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| 43 | | <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. <table border="0" cellpadding="0" cellspacing="0"> |
| | 90 | <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. |
| | 91 | <p> |
| | 92 | Trivial example: <div class="fragment"><pre class="fragment"><span class="preprocessor">#include <<a class="code" href="libKF_8h.html" title="Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.">estim/libKF.h</a>></span> |
| | 93 | <span class="keyword">using namespace </span>bdm; |
| | 94 | |
| | 95 | <span class="comment">// estimation of AR(0) model</span> |
| | 96 | <span class="keywordtype">int</span> main() { |
| | 97 | <span class="comment">//dimensions</span> |
| | 98 | <span class="keywordtype">int</span> dx=3, dy=3, du=1; |
| | 99 | <span class="comment">// matrices</span> |
| | 100 | mat A = eye(dx); |
| | 101 | mat B = zeros(dx,du); |
| | 102 | mat C = eye(dx); |
| | 103 | mat D = zeros(dy,du); |
| | 104 | mat Q = eye(dx); |
| | 105 | mat R = 0.1*eye(dy); |
| | 106 | <span class="comment">//prior</span> |
| | 107 | mat P0 = 100*eye(dx); |
| | 108 | vec mu0 = zeros(dx); |
| | 109 | <span class="comment">// Estimator</span> |
| | 110 | <a class="code" href="classbdm_1_1KalmanCh.html#830486554e1a2c7652541dbc9dcd3fb3" title="Default constructor.">KalmanCh</a> KF; |
| | 111 | KF.set_parameters(A,B,C,D,<span class="comment">/*covariances*/</span> Q,R); |
| | 112 | KF.set_statistics(mu0,P0); |
| | 113 | <span class="comment">// Estimation loop</span> |
| | 114 | <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i=0;i<100;i++){ |
| | 115 | KF.bayes(randn(dx+du)); |
| | 116 | } |
| | 117 | <span class="comment">//print results</span> |
| | 118 | cout << <span class="stringliteral">"Posterior estimate of x is: "</span> << endl; |
| | 119 | cout << <span class="stringliteral">"mean: "</span><< KF.posterior().mean()<< endl; |
| | 120 | cout << <span class="stringliteral">"variance: "</span><< KF.posterior().variance()<< endl; |
| | 121 | } |
| | 122 | </pre></div> <table border="0" cellpadding="0" cellspacing="0"> |
| 50 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab3a87ba1831e53f193a9dfbaf56a879"></a><!-- doxytag: member="bdm::KalmanCh::set_parameters" ref="ab3a87ba1831e53f193a9dfbaf56a879" args="(const mat &A0, const mat &B0, const mat &C0, const mat &D0, const chmat &R0, const chmat &Q0)" --> |
| 51 | | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#ab3a87ba1831e53f193a9dfbaf56a879">set_parameters</a> (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const <a class="el" href="classchmat.html">chmat</a> &R0, const <a class="el" href="classchmat.html">chmat</a> &Q0)</td></tr> |
| | 129 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="20a4d4c664e8ac8a3f1bb7b0d11c6d87"></a><!-- doxytag: member="bdm::KalmanCh::set_parameters" ref="20a4d4c664e8ac8a3f1bb7b0d11c6d87" args="(const mat &A0, const mat &B0, const mat &C0, const mat &D0, const chmat &Q0, const chmat &R0)" --> |
| | 130 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87">set_parameters</a> (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const <a class="el" href="classchmat.html">chmat</a> &Q0, const <a class="el" href="classchmat.html">chmat</a> &R0)</td></tr> |
| 54 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f559387dd38bd6002be490cc62987290"></a><!-- doxytag: member="bdm::KalmanCh::set_est" ref="f559387dd38bd6002be490cc62987290" args="(const vec &mu0, const chmat &P0)" --> |
| 55 | | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#f559387dd38bd6002be490cc62987290">set_est</a> (const vec &mu0, const <a class="el" href="classchmat.html">chmat</a> &P0)</td></tr> |
| | 133 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e169272657ed101f3d128b49c59b890"></a><!-- doxytag: member="bdm::KalmanCh::set_statistics" ref="6e169272657ed101f3d128b49c59b890" args="(const vec &mu0, const chmat &P0)" --> |
| | 134 | void </td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &mu0, const <a class="el" href="classchmat.html">chmat</a> &P0)</td></tr> |
| | 135 | |
| | 136 | <tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6">bayes</a> (const vec &dt)</td></tr> |
| | 137 | |
| | 138 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <a href="#b41fe5540548100b08e1684c3be767b6"></a><br></td></tr> |
| | 139 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::KalmanCh::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &mu0, const chmat &P0)" --> |
| | 140 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &mu0, const <a class="el" href="classchmat.html">chmat</a> &P0)</td></tr> |
| 58 | | <tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6">bayes</a> (const vec &dt)</td></tr> |
| 59 | | |
| 60 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <a href="#b41fe5540548100b08e1684c3be767b6"></a><br></td></tr> |
| 61 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93b5936ba397f13c05f52885c545f42d"></a><!-- doxytag: member="bdm::KalmanCh::_epdf" ref="93b5936ba397f13c05f52885c545f42d" args="() const " --> |
| 62 | | const <a class="el" href="classbdm_1_1epdf.html">epdf</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#93b5936ba397f13c05f52885c545f42d">_epdf</a> () const </td></tr> |
| | 143 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::KalmanCh::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " --> |
| | 144 | const <a class="el" href="classbdm_1_1epdf.html">epdf</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#f75e487ff6c129d7012d702030f8c890">posterior</a> () const </td></tr> |
| 234 | | <p>References <a class="el" href="chmat_8h-source.html#l00067">chmat::_Ch()</a>, <a class="el" href="libKF_8h-source.html#l00095">bdm::Kalman< chmat >::_K</a>, <a class="el" href="libKF_8h-source.html#l00101">bdm::Kalman< chmat >::_mu</a>, <a class="el" href="libKF_8h-source.html#l00103">bdm::Kalman< chmat >::_P</a>, <a class="el" href="libKF_8h-source.html#l00099">bdm::Kalman< chmat >::_Ry</a>, <a class="el" href="libKF_8h-source.html#l00097">bdm::Kalman< chmat >::_yp</a>, <a class="el" href="libKF_8h-source.html#l00077">bdm::Kalman< chmat >::A</a>, <a class="el" href="libKF_8h-source.html#l00079">bdm::Kalman< chmat >::B</a>, <a class="el" href="libKF_8h-source.html#l00081">bdm::Kalman< chmat >::C</a>, <a class="el" href="libKF_8h-source.html#l00083">bdm::Kalman< chmat >::D</a>, <a class="el" href="libKF_8h-source.html#l00075">bdm::Kalman< chmat >::dimu</a>, <a class="el" href="libKF_8h-source.html#l00071">bdm::Kalman< chmat >::dimx</a>, <a class="el" href="libKF_8h-source.html#l00073">bdm::Kalman< chmat >::dimy</a>, <a class="el" href="libBM_8h-source.html#l00583">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00049">bdm::eEF::evallog()</a>, <a class="el" href="libKF_8h-source.html#l00092">bdm::Kalman< chmat >::fy</a>, <a class="el" href="libBM_8h-source.html#l00581">bdm::BM::ll</a>, <a class="el" href="libKF_8h-source.html#l00138">postA</a>, and <a class="el" href="libKF_8h-source.html#l00136">preA</a>.</p> |
| | 319 | <p>References <a class="el" href="chmat_8h-source.html#l00067">chmat::_Ch()</a>, <a class="el" href="libKF_8h-source.html#l00095">bdm::Kalman< chmat >::_K</a>, <a class="el" href="libKF_8h-source.html#l00101">bdm::Kalman< chmat >::_mu</a>, <a class="el" href="libKF_8h-source.html#l00103">bdm::Kalman< chmat >::_P</a>, <a class="el" href="libKF_8h-source.html#l00099">bdm::Kalman< chmat >::_Ry</a>, <a class="el" href="libKF_8h-source.html#l00097">bdm::Kalman< chmat >::_yp</a>, <a class="el" href="libKF_8h-source.html#l00077">bdm::Kalman< chmat >::A</a>, <a class="el" href="libKF_8h-source.html#l00079">bdm::Kalman< chmat >::B</a>, <a class="el" href="libKF_8h-source.html#l00081">bdm::Kalman< chmat >::C</a>, <a class="el" href="libKF_8h-source.html#l00083">bdm::Kalman< chmat >::D</a>, <a class="el" href="libKF_8h-source.html#l00075">bdm::Kalman< chmat >::dimu</a>, <a class="el" href="libKF_8h-source.html#l00071">bdm::Kalman< chmat >::dimx</a>, <a class="el" href="libKF_8h-source.html#l00073">bdm::Kalman< chmat >::dimy</a>, <a class="el" href="libBM_8h-source.html#l00603">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00049">bdm::eEF::evallog()</a>, <a class="el" href="libKF_8h-source.html#l00092">bdm::Kalman< chmat >::fy</a>, <a class="el" href="libBM_8h-source.html#l00601">bdm::BM::ll</a>, <a class="el" href="libKF_8h-source.html#l00142">postA</a>, and <a class="el" href="libKF_8h-source.html#l00140">preA</a>.</p> |
