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Timestamp:
03/03/08 13:00:32 (17 years ago)
Author:
smidl
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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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  • doc/html/classKalmanFull.html

    r28 r32  
    2121  </ul> 
    2222</div> 
    23 <h1>KalmanFull Class Reference</h1><!-- doxytag: class="KalmanFull" --><!-- doxytag: inherits="BM" -->Basic <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with full matrices (education purpose only)! Will be deleted soon!   
     23<h1>KalmanFull Class Reference</h1><!-- doxytag: class="KalmanFull" -->Basic <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with full matrices (education purpose only)! Will be deleted soon!   
    2424<a href="#_details">More...</a> 
    2525<p> 
    2626<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code> 
    2727<p> 
    28 <div class="dynheader"> 
    29 Inheritance diagram for KalmanFull:</div> 
    30 <div class="dynsection"> 
    31 <p><center><img src="classKalmanFull__inherit__graph.png" border="0" usemap="#KalmanFull__inherit__map" alt="Inheritance graph"></center> 
    32 <map name="KalmanFull__inherit__map"> 
    33 <area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="29,7,72,33"></map> 
    34 <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    35 <div class="dynheader"> 
    36 Collaboration diagram for KalmanFull:</div> 
    37 <div class="dynsection"> 
    38 <p><center><img src="classKalmanFull__coll__graph.png" border="0" usemap="#KalmanFull__coll__map" alt="Collaboration graph"></center> 
    39 <map name="KalmanFull__coll__map"> 
    40 <area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="29,7,72,33"></map> 
    41 <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    4228 
    4329<p> 
     
    4935 
    5036<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Full constructor. <br></td></tr> 
    51 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="048b13739b94c331cda08249b278552b"></a><!-- doxytag: member="KalmanFull::bayes" ref="048b13739b94c331cda08249b278552b" args="(const vec &amp;dt, bool evalll=true)" --> 
    52 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanFull.html#048b13739b94c331cda08249b278552b">bayes</a> (const vec &amp;dt, bool <a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a>=true)</td></tr> 
     37<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="13a041cd98ff157703766be275a657bb"></a><!-- doxytag: member="KalmanFull::bayes" ref="13a041cd98ff157703766be275a657bb" args="(const vec &amp;dt)" --> 
     38void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanFull.html#13a041cd98ff157703766be275a657bb">bayes</a> (const vec &amp;dt)</td></tr> 
    5339 
    5440<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> 
    55 <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#a892eff438aab2dd1a9e2efcb7fb5bdf">bayes</a> (const vec &amp;dt)=0</td></tr> 
    56  
    57 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#a892eff438aab2dd1a9e2efcb7fb5bdf"></a><br></td></tr> 
    58 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="KalmanFull::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" --> 
    59 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr> 
    60  
    61 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> 
    62 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a5b8f6c8a872738cfaa30ab010e8c077"></a><!-- doxytag: member="KalmanFull::_epdf" ref="a5b8f6c8a872738cfaa30ab010e8c077" args="()" --> 
    63 <a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#a5b8f6c8a872738cfaa30ab010e8c077">_epdf</a> ()</td></tr> 
    64  
    65 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. Use with care! <br></td></tr> 
    6641<tr><td colspan="2"><br><h2>Public Attributes</h2></td></tr> 
    6742<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fb5aec635e2720cc5ac31bc01c18a68a"></a><!-- doxytag: member="KalmanFull::mu" ref="fb5aec635e2720cc5ac31bc01c18a68a" args="" --> 
     
    7348 
    7449<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Variance of the posterior density. <br></td></tr> 
    75 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5623fef6572a08c2b53b8c87b82dc979"></a><!-- doxytag: member="KalmanFull::ll" ref="5623fef6572a08c2b53b8c87b82dc979" args="" --> 
    76 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#5623fef6572a08c2b53b8c87b82dc979">ll</a></td></tr> 
    77  
    78 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> 
    79 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf6fb59b30141074f8ee1e2f43d03129"></a><!-- doxytag: member="KalmanFull::evalll" ref="bf6fb59b30141074f8ee1e2f43d03129" args="" --> 
    80 bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129">evalll</a></td></tr> 
    81  
    82 <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 time. <br></td></tr> 
    8350<tr><td colspan="2"><br><h2>Friends</h2></td></tr> 
    8451<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86ba216243ed95bb46d80d88775d16af"></a><!-- doxytag: member="KalmanFull::operator&lt;&lt;" ref="86ba216243ed95bb46d80d88775d16af" args="(std::ostream &amp;os, const KalmanFull &amp;kf)" --> 
     
    8754</table> 
    8855<hr><a name="_details"></a><h2>Detailed Description</h2> 
    89 Basic <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with full matrices (education purpose only)! Will be deleted soon! <hr><h2>Member Function Documentation</h2> 
    90 <a class="anchor" name="a892eff438aab2dd1a9e2efcb7fb5bdf"></a><!-- doxytag: member="KalmanFull::bayes" ref="a892eff438aab2dd1a9e2efcb7fb5bdf" args="(const vec &amp;dt)=0" --> 
    91 <div class="memitem"> 
    92 <div class="memproto"> 
    93       <table class="memname"> 
    94         <tr> 
    95           <td class="memname">virtual void BM::bayes           </td> 
    96           <td>(</td> 
    97           <td class="paramtype">const vec &amp;&nbsp;</td> 
    98           <td class="paramname"> <em>dt</em>          </td> 
    99           <td>&nbsp;)&nbsp;</td> 
    100           <td width="100%"><code> [pure virtual, inherited]</code></td> 
    101         </tr> 
    102       </table> 
    103 </div> 
    104 <div class="memdoc"> 
    105  
    106 <p> 
    107 Incremental Bayes rule.  
    108 <p> 
    109 <dl compact><dt><b>Parameters:</b></dt><dd> 
    110   <table border="0" cellspacing="2" cellpadding="0"> 
    111     <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr> 
    112   </table> 
    113 </dl> 
    114  
    115 </div> 
    116 </div><p> 
    117 <hr>The documentation for this class was generated from the following files:<ul> 
     56Basic <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with full matrices (education purpose only)! Will be deleted soon! <hr>The documentation for this class was generated from the following files:<ul> 
    11857<li>work/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a><li>work/mixpp/bdm/estim/libKF.cpp</ul> 
    119 <hr size="1"><address style="text-align: right;"><small>Generated on Mon Feb 18 21:48:44 2008 for mixpp by&nbsp; 
     58<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:50 2008 for mixpp by&nbsp; 
    12059<a href="http://www.doxygen.org/index.html"> 
    12160<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>