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Timestamp:
03/03/08 13:00:32 (16 years ago)
Author:
smidl
Message:

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/itpp__ext_8h-source.html

    r28 r32  
    2727<a name="l00012"></a>00012 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span> 
    2828<a name="l00013"></a>00013  
    29 <a name="l00014"></a>00014 <span class="keyword">namespace </span>itpp { 
    30 <a name="l00015"></a>00015         Array&lt;int&gt; to_Arr(<span class="keyword">const</span> ivec &amp;indices); 
    31 <a name="l00016"></a>00016 } 
    32 </pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Mon Feb 18 21:48:39 2008 for mixpp by&nbsp; 
     29<a name="l00014"></a>00014 <span class="keyword">using</span> std::cout; 
     30<a name="l00015"></a>00015 <span class="keyword">using</span> std::endl; 
     31<a name="l00016"></a>00016  
     32<a name="l00017"></a>00017 <span class="keyword">namespace </span>itpp { 
     33<a name="l00018"></a>00018         Array&lt;int&gt; to_Arr(<span class="keyword">const</span> ivec &amp;indices); 
     34<a name="l00019"></a>00019          
     35<a name="l00024"></a><a class="code" href="classitpp_1_1Gamma__RNG.html">00024</a>   <span class="keyword">class </span><a class="code" href="classitpp_1_1Gamma__RNG.html" title="Gamma distribution.">Gamma_RNG</a> { 
     36<a name="l00025"></a>00025   <span class="keyword">public</span>: 
     37<a name="l00027"></a>00027     <a class="code" href="classitpp_1_1Gamma__RNG.html#e132860f825f427d63652edd02c25b54" title="constructor. Set lambda.">Gamma_RNG</a>(<span class="keywordtype">double</span> a=1.0, <span class="keywordtype">double</span> b=1.0); 
     38<a name="l00029"></a><a class="code" href="classitpp_1_1Gamma__RNG.html#dfaae19411e39aa87e1f72e409b6babe">00029</a>     <span class="keywordtype">void</span> <a class="code" href="classitpp_1_1Gamma__RNG.html#dfaae19411e39aa87e1f72e409b6babe" title="Set lambda.">setup</a>(<span class="keywordtype">double</span> a0, <span class="keywordtype">double</span> b0) { alpha=a0; beta=b0;} 
     39<a name="l00031"></a>00031     <span class="keywordtype">double</span> <a class="code" href="classitpp_1_1Gamma__RNG.html#8e666953249038f262cece2d3ed952d6" title="get lambda">get_setup</a>() <span class="keyword">const</span>; 
     40<a name="l00033"></a><a class="code" href="classitpp_1_1Gamma__RNG.html#98e2e65456bca33fca602b2bd607235e">00033</a>     <span class="keywordtype">double</span> <a class="code" href="classitpp_1_1Gamma__RNG.html#98e2e65456bca33fca602b2bd607235e" title="Get one sample.">operator()</a>() { <span class="keywordflow">return</span> sample(); } 
     41<a name="l00035"></a>00035     vec <a class="code" href="classitpp_1_1Gamma__RNG.html#98e2e65456bca33fca602b2bd607235e" title="Get one sample.">operator()</a>(<span class="keywordtype">int</span> n); 
     42<a name="l00037"></a>00037     mat <a class="code" href="classitpp_1_1Gamma__RNG.html#98e2e65456bca33fca602b2bd607235e" title="Get one sample.">operator()</a>(<span class="keywordtype">int</span> h, <span class="keywordtype">int</span> w); 
     43<a name="l00038"></a>00038   <span class="keyword">protected</span>: 
     44<a name="l00039"></a>00039   <span class="keyword">private</span>: 
     45<a name="l00041"></a>00041     <span class="keywordtype">double</span> sample(); 
     46<a name="l00043"></a>00043     <span class="keywordtype">double</span> alpha; 
     47<a name="l00045"></a>00045     <span class="keywordtype">double</span> beta; 
     48<a name="l00047"></a>00047     Random_Generator RNG; 
     49<a name="l00048"></a>00048     Normal_RNG NRNG; 
     50<a name="l00050"></a>00050     <span class="keyword">inline</span> <span class="keywordtype">double</span> exp_rand(){<span class="keywordflow">return</span> -std::log(RNG.random_01());} 
     51<a name="l00051"></a>00051     <span class="keyword">inline</span> <span class="keywordtype">double</span> unif_rand(){<span class="keywordflow">return</span> RNG.random_01();} 
     52<a name="l00052"></a>00052     <span class="keyword">inline</span> <span class="keywordtype">double</span> norm_rand(){<span class="keywordflow">return</span> NRNG.sample();} 
     53<a name="l00053"></a>00053  
     54<a name="l00054"></a>00054   }; 
     55<a name="l00055"></a>00055 } 
     56</pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:40 2008 for mixpp by&nbsp; 
    3357<a href="http://www.doxygen.org/index.html"> 
    3458<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>