#include <libKF.h>
Public Member Functions | |
| BM * | _copy_ () const |
| copy constructor | |
| void | set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const chmat &Q0, const chmat &R0) |
| Set parameters with check of relevance. | |
| void | set_statistics (const vec &mu0, const chmat &P0) |
| void | bayes (const vec &dt) |
| Here dt = [yt;ut] of appropriate dimensions. | |
| void | set_est (const vec &mu0, const chmat &P0) |
| Set estimate values, used e.g. in initialization. | |
| const epdf & | posterior () const |
| access function | |
| const enorm< chmat > * | _e () const |
| mat & | __K () |
| access function | |
| vec | _dP () |
| access function | |
| virtual string | to_string () |
| This method returns a basic info about the current instance. | |
| virtual void | from_setting (const Setting &root) |
| This method arrange instance properties according the data stored in the Setting structure. | |
| virtual void | to_setting (Setting &root) const |
| This method save all the instance properties into the Setting structure. | |
| virtual void | validate () |
| This method TODO. | |
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 | |
| mat | preA |
| pre array (triangular matrix) | |
| mat | postA |
| post array (triangular matrix) | |
| 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. | |
| chmat | Q |
| Matrix Q in square-root form. | |
| chmat | R |
| Matrix R in square-root form. | |
| enorm< chmat > | est |
| posterior density on $x_t$ | |
| enorm< chmat > | fy |
| preditive density on $y_t$ | |
| mat | _K |
| placeholder for Kalman gain | |
| vec & | _yp |
| cache of fy.mu | |
| chmat & | _Ry |
| cache of fy.R | |
| vec & | _mu |
| cache of est.mu | |
| chmat & | _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 | |
| virtual void | set_options (const string &opt) |
| Set boolean options from a string recognized are: "logbounds,logll". | |
| virtual void | log_add (logger &L, const string &name="") |
| Add all logged variables to a logger. | |
| virtual void | logit (logger &L) |
| ivec | LIDs |
| IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. | |
| ivec | LFlags |
| Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. | |
Trivial example:
#include <estim/libKF.h> using namespace bdm; // estimation of AR(0) model int main() { //dimensions int dx=3, dy=3, du=1; // matrices mat A = eye(dx); mat B = zeros(dx,du); mat C = eye(dx); mat D = zeros(dy,du); mat Q = eye(dx); mat R = 0.1*eye(dy); //prior mat P0 = 100*eye(dx); vec mu0 = zeros(dx); // Estimator KalmanCh KF; KF.set_parameters(A,B,C,D,/*covariances*/ Q,R); KF.set_statistics(mu0,P0); // Estimation loop for (int i=0;i<100;i++){ KF.bayes(randn(dx+du)); } //print results cout << "Posterior estimate of x is: " << endl; cout << "mean: "<< KF.posterior().mean()<< endl; cout << "variance: "<< KF.posterior().variance()<< endl; }
| void bdm::KalmanCh::bayes | ( | const vec & | dt | ) | [virtual] |
Here dt = [yt;ut] of appropriate dimensions.
The following equality hold::
Thus this object evaluates only predictors! Not filtering densities.
Reimplemented from bdm::Kalman< chmat >.
Reimplemented in bdm::EKFCh.
References chmat::_Ch(), bdm::Kalman< chmat >::_K, bdm::Kalman< chmat >::_mu, bdm::Kalman< chmat >::_P, bdm::Kalman< chmat >::_Ry, bdm::Kalman< chmat >::_yp, bdm::Kalman< chmat >::A, bdm::Kalman< chmat >::B, bdm::Kalman< chmat >::C, bdm::Kalman< chmat >::D, bdm::Kalman< chmat >::dimu, bdm::Kalman< chmat >::dimx, bdm::Kalman< chmat >::dimy, bdm::BM::evalll, bdm::eEF::evallog(), bdm::Kalman< chmat >::fy, bdm::BM::ll, postA, and preA.
| 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().
1.5.8