f4a547d2c29180be88175e5eab9c88} 
    56  
    57 \begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} 
     72virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const  
     73\item  
     74\hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{ 
     75const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const } 
     76\label{classBM_126bd2595c48e311fc2a7ab72876092a} 
     77 
     78\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     79\hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{ 
     80double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const } 
     81\label{classBM_87f4a547d2c29180be88175e5eab9c88} 
     82 
     83\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     84\hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{ 
     85void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)} 
     86\label{classBM_1ffa9f23669aabecc3760c06c6987522} 
     87 
     88\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     89virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false) 
     90\end{CompactItemize} 
    5891\subsection*{Protected Attributes} 
    5992\begin{CompactItemize} 
    6093\item  
    61 {\bf RV} {\bf rvy}\label{classKalman_7501230c2fafa3655887d2da23b3184c} 
     94\hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{ 
     95\hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}} 
     96\label{classKalman_7501230c2fafa3655887d2da23b3184c} 
    6297 
    6398\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item  
    64 {\bf RV} {\bf rvu}\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498} 
     99\hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{ 
     100\hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}} 
     101\label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498} 
    65102 
    66103\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item  
    67 int {\bf dimx}\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb} 
     104\hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{ 
     105int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}} 
     106\label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb} 
    68107 
    69108\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item  
    70 int {\bf dimy}\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a} 
     109\hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{ 
     110int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}} 
     111\label{classKalman_ba17b956df1e38b31fbbc299c8213b6a} 
    71112 
    72113\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item  
    73 int {\bf dimu}\label{classKalman_b0153795a1444b6968a86409c778d9ce} 
     114\hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{ 
     115int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}} 
     116\label{classKalman_b0153795a1444b6968a86409c778d9ce} 
    74117 
    75118\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item  
    76 mat {\bf A}\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9} 
     119\hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{ 
     120mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}} 
     121\label{classKalman_5e02efe86ee91e9c74b93b425fe060b9} 
    77122 
    78123\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item  
    79 mat {\bf B}\label{classKalman_dc87704284a6c0bca13bf51f4345a50a} 
     124\hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{ 
     125mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}} 
     126\label{classKalman_dc87704284a6c0bca13bf51f4345a50a} 
    80127 
    81128\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item  
    82 mat {\bf C}\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13} 
     129\hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{ 
     130mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}} 
     131\label{classKalman_86a805cd6515872d1132ad0d6eb5dc13} 
    83132 
    84133\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item  
    85 mat {\bf D}\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1} 
     134\hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{ 
     135mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}} 
     136\label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1} 
    86137 
    87138\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item  
    88 sq\_\-T {\bf Q}\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9} 
     139\hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{ 
     140sq\_\-T \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}} 
     141\label{classKalman_9b69015c800eb93f3ee49da23a6f55d9} 
    89142 
    90143\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item  
    91 sq\_\-T {\bf R}\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec} 
     144\hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{ 
     145sq\_\-T \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}} 
     146\label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec} 
    92147 
    93148\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item  
    94 {\bf enorm}$<$ sq\_\-T $>$ {\bf est}\label{classKalman_5568c74bac67ae6d3b1061dba60c9424} 
     149\hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{ 
     150\hyperlink{classenorm}{enorm}$<$ sq\_\-T $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}} 
     151\label{classKalman_5568c74bac67ae6d3b1061dba60c9424} 
    95152 
    96153\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item  
    97 {\bf enorm}$<$ sq\_\-T $>$ {\bf fy}\label{classKalman_e580ab06483952bd03f2e651763e184f} 
     154\hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{ 
     155\hyperlink{classenorm}{enorm}$<$ sq\_\-T $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}} 
     156\label{classKalman_e580ab06483952bd03f2e651763e184f} 
    98157 
    99158\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item  
    100 mat {\bf \_\-K}\label{classKalman_d422f51467c7a06174af2476d2826132} 
    101  
    102 \begin{CompactList}\small\item\em placeholder for \doxyref{Kalman}{p.}{classKalman} gain \item\end{CompactList}\item  
    103 vec \& {\bf \_\-yp}\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd} 
     159\hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{ 
     160mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}} 
     161\label{classKalman_d422f51467c7a06174af2476d2826132} 
     162 
     163\begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item  
     164\hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{ 
     165vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}} 
     166\label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd} 
    104167 
    105168\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item  
    106 sq\_\-T \& {\bf \_\-Ry}\label{classKalman_45c9f928d2d62e0c884900fb3380f904} 
     169\hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{ 
     170sq\_\-T \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}} 
     171\label{classKalman_45c9f928d2d62e0c884900fb3380f904} 
    107172 
    108173\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item  
    109 vec \& {\bf \_\-mu}\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061} 
     174\hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{ 
     175vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}} 
     176\label{classKalman_fe803a81d2d847b0b1db3c6b29c18061} 
    110177 
    111178\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item  
    112 sq\_\-T \& {\bf \_\-P}\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf} 
     179\hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{ 
     180sq\_\-T \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}} 
     181\label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf} 
    113182 
    114183\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item  
    115 {\bf RV} {\bf rv}\label{classBM_af00f0612fabe66241dd507188cdbf88} 
     184\hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{ 
     185\hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}} 
     186\label{classBM_af00f0612fabe66241dd507188cdbf88} 
    116187 
    117188\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item  
    118 double {\bf ll}\label{classBM_5623fef6572a08c2b53b8c87b82dc979} 
     189\hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{ 
     190double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}} 
     191\label{classBM_5623fef6572a08c2b53b8c87b82dc979} 
    119192 
    120193\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item  
    121 bool {\bf evalll}\label{classBM_bf6fb59b30141074f8ee1e2f43d03129} 
    122  
    123 \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}\end{CompactItemize} 
     194\hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{ 
     195bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}} 
     196\label{classBM_bf6fb59b30141074f8ee1e2f43d03129} 
     197 
     198\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}\end{CompactItemize} 
    124199 
    125200 
    … …  
    127202\subsubsection*{template$<$class sq\_\-T$>$ class Kalman$<$ sq\_\-T $>$} 
    128203 
    129 \doxyref{Kalman}{p.}{classKalman} filter with covariance matrices in square root form.  
     204\hyperlink{classKalman}{Kalman} filter with covariance matrices in square root form.  
    130205 
    131206Parameter evolution model:\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \] Observation model: \[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \] Where \$e\_\-t\$ and \$w\_\-t\$ are independent vectors Normal(0,1)-distributed disturbances.  
    132207 
     208\subsection{Member Function Documentation} 
     209\hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{ 
     210\index{Kalman@{Kalman}!logpred@{logpred}} 
     211\index{logpred@{logpred}!Kalman@{Kalman}} 
     212\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{]}}}} 
     213\label{classBM_8a8ce6df431689964c41cc6c849cfd06} 
     214 
     215 
     216Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.  
     217 
     218Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}.\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{ 
     219\index{Kalman@{Kalman}!\_\-copy\_\-@{\_\-copy\_\-}} 
     220\index{\_\-copy\_\-@{\_\-copy\_\-}!Kalman@{Kalman}} 
     221\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{]}}}} 
     222\label{classBM_eb58c81d6a7b75b05fc6f276eed78887} 
     223 
     224 
     225Copy 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; \}  
     226 
     227Reimplemented in \hyperlink{classARX_d2751057811c6fb8f4ff86e1648bcddc}{ARX}. 
     228 
     229Referenced by MixEF::MixEF(). 
     230 
    133231The documentation for this class was generated from the following file:\begin{CompactItemize} 
    134232\item  
    135 work/git/mixpp/bdm/estim/{\bf libKF.h}\end{CompactItemize} 
     233work/git/mixpp/bdm/estim/\hyperlink{libKF_8h}{libKF.h}\end{CompactItemize}