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  • doc/latex/classEKF__unQ.tex

    r234 r255  
    33\label{classEKF__unQ}\index{EKF\_\-unQ@{EKF\_\-unQ}} 
    44} 
    5 Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q}.   
     5Extended Kalman filter with unknown {\tt Q}.   
    66 
    77 
    … …  
    1010\begin{center} 
    1111\leavevmode 
    12 \includegraphics[width=102pt]{classEKF__unQ__inherit__graph} 
     12\includegraphics[width=124pt]{classEKF__unQ__inherit__graph} 
    1313\end{center} 
    1414\end{figure} 
    … …  
    2424\item  
    2525\hypertarget{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{ 
    26 \hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)} 
     26\hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classbdm_1_1RV}{RV} rx, \hyperlink{classbdm_1_1RV}{RV} ry, \hyperlink{classbdm_1_1RV}{RV} ru, \hyperlink{classbdm_1_1RV}{RV} rQ)} 
    2727\label{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244} 
    2828 
    … …  
    3434\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item  
    3535\hypertarget{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{ 
    36 \hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)} 
     36\hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classbdm_1_1RV}{RV} rx, \hyperlink{classbdm_1_1RV}{RV} ry, \hyperlink{classbdm_1_1RV}{RV} ru, \hyperlink{classbdm_1_1RV}{RV} rQ)} 
    3737\label{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244} 
    3838 
    … …  
    4949\item  
    5050\hypertarget{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{ 
    51 \hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classRV}{RV} rx, \hyperlink{classRV}{RV} ry, \hyperlink{classRV}{RV} ru, \hyperlink{classRV}{RV} rQ)} 
     51\hyperlink{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244}{EKF\_\-unQ} (\hyperlink{classbdm_1_1RV}{RV} rx, \hyperlink{classbdm_1_1RV}{RV} ry, \hyperlink{classbdm_1_1RV}{RV} ru, \hyperlink{classbdm_1_1RV}{RV} rQ)} 
    5252\label{classEKF__unQ_159eaaa5a05c5ceecdaa20956a307244} 
    5353 
    … …  
    5858 
    5959\begin{CompactList}\small\item\em Substitute {\tt val} for {\tt rvc}. \item\end{CompactList}\item  
    60 \hypertarget{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{ 
    61 void \hyperlink{classEKFCh_0216bed270df59fe65d0d62d41f8257c}{set\_\-parameters} (\hyperlink{classdiffbifn}{diffbifn} $\ast$\hyperlink{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{pfxu}, \hyperlink{classdiffbifn}{diffbifn} $\ast$\hyperlink{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{phxu}, const \hyperlink{classchmat}{chmat} Q0, const \hyperlink{classchmat}{chmat} R0)} 
    62 \label{classEKFCh_0216bed270df59fe65d0d62d41f8257c} 
     60\hypertarget{classbdm_1_1EKFCh_50f9fbffad721f35e5ccb75d0f6b842a}{ 
     61void \hyperlink{classbdm_1_1EKFCh_50f9fbffad721f35e5ccb75d0f6b842a}{set\_\-parameters} (diffbifn $\ast$\hyperlink{classbdm_1_1EKFCh_e1e895f994398a55bc425551fc275ba3}{pfxu}, diffbifn $\ast$\hyperlink{classbdm_1_1EKFCh_6b34c69641826322467b704e8252f317}{phxu}, const \hyperlink{classchmat}{chmat} Q0, const \hyperlink{classchmat}{chmat} R0)} 
     62\label{classbdm_1_1EKFCh_50f9fbffad721f35e5ccb75d0f6b842a} 
    6363 
    6464\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item  
    65 \hypertarget{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{ 
    66 void \hyperlink{classKalmanCh_92fb227287af05c9f0078d523c7c9793}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const \hyperlink{classchmat}{chmat} \&R0, const \hyperlink{classchmat}{chmat} \&Q0)} 
    67 \label{classKalmanCh_92fb227287af05c9f0078d523c7c9793} 
     65\hypertarget{classbdm_1_1KalmanCh_ab3a87ba1831e53f193a9dfbaf56a879}{ 
     66void \hyperlink{classbdm_1_1KalmanCh_ab3a87ba1831e53f193a9dfbaf56a879}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const \hyperlink{classchmat}{chmat} \&R0, const \hyperlink{classchmat}{chmat} \&Q0)} 
     67\label{classbdm_1_1KalmanCh_ab3a87ba1831e53f193a9dfbaf56a879} 
    6868 
    6969\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item  
    70 \hypertarget{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{ 
    71 void \hyperlink{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1}{bayes} (const vec \&dt)} 
    72 \label{classEKFCh_96f6edda324a0b7ef8b4e86cc7af60c1} 
     70\hypertarget{classbdm_1_1EKFCh_4c8609c37290b158f88a31dae4047225}{ 
     71void \hyperlink{classbdm_1_1EKFCh_4c8609c37290b158f88a31dae4047225}{bayes} (const vec \&dt)} 
     72\label{classbdm_1_1EKFCh_4c8609c37290b158f88a31dae4047225} 
    7373 
    7474\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item  
    75 \hypertarget{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{ 
    76 void \hyperlink{classKalmanCh_b261b20f6210d4c85131d33302df0adc}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)} 
    77 \label{classKalmanCh_b261b20f6210d4c85131d33302df0adc} 
     75\hypertarget{classbdm_1_1KalmanCh_f559387dd38bd6002be490cc62987290}{ 
     76void \hyperlink{classbdm_1_1KalmanCh_f559387dd38bd6002be490cc62987290}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)} 
     77\label{classbdm_1_1KalmanCh_f559387dd38bd6002be490cc62987290} 
    7878 
    7979\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item  
    80 \hypertarget{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{ 
    81 const \hyperlink{classepdf}{epdf} \& \hyperlink{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe}{\_\-epdf} () const } 
    82 \label{classKalman_67cccaf1c4dcdcd1df110e15ef326bfe} 
    83  
    84 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    85 \hypertarget{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{ 
    86 const \hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \hyperlink{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07}{\_\-e} () const } 
    87 \label{classKalman_11f82ef04e3dbc54bd1d3d89edb6aa07} 
    88  
    89 \begin{CompactList}\small\item\em Returns a pointer to the \hyperlink{classepdf}{epdf} representing posterior density on parameters. Use with care! \item\end{CompactList}\item  
    90 \hypertarget{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{ 
    91 mat \& \hyperlink{classKalman_980fcd41c6c548c5da7b8b67c8e6da79}{\_\-\_\-K} ()} 
    92 \label{classKalman_980fcd41c6c548c5da7b8b67c8e6da79} 
    93  
    94 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    95 \hypertarget{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{ 
    96 vec \hyperlink{classKalman_ac9540f3850b74d89a5fe4db6fc358ce}{\_\-dP} ()} 
    97 \label{classKalman_ac9540f3850b74d89a5fe4db6fc358ce} 
    98  
    99 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    100 \hypertarget{classBM_0186270f75189677f390fe088a9947e9}{ 
    101 virtual void \hyperlink{classBM_0186270f75189677f390fe088a9947e9}{bayesB} (const mat \&Dt)} 
    102 \label{classBM_0186270f75189677f390fe088a9947e9} 
     80\hypertarget{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d}{ 
     81const epdf \& \hyperlink{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d}{\_\-epdf} () const } 
     82\label{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d} 
     83 
     84\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     85\hypertarget{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77}{ 
     86const enorm$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \hyperlink{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77}{\_\-e} () const } 
     87\label{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77} 
     88 
     89\begin{CompactList}\small\item\em Returns a pointer to the epdf representing posterior density on parameters. Use with care! \item\end{CompactList}\item  
     90\hypertarget{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277}{ 
     91mat \& \hyperlink{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277}{\_\-\_\-K} ()} 
     92\label{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277} 
     93 
     94\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     95\hypertarget{classbdm_1_1Kalman_a250d1dbe7bba861dba2a324520cfa48}{ 
     96vec \hyperlink{classbdm_1_1Kalman_a250d1dbe7bba861dba2a324520cfa48}{\_\-dP} ()} 
     97\label{classbdm_1_1Kalman_a250d1dbe7bba861dba2a324520cfa48} 
     98 
     99\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     100\hypertarget{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{ 
     101virtual void \hyperlink{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{bayesB} (const mat \&Dt)} 
     102\label{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc} 
    103103 
    104104\begin{CompactList}\small\item\em Batch Bayes rule (columns of Dt are observations). \item\end{CompactList}\item  
    105 virtual double \hyperlink{classBM_8a8ce6df431689964c41cc6c849cfd06}{logpred} (const vec \&dt) const  
    106 \item  
    107 \hypertarget{classBM_cd0660f2a1a344b56ac39802708ff165}{ 
    108 vec \hyperlink{classBM_cd0660f2a1a344b56ac39802708ff165}{logpred\_\-m} (const mat \&dt) const } 
    109 \label{classBM_cd0660f2a1a344b56ac39802708ff165} 
     105virtual double \hyperlink{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{logpred} (const vec \&dt) const  
     106\item  
     107\hypertarget{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{ 
     108vec \hyperlink{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae}{logpred\_\-m} (const mat \&dt) const } 
     109\label{classbdm_1_1BM_0e8ebe61fb14990abe1254bd3dda5fae} 
    110110 
    111111\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item  
    112 \hypertarget{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{ 
    113 virtual \hyperlink{classepdf}{epdf} $\ast$ \hyperlink{classBM_5594d68ee9aa6fc8c1e79019da5c9d56}{predictor} (const \hyperlink{classRV}{RV} \&\hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}) const } 
    114 \label{classBM_5594d68ee9aa6fc8c1e79019da5c9d56} 
     112\hypertarget{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{ 
     113virtual epdf $\ast$ \hyperlink{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{predictor} (const RV \&\hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}) const } 
     114\label{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c} 
    115115 
    116116\begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item  
    117 \hypertarget{classBM_126bd2595c48e311fc2a7ab72876092a}{ 
    118 const \hyperlink{classRV}{RV} \& \hyperlink{classBM_126bd2595c48e311fc2a7ab72876092a}{\_\-rv} () const } 
    119 \label{classBM_126bd2595c48e311fc2a7ab72876092a} 
    120  
    121 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    122 \hypertarget{classBM_87f4a547d2c29180be88175e5eab9c88}{ 
    123 double \hyperlink{classBM_87f4a547d2c29180be88175e5eab9c88}{\_\-ll} () const } 
    124 \label{classBM_87f4a547d2c29180be88175e5eab9c88} 
    125  
    126 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    127 \hypertarget{classBM_1ffa9f23669aabecc3760c06c6987522}{ 
    128 void \hyperlink{classBM_1ffa9f23669aabecc3760c06c6987522}{set\_\-evalll} (bool evl0)} 
    129 \label{classBM_1ffa9f23669aabecc3760c06c6987522} 
    130  
    131 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    132 virtual \hyperlink{classBM}{BM} $\ast$ \hyperlink{classBM_eb58c81d6a7b75b05fc6f276eed78887}{\_\-copy\_\-} (bool changerv=false) 
    133 \item  
    134 \hypertarget{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{ 
    135 const \hyperlink{classRV}{RV} \& \hyperlink{classBMcond_3fa60348b2da6b4208bb95b8d146900a}{\_\-rvc} () const } 
    136 \label{classBMcond_3fa60348b2da6b4208bb95b8d146900a} 
     117\hypertarget{classbdm_1_1BM_40a3c891996391e3135518053a917793}{ 
     118const RV \& \hyperlink{classbdm_1_1BM_40a3c891996391e3135518053a917793}{\_\-rv} () const } 
     119\label{classbdm_1_1BM_40a3c891996391e3135518053a917793} 
     120 
     121\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     122\hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{ 
     123double \hyperlink{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{\_\-ll} () const } 
     124\label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70} 
     125 
     126\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     127\hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{ 
     128void \hyperlink{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{set\_\-evalll} (bool evl0)} 
     129\label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f} 
     130 
     131\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     132virtual BM $\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-} (bool changerv=false) 
     133\item  
     134\hypertarget{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{ 
     135const RV \& \hyperlink{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{\_\-rvc} () const } 
     136\label{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc} 
    137137 
    138138\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} 
    … …  
    140140\begin{CompactItemize} 
    141141\item  
    142 \hypertarget{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{ 
    143 \hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_f4d595c2a674f8c6831eb1909bf21757}{pfxu}} 
    144 \label{classEKFCh_f4d595c2a674f8c6831eb1909bf21757} 
     142\hypertarget{classbdm_1_1EKFCh_e1e895f994398a55bc425551fc275ba3}{ 
     143diffbifn $\ast$ \hyperlink{classbdm_1_1EKFCh_e1e895f994398a55bc425551fc275ba3}{pfxu}} 
     144\label{classbdm_1_1EKFCh_e1e895f994398a55bc425551fc275ba3} 
    145145 
    146146\begin{CompactList}\small\item\em Internal Model f(x,u). \item\end{CompactList}\item  
    147 \hypertarget{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{ 
    148 \hyperlink{classdiffbifn}{diffbifn} $\ast$ \hyperlink{classEKFCh_02503fee942fb63bfbe27354cdf8e734}{phxu}} 
    149 \label{classEKFCh_02503fee942fb63bfbe27354cdf8e734} 
     147\hypertarget{classbdm_1_1EKFCh_6b34c69641826322467b704e8252f317}{ 
     148diffbifn $\ast$ \hyperlink{classbdm_1_1EKFCh_6b34c69641826322467b704e8252f317}{phxu}} 
     149\label{classbdm_1_1EKFCh_6b34c69641826322467b704e8252f317} 
    150150 
    151151\begin{CompactList}\small\item\em Observation Model h(x,u). \item\end{CompactList}\item  
    152 \hypertarget{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{ 
    153 mat \hyperlink{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798}{preA}} 
    154 \label{classKalmanCh_94ee9da75b0e0f632e4a354988ca3798} 
     152\hypertarget{classbdm_1_1KalmanCh_48611c8582706cfa62e832be0972e75d}{ 
     153mat \hyperlink{classbdm_1_1KalmanCh_48611c8582706cfa62e832be0972e75d}{preA}} 
     154\label{classbdm_1_1KalmanCh_48611c8582706cfa62e832be0972e75d} 
    155155 
    156156\begin{CompactList}\small\item\em pre array (triangular matrix) \item\end{CompactList}\item  
    157 \hypertarget{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{ 
    158 mat \hyperlink{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87}{postA}} 
    159 \label{classKalmanCh_0d31a26dc72b5846cfe5af3ccb63ac87} 
     157\hypertarget{classbdm_1_1KalmanCh_bcbd68f51d4b57246e7784ca5900171f}{ 
     158mat \hyperlink{classbdm_1_1KalmanCh_bcbd68f51d4b57246e7784ca5900171f}{postA}} 
     159\label{classbdm_1_1KalmanCh_bcbd68f51d4b57246e7784ca5900171f} 
    160160 
    161161\begin{CompactList}\small\item\em post array (triangular matrix) \item\end{CompactList}\item  
    162 \hypertarget{classKalman_7501230c2fafa3655887d2da23b3184c}{ 
    163 \hyperlink{classRV}{RV} \hyperlink{classKalman_7501230c2fafa3655887d2da23b3184c}{rvy}} 
    164 \label{classKalman_7501230c2fafa3655887d2da23b3184c} 
     162\hypertarget{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7}{ 
     163RV \hyperlink{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7}{rvy}} 
     164\label{classbdm_1_1Kalman_3fe475a1e920b20b63bb342c0e1571f7} 
    165165 
    166166\begin{CompactList}\small\item\em Indetifier of output rv. \item\end{CompactList}\item  
    167 \hypertarget{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{ 
    168 \hyperlink{classRV}{RV} \hyperlink{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498}{rvu}} 
    169 \label{classKalman_44a16ffd5ac1e6e39bae34fea9e1e498} 
     167\hypertarget{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94}{ 
     168RV \hyperlink{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94}{rvu}} 
     169\label{classbdm_1_1Kalman_149e27424fd1a7cc1c998ea088618a94} 
    170170 
    171171\begin{CompactList}\small\item\em Indetifier of exogeneous rv. \item\end{CompactList}\item  
    172 \hypertarget{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{ 
    173 int \hyperlink{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb}{dimx}} 
    174 \label{classKalman_39c8c403b46fa3b8c7da77cb2e3729eb} 
     172\hypertarget{classbdm_1_1Kalman_ba7699cdb3b1382a54d3e28b9b7517fa}{ 
     173int \hyperlink{classbdm_1_1Kalman_ba7699cdb3b1382a54d3e28b9b7517fa}{dimx}} 
     174\label{classbdm_1_1Kalman_ba7699cdb3b1382a54d3e28b9b7517fa} 
    175175 
    176176\begin{CompactList}\small\item\em cache of rv.count() \item\end{CompactList}\item  
    177 \hypertarget{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{ 
    178 int \hyperlink{classKalman_ba17b956df1e38b31fbbc299c8213b6a}{dimy}} 
    179 \label{classKalman_ba17b956df1e38b31fbbc299c8213b6a} 
     177\hypertarget{classbdm_1_1Kalman_d2c36ba01760bf207b985bf321b7817f}{ 
     178int \hyperlink{classbdm_1_1Kalman_d2c36ba01760bf207b985bf321b7817f}{dimy}} 
     179\label{classbdm_1_1Kalman_d2c36ba01760bf207b985bf321b7817f} 
    180180 
    181181\begin{CompactList}\small\item\em cache of rvy.count() \item\end{CompactList}\item  
    182 \hypertarget{classKalman_b0153795a1444b6968a86409c778d9ce}{ 
    183 int \hyperlink{classKalman_b0153795a1444b6968a86409c778d9ce}{dimu}} 
    184 \label{classKalman_b0153795a1444b6968a86409c778d9ce} 
     182\hypertarget{classbdm_1_1Kalman_c5136ef617f6ac0e426bea222755d92b}{ 
     183int \hyperlink{classbdm_1_1Kalman_c5136ef617f6ac0e426bea222755d92b}{dimu}} 
     184\label{classbdm_1_1Kalman_c5136ef617f6ac0e426bea222755d92b} 
    185185 
    186186\begin{CompactList}\small\item\em cache of rvu.count() \item\end{CompactList}\item  
    187 \hypertarget{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{ 
    188 mat \hyperlink{classKalman_5e02efe86ee91e9c74b93b425fe060b9}{A}} 
    189 \label{classKalman_5e02efe86ee91e9c74b93b425fe060b9} 
     187\hypertarget{classbdm_1_1Kalman_0a2072e2090c10fac74ad30a023a4ace}{ 
     188mat \hyperlink{classbdm_1_1Kalman_0a2072e2090c10fac74ad30a023a4ace}{A}} 
     189\label{classbdm_1_1Kalman_0a2072e2090c10fac74ad30a023a4ace} 
    190190 
    191191\begin{CompactList}\small\item\em Matrix A. \item\end{CompactList}\item  
    192 \hypertarget{classKalman_dc87704284a6c0bca13bf51f4345a50a}{ 
    193 mat \hyperlink{classKalman_dc87704284a6c0bca13bf51f4345a50a}{B}} 
    194 \label{classKalman_dc87704284a6c0bca13bf51f4345a50a} 
     192\hypertarget{classbdm_1_1Kalman_5977b2c81857948a35105f0e7840203c}{ 
     193mat \hyperlink{classbdm_1_1Kalman_5977b2c81857948a35105f0e7840203c}{B}} 
     194\label{classbdm_1_1Kalman_5977b2c81857948a35105f0e7840203c} 
    195195 
    196196\begin{CompactList}\small\item\em Matrix B. \item\end{CompactList}\item  
    197 \hypertarget{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{ 
    198 mat \hyperlink{classKalman_86a805cd6515872d1132ad0d6eb5dc13}{C}} 
    199 \label{classKalman_86a805cd6515872d1132ad0d6eb5dc13} 
     197\hypertarget{classbdm_1_1Kalman_818eba63a23972786a4579ad30294177}{ 
     198mat \hyperlink{classbdm_1_1Kalman_818eba63a23972786a4579ad30294177}{C}} 
     199\label{classbdm_1_1Kalman_818eba63a23972786a4579ad30294177} 
    200200 
    201201\begin{CompactList}\small\item\em Matrix C. \item\end{CompactList}\item  
    202 \hypertarget{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{ 
    203 mat \hyperlink{classKalman_d69f774ba3335c970c1c5b1d182f4dd1}{D}} 
    204 \label{classKalman_d69f774ba3335c970c1c5b1d182f4dd1} 
     202\hypertarget{classbdm_1_1Kalman_7b56ac423d0654b5755e4f852a870456}{ 
     203mat \hyperlink{classbdm_1_1Kalman_7b56ac423d0654b5755e4f852a870456}{D}} 
     204\label{classbdm_1_1Kalman_7b56ac423d0654b5755e4f852a870456} 
    205205 
    206206\begin{CompactList}\small\item\em Matrix D. \item\end{CompactList}\item  
    207 \hypertarget{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{ 
    208 \hyperlink{classchmat}{chmat} \hyperlink{classKalman_9b69015c800eb93f3ee49da23a6f55d9}{Q}} 
    209 \label{classKalman_9b69015c800eb93f3ee49da23a6f55d9} 
     207\hypertarget{classbdm_1_1Kalman_70f8bf19e81b532c60fd3a7a152425ee}{ 
     208\hyperlink{classchmat}{chmat} \hyperlink{classbdm_1_1Kalman_70f8bf19e81b532c60fd3a7a152425ee}{Q}} 
     209\label{classbdm_1_1Kalman_70f8bf19e81b532c60fd3a7a152425ee} 
    210210 
    211211\begin{CompactList}\small\item\em Matrix Q in square-root form. \item\end{CompactList}\item  
    212 \hypertarget{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{ 
    213 \hyperlink{classchmat}{chmat} \hyperlink{classKalman_11d171dc0e0ab111c56a70f98b97b3ec}{R}} 
    214 \label{classKalman_11d171dc0e0ab111c56a70f98b97b3ec} 
     212\hypertarget{classbdm_1_1Kalman_475b088287cdfbba4dc60a3d027728b7}{ 
     213\hyperlink{classchmat}{chmat} \hyperlink{classbdm_1_1Kalman_475b088287cdfbba4dc60a3d027728b7}{R}} 
     214\label{classbdm_1_1Kalman_475b088287cdfbba4dc60a3d027728b7} 
    215215 
    216216\begin{CompactList}\small\item\em Matrix R in square-root form. \item\end{CompactList}\item  
    217 \hypertarget{classKalman_5568c74bac67ae6d3b1061dba60c9424}{ 
    218 \hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_5568c74bac67ae6d3b1061dba60c9424}{est}} 
    219 \label{classKalman_5568c74bac67ae6d3b1061dba60c9424} 
     217\hypertarget{classbdm_1_1Kalman_383f329ff18bbe219254c8b3b916f40d}{ 
     218enorm$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classbdm_1_1Kalman_383f329ff18bbe219254c8b3b916f40d}{est}} 
     219\label{classbdm_1_1Kalman_383f329ff18bbe219254c8b3b916f40d} 
    220220 
    221221\begin{CompactList}\small\item\em posterior density on \$x\_\-t\$ \item\end{CompactList}\item  
    222 \hypertarget{classKalman_e580ab06483952bd03f2e651763e184f}{ 
    223 \hyperlink{classenorm}{enorm}$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classKalman_e580ab06483952bd03f2e651763e184f}{fy}} 
    224 \label{classKalman_e580ab06483952bd03f2e651763e184f} 
     222\hypertarget{classbdm_1_1Kalman_ba555c394c429f6831c9bbabfa2c944c}{ 
     223enorm$<$ \hyperlink{classchmat}{chmat} $>$ \hyperlink{classbdm_1_1Kalman_ba555c394c429f6831c9bbabfa2c944c}{fy}} 
     224\label{classbdm_1_1Kalman_ba555c394c429f6831c9bbabfa2c944c} 
    225225 
    226226\begin{CompactList}\small\item\em preditive density on \$y\_\-t\$ \item\end{CompactList}\item  
    227 \hypertarget{classKalman_d422f51467c7a06174af2476d2826132}{ 
    228 mat \hyperlink{classKalman_d422f51467c7a06174af2476d2826132}{\_\-K}} 
    229 \label{classKalman_d422f51467c7a06174af2476d2826132} 
    230  
    231 \begin{CompactList}\small\item\em placeholder for \hyperlink{classKalman}{Kalman} gain \item\end{CompactList}\item  
    232 \hypertarget{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{ 
    233 vec \& \hyperlink{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd}{\_\-yp}} 
    234 \label{classKalman_764bbc95238eda11fc81c5ebd0b1dcfd} 
     227\hypertarget{classbdm_1_1Kalman_bd69dfb802465f22dd84d73a180d5c92}{ 
     228mat \hyperlink{classbdm_1_1Kalman_bd69dfb802465f22dd84d73a180d5c92}{\_\-K}} 
     229\label{classbdm_1_1Kalman_bd69dfb802465f22dd84d73a180d5c92} 
     230 
     231\begin{CompactList}\small\item\em placeholder for Kalman gain \item\end{CompactList}\item  
     232\hypertarget{classbdm_1_1Kalman_c249d45258c8578b13858ad3e7b729b1}{ 
     233vec \& \hyperlink{classbdm_1_1Kalman_c249d45258c8578b13858ad3e7b729b1}{\_\-yp}} 
     234\label{classbdm_1_1Kalman_c249d45258c8578b13858ad3e7b729b1} 
    235235 
    236236\begin{CompactList}\small\item\em cache of fy.mu \item\end{CompactList}\item  
    237 \hypertarget{classKalman_45c9f928d2d62e0c884900fb3380f904}{ 
    238 \hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_45c9f928d2d62e0c884900fb3380f904}{\_\-Ry}} 
    239 \label{classKalman_45c9f928d2d62e0c884900fb3380f904} 
     237\hypertarget{classbdm_1_1Kalman_2dd268f2d7fbe6382cb8825a1114192a}{ 
     238\hyperlink{classchmat}{chmat} \& \hyperlink{classbdm_1_1Kalman_2dd268f2d7fbe6382cb8825a1114192a}{\_\-Ry}} 
     239\label{classbdm_1_1Kalman_2dd268f2d7fbe6382cb8825a1114192a} 
    240240 
    241241\begin{CompactList}\small\item\em cache of fy.R \item\end{CompactList}\item  
    242 \hypertarget{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{ 
    243 vec \& \hyperlink{classKalman_fe803a81d2d847b0b1db3c6b29c18061}{\_\-mu}} 
    244 \label{classKalman_fe803a81d2d847b0b1db3c6b29c18061} 
     242\hypertarget{classbdm_1_1Kalman_fa172078091e45561343fa513dd573b0}{ 
     243vec \& \hyperlink{classbdm_1_1Kalman_fa172078091e45561343fa513dd573b0}{\_\-mu}} 
     244\label{classbdm_1_1Kalman_fa172078091e45561343fa513dd573b0} 
    245245 
    246246\begin{CompactList}\small\item\em cache of est.mu \item\end{CompactList}\item  
    247 \hypertarget{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{ 
    248 \hyperlink{classchmat}{chmat} \& \hyperlink{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf}{\_\-P}} 
    249 \label{classKalman_9fb808cc94a4c2652e1fb93be9bb7dcf} 
     247\hypertarget{classbdm_1_1Kalman_00c27b0bf324f0018497921ca23c71ed}{ 
     248\hyperlink{classchmat}{chmat} \& \hyperlink{classbdm_1_1Kalman_00c27b0bf324f0018497921ca23c71ed}{\_\-P}} 
     249\label{classbdm_1_1Kalman_00c27b0bf324f0018497921ca23c71ed} 
    250250 
    251251\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item  
    252 \hypertarget{classBM_af00f0612fabe66241dd507188cdbf88}{ 
    253 \hyperlink{classRV}{RV} \hyperlink{classBM_af00f0612fabe66241dd507188cdbf88}{rv}} 
    254 \label{classBM_af00f0612fabe66241dd507188cdbf88} 
     252\hypertarget{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{ 
     253RV \hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}} 
     254\label{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca} 
    255255 
    256256\begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item  
    257 \hypertarget{classBM_5623fef6572a08c2b53b8c87b82dc979}{ 
    258 double \hyperlink{classBM_5623fef6572a08c2b53b8c87b82dc979}{ll}} 
    259 \label{classBM_5623fef6572a08c2b53b8c87b82dc979} 
     257\hypertarget{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ 
     258double \hyperlink{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ll}} 
     259\label{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a} 
    260260 
    261261\begin{CompactList}\small\item\em Logarithm of marginalized data likelihood. \item\end{CompactList}\item  
    262 \hypertarget{classBM_bf6fb59b30141074f8ee1e2f43d03129}{ 
    263 bool \hyperlink{classBM_bf6fb59b30141074f8ee1e2f43d03129}{evalll}} 
    264 \label{classBM_bf6fb59b30141074f8ee1e2f43d03129} 
     262\hypertarget{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{ 
     263bool \hyperlink{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee}{evalll}} 
     264\label{classbdm_1_1BM_faff0ad12556fe7dc0e2807d4fd938ee} 
    265265 
    266266\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  
    267 \hypertarget{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{ 
    268 \hyperlink{classRV}{RV} \hyperlink{classBMcond_9ba793c8ec453f04d372d17195ed8dec}{rvc}} 
    269 \label{classBMcond_9ba793c8ec453f04d372d17195ed8dec} 
     267\hypertarget{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{ 
     268RV \hyperlink{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{rvc}} 
     269\label{classbdm_1_1BMcond_9a12750776d977408aada06a70093297} 
    270270 
    271271\begin{CompactList}\small\item\em Identificator of the conditioning variable. \item\end{CompactList}\end{CompactItemize} 
    … …  
    273273 
    274274\subsection{Detailed Description} 
    275 Extended \hyperlink{classKalman}{Kalman} filter with unknown {\tt Q}.  
     275Extended Kalman filter with unknown {\tt Q}.  
    276276 
    277277\subsection{Member Function Documentation} 
    278 \hypertarget{classBM_8a8ce6df431689964c41cc6c849cfd06}{ 
     278\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{ 
    279279\index{EKF\_\-unQ@{EKF\_\-unQ}!logpred@{logpred}} 
    280280\index{logpred@{logpred}!EKF_unQ@{EKF\_\-unQ}} 
    281 \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{]}}}} 
    282 \label{classBM_8a8ce6df431689964c41cc6c849cfd06} 
     281\subsubsection[logpred]{\setlength{\rightskip}{0pt plus 5cm}virtual double bdm::BM::logpred (const vec \& {\em dt}) const\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}} 
     282\label{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0} 
    283283 
    284284 
    285285Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.  
    286286 
    287 Reimplemented in \hyperlink{classARX_e7f9e7823aec9bf7ddc3b42d9b3304c4}{ARX}, \hyperlink{classMixEF_424ca64f36d4e41de7a7e7ae921d35ea}{MixEF}, and \hyperlink{classmultiBM_13e26a61757278981fd8cac9a7ef91eb}{multiBM}. 
    288  
    289 Referenced by BM::logpred\_\-m().\hypertarget{classBM_eb58c81d6a7b75b05fc6f276eed78887}{ 
     287Reimplemented in \hyperlink{classbdm_1_1ARX_080a7e531e3aa06694112863b15bc6a4}{bdm::ARX}, \hyperlink{classbdm_1_1MixEF_da724da464a75e07521941e430929efa}{bdm::MixEF}, and \hyperlink{classbdm_1_1multiBM_e157b607c1e3fa91d42aeea44458e2bf}{bdm::multiBM}. 
     288 
     289Referenced by bdm::BM::logpred\_\-m().\hypertarget{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{ 
    290290\index{EKF\_\-unQ@{EKF\_\-unQ}!\_\-copy\_\-@{\_\-copy\_\-}} 
    291291\index{\_\-copy\_\-@{\_\-copy\_\-}!EKF_unQ@{EKF\_\-unQ}} 
    292 \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{]}}}} 
    293 \label{classBM_eb58c81d6a7b75b05fc6f276eed78887} 
    294  
    295  
    296 Copy 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; \}  
    297  
    298 Reimplemented in \hyperlink{classARX_5de61fbd4f97fa3216760b1f733f5af0}{ARX}, and \hyperlink{classBMEF_97f5312efe4a5bedb86d2daec59d8651}{BMEF}. 
     292\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual BM$\ast$ bdm::BM::\_\-copy\_\- (bool {\em changerv} = {\tt false})\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}} 
     293\label{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e} 
     294 
     295 
     296Copy function required in vectors, Arrays of \hyperlink{classbdm_1_1BM}{BM} etc. Have to be DELETED manually! Prototype: BM$\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-()}\{\hyperlink{classbdm_1_1BM}{BM} Tmp$\ast$=new Tmp(this$\ast$); return Tmp; \}  
     297 
     298Reimplemented in \hyperlink{classbdm_1_1ARX_20ff2de8d862f28de7da83444d65bcdb}{bdm::ARX}, and \hyperlink{classbdm_1_1BMEF_5912dbcf28ae711e30b08c2fa766a3e6}{bdm::BMEF}. 
    299299 
    300300The documentation for this class was generated from the following files:\begin{CompactItemize}