# bdm::Kalman< sq_T > Class Template Reference

Kalman filter with covariance matrices in square root form. More...

`#include <libKF.h>`

List of all members.

## Public Member Functions
| Kalman ()
| Default constructor.
| Kalman (const Kalman< sq_T > &K0)
| Copy constructor.
void | set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const sq_T &Q0, const sq_T &R0)
| Set parameters with check of relevance.
void | set_est (const vec &mu0, const sq_T &P0)
| Set estimate values, used e.g. in initialization.
void | bayes (const vec &dt)
| Here dt = [yt;ut] of appropriate dimensions.
const epdf & | posterior () const
| access function
const enorm< sq_T > * | _e () const
mat & | __K ()
| access function
vec | _dP ()
| access function
Constructors
virtual BM * | _copy_ () const
Mathematical operations
virtual void | bayesB (const mat &Dt)
| Batch Bayes rule (columns of Dt are observations).
virtual double | logpred (const vec &dt) const
vec | logpred_m (const mat &dt) const
| Matrix version of logpred.
virtual epdf * | epredictor () const
| Constructs a predictive density .
virtual mpdf * | predictor () const
| Constructs a conditional density 1-step ahead predictor.
Access to attributes
const RV & | _drv () const
void | set_drv (const RV &rv)
void | set_rv (const RV &rv)
double | _ll () const
void | set_evalll (bool evl0)
## Protected Attributes
RV | rvy
| Indetifier of output rv.
RV | rvu
| Indetifier of exogeneous rv.
int | dimx
| cache of rv.count()
int | dimy
| cache of rvy.count()
int | dimu
| cache of rvu.count()
mat | A
| Matrix A.
mat | B
| Matrix B.
mat | C
| Matrix C.
mat | D
| Matrix D.
sq_T | Q
| Matrix Q in square-root form.
sq_T | R
| Matrix R in square-root form.
enorm< sq_T > | est
| posterior density on $x_t$
enorm< sq_T > | fy
| preditive density on $y_t$
mat | _K
| placeholder for Kalman gain
vec & | _yp
| cache of fy.mu
sq_T & | _Ry
| cache of fy.R
vec & | _mu
| cache of est.mu
sq_T & | _P
| cache of est.R
RV | drv
| Random variable of the data (optional).
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 computational time.
## Extension to conditional BM
This extension is useful e.g. in Marginalized Particle Filter (bdm::MPF). Alternatively, it can be used for automated connection to DS when the condition is observed
const RV & | _rvc () const
| access function
virtual void | condition (const vec &val)
| Substitute `val` for `rvc`.
RV | rvc
| Name of extension variable.
## Logging of results
void | set_options (const string &opt)
| Set boolean options from a string.
void | log_add (logger *L, const string &name="")
| Add all logged variables to a logger.
void | logit (logger *L)
ivec | LIDs
| IDs of storages in loggers.
bool | opt_L_bounds
| Option for logging bounds.

## Detailed Description

### template<class sq_T>
class bdm::Kalman< sq_T >

Kalman filter with covariance matrices in square root form.

Parameter evolution model:

Observation model:

Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances.

## Member Function Documentation

virtual BM* bdm::BM::_copy_ | ( |  | ) | const`[inline, virtual, inherited]`

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype:

     BM* _copy_() const {return new BM(*this);}

Reimplemented in bdm::ARX, bdm::KalmanCh, bdm::EKF< sq_T >, bdm::EKFCh, and bdm::BMEF.

virtual double bdm::BM::logpred | ( | const vec & | dt | ) | const`[inline, virtual, inherited]`

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

Referenced by bdm::BM::logpred_m().

The documentation for this class was generated from the following file:

- libKF.h