#include <libKF.h>


Public Member Functions | |
| EKF (diffbifn *pfxu, diffbifn *phxu, sq_T Q0, sq_T R0, vec mu0, mat P0) | |
| Default constructor. | |
| void | bayes (const vec &dt, bool evalll=true) |
| Here dt = [yt;ut] of appropriate dimensions. | |
| virtual void | bayes (const vec &dt)=0 |
| Incremental Bayes rule. | |
| void | bayes (mat Dt) |
| Batch Bayes rule (columns of Dt are observations). | |
| epdf * | _epdf () |
| Returns a pointer to the epdf representing posterior density on parameters. Use with care! | |
Public Attributes | |
| vec | mu |
| Mean value of the posterior density. | |
| fsqmat | P |
| Mean value of the posterior density. | |
| double | ll |
| Logarithm of marginalized data likelihood. | |
| bool | evalll |
If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save time. | |
Protected Attributes | |
| int | dimx |
| int | dimy |
| int | dimu |
| mat | A |
| mat | B |
| mat | C |
| mat | D |
| fsqmat | R |
| fsqmat | Q |
| mat | _K |
| vec | _yp |
| fsqmat | _Ry |
| fsqmat | _iRy |
Friends | |
| std::ostream & | operator<< (std::ostream &os, const KalmanFull &kf) |
An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean.
| virtual void BM::bayes | ( | const vec & | dt | ) | [pure virtual, inherited] |
Incremental Bayes rule.
| dt | vector of input data |
1.5.3