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  • doc/latex/classEKFCh__du__kQ.tex

    r261 r280  
    33\label{classEKFCh__du__kQ}\index{EKFCh\_\-du\_\-kQ@{EKFCh\_\-du\_\-kQ}} 
    44} 
    5 Extended Kalman filter with unknown {\tt Q} and delta u.   
    6  
    7  
    8 Inheritance diagram for EKFCh\_\-du\_\-kQ:\nopagebreak 
    9 \begin{figure}[H] 
     5Inheritance diagram for EKFCh\_\-du\_\-kQ::\begin{figure}[H] 
    106\begin{center} 
    117\leavevmode 
    12 \includegraphics[height=400pt]{classEKFCh__du__kQ__inherit__graph} 
     8\includegraphics[height=6cm]{classEKFCh__du__kQ} 
    139\end{center} 
    1410\end{figure} 
    15 Collaboration diagram for EKFCh\_\-du\_\-kQ:\nopagebreak 
    16 \begin{figure}[H] 
    17 \begin{center} 
    18 \leavevmode 
    19 \includegraphics[width=400pt]{classEKFCh__du__kQ__coll__graph} 
    20 \end{center} 
    21 \end{figure} 
    22 \subsection*{Public Member Functions} 
    23 \begin{CompactItemize} 
    24 \item  
    25 \hypertarget{classEKFCh__du__kQ_a12fe15d132a88587b91103b8615436f}{ 
    26 \hyperlink{classEKFCh__du__kQ_a12fe15d132a88587b91103b8615436f}{EKFCh\_\-du\_\-kQ} (\hyperlink{classbdm_1_1RV}{RV} rx, \hyperlink{classbdm_1_1RV}{RV} ry, \hyperlink{classbdm_1_1RV}{RV} ru, \hyperlink{classbdm_1_1RV}{RV} rC)} 
    27 \label{classEKFCh__du__kQ_a12fe15d132a88587b91103b8615436f} 
     11 
     12 
     13\subsection{Detailed Description} 
     14Extended Kalman filter with unknown {\tt Q} and delta u. \subsection*{Public Member Functions} 
     15\begin{CompactItemize} 
     16\item  
     17\hypertarget{classEKFCh__du__kQ_79d84eb2df4de0e4f3153ce4a910e895}{ 
     18\hyperlink{classEKFCh__du__kQ_79d84eb2df4de0e4f3153ce4a910e895}{EKFCh\_\-du\_\-kQ} ()} 
     19\label{classEKFCh__du__kQ_79d84eb2df4de0e4f3153ce4a910e895} 
    2820 
    2921\begin{CompactList}\small\item\em Default constructor. \item\end{CompactList}\item  
    … …  
    4335 
    4436\begin{CompactList}\small\item\em Set nonlinear functions for mean values and covariance matrices. \item\end{CompactList}\item  
    45 \hypertarget{classbdm_1_1KalmanCh_ab3a87ba1831e53f193a9dfbaf56a879}{ 
    46 void \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)} 
    47 \label{classbdm_1_1KalmanCh_ab3a87ba1831e53f193a9dfbaf56a879} 
     37\hypertarget{classbdm_1_1KalmanCh_20a4d4c664e8ac8a3f1bb7b0d11c6d87}{ 
     38void \hyperlink{classbdm_1_1KalmanCh_20a4d4c664e8ac8a3f1bb7b0d11c6d87}{set\_\-parameters} (const mat \&A0, const mat \&B0, const mat \&C0, const mat \&D0, const \hyperlink{classchmat}{chmat} \&Q0, const \hyperlink{classchmat}{chmat} \&R0)} 
     39\label{classbdm_1_1KalmanCh_20a4d4c664e8ac8a3f1bb7b0d11c6d87} 
    4840 
    4941\begin{CompactList}\small\item\em Set parameters with check of relevance. \item\end{CompactList}\item  
    … …  
    5345 
    5446\begin{CompactList}\small\item\em Here dt = \mbox{[}yt;ut\mbox{]} of appropriate dimensions. \item\end{CompactList}\item  
    55 \hypertarget{classbdm_1_1KalmanCh_f559387dd38bd6002be490cc62987290}{ 
    56 void \hyperlink{classbdm_1_1KalmanCh_f559387dd38bd6002be490cc62987290}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)} 
    57 \label{classbdm_1_1KalmanCh_f559387dd38bd6002be490cc62987290} 
     47\hypertarget{classbdm_1_1KalmanCh_6e169272657ed101f3d128b49c59b890}{ 
     48void \textbf{set\_\-statistics} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)} 
     49\label{classbdm_1_1KalmanCh_6e169272657ed101f3d128b49c59b890} 
     50 
     51\item  
     52\hypertarget{classbdm_1_1Kalman_9264fc6b173ecb803d2684b883f32c68}{ 
     53void \hyperlink{classbdm_1_1Kalman_9264fc6b173ecb803d2684b883f32c68}{set\_\-est} (const vec \&mu0, const \hyperlink{classchmat}{chmat} \&P0)} 
     54\label{classbdm_1_1Kalman_9264fc6b173ecb803d2684b883f32c68} 
    5855 
    5956\begin{CompactList}\small\item\em Set estimate values, used e.g. in initialization. \item\end{CompactList}\item  
    60 \hypertarget{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d}{ 
    61 const epdf \& \hyperlink{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d}{\_\-epdf} () const } 
    62 \label{classbdm_1_1Kalman_93b5936ba397f13c05f52885c545f42d} 
     57\hypertarget{classbdm_1_1Kalman_f75e487ff6c129d7012d702030f8c890}{ 
     58const epdf \& \hyperlink{classbdm_1_1Kalman_f75e487ff6c129d7012d702030f8c890}{posterior} () const } 
     59\label{classbdm_1_1Kalman_f75e487ff6c129d7012d702030f8c890} 
    6360 
    6461\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    6562\hypertarget{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77}{ 
    66 const enorm$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \hyperlink{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77}{\_\-e} () const } 
     63const enorm$<$ \hyperlink{classchmat}{chmat} $>$ $\ast$ \textbf{\_\-e} () const } 
    6764\label{classbdm_1_1Kalman_c34989b1e53c7d4ecdaea63a95ddbd77} 
    6865 
    69 \begin{CompactList}\small\item\em Returns a pointer to the epdf representing posterior density on parameters. Use with care! \item\end{CompactList}\item  
     66\item  
    7067\hypertarget{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277}{ 
    7168mat \& \hyperlink{classbdm_1_1Kalman_c788ec6e6c6f5f5861ae8a56d8ede277}{\_\-\_\-K} ()} 
    … …  
    7875 
    7976\begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     77\hypertarget{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{ 
     78const RV \& \hyperlink{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{\_\-rvc} () const } 
     79\label{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc} 
     80 
     81\begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} 
     82\begin{Indent}{\bf Constructors}\par 
     83\begin{CompactItemize} 
     84\item  
     85virtual BM $\ast$ \hyperlink{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{\_\-copy\_\-} () 
     86\end{CompactItemize} 
     87\end{Indent} 
     88\begin{Indent}{\bf Mathematical operations}\par 
     89\begin{CompactItemize} 
     90\item  
    8091\hypertarget{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{ 
    8192virtual void \hyperlink{classbdm_1_1BM_1dee3fddaf021e62d925289660a707dc}{bayesB} (const mat \&Dt)} 
    … …  
    90101 
    91102\begin{CompactList}\small\item\em Matrix version of logpred. \item\end{CompactList}\item  
    92 \hypertarget{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{ 
    93 virtual epdf $\ast$ \hyperlink{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c}{predictor} (const RV \&\hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}) const } 
    94 \label{classbdm_1_1BM_710e7d69c0d8791fb41a7cd4683cca2c} 
    95  
    96 \begin{CompactList}\small\item\em Constructs a predictive density (marginal density on data). \item\end{CompactList}\item  
    97 \hypertarget{classbdm_1_1BM_40a3c891996391e3135518053a917793}{ 
    98 const RV \& \hyperlink{classbdm_1_1BM_40a3c891996391e3135518053a917793}{\_\-rv} () const } 
    99 \label{classbdm_1_1BM_40a3c891996391e3135518053a917793} 
    100  
    101 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     103\hypertarget{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}{ 
     104virtual epdf $\ast$ \hyperlink{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba}{epredictor} () const } 
     105\label{classbdm_1_1BM_688d7a2aced1e06aa1c468d73a9e5eba} 
     106 
     107\begin{CompactList}\small\item\em Constructs a predictive density $ f(d_{t+1} |d_{t}, \ldots d_{0}) $. \item\end{CompactList}\item  
     108\hypertarget{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}{ 
     109virtual mpdf $\ast$ \hyperlink{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912}{predictor} () const } 
     110\label{classbdm_1_1BM_598b25e3f3d96a5bc00a5faeb5b3c912} 
     111 
     112\begin{CompactList}\small\item\em Constructs a conditional density 1-step ahead predictor. \item\end{CompactList}\end{CompactItemize} 
     113\end{Indent} 
     114\begin{Indent}{\bf Access to attributes}\par 
     115\begin{CompactItemize} 
     116\item  
     117\hypertarget{classbdm_1_1BM_ff2d8755ba0b3def927d31305c03b09c}{ 
     118const RV \& \textbf{\_\-drv} () const } 
     119\label{classbdm_1_1BM_ff2d8755ba0b3def927d31305c03b09c} 
     120 
     121\item  
     122\hypertarget{classbdm_1_1BM_f135ae6dce7e9f30c9f88229c7930b96}{ 
     123void \textbf{set\_\-drv} (const RV \&rv)} 
     124\label{classbdm_1_1BM_f135ae6dce7e9f30c9f88229c7930b96} 
     125 
     126\item  
     127\hypertarget{classbdm_1_1BM_b38d92f17620813ad872d86e01a26e5e}{ 
     128void \textbf{set\_\-rv} (const RV \&rv)} 
     129\label{classbdm_1_1BM_b38d92f17620813ad872d86e01a26e5e} 
     130 
     131\item  
    102132\hypertarget{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{ 
    103 double \hyperlink{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70}{\_\-ll} () const } 
     133double \textbf{\_\-ll} () const } 
    104134\label{classbdm_1_1BM_5be65d37dedfe33a3671e7065f523a70} 
    105135 
    106 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
     136\item  
    107137\hypertarget{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{ 
    108 void \hyperlink{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f}{set\_\-evalll} (bool evl0)} 
     138void \textbf{set\_\-evalll} (bool evl0)} 
    109139\label{classbdm_1_1BM_236b3abbcc93594fc97cd86d82c1a83f} 
    110140 
    111 \begin{CompactList}\small\item\em access function \item\end{CompactList}\item  
    112 virtual BM $\ast$ \hyperlink{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{\_\-copy\_\-} (bool changerv=false) 
    113 \item  
    114 \hypertarget{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{ 
    115 const RV \& \hyperlink{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc}{\_\-rvc} () const } 
    116 \label{classbdm_1_1BMcond_7506910f93250b44fea505ec4ffb19dc} 
    117  
    118 \begin{CompactList}\small\item\em access function \item\end{CompactList}\end{CompactItemize} 
     141\end{CompactItemize} 
     142\end{Indent} 
    119143\subsection*{Protected Attributes} 
    120144\begin{CompactItemize} 
    … …  
    230254 
    231255\begin{CompactList}\small\item\em cache of est.R \item\end{CompactList}\item  
    232 \hypertarget{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{ 
    233 RV \hyperlink{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca}{rv}} 
    234 \label{classbdm_1_1BM_18d6db4af8ee42077741d9e3618153ca} 
    235  
    236 \begin{CompactList}\small\item\em Random variable of the posterior. \item\end{CompactList}\item  
     256\hypertarget{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}{ 
     257RV \hyperlink{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed}{drv}} 
     258\label{classbdm_1_1BM_c400357e37d27a4834b2b1d9211009ed} 
     259 
     260\begin{CompactList}\small\item\em Random variable of the data (optional). \item\end{CompactList}\item  
    237261\hypertarget{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ 
    238262double \hyperlink{classbdm_1_1BM_4064b6559d962633e4372b12f4cd204a}{ll}} 
    … …  
    245269 
    246270\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  
     271\hypertarget{classbdm_1_1BMcond_1164a90f782a2a323b1ee17242100b39}{ 
     272int \hyperlink{classbdm_1_1BMcond_1164a90f782a2a323b1ee17242100b39}{dimc}} 
     273\label{classbdm_1_1BMcond_1164a90f782a2a323b1ee17242100b39} 
     274 
     275\begin{CompactList}\small\item\em dimension of the conditioning variable \item\end{CompactList}\item  
    247276\hypertarget{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{ 
    248277RV \hyperlink{classbdm_1_1BMcond_9a12750776d977408aada06a70093297}{rvc}} 
    … …  
    252281 
    253282 
    254 \subsection{Detailed Description} 
    255 Extended Kalman filter with unknown {\tt Q} and delta u.  
    256  
    257283\subsection{Member Function Documentation} 
    258 \hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{ 
     284\hypertarget{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff}{ 
     285\index{EKFCh\_\-du\_\-kQ@{EKFCh\_\-du\_\-kQ}!\_\-copy\_\-@{\_\-copy\_\-}} 
     286\index{\_\-copy\_\-@{\_\-copy\_\-}!EKFCh_du_kQ@{EKFCh\_\-du\_\-kQ}} 
     287\subsubsection[\_\-copy\_\-]{\setlength{\rightskip}{0pt plus 5cm}virtual BM$\ast$ bdm::BM::\_\-copy\_\- ()\hspace{0.3cm}{\tt  \mbox{[}inline, virtual, inherited\mbox{]}}}} 
     288\label{classbdm_1_1BM_c0f027ff91d8459937c6f60ff8e553ff} 
     289 
     290 
     291Copy function required in vectors, Arrays of \hyperlink{classbdm_1_1BM}{BM} etc. Have to be DELETED manually! Prototype:  
     292 
     293\begin{Code}\begin{verbatim} BM* _copy_(){return new BM(*this);}  
     294\end{verbatim} 
     295\end{Code} 
     296 
     297  
     298 
     299Reimplemented in \hyperlink{classbdm_1_1ARX_60c40b5c6abc4c7e464b4ccae64a5a61}{bdm::ARX}.\hypertarget{classbdm_1_1BM_50257e0c1e5b5c73153ea6e716ad8ae0}{ 
    259300\index{EKFCh\_\-du\_\-kQ@{EKFCh\_\-du\_\-kQ}!logpred@{logpred}} 
    260301\index{logpred@{logpred}!EKFCh_du_kQ@{EKFCh\_\-du\_\-kQ}} 
    … …  
    267308Reimplemented in \hyperlink{classbdm_1_1ARX_080a7e531e3aa06694112863b15bc6a4}{bdm::ARX}, \hyperlink{classbdm_1_1MixEF_da724da464a75e07521941e430929efa}{bdm::MixEF}, and \hyperlink{classbdm_1_1multiBM_e157b607c1e3fa91d42aeea44458e2bf}{bdm::multiBM}. 
    268309 
    269 Referenced by bdm::BM::logpred\_\-m().\hypertarget{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e}{ 
    270 \index{EKFCh\_\-du\_\-kQ@{EKFCh\_\-du\_\-kQ}!\_\-copy\_\-@{\_\-copy\_\-}} 
    271 \index{\_\-copy\_\-@{\_\-copy\_\-}!EKFCh_du_kQ@{EKFCh\_\-du\_\-kQ}} 
    272 \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{]}}}} 
    273 \label{classbdm_1_1BM_3efb3098172f1f67564a312fe732473e} 
    274  
    275  
    276 Copy 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; \}  
    277  
    278 Reimplemented in \hyperlink{classbdm_1_1ARX_20ff2de8d862f28de7da83444d65bcdb}{bdm::ARX}, and \hyperlink{classbdm_1_1BMEF_5912dbcf28ae711e30b08c2fa766a3e6}{bdm::BMEF}. 
     310Referenced by bdm::BM::logpred\_\-m(). 
    279311 
    280312The documentation for this class was generated from the following file:\begin{CompactItemize}