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Timestamp:
02/16/09 10:02:08 (16 years ago)
Author:
smidl
Message:

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

Files:
1 modified

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  • doc/html/classbdm_1_1EKF.html

    r269 r270  
    2929</div> 
    3030<div class="contents"> 
    31 <h1>bdm::EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" -->Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.   
    32 <a href="#_details">More...</a> 
    33 <p> 
    34 <code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code> 
     31<h1>bdm::EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" --><code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code> 
    3532<p> 
    3633<div class="dynheader"> 
    … …  
    4138<area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; fsqmat \&gt;" alt="" coords="5,263,187,289"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="33,87,111,113"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="93,167,259,193"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="16,7,128,33"></map> 
    4239<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    43 <div class="dynheader"> 
    44 Collaboration diagram for bdm::EKF&lt; sq_T &gt;:</div> 
    45 <div class="dynsection"> 
    46 <p><center><img src="classbdm_1_1EKF__coll__graph.png" border="0" usemap="#bdm_1_1EKF_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center> 
    47 <map name="bdm_1_1EKF_3_01sq__T_01_4__coll__map"> 
    48 <area shape="rect" href="classbdm_1_1Kalman.html" title="bdm::Kalman\&lt; fsqmat \&gt;" alt="" coords="297,727,479,753"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="441,201,519,228"><area shape="rect" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="365,351,531,377"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="431,7,543,33"><area shape="rect" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables." alt="" coords="373,87,448,113"><area shape="rect" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="131,201,216,228"><area shape="rect" href="classbdm_1_1fnc.html" title="Class representing function &#160;of variable &#160;represented by rv." alt="" coords="561,87,639,113"><area shape="rect" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables ." alt="" coords="551,201,649,228"><area shape="rect" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix." alt="" coords="5,463,72,489"><area shape="rect" href="classbdm_1_1enorm.html" title="bdm::enorm\&lt; fsqmat \&gt;" alt="" coords="108,595,284,621"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="8,351,69,377"><area shape="rect" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density." alt="" coords="115,351,195,377"><area shape="rect" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="148,463,308,489"></map> 
    49 <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    50  
    51 <p> 
    52 <a href="classbdm_1_1EKF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0"> 
     40 
     41<p> 
     42<a href="classbdm_1_1EKF-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2> 
     43<h3>template&lt;class sq_T&gt;<br> 
     44 class bdm::EKF&lt; sq_T &gt;</h3> 
     45 
     46Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.  
     47<p> 
     48An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <table border="0" cellpadding="0" cellspacing="0"> 
    5349<tr><td></td></tr> 
    5450<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> 
    … …  
    7874<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    7975<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKF::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " --> 
    80 const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c34989b1e53c7d4ecdaea63a95ddbd77">_e</a> () const </td></tr> 
    81  
    82 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the epdf representing posterior density on parameters. Use with care! <br></td></tr> 
     76const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr> 
     77 
    8378<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKF::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> 
    8479mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> 
    … …  
    8984 
    9085<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     86<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr> 
     87<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a> ()</td></tr> 
     88 
     89<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> 
    9190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKF::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" --> 
    9291virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr> 
    … …  
    9998 
    10099<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr> 
    101 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="710e7d69c0d8791fb41a7cd4683cca2c"></a><!-- doxytag: member="bdm::EKF::predictor" ref="710e7d69c0d8791fb41a7cd4683cca2c" args="(const RV &amp;rv) const " --> 
    102 virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#710e7d69c0d8791fb41a7cd4683cca2c">predictor</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>) const </td></tr> 
    103  
    104 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr> 
    105 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40a3c891996391e3135518053a917793"></a><!-- doxytag: member="bdm::EKF::_rv" ref="40a3c891996391e3135518053a917793" args="() const " --> 
    106 const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793">_rv</a> () const </td></tr> 
    107  
    108 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKF::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " --> 
     101virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr> 
     102 
     103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_112.png">. <br></td></tr> 
     104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKF::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " --> 
     105virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr> 
     106 
     107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> 
     108<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
    109109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKF::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
    110 const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ff2d8755ba0b3def927d31305c03b09c">_drv</a> () const </td></tr> 
    111  
    112 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     110const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> 
     111 
    113112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKF::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" --> 
    114 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#f135ae6dce7e9f30c9f88229c7930b96">set_drv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>)</td></tr> 
    115  
    116 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set drv <br></td></tr> 
     113void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr> 
     114 
    117115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKF::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " --> 
    118 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr> 
    119  
    120 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     116double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> 
     117 
    121118<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKF::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> 
    122 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr> 
    123  
    124 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    125 <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_</a> (bool changerv=false)</td></tr> 
     119void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> 
    126120 
    127121<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
    … …  
    198192 
    199193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
    200 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18d6db4af8ee42077741d9e3618153ca"></a><!-- doxytag: member="bdm::EKF::rv" ref="18d6db4af8ee42077741d9e3618153ca" args="" --> 
    201 <a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a></td></tr> 
    202  
    203 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr> 
    204194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKF::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> 
    205195<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr> 
    … …  
    215205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr> 
    216206</table> 
    217 <hr><a name="_details"></a><h2>Detailed Description</h2> 
    218 <h3>template&lt;class sq_T&gt;<br> 
    219  class bdm::EKF&lt; sq_T &gt;</h3> 
    220  
    221 Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.  
    222 <p> 
    223 An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <hr><h2>Member Function Documentation</h2> 
     207<hr><h2>Member Function Documentation</h2> 
     208<a class="anchor" name="c0f027ff91d8459937c6f60ff8e553ff"></a><!-- doxytag: member="bdm::EKF::_copy_" ref="c0f027ff91d8459937c6f60ff8e553ff" args="()" --> 
     209<div class="memitem"> 
     210<div class="memproto"> 
     211      <table class="memname"> 
     212        <tr> 
     213          <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td> 
     214          <td>(</td> 
     215          <td class="paramname">          </td> 
     216          <td>&nbsp;)&nbsp;</td> 
     217          <td><code> [inline, virtual, inherited]</code></td> 
     218        </tr> 
     219      </table> 
     220</div> 
     221<div class="memdoc"> 
     222 
     223<p> 
     224Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">_copy_</a>(){<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}  
     225</pre></div>  
     226<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">bdm::ARX</a>.</p> 
     227 
     228</div> 
     229</div><p> 
    224230<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKF::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " --> 
    225231<div class="memitem"> 
    … …  
    242248<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p> 
    243249 
    244 <p>Referenced by <a class="el" href="libBM_8h-source.html#l00535">bdm::BM::logpred_m()</a>.</p> 
    245  
    246 </div> 
    247 </div><p> 
    248 <a class="anchor" name="3efb3098172f1f67564a312fe732473e"></a><!-- doxytag: member="bdm::EKF::_copy_" ref="3efb3098172f1f67564a312fe732473e" args="(bool changerv=false)" --> 
    249 <div class="memitem"> 
    250 <div class="memproto"> 
    251       <table class="memname"> 
    252         <tr> 
    253           <td class="memname">virtual <a class="el" href="classbdm_1_1BM.html">BM</a>* bdm::BM::_copy_           </td> 
    254           <td>(</td> 
    255           <td class="paramtype">bool&nbsp;</td> 
    256           <td class="paramname"> <em>changerv</em> = <code>false</code>          </td> 
    257           <td>&nbsp;)&nbsp;</td> 
    258           <td><code> [inline, virtual, inherited]</code></td> 
    259         </tr> 
    260       </table> 
    261 </div> 
    262 <div class="memdoc"> 
    263  
    264 <p> 
    265 Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: BM* <a class="el" href="classbdm_1_1BM.html#3efb3098172f1f67564a312fe732473e">_copy_()</a>{<a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> Tmp*=new Tmp(this*); return Tmp; }  
    266 <p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb">bdm::ARX</a>, and <a class="el" href="classbdm_1_1BMEF.html#5912dbcf28ae711e30b08c2fa766a3e6">bdm::BMEF</a>.</p> 
     250<p>Referenced by <a class="el" href="libBM_8h-source.html#l00608">bdm::BM::logpred_m()</a>.</p> 
    267251 
    268252</div> 
    … …  
    271255<li><a class="el" href="libKF_8h-source.html">libKF.h</a></ul> 
    272256</div> 
    273 <hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 10:20:39 2009 for mixpp by&nbsp; 
     257<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:02 2009 for mixpp by&nbsp; 
    274258<a href="http://www.doxygen.org/index.html"> 
    275259<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>