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  • library/doc/html/kalman_8h-source.html

    r538 r590  
    7272<a name="l00020"></a>00020 <span class="preprocessor">#include "../base/user_info.h"</span> 
    7373<a name="l00021"></a>00021  
    74 <a name="l00022"></a>00022 <span class="keyword">namespace </span>bdm { 
    75 <a name="l00023"></a>00023  
    76 <a name="l00028"></a><a class="code" href="classbdm_1_1KalmanFull.html">00028</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices (education purpose only)! Will be deleted...">KalmanFull</a> { 
    77 <a name="l00029"></a>00029 <span class="keyword">protected</span>: 
    78 <a name="l00030"></a>00030         <span class="keywordtype">int</span> dimx, dimy, dimu; 
    79 <a name="l00031"></a>00031         mat A, B, C, D, R, Q; 
    80 <a name="l00032"></a>00032  
    81 <a name="l00033"></a>00033         <span class="comment">//cache</span> 
    82 <a name="l00034"></a>00034         mat _Pp, _Ry, _iRy, _K; 
    83 <a name="l00035"></a>00035 <span class="keyword">public</span>: 
    84 <a name="l00036"></a>00036         <span class="comment">//posterior</span> 
    85 <a name="l00038"></a><a class="code" href="classbdm_1_1KalmanFull.html#2defb75e58892615c5f95fd844f3a666">00038</a> <span class="comment"></span>        vec <a class="code" href="classbdm_1_1KalmanFull.html#2defb75e58892615c5f95fd844f3a666" title="Mean value of the posterior density.">mu</a>; 
    86 <a name="l00040"></a><a class="code" href="classbdm_1_1KalmanFull.html#acacd228e100c3e937de575ad2d7cd9c">00040</a>         mat <a class="code" href="classbdm_1_1KalmanFull.html#acacd228e100c3e937de575ad2d7cd9c" title="Variance of the posterior density.">P</a>; 
    87 <a name="l00041"></a>00041  
    88 <a name="l00042"></a>00042         <span class="keywordtype">bool</span> evalll; 
    89 <a name="l00043"></a>00043         <span class="keywordtype">double</span> ll; 
    90 <a name="l00044"></a>00044 <span class="keyword">public</span>: 
    91 <a name="l00046"></a>00046         <a class="code" href="classbdm_1_1KalmanFull.html#bdcc98c8b18c1cbdebdf218ae838fd11" title="For EKFfull;.">KalmanFull</a> ( mat A, mat B, mat C, mat D, mat R, mat Q, mat P0, vec mu0 ); 
    92 <a name="l00048"></a>00048         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanFull.html#081924bc97f453f674bb982b7951d053" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
    93 <a name="l00050"></a>00050         <span class="keyword">friend</span> std::ostream &amp;<a class="code" href="classbdm_1_1KalmanFull.html#86ba216243ed95bb46d80d88775d16af" title="print elements of KF">operator&lt;&lt; </a>( std::ostream &amp;os, <span class="keyword">const</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices (education purpose only)! Will be deleted...">KalmanFull</a> &amp;kf ); 
    94 <a name="l00052"></a><a class="code" href="classbdm_1_1KalmanFull.html#bdcc98c8b18c1cbdebdf218ae838fd11">00052</a>         <a class="code" href="classbdm_1_1KalmanFull.html#bdcc98c8b18c1cbdebdf218ae838fd11" title="For EKFfull;.">KalmanFull</a>() {}; 
    95 <a name="l00053"></a>00053 }; 
    96 <a name="l00054"></a>00054  
    97 <a name="l00055"></a>00055  
    98 <a name="l00063"></a>00063 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    99 <a name="l00064"></a>00064  
    100 <a name="l00065"></a><a class="code" href="classbdm_1_1Kalman.html">00065</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> { 
    101 <a name="l00066"></a>00066 <span class="keyword">protected</span>: 
    102 <a name="l00068"></a><a class="code" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">00068</a>         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7" title="Indetifier of output rv.">rvy</a>; 
    103 <a name="l00070"></a><a class="code" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">00070</a>         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94" title="Indetifier of exogeneous rv.">rvu</a>; 
    104 <a name="l00072"></a><a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">00072</a>         <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a>; 
    105 <a name="l00074"></a><a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">00074</a>         <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a>; 
    106 <a name="l00076"></a><a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">00076</a>         <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a>; 
    107 <a name="l00078"></a><a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">00078</a>         mat <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a>; 
    108 <a name="l00080"></a><a class="code" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">00080</a>         mat <a class="code" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c" title="Matrix B.">B</a>; 
    109 <a name="l00082"></a><a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">00082</a>         mat <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>; 
    110 <a name="l00084"></a><a class="code" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">00084</a>         mat <a class="code" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456" title="Matrix D.">D</a>; 
    111 <a name="l00086"></a><a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">00086</a>         sq_T <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a>; 
    112 <a name="l00088"></a><a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">00088</a>         sq_T <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a>; 
    113 <a name="l00089"></a>00089  
    114 <a name="l00091"></a><a class="code" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">00091</a>         <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a> <a class="code" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d" title="posterior density on $x_t$">est</a>; 
    115 <a name="l00093"></a><a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">00093</a>         <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a> <a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c" title="preditive density on $y_t$">fy</a>; 
    116 <a name="l00094"></a>00094  
    117 <a name="l00096"></a><a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">00096</a>         mat <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="placeholder for Kalman gain">_K</a>; 
    118 <a name="l00098"></a><a class="code" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">00098</a>         vec&amp; <a class="code" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1" title="cache of fy.mu">_yp</a>; 
    119 <a name="l00100"></a><a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">00100</a>         sq_T&amp; <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a>; 
    120 <a name="l00102"></a><a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">00102</a>         vec&amp; <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>; 
    121 <a name="l00104"></a><a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">00104</a>         sq_T&amp; <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>; 
    122 <a name="l00105"></a>00105  
    123 <a name="l00106"></a>00106 <span class="keyword">public</span>: 
    124 <a name="l00108"></a>00108         <a class="code" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4" title="Default constructor.">Kalman</a> ( ); 
    125 <a name="l00110"></a>00110         <a class="code" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4" title="Default constructor.">Kalman</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman&lt;sq_T&gt;</a> &amp;K0 ); 
    126 <a name="l00112"></a>00112         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957" title="Set parameters with check of relevance.">set_parameters</a> ( <span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span> mat &amp;B0, <span class="keyword">const</span> mat &amp;C0, <span class="keyword">const</span> mat &amp;D0, <span class="keyword">const</span> sq_T &amp;Q0, <span class="keyword">const</span> sq_T &amp;R0 ); 
    127 <a name="l00114"></a><a class="code" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">00114</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68" title="Set estimate values, used e.g. in initialization.">set_est</a> ( <span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> sq_T &amp;P0 ) { 
    128 <a name="l00115"></a>00115                 sq_T pom ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ); 
    129 <a name="l00116"></a>00116                 <a class="code" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d" title="posterior density on $x_t$">est</a>.set_parameters ( mu0, P0 ); 
    130 <a name="l00117"></a>00117                 P0.mult_sym ( <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>, pom ); 
    131 <a name="l00118"></a>00118                 <a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c" title="preditive density on $y_t$">fy</a>.set_parameters ( <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>*mu0, pom ); 
    132 <a name="l00119"></a>00119         }; 
    133 <a name="l00120"></a>00120  
    134 <a name="l00122"></a>00122         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
    135 <a name="l00124"></a><a class="code" href="classbdm_1_1Kalman.html#f75e487ff6c129d7012d702030f8c890">00124</a>         <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classbdm_1_1Kalman.html#f75e487ff6c129d7012d702030f8c890" title="access function">posterior</a>()<span class="keyword"> const </span>{ 
    136 <a name="l00125"></a>00125                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d" title="posterior density on $x_t$">est</a>; 
    137 <a name="l00126"></a>00126         } 
    138 <a name="l00128"></a><a class="code" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">00128</a>         mat&amp; <a class="code" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277" title="access function">__K</a>() { 
    139 <a name="l00129"></a>00129                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="placeholder for Kalman gain">_K</a>; 
    140 <a name="l00130"></a>00130         } 
    141 <a name="l00132"></a><a class="code" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">00132</a>         vec <a class="code" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48" title="access function">_dP</a>() { 
    142 <a name="l00133"></a>00133                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>-&gt;getD(); 
    143 <a name="l00134"></a>00134         } 
    144 <a name="l00135"></a>00135 }; 
    145 <a name="l00136"></a>00136  
    146 <a name="l00143"></a><a class="code" href="classbdm_1_1KalmanCh.html">00143</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a>&lt;chmat&gt; { 
    147 <a name="l00144"></a>00144 <span class="keyword">protected</span>: 
    148 <a name="l00146"></a><a class="code" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d">00146</a>         mat <a class="code" href="classbdm_1_1KalmanCh.html#48611c8582706cfa62e832be0972e75d" title="pre array (triangular matrix)">preA</a>; 
    149 <a name="l00148"></a><a class="code" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">00148</a>         mat <a class="code" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f" title="post array (triangular matrix)">postA</a>; 
    150 <a name="l00149"></a>00149  
    151 <a name="l00150"></a>00150 <span class="keyword">public</span>: 
    152 <a name="l00152"></a><a class="code" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">00152</a>         <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996" title="copy constructor">_copy_</a>()<span class="keyword"> const </span>{ 
    153 <a name="l00153"></a>00153                 <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a>* K = <span class="keyword">new</span> <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a>; 
    154 <a name="l00154"></a>00154                 K-&gt;<a class="code" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="Set parameters with check of relevance.">set_parameters</a> ( <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a> ); 
    155 <a name="l00155"></a>00155                 K-&gt;<a class="code" href="classbdm_1_1KalmanCh.html#6e169272657ed101f3d128b49c59b890">set_statistics</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a> ); 
    156 <a name="l00156"></a>00156                 <span class="keywordflow">return</span> K; 
    157 <a name="l00157"></a>00157         } 
    158 <a name="l00159"></a>00159         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="Set parameters with check of relevance.">set_parameters</a> ( <span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span> mat &amp;B0, <span class="keyword">const</span> mat &amp;C0, <span class="keyword">const</span> mat &amp;D0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;Q0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;R0 ); 
    159 <a name="l00160"></a>00160         <span class="keywordtype">void</span> set_statistics ( <span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;P0 ) { 
    160 <a name="l00161"></a>00161                 <a class="code" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d" title="posterior density on $x_t$">est</a>.<a class="code" href="classbdm_1_1enorm.html#b8322f2c11560871dd922c660f4771bb">set_parameters</a> ( mu0, P0 ); 
    161 <a name="l00162"></a>00162         }; 
    162 <a name="l00163"></a>00163  
    163 <a name="l00164"></a>00164  
    164 <a name="l00178"></a>00178         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
    165 <a name="l00179"></a>00179 }; 
    166 <a name="l00180"></a>00180  
    167 <a name="l00186"></a><a class="code" href="classbdm_1_1EKFfull.html">00186</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKFfull.html" title="Extended Kalman Filter in full matrices.">EKFfull</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices (education purpose only)! Will be deleted...">KalmanFull</a>, <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> { 
    168 <a name="l00187"></a>00187 <span class="keyword">protected</span>: 
    169 <a name="l00189"></a><a class="code" href="classbdm_1_1EKFfull.html#ee5bfb3f09dfa994596c5bc68306f7d6">00189</a>         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#ee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>; 
    170 <a name="l00190"></a>00190  
    171 <a name="l00192"></a><a class="code" href="classbdm_1_1EKFfull.html#6432c675b1a9b83898b4ff19eab9b45c">00192</a>         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>; 
    172 <a name="l00193"></a>00193  
    173 <a name="l00194"></a>00194         <a class="code" href="classbdm_1_1enorm.html">enorm&lt;fsqmat&gt;</a> E; 
    174 <a name="l00195"></a>00195 <span class="keyword">public</span>: 
    175 <a name="l00197"></a>00197         <a class="code" href="classbdm_1_1EKFfull.html#6939c345389abb8b2481457b4cfe1165" title="Default constructor.">EKFfull</a> ( ); 
    176 <a name="l00198"></a>00198  
    177 <a name="l00200"></a>00200         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#8a68f95124a4b01f9ce23225f3c736a4" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFfull.html#ee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFfull.html#6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> mat Q0, <span class="keyword">const</span> mat R0 ); 
    178 <a name="l00201"></a>00201  
    179 <a name="l00203"></a>00203         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#f149ae8e9ce14d9931a7bb2850736699" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
    180 <a name="l00205"></a><a class="code" href="classbdm_1_1EKFfull.html#1949a9b1496a855cc7c24e619bc52365">00205</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#1949a9b1496a855cc7c24e619bc52365" title="set estimates">set_statistics</a> ( vec mu0, mat P0 ) { 
    181 <a name="l00206"></a>00206                 <a class="code" href="classbdm_1_1KalmanFull.html#2defb75e58892615c5f95fd844f3a666" title="Mean value of the posterior density.">mu</a> = mu0; 
    182 <a name="l00207"></a>00207                 <a class="code" href="classbdm_1_1KalmanFull.html#acacd228e100c3e937de575ad2d7cd9c" title="Variance of the posterior density.">P</a> = P0; 
    183 <a name="l00208"></a>00208         }; 
    184 <a name="l00210"></a><a class="code" href="classbdm_1_1EKFfull.html#7e9a69f36a0a0615c9abb806772ef36d">00210</a>         <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classbdm_1_1EKFfull.html#7e9a69f36a0a0615c9abb806772ef36d" title="dummy!">posterior</a>()<span class="keyword"> const </span>{ 
    185 <a name="l00211"></a>00211                 <span class="keywordflow">return</span> E; 
    186 <a name="l00212"></a>00212         }; 
    187 <a name="l00213"></a>00213         <span class="keyword">const</span> mat _R() { 
    188 <a name="l00214"></a>00214                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1KalmanFull.html#acacd228e100c3e937de575ad2d7cd9c" title="Variance of the posterior density.">P</a>; 
    189 <a name="l00215"></a>00215         } 
    190 <a name="l00216"></a>00216 }; 
    191 <a name="l00217"></a>00217  
    192 <a name="l00223"></a>00223 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    193 <a name="l00224"></a><a class="code" href="classbdm_1_1EKF.html">00224</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKF.html" title="Extended Kalman Filter.">EKF</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a>&lt;fsqmat&gt; { 
    194 <a name="l00226"></a>00226         <a class="code" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables .">diffbifn</a>* pfxu; 
    195 <a name="l00228"></a>00228         <a class="code" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables .">diffbifn</a>* phxu; 
    196 <a name="l00229"></a>00229 <span class="keyword">public</span>: 
    197 <a name="l00231"></a>00231         <a class="code" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059" title="Default constructor.">EKF</a> ( <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rvx, <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7" title="Indetifier of output rv.">rvy</a>, <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94" title="Indetifier of exogeneous rv.">rvu</a> ); 
    198 <a name="l00233"></a><a class="code" href="classbdm_1_1EKF.html#fe9b2e227255ad32dc73df316b7318f4">00233</a>         <a class="code" href="classbdm_1_1EKF.html" title="Extended Kalman Filter.">EKF&lt;sq_T&gt;</a>* <a class="code" href="classbdm_1_1EKF.html#fe9b2e227255ad32dc73df316b7318f4" title="copy constructor">_copy_</a>()<span class="keyword"> const </span>{ 
    199 <a name="l00234"></a>00234                 <span class="keywordflow">return</span> <span class="keyword">new</span> <a class="code" href="classbdm_1_1EKF.html" title="Extended Kalman Filter.">EKF&lt;sq_T&gt;</a> ( this ); 
    200 <a name="l00235"></a>00235         } 
    201 <a name="l00237"></a>00237         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( <a class="code" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables .">diffbifn</a>* pfxu, <a class="code" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables .">diffbifn</a>* phxu, <span class="keyword">const</span> sq_T Q0, <span class="keyword">const</span> sq_T R0 ); 
    202 <a name="l00239"></a>00239         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
    203 <a name="l00240"></a>00240 }; 
     74<a name="l00022"></a>00022 <span class="keyword">namespace </span>bdm 
     75<a name="l00023"></a>00023 { 
     76<a name="l00024"></a>00024  
     77<a name="l00032"></a>00032 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     78<a name="l00033"></a><a class="code" href="classbdm_1_1StateSpace.html">00033</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a> 
     79<a name="l00034"></a>00034 { 
     80<a name="l00035"></a>00035         <span class="keyword">protected</span>: 
     81<a name="l00037"></a><a class="code" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21">00037</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>; 
     82<a name="l00039"></a><a class="code" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f">00039</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>; 
     83<a name="l00041"></a><a class="code" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf">00041</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>; 
     84<a name="l00043"></a><a class="code" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b">00043</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>; 
     85<a name="l00045"></a><a class="code" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51">00045</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>; 
     86<a name="l00047"></a><a class="code" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9">00047</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>; 
     87<a name="l00049"></a><a class="code" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f">00049</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>; 
     88<a name="l00051"></a><a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f">00051</a>                 sq_T <a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>; 
     89<a name="l00053"></a><a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084">00053</a>                 sq_T <a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>; 
     90<a name="l00054"></a>00054         <span class="keyword">public</span>: 
     91<a name="l00055"></a>00055                 <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a>() : <a class="code" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(), <a class="code" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(), <a class="code" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>(), <a class="code" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>(), <a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>(), <a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>() {} 
     92<a name="l00056"></a>00056                 <span class="keywordtype">void</span> set_parameters (<span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span>  mat &amp;B0, <span class="keyword">const</span>  mat &amp;C0, <span class="keyword">const</span>  mat &amp;D0, <span class="keyword">const</span>  sq_T &amp;Q0, <span class="keyword">const</span> sq_T &amp;R0); 
     93<a name="l00057"></a>00057                 <span class="keywordtype">void</span> validate(); 
     94<a name="l00059"></a><a class="code" href="classbdm_1_1StateSpace.html#02470085bbf3c41fe8e36544813eecbd">00059</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#02470085bbf3c41fe8e36544813eecbd" title="not virtual in this case">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
     95<a name="l00060"></a>00060                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">"A"</span>, UI::compulsory); 
     96<a name="l00061"></a>00061                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <span class="keyword">set</span>, <span class="stringliteral">"B"</span>, UI::compulsory); 
     97<a name="l00062"></a>00062                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <span class="keyword">set</span>, <span class="stringliteral">"C"</span>, UI::compulsory); 
     98<a name="l00063"></a>00063                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <span class="keyword">set</span>, <span class="stringliteral">"D"</span>, UI::compulsory); 
     99<a name="l00064"></a>00064                         mat Qtm, Rtm; 
     100<a name="l00065"></a>00065                         <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Qtm, <span class="keyword">set</span>, <span class="stringliteral">"Q"</span>, UI::optional)){ 
     101<a name="l00066"></a>00066                                 vec dq; 
     102<a name="l00067"></a>00067                                 <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dq, <span class="keyword">set</span>, <span class="stringliteral">"dQ"</span>, UI::compulsory); 
     103<a name="l00068"></a>00068                                 Qtm=diag(dq); 
     104<a name="l00069"></a>00069                         } 
     105<a name="l00070"></a>00070                         <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Rtm, <span class="keyword">set</span>, <span class="stringliteral">"R"</span>, UI::optional)){ 
     106<a name="l00071"></a>00071                                 vec dr; 
     107<a name="l00072"></a>00072                                 <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dr, <span class="keyword">set</span>, <span class="stringliteral">"dQ"</span>, UI::compulsory); 
     108<a name="l00073"></a>00073                                 Rtm=diag(dr); 
     109<a name="l00074"></a>00074                         } 
     110<a name="l00075"></a>00075                         <a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>=Rtm; <span class="comment">// automatic conversion</span> 
     111<a name="l00076"></a>00076                         <a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>=Qtm;  
     112<a name="l00077"></a>00077                          
     113<a name="l00078"></a>00078                         validate(); 
     114<a name="l00079"></a>00079                 }                
     115<a name="l00081"></a><a class="code" href="classbdm_1_1StateSpace.html#b1972e00d9b9dd22a0f983c7cb0b8b40">00081</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#b1972e00d9b9dd22a0f983c7cb0b8b40" title="access function">_dimx</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>;} 
     116<a name="l00083"></a><a class="code" href="classbdm_1_1StateSpace.html#f3d83a4b39e05df9fb4246fd6ddc2a60">00083</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#f3d83a4b39e05df9fb4246fd6ddc2a60" title="access function">_dimy</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>;} 
     117<a name="l00085"></a><a class="code" href="classbdm_1_1StateSpace.html#a238842025a0eaade26d5d79a0e9000e">00085</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#a238842025a0eaade26d5d79a0e9000e" title="access function">_dimu</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>;} 
     118<a name="l00087"></a><a class="code" href="classbdm_1_1StateSpace.html#a70f6c8ab37f955f408361150e13c47b">00087</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#a70f6c8ab37f955f408361150e13c47b" title="access function">_A</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>;} 
     119<a name="l00089"></a><a class="code" href="classbdm_1_1StateSpace.html#4272982f976ea9d0ea7c9b7182ed7e3c">00089</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#4272982f976ea9d0ea7c9b7182ed7e3c" title="access function">_B</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>;} 
     120<a name="l00091"></a><a class="code" href="classbdm_1_1StateSpace.html#ec4c0923e2b5d0c3e5dfe119ffee511e">00091</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#ec4c0923e2b5d0c3e5dfe119ffee511e" title="access function">_C</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>;} 
     121<a name="l00093"></a><a class="code" href="classbdm_1_1StateSpace.html#e0757fcc5e0ebaf0bd95f522bf405f06">00093</a>                 mat <a class="code" href="classbdm_1_1StateSpace.html#e0757fcc5e0ebaf0bd95f522bf405f06" title="access function">_D</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>;} 
     122<a name="l00095"></a><a class="code" href="classbdm_1_1StateSpace.html#4c908775f27db8d869b93078862a4934">00095</a>                 sq_T <a class="code" href="classbdm_1_1StateSpace.html#4c908775f27db8d869b93078862a4934" title="access function">_Q</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>;} 
     123<a name="l00097"></a><a class="code" href="classbdm_1_1StateSpace.html#8c94418779eb70f6199fa3467c45f316">00097</a>                 sq_T <a class="code" href="classbdm_1_1StateSpace.html#8c94418779eb70f6199fa3467c45f316" title="access function">_R</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>;} 
     124<a name="l00098"></a>00098 }; 
     125<a name="l00099"></a>00099  
     126<a name="l00101"></a>00101 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     127<a name="l00102"></a><a class="code" href="classbdm_1_1Kalman.html">00102</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>, <span class="keyword">public</span> <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a>&lt;sq_T&gt; 
     128<a name="l00103"></a>00103 { 
     129<a name="l00104"></a>00104         <span class="keyword">protected</span>: 
     130<a name="l00106"></a><a class="code" href="classbdm_1_1Kalman.html#aac28e226fe6cbff5a9ae38d8d025d7a">00106</a>                 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#aac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>; 
     131<a name="l00108"></a><a class="code" href="classbdm_1_1Kalman.html#44d4a8ab05d5311286e1da78b831633e">00108</a>                 <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classbdm_1_1Kalman.html#44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>; 
     132<a name="l00110"></a><a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">00110</a>                 mat  <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>; 
     133<a name="l00112"></a><a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43">00112</a>                 <a class="code" href="classbdm_1_1shared__ptr.html" title="A naive implementation of roughly a subset of the std::tr1::shared_ptr spec.">shared_ptr&lt;enorm&lt;sq_T&gt;</a> &gt; <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>; 
     134<a name="l00114"></a><a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">00114</a>                 <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a>  <a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y|y)">fy</a>; 
     135<a name="l00115"></a>00115         <span class="keyword">public</span>: 
     136<a name="l00116"></a>00116                 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>() : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>(), <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a>&lt;sq_T&gt;(), <a class="code" href="classbdm_1_1Kalman.html#aac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(),<a class="code" href="classbdm_1_1Kalman.html#44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(), <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(),  <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(new <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm</a>&lt;sq_T&gt;){} 
     137<a name="l00117"></a>00117                 <span class="keywordtype">void</span> set_statistics (<span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> mat &amp;P0) {<a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); }; 
     138<a name="l00118"></a>00118                 <span class="keywordtype">void</span> set_statistics (<span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> sq_T &amp;P0) {<a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); }; 
     139<a name="l00120"></a><a class="code" href="classbdm_1_1Kalman.html#8b0c3db41eb292edb20b826832c9b5fa">00120</a>                 <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a>&amp; <a class="code" href="classbdm_1_1Kalman.html#8b0c3db41eb292edb20b826832c9b5fa" title="posterior">posterior</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> *<a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>.<a class="code" href="classbdm_1_1shared__ptr.html#37ebcfb6750dd7b5630f1d2354c07a96">get</a>();} 
     140<a name="l00122"></a><a class="code" href="classbdm_1_1Kalman.html#4da2fdd01e9b335b133def9814eb0620">00122</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;epdf&gt;</a> <a class="code" href="classbdm_1_1Kalman.html#4da2fdd01e9b335b133def9814eb0620" title="shared posterior">shared_posterior</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>;} 
     141<a name="l00124"></a><a class="code" href="classbdm_1_1Kalman.html#7fe88fc3471cab1911707bcdb6b4690a">00124</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
     142<a name="l00125"></a>00125                         <a class="code" href="classbdm_1_1Kalman.html#7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">StateSpace&lt;sq_T&gt;::from_setting</a>(<span class="keyword">set</span>); 
     143<a name="l00126"></a>00126                                                  
     144<a name="l00127"></a>00127                         mat P0; vec mu0; 
     145<a name="l00128"></a>00128                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(mu0, <span class="keyword">set</span>, <span class="stringliteral">"mu0"</span>, UI::optional); 
     146<a name="l00129"></a>00129                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(P0, <span class="keyword">set</span>,  <span class="stringliteral">"P0"</span>, UI::optional); 
     147<a name="l00130"></a>00130                         set_statistics(mu0,P0); 
     148<a name="l00131"></a>00131                         <span class="comment">// Initial values</span> 
     149<a name="l00132"></a>00132                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#aac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>, <span class="keyword">set</span>, <span class="stringliteral">"yrv"</span>, UI::optional); 
     150<a name="l00133"></a>00133                         <a class="code" href="classbdm_1_1UI.html#cd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>, <span class="keyword">set</span>, <span class="stringliteral">"urv"</span>, UI::optional); 
     151<a name="l00134"></a>00134                         set_drv(concat(<a class="code" href="classbdm_1_1Kalman.html#aac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>,<a class="code" href="classbdm_1_1Kalman.html#44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>)); 
     152<a name="l00135"></a>00135                          
     153<a name="l00136"></a>00136                         validate(); 
     154<a name="l00137"></a>00137                 } 
     155<a name="l00138"></a>00138                 <span class="keywordtype">void</span> validate() { 
     156<a name="l00139"></a>00139                         <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace&lt;sq_T&gt;::validate</a>(); 
     157<a name="l00140"></a>00140                         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(<a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;dimension(), <span class="stringliteral">"Statistics and model parameters mismatch"</span>); 
     158<a name="l00141"></a>00141                 } 
     159<a name="l00142"></a>00142 }; 
     160<a name="l00147"></a><a class="code" href="classbdm_1_1KalmanFull.html">00147</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>&lt;fsqmat&gt; 
     161<a name="l00148"></a>00148 { 
     162<a name="l00149"></a>00149         <span class="keyword">public</span>: 
     163<a name="l00151"></a><a class="code" href="classbdm_1_1KalmanFull.html#bdcc98c8b18c1cbdebdf218ae838fd11">00151</a>                 <a class="code" href="classbdm_1_1KalmanFull.html#bdcc98c8b18c1cbdebdf218ae838fd11" title="For EKFfull;.">KalmanFull</a>() :<a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>&lt;<a class="code" href="classbdm_1_1fsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a>&gt;(){}; 
     164<a name="l00153"></a>00153                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanFull.html#081924bc97f453f674bb982b7951d053" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     165<a name="l00154"></a>00154 }; 
     166<a name="l00155"></a>00155 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanFull); 
     167<a name="l00156"></a>00156  
     168<a name="l00157"></a>00157  
     169<a name="l00165"></a><a class="code" href="classbdm_1_1KalmanCh.html">00165</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a>&lt;chmat&gt; 
     170<a name="l00166"></a>00166 { 
     171<a name="l00167"></a>00167         <span class="keyword">protected</span>: 
     172<a name="l00170"></a>00170                 mat preA; 
     173<a name="l00172"></a><a class="code" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f">00172</a>                 mat <a class="code" href="classbdm_1_1KalmanCh.html#bcbd68f51d4b57246e7784ca5900171f" title="post array (triangular matrix)">postA</a>; 
     174<a name="l00174"></a>00174         <span class="keyword">public</span>: 
     175<a name="l00176"></a><a class="code" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">00176</a>                 <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996" title="copy constructor">_copy_</a>()<span class="keyword"> const </span>{ 
     176<a name="l00177"></a>00177                         <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a>* K = <span class="keyword">new</span> <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a>; 
     177<a name="l00178"></a>00178                         K-&gt;<a class="code" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="set parameters for adapt from Kalman">set_parameters</a> (<a class="code" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
     178<a name="l00179"></a>00179                         K-&gt;<a class="code" href="classbdm_1_1Kalman.html#d9107617cd5482272ab046849cbfff49">set_statistics</a> (<a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
     179<a name="l00180"></a>00180                         <span class="keywordflow">return</span> K; 
     180<a name="l00181"></a>00181                 } 
     181<a name="l00183"></a>00183                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="set parameters for adapt from Kalman">set_parameters</a> (<span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span> mat &amp;B0, <span class="keyword">const</span> mat &amp;C0, <span class="keyword">const</span> mat &amp;D0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;Q0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;R0); 
     182<a name="l00185"></a>00185                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#c983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); 
     183<a name="l00186"></a>00186  
     184<a name="l00200"></a>00200                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     185<a name="l00201"></a>00201                  
     186<a name="l00202"></a><a class="code" href="classbdm_1_1KalmanCh.html#13f68cef5b14c8753012ad3ed695689d">00202</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">from_setting</a>(<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>){ 
     187<a name="l00203"></a>00203                         <a class="code" href="classbdm_1_1KalmanCh.html#13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">Kalman&lt;chmat&gt;::from_setting</a>(<span class="keyword">set</span>); 
     188<a name="l00204"></a>00204                         <a class="code" href="classbdm_1_1KalmanCh.html#c983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); 
     189<a name="l00205"></a>00205                 } 
     190<a name="l00206"></a>00206 }; 
     191<a name="l00207"></a>00207 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanCh); 
     192<a name="l00208"></a>00208  
     193<a name="l00214"></a><a class="code" href="classbdm_1_1EKFfull.html">00214</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKFfull.html" title="Extended Kalman Filter in full matrices.">EKFfull</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a> 
     194<a name="l00215"></a>00215 { 
     195<a name="l00216"></a>00216         <span class="keyword">protected</span>: 
     196<a name="l00218"></a><a class="code" href="classbdm_1_1EKFfull.html#ee5bfb3f09dfa994596c5bc68306f7d6">00218</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#ee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>; 
     197<a name="l00219"></a>00219  
     198<a name="l00221"></a><a class="code" href="classbdm_1_1EKFfull.html#6432c675b1a9b83898b4ff19eab9b45c">00221</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>; 
     199<a name="l00222"></a>00222  
     200<a name="l00223"></a>00223         <span class="keyword">public</span>: 
     201<a name="l00225"></a>00225                 <a class="code" href="classbdm_1_1EKFfull.html#6939c345389abb8b2481457b4cfe1165" title="Default constructor.">EKFfull</a> (); 
     202<a name="l00226"></a>00226  
     203<a name="l00228"></a>00228                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#8a68f95124a4b01f9ce23225f3c736a4" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFfull.html#ee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFfull.html#6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> mat Q0, <span class="keyword">const</span> mat R0); 
     204<a name="l00229"></a>00229  
     205<a name="l00231"></a>00231                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#f149ae8e9ce14d9931a7bb2850736699" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     206<a name="l00233"></a><a class="code" href="classbdm_1_1EKFfull.html#44986d667c19bcf7708495a4a5afc841">00233</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> (<span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> mat &amp;P0) { 
     207<a name="l00234"></a>00234                         <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); 
     208<a name="l00235"></a>00235                 }; 
     209<a name="l00236"></a><a class="code" href="classbdm_1_1EKFfull.html#d4f57cb8af64b06c530f528c32596d4d">00236</a>                 <span class="keyword">const</span> mat <a class="code" href="classbdm_1_1EKFfull.html#d4f57cb8af64b06c530f528c32596d4d" title="access function">_R</a>() { 
     210<a name="l00237"></a>00237                         <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R().to_mat(); 
     211<a name="l00238"></a>00238                 } 
     212<a name="l00239"></a>00239 }; 
     213<a name="l00240"></a>00240 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(EKFfull); 
    204214<a name="l00241"></a>00241  
    205 <a name="l00248"></a><a class="code" href="classbdm_1_1EKFCh.html">00248</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a> { 
    206 <a name="l00249"></a>00249 <span class="keyword">protected</span>: 
    207 <a name="l00251"></a><a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a">00251</a>         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>; 
    208 <a name="l00252"></a>00252  
    209 <a name="l00254"></a><a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1">00254</a>         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>; 
    210 <a name="l00255"></a>00255 <span class="keyword">public</span>: 
    211 <a name="l00257"></a><a class="code" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">00257</a>         <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4" title="copy constructor duplicated - calls different set_parameters">_copy_</a>()<span class="keyword"> const </span>{ 
    212 <a name="l00258"></a>00258                 <a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a>* E = <span class="keyword">new</span> <a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a>; 
    213 <a name="l00259"></a>00259                 E-&gt;<a class="code" href="classbdm_1_1EKFCh.html#cd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( <a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a> ); 
    214 <a name="l00260"></a>00260                 E-&gt;<a class="code" href="classbdm_1_1KalmanCh.html#6e169272657ed101f3d128b49c59b890">set_statistics</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a> ); 
    215 <a name="l00261"></a>00261                 <span class="keywordflow">return</span> E; 
    216 <a name="l00262"></a>00262         } 
    217 <a name="l00264"></a>00264         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#cd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> Q0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> R0 ); 
    218 <a name="l00265"></a>00265  
    219 <a name="l00267"></a>00267         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
    220 <a name="l00268"></a>00268  
    221 <a name="l00269"></a>00269         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#3952e181ef0cf230c325ad3be1f002df" title="This method arrange instance properties according the data stored in the Setting...">from_setting</a> ( <span class="keyword">const</span> Setting &amp;<span class="keyword">set</span> ); 
     215<a name="l00242"></a>00242  
     216<a name="l00249"></a><a class="code" href="classbdm_1_1EKFCh.html">00249</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1KalmanCh.html" title="Kalman filter in square root form.">KalmanCh</a> 
     217<a name="l00250"></a>00250 { 
     218<a name="l00251"></a>00251         <span class="keyword">protected</span>: 
     219<a name="l00253"></a><a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a">00253</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>; 
     220<a name="l00254"></a>00254  
     221<a name="l00256"></a><a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1">00256</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>; 
     222<a name="l00257"></a>00257         <span class="keyword">public</span>: 
     223<a name="l00259"></a><a class="code" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">00259</a>                 <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a>* <a class="code" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4" title="copy constructor duplicated - calls different set_parameters">_copy_</a>()<span class="keyword"> const </span>{ 
     224<a name="l00260"></a>00260                         <a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a>* E = <span class="keyword">new</span> <a class="code" href="classbdm_1_1EKFCh.html" title="Extended Kalman Filter in Square root.">EKFCh</a>; 
     225<a name="l00261"></a>00261                         E-&gt;<a class="code" href="classbdm_1_1EKFCh.html#cd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <a class="code" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
     226<a name="l00262"></a>00262                         E-&gt;<a class="code" href="classbdm_1_1Kalman.html#d9107617cd5482272ab046849cbfff49">set_statistics</a> (<a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
     227<a name="l00263"></a>00263                         <span class="keywordflow">return</span> E; 
     228<a name="l00264"></a>00264                 } 
     229<a name="l00266"></a>00266                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#cd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFCh.html#5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> &amp;<a class="code" href="classbdm_1_1EKFCh.html#27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> Q0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1chmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> R0); 
     230<a name="l00267"></a>00267  
     231<a name="l00269"></a>00269                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
    222232<a name="l00270"></a>00270  
    223 <a name="l00271"></a>00271         <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
     233<a name="l00271"></a>00271                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#3952e181ef0cf230c325ad3be1f002df" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>); 
    224234<a name="l00272"></a>00272  
    225 <a name="l00273"></a>00273         <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a>&amp; posterior() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d" title="posterior density on $x_t$">est</a>;} 
    226 <a name="l00274"></a>00274 }; 
    227 <a name="l00275"></a>00275  
    228 <a name="l00276"></a>00276 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> ( EKFCh ); 
    229 <a name="l00277"></a>00277 SHAREDPTR ( EKFCh ); 
    230 <a name="l00278"></a>00278  
     235<a name="l00273"></a>00273                 <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
     236<a name="l00274"></a>00274  
     237<a name="l00275"></a>00275 }; 
     238<a name="l00276"></a>00276  
     239<a name="l00277"></a>00277 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (EKFCh); 
     240<a name="l00278"></a>00278 SHAREDPTR (EKFCh); 
    231241<a name="l00279"></a>00279  
    232 <a name="l00284"></a><a class="code" href="classbdm_1_1KFcondQR.html">00284</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KFcondQR.html" title="Kalman Filter with conditional diagonal matrices R and Q.">KFcondQR</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a>&lt;ldmat&gt; { 
    233 <a name="l00285"></a>00285 <span class="comment">//protected:</span> 
    234 <a name="l00286"></a>00286 <span class="keyword">public</span>: 
    235 <a name="l00287"></a><a class="code" href="classbdm_1_1KFcondQR.html#31bc31087ee7ed6c0bfb92d626321b91">00287</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KFcondQR.html#31bc31087ee7ed6c0bfb92d626321b91" title="Substitute val for rvc.">condition</a> ( <span class="keyword">const</span> vec &amp;QR ) { 
    236 <a name="l00288"></a>00288                 it_assert_debug ( QR.length() == ( <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a> + <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ), <span class="stringliteral">"KFcondRQ: conditioning by incompatible vector"</span> ); 
    237 <a name="l00289"></a>00289  
    238 <a name="l00290"></a>00290                 <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a>.<a class="code" href="classbdm_1_1ldmat.html#72e61ad4e0653f4fc38e7d60d3cf1d4e" title="Access functions.">setD</a> ( QR ( 0, <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a> - 1 ) ); 
    239 <a name="l00291"></a>00291                 <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a>.<a class="code" href="classbdm_1_1ldmat.html#72e61ad4e0653f4fc38e7d60d3cf1d4e" title="Access functions.">setD</a> ( QR ( <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a>, -1 ) ); 
    240 <a name="l00292"></a>00292         }; 
    241 <a name="l00293"></a>00293 }; 
    242 <a name="l00294"></a>00294  
    243 <a name="l00299"></a><a class="code" href="classbdm_1_1KFcondR.html">00299</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1KFcondR.html" title="Kalman Filter with conditional diagonal matrices R and Q.">KFcondR</a> : <span class="keyword">public</span> <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a>&lt;ldmat&gt; { 
    244 <a name="l00300"></a>00300 <span class="comment">//protected:</span> 
    245 <a name="l00301"></a>00301 <span class="keyword">public</span>: 
    246 <a name="l00303"></a><a class="code" href="classbdm_1_1KFcondR.html#f11639d79f10b1e7dad16a0d8233450d">00303</a>         <a class="code" href="classbdm_1_1KFcondR.html#f11639d79f10b1e7dad16a0d8233450d" title="Default constructor.">KFcondR</a> ( ) : <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a>&lt;<a class="code" href="classbdm_1_1ldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a>&gt; ( ) {}; 
    247 <a name="l00304"></a>00304  
    248 <a name="l00305"></a><a class="code" href="classbdm_1_1KFcondR.html#7d42a421acbdcf9b610a5682ee5fb9a8">00305</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KFcondR.html#7d42a421acbdcf9b610a5682ee5fb9a8" title="Substitute val for rvc.">condition</a> ( <span class="keyword">const</span> vec &amp;R0 ) { 
    249 <a name="l00306"></a>00306                 it_assert_debug ( R0.length() == ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ), <span class="stringliteral">"KFcondR: conditioning by incompatible vector"</span> ); 
    250 <a name="l00307"></a>00307  
    251 <a name="l00308"></a>00308                 <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a>.<a class="code" href="classbdm_1_1ldmat.html#72e61ad4e0653f4fc38e7d60d3cf1d4e" title="Access functions.">setD</a> ( R0 ); 
    252 <a name="l00309"></a>00309         }; 
    253 <a name="l00310"></a>00310  
    254 <a name="l00311"></a>00311 }; 
    255 <a name="l00312"></a>00312  
    256 <a name="l00314"></a>00314  
    257 <a name="l00315"></a>00315 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    258 <a name="l00316"></a><a class="code" href="classbdm_1_1Kalman.html#8b22c45cffa949d70b8e5ac92ed5ce25">00316</a> <a class="code" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4" title="Default constructor.">Kalman&lt;sq_T&gt;::Kalman</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman&lt;sq_T&gt;</a> &amp;K0 ) : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> ( ), rvy ( K0.rvy ), rvu ( K0.rvu ), 
    259 <a name="l00317"></a>00317                 dimx ( K0.dimx ), dimy ( K0.dimy ), dimu ( K0.dimu ), 
    260 <a name="l00318"></a>00318                 A ( K0.A ), B ( K0.B ), C ( K0.C ), D ( K0.D ), 
    261 <a name="l00319"></a>00319                 Q ( K0.Q ), R ( K0.R ), 
    262 <a name="l00320"></a>00320                 est ( K0.est ), fy ( K0.fy ), _yp ( fy._mu() ), _Ry ( fy._R() ), _mu ( est._mu() ), _P ( est._R() ) { 
    263 <a name="l00321"></a>00321  
    264 <a name="l00322"></a>00322 <span class="comment">// copy values in pointers</span> 
    265 <a name="l00323"></a>00323 <span class="comment">//      _mu = K0._mu;</span> 
    266 <a name="l00324"></a>00324 <span class="comment">//      _P = K0._P;</span> 
    267 <a name="l00325"></a>00325 <span class="comment">//      _yp = K0._yp;</span> 
    268 <a name="l00326"></a>00326 <span class="comment">//      _Ry = K0._Ry;</span> 
    269 <a name="l00327"></a>00327  
    270 <a name="l00328"></a>00328 } 
    271 <a name="l00329"></a>00329  
    272 <a name="l00330"></a>00330 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    273 <a name="l00331"></a><a class="code" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4">00331</a> <a class="code" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4" title="Default constructor.">Kalman&lt;sq_T&gt;::Kalman</a> ( ) : <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> (), est ( ), fy (),  _yp ( fy._mu() ), _Ry ( fy._R() ), _mu ( est._mu() ), _P ( est._R() ) { 
    274 <a name="l00332"></a>00332 }; 
    275 <a name="l00333"></a>00333  
    276 <a name="l00334"></a>00334 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    277 <a name="l00335"></a><a class="code" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957">00335</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957" title="Set parameters with check of relevance.">Kalman&lt;sq_T&gt;::set_parameters</a> ( <span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span>  mat &amp;B0, <span class="keyword">const</span> mat &amp;C0, <span class="keyword">const</span> mat &amp;D0, <span class="keyword">const</span> sq_T &amp;Q0, <span class="keyword">const</span> sq_T &amp;R0 ) { 
    278 <a name="l00336"></a>00336         <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a> = A0.rows(); 
    279 <a name="l00337"></a>00337         <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> = C0.rows(); 
    280 <a name="l00338"></a>00338         <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> = B0.cols(); 
    281 <a name="l00339"></a>00339  
    282 <a name="l00340"></a>00340         it_assert_debug ( A0.cols() == <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a>, <span class="stringliteral">"Kalman: A is not square"</span> ); 
    283 <a name="l00341"></a>00341         it_assert_debug ( B0.rows() == <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a>, <span class="stringliteral">"Kalman: B is not compatible"</span> ); 
    284 <a name="l00342"></a>00342         it_assert_debug ( C0.cols() == <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a>, <span class="stringliteral">"Kalman: C is not square"</span> ); 
    285 <a name="l00343"></a>00343         it_assert_debug ( ( D0.rows() == <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ) || ( D0.cols() == <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> ),       <span class="stringliteral">"Kalman: D is not compatible"</span> ); 
    286 <a name="l00344"></a>00344         it_assert_debug ( ( R0.cols() == <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ) || ( R0.rows() == <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ), <span class="stringliteral">"Kalman: R is not compatible"</span> ); 
    287 <a name="l00345"></a>00345         it_assert_debug ( ( Q0.cols() == <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a> ) || ( Q0.rows() == <a class="code" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa" title="cache of rv.count()">dimx</a> ), <span class="stringliteral">"Kalman: Q is not compatible"</span> ); 
    288 <a name="l00346"></a>00346  
    289 <a name="l00347"></a>00347         <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a> = A0; 
    290 <a name="l00348"></a>00348         <a class="code" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c" title="Matrix B.">B</a> = B0; 
    291 <a name="l00349"></a>00349         <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a> = C0; 
    292 <a name="l00350"></a>00350         <a class="code" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456" title="Matrix D.">D</a> = D0; 
    293 <a name="l00351"></a>00351         <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a> = R0; 
    294 <a name="l00352"></a>00352         <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a> = Q0; 
    295 <a name="l00353"></a>00353 } 
     242<a name="l00280"></a>00280  
     243<a name="l00282"></a>00282  
     244<a name="l00290"></a><a class="code" href="classbdm_1_1MultiModel.html">00290</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1MultiModel.html" title="(Switching) Multiple Model The model runs several models in parallel and evaluates...">MultiModel</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> 
     245<a name="l00291"></a>00291 { 
     246<a name="l00292"></a>00292         <span class="keyword">protected</span>: 
     247<a name="l00294"></a><a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93">00294</a>                 Array&lt;EKFCh*&gt; <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>; 
     248<a name="l00296"></a><a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a">00296</a>                 vec <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>; 
     249<a name="l00298"></a><a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634">00298</a>                 vec <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>; 
     250<a name="l00300"></a><a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c">00300</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>; 
     251<a name="l00302"></a><a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b">00302</a>                 <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a> <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
     252<a name="l00303"></a>00303         <span class="keyword">public</span>: 
     253<a name="l00304"></a>00304                 <span class="keywordtype">void</span> set_parameters (Array&lt;EKFCh*&gt; A, <span class="keywordtype">int</span> pol0 = 1) { 
     254<a name="l00305"></a>00305                         <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> = A;<span class="comment">//TODO: test if evalll is set</span> 
     255<a name="l00306"></a>00306                         <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>.set_length (A.length()); 
     256<a name="l00307"></a>00307                         <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>.set_length (A.length()); 
     257<a name="l00308"></a>00308                         <a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> = pol0; 
     258<a name="l00309"></a>00309  
     259<a name="l00310"></a>00310                         <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1epdf.html#f423e28448dbb69ef4905295ec8de8ff" title="Name its rv.">set_rv</a> (<a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> (<span class="stringliteral">"MM"</span>, A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().dimension(), 0)); 
     260<a name="l00311"></a>00311                         <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#b8322f2c11560871dd922c660f4771bb">set_parameters</a> (A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().mean(), A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()._R()); 
     261<a name="l00312"></a>00312                 } 
     262<a name="l00313"></a><a class="code" href="classbdm_1_1MultiModel.html#a915deeddb0e94c337d02ebc0abe535e">00313</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#a915deeddb0e94c337d02ebc0abe535e" title="Incremental Bayes rule.">bayes</a> (<span class="keyword">const</span> vec &amp;dt) { 
     263<a name="l00314"></a>00314                         <span class="keywordtype">int</span> n = <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>.length(); 
     264<a name="l00315"></a>00315                         <span class="keywordtype">int</span> i; 
     265<a name="l00316"></a>00316                         <span class="keywordflow">for</span> (i = 0; i &lt; n; i++) { 
     266<a name="l00317"></a>00317                                 <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;bayes (dt); 
     267<a name="l00318"></a>00318                                 <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> (i) = <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;_ll(); 
     268<a name="l00319"></a>00319                         } 
     269<a name="l00320"></a>00320                         <span class="keywordtype">double</span> mlls = max (<a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>); 
     270<a name="l00321"></a>00321                         <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> = exp (<a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> - mlls); 
     271<a name="l00322"></a>00322                         <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> /= sum (<a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>);   <span class="comment">//normalization</span> 
     272<a name="l00323"></a>00323                         <span class="comment">//set statistics</span> 
     273<a name="l00324"></a>00324                         <span class="keywordflow">switch</span> (<a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>) { 
     274<a name="l00325"></a>00325                                 <span class="keywordflow">case</span> 1: { 
     275<a name="l00326"></a>00326                                         <span class="keywordtype">int</span> mi = max_index (<a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>); 
     276<a name="l00327"></a>00327                                         <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a> &amp;st = <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (mi)-&gt;posterior() ; 
     277<a name="l00328"></a>00328                                         <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#b8322f2c11560871dd922c660f4771bb">set_parameters</a> (st.<a class="code" href="classbdm_1_1enorm.html#b2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), st.<a class="code" href="classbdm_1_1enorm.html#81d81e35e57c9f194bde248e3affcf1f">_R</a>()); 
     278<a name="l00329"></a>00329                                 } 
     279<a name="l00330"></a>00330                                 <span class="keywordflow">break</span>; 
     280<a name="l00331"></a>00331                                 <span class="keywordflow">default</span>: 
     281<a name="l00332"></a>00332                                         <a class="code" href="bdmerror_8h.html#7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">"unknown policy"</span>); 
     282<a name="l00333"></a>00333                         } 
     283<a name="l00334"></a>00334                         <span class="comment">// copy result to all models</span> 
     284<a name="l00335"></a>00335                         <span class="keywordflow">for</span> (i = 0; i &lt; n; i++) { 
     285<a name="l00336"></a>00336                                 <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;set_statistics (<a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#b2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#81d81e35e57c9f194bde248e3affcf1f">_R</a>()); 
     286<a name="l00337"></a>00337                         } 
     287<a name="l00338"></a>00338                 } 
     288<a name="l00340"></a><a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee">00340</a>                 <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a>&amp; <a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()<span class="keyword"> const </span>{ 
     289<a name="l00341"></a>00341                         <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
     290<a name="l00342"></a>00342                 } 
     291<a name="l00343"></a>00343  
     292<a name="l00344"></a>00344                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#7bd320fa2540883749b3f83cf2261878" title="This method arrange instance properties according the data stored in the Setting...">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>); 
     293<a name="l00345"></a>00345  
     294<a name="l00346"></a>00346                 <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
     295<a name="l00347"></a>00347  
     296<a name="l00348"></a>00348 }; 
     297<a name="l00349"></a>00349  
     298<a name="l00350"></a>00350 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (MultiModel); 
     299<a name="l00351"></a>00351 SHAREDPTR (MultiModel); 
     300<a name="l00352"></a>00352  
    296301<a name="l00354"></a>00354  
    297 <a name="l00355"></a>00355 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    298 <a name="l00356"></a><a class="code" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">00356</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c" title="Here dt = [yt;ut] of appropriate dimensions.">Kalman&lt;sq_T&gt;::bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) { 
    299 <a name="l00357"></a>00357         it_assert_debug ( dt.length() == ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> + <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> ), <span class="stringliteral">"KalmanFull::bayes wrong size of dt"</span> ); 
    300 <a name="l00358"></a>00358  
    301 <a name="l00359"></a>00359         sq_T iRy ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ); 
    302 <a name="l00360"></a>00360         vec u = dt.get ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a>, <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> + <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> - 1 ); 
    303 <a name="l00361"></a>00361         vec y = dt.get ( 0, <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> - 1 ); 
    304 <a name="l00362"></a>00362         <span class="comment">//Time update</span> 
    305 <a name="l00363"></a>00363         <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a> = <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a> * <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a> + <a class="code" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c" title="Matrix B.">B</a> * u; 
    306 <a name="l00364"></a>00364         <span class="comment">//P  = A*P*A.transpose() + Q; in sq_T</span> 
    307 <a name="l00365"></a>00365         <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>.mult_sym ( <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a> ); 
    308 <a name="l00366"></a>00366         <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>  += <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a>; 
    309 <a name="l00367"></a>00367  
    310 <a name="l00368"></a>00368         <span class="comment">//Data update</span> 
    311 <a name="l00369"></a>00369         <span class="comment">//_Ry = C*P*C.transpose() + R; in sq_T</span> 
    312 <a name="l00370"></a>00370         <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>.mult_sym ( <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a> ); 
    313 <a name="l00371"></a>00371         <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a>  += <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a>; 
    314 <a name="l00372"></a>00372  
    315 <a name="l00373"></a>00373         mat Pfull = <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>.to_mat(); 
    316 <a name="l00374"></a>00374  
    317 <a name="l00375"></a>00375         <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a>.inv ( iRy ); <span class="comment">// result is in _iRy;</span> 
    318 <a name="l00376"></a>00376         <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="placeholder for Kalman gain">_K</a> = Pfull * <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>.transpose() * ( iRy.to_mat() ); 
    319 <a name="l00377"></a>00377  
    320 <a name="l00378"></a>00378         sq_T pom ( ( <span class="keywordtype">int</span> ) Pfull.rows() ); 
    321 <a name="l00379"></a>00379         iRy.mult_sym_t ( <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>*Pfull, pom ); 
    322 <a name="l00380"></a>00380         ( <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a> ) -= pom; <span class="comment">// P = P -PC'iRy*CP;</span> 
    323 <a name="l00381"></a>00381         ( <a class="code" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1" title="cache of fy.mu">_yp</a> ) = <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a> * <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>  + <a class="code" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456" title="Matrix D.">D</a> * u; <span class="comment">//y prediction</span> 
    324 <a name="l00382"></a>00382         ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a> ) += <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="placeholder for Kalman gain">_K</a> * ( y - <a class="code" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1" title="cache of fy.mu">_yp</a> ); 
    325 <a name="l00383"></a>00383  
    326 <a name="l00384"></a>00384  
    327 <a name="l00385"></a>00385         <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a> == <span class="keyword">true</span> ) { <span class="comment">//likelihood of observation y</span> 
    328 <a name="l00386"></a>00386                 <a class="code" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a" title="Logarithm of marginalized data likelihood.">ll</a> = <a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c" title="preditive density on $y_t$">fy</a>.evallog ( y ); 
    329 <a name="l00387"></a>00387         } 
    330 <a name="l00388"></a>00388  
    331 <a name="l00389"></a>00389 <span class="comment">//cout &lt;&lt; "y: " &lt;&lt; y-(*_yp) &lt;&lt;" R: " &lt;&lt; _Ry-&gt;to_mat() &lt;&lt; " iR: " &lt;&lt; _iRy-&gt;to_mat() &lt;&lt; " ll: " &lt;&lt; ll &lt;&lt;endl;</span> 
    332 <a name="l00390"></a>00390  
    333 <a name="l00391"></a>00391 }; 
    334 <a name="l00392"></a>00392  
    335 <a name="l00400"></a><a class="code" href="classbdm_1_1MultiModel.html">00400</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1MultiModel.html" title="(Switching) Multiple Model The model runs several models in parallel and evaluates...">MultiModel</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> { 
    336 <a name="l00401"></a>00401 <span class="keyword">protected</span>: 
    337 <a name="l00403"></a><a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93">00403</a>         Array&lt;EKFCh*&gt; <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>; 
    338 <a name="l00405"></a><a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a">00405</a>         vec <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>; 
    339 <a name="l00407"></a><a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634">00407</a>         vec <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>; 
    340 <a name="l00409"></a><a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c">00409</a>         <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>; 
    341 <a name="l00411"></a><a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b">00411</a>         <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a> <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
    342 <a name="l00412"></a>00412 <span class="keyword">public</span>: 
    343 <a name="l00413"></a>00413         <span class="keywordtype">void</span> set_parameters ( Array&lt;EKFCh*&gt; A, <span class="keywordtype">int</span> pol0 = 1 ) { 
    344 <a name="l00414"></a>00414                 <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> = A;<span class="comment">//TODO: test if evalll is set</span> 
    345 <a name="l00415"></a>00415                 <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>.set_length ( A.length() ); 
    346 <a name="l00416"></a>00416                 <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>.set_length ( A.length() ); 
    347 <a name="l00417"></a>00417                 <a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> = pol0; 
    348 <a name="l00418"></a>00418  
    349 <a name="l00419"></a>00419                 <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1epdf.html#f423e28448dbb69ef4905295ec8de8ff" title="Name its rv.">set_rv</a> ( <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> ( <span class="stringliteral">"MM"</span>, A ( 0 )-&gt;<a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().dimension(), 0 ) ); 
    350 <a name="l00420"></a>00420                 <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#b8322f2c11560871dd922c660f4771bb">set_parameters</a> ( A ( 0 )-&gt;<a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().mean(), A ( 0 )-&gt;<a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()._R() ); 
    351 <a name="l00421"></a>00421         } 
    352 <a name="l00422"></a><a class="code" href="classbdm_1_1MultiModel.html#a915deeddb0e94c337d02ebc0abe535e">00422</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#a915deeddb0e94c337d02ebc0abe535e" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) { 
    353 <a name="l00423"></a>00423                 <span class="keywordtype">int</span> n = <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>.length(); 
    354 <a name="l00424"></a>00424                 <span class="keywordtype">int</span> i; 
    355 <a name="l00425"></a>00425                 <span class="keywordflow">for</span> ( i = 0; i &lt; n; i++ ) { 
    356 <a name="l00426"></a>00426                         <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> ( i )-&gt;bayes ( dt ); 
    357 <a name="l00427"></a>00427                         <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> ( i ) = <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> ( i )-&gt;_ll(); 
    358 <a name="l00428"></a>00428                 } 
    359 <a name="l00429"></a>00429                 <span class="keywordtype">double</span> mlls = max ( <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> ); 
    360 <a name="l00430"></a>00430                 <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> = exp ( <a class="code" href="classbdm_1_1MultiModel.html#7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> - mlls ); 
    361 <a name="l00431"></a>00431                 <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> /= sum ( <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> ); <span class="comment">//normalization</span> 
    362 <a name="l00432"></a>00432                 <span class="comment">//set statistics</span> 
    363 <a name="l00433"></a>00433                 <span class="keywordflow">switch</span> ( <a class="code" href="classbdm_1_1MultiModel.html#9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> ) { 
    364 <a name="l00434"></a>00434                 <span class="keywordflow">case</span> 1: { 
    365 <a name="l00435"></a>00435                         <span class="keywordtype">int</span> mi = max_index ( <a class="code" href="classbdm_1_1MultiModel.html#ef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> ); 
    366 <a name="l00436"></a>00436                         <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a> &amp;st = <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> ( mi )-&gt;posterior() ; 
    367 <a name="l00437"></a>00437                         <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#b8322f2c11560871dd922c660f4771bb">set_parameters</a> ( st.<a class="code" href="classbdm_1_1enorm.html#b2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), st.<a class="code" href="classbdm_1_1enorm.html#81d81e35e57c9f194bde248e3affcf1f">_R</a>() ); 
    368 <a name="l00438"></a>00438                 } 
    369 <a name="l00439"></a>00439                 <span class="keywordflow">break</span>; 
    370 <a name="l00440"></a>00440                 <span class="keywordflow">default</span>: 
    371 <a name="l00441"></a>00441                         it_error ( <span class="stringliteral">"unknown policy"</span> ); 
    372 <a name="l00442"></a>00442                 } 
    373 <a name="l00443"></a>00443                 <span class="comment">// copy result to all models</span> 
    374 <a name="l00444"></a>00444                 <span class="keywordflow">for</span> ( i = 0; i &lt; n; i++ ) { 
    375 <a name="l00445"></a>00445                         <a class="code" href="classbdm_1_1MultiModel.html#33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> ( i )-&gt;set_statistics ( <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#b2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#81d81e35e57c9f194bde248e3affcf1f">_R</a>() ); 
    376 <a name="l00446"></a>00446                 } 
    377 <a name="l00447"></a>00447         } 
    378 <a name="l00449"></a><a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee">00449</a>         <span class="keyword">const</span> <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a>&amp; <a class="code" href="classbdm_1_1MultiModel.html#2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()<span class="keyword"> const </span>{ 
    379 <a name="l00450"></a>00450                 <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MultiModel.html#d665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
    380 <a name="l00451"></a>00451         } 
    381 <a name="l00452"></a>00452  
    382 <a name="l00453"></a>00453         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#7bd320fa2540883749b3f83cf2261878" title="This method arrange instance properties according the data stored in the Setting...">from_setting</a> ( <span class="keyword">const</span> Setting &amp;<span class="keyword">set</span> ); 
    383 <a name="l00454"></a>00454  
    384 <a name="l00455"></a>00455         <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
    385 <a name="l00456"></a>00456  
    386 <a name="l00457"></a>00457 }; 
    387 <a name="l00458"></a>00458  
    388 <a name="l00459"></a>00459 <a class="code" href="user__info_8h.html#4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> ( MultiModel ); 
    389 <a name="l00460"></a>00460 SHAREDPTR ( MultiModel ); 
    390 <a name="l00461"></a>00461  
    391 <a name="l00462"></a>00462  
    392 <a name="l00463"></a>00463  
    393 <a name="l00464"></a>00464 <span class="comment">//TODO why not const pointer??</span> 
    394 <a name="l00465"></a>00465  
    395 <a name="l00466"></a>00466 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    396 <a name="l00467"></a><a class="code" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059">00467</a> <a class="code" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059" title="Default constructor.">EKF&lt;sq_T&gt;::EKF</a> ( <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rvx0, <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rvy0, <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rvu0 ) : <a class="code" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a>&lt;sq_T&gt; ( rvx0, rvy0, rvu0 ) {} 
    397 <a name="l00468"></a>00468  
    398 <a name="l00469"></a>00469 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    399 <a name="l00470"></a><a class="code" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb">00470</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb" title="Set nonlinear functions for mean values and covariance matrices.">EKF&lt;sq_T&gt;::set_parameters</a> ( <a class="code" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables .">diffbifn</a>* pfxu0,  <a class="code" href="classbdm_1_1diffbifn.html" title="Class representing a differentiable function of two variables .">diffbifn</a>* phxu0, <span class="keyword">const</span> sq_T Q0, <span class="keyword">const</span> sq_T R0 ) { 
    400 <a name="l00471"></a>00471         pfxu = pfxu0; 
    401 <a name="l00472"></a>00472         phxu = phxu0; 
    402 <a name="l00473"></a>00473  
    403 <a name="l00474"></a>00474         <span class="comment">//initialize matrices A C, later, these will be only updated!</span> 
    404 <a name="l00475"></a>00475         pfxu-&gt;<a class="code" href="classbdm_1_1diffbifn.html#651184f808a35f236dbfea21aca1b6ac" title="Evaluates  and writes result into A .">dfdx_cond</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, zeros ( <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> ), <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a>, <span class="keyword">true</span> ); 
    405 <a name="l00476"></a>00476 <span class="comment">//      pfxu-&gt;dfdu_cond ( *_mu,zeros ( dimu ),B,true );</span> 
    406 <a name="l00477"></a>00477         <a class="code" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c" title="Matrix B.">B</a>.clear(); 
    407 <a name="l00478"></a>00478         phxu-&gt;<a class="code" href="classbdm_1_1diffbifn.html#651184f808a35f236dbfea21aca1b6ac" title="Evaluates  and writes result into A .">dfdx_cond</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, zeros ( <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> ), <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>, <span class="keyword">true</span> ); 
    408 <a name="l00479"></a>00479 <span class="comment">//      phxu-&gt;dfdu_cond ( *_mu,zeros ( dimu ),D,true );</span> 
    409 <a name="l00480"></a>00480         <a class="code" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456" title="Matrix D.">D</a>.clear(); 
    410 <a name="l00481"></a>00481  
    411 <a name="l00482"></a>00482         <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a> = R0; 
    412 <a name="l00483"></a>00483         <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a> = Q0; 
    413 <a name="l00484"></a>00484 } 
    414 <a name="l00485"></a>00485  
    415 <a name="l00486"></a>00486 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    416 <a name="l00487"></a><a class="code" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa">00487</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa" title="Here dt = [yt;ut] of appropriate dimensions.">EKF&lt;sq_T&gt;::bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) { 
    417 <a name="l00488"></a>00488         it_assert_debug ( dt.length() == ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> + <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> ), <span class="stringliteral">"KalmanFull::bayes wrong size of dt"</span> ); 
    418 <a name="l00489"></a>00489  
    419 <a name="l00490"></a>00490         sq_T iRy ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a>, <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> ); 
    420 <a name="l00491"></a>00491         vec u = dt.get ( <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a>, <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> + <a class="code" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b" title="cache of rvu.count()">dimu</a> - 1 ); 
    421 <a name="l00492"></a>00492         vec y = dt.get ( 0, <a class="code" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f" title="cache of rvy.count()">dimy</a> - 1 ); 
    422 <a name="l00493"></a>00493         <span class="comment">//Time update</span> 
    423 <a name="l00494"></a>00494         <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a> = pfxu-&gt;<a class="code" href="classbdm_1_1diffbifn.html#188f31066bd72e1bf0ddacd1eb0e6af3" title="Evaluates  (VS: Do we really need common eval? ).">eval</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, u ); 
    424 <a name="l00495"></a>00495         pfxu-&gt;<a class="code" href="classbdm_1_1diffbifn.html#651184f808a35f236dbfea21aca1b6ac" title="Evaluates  and writes result into A .">dfdx_cond</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, u, <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a>, <span class="keyword">false</span> ); <span class="comment">//update A by a derivative of fx</span> 
    425 <a name="l00496"></a>00496  
    426 <a name="l00497"></a>00497         <span class="comment">//P  = A*P*A.transpose() + Q; in sq_T</span> 
    427 <a name="l00498"></a>00498         <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>.<a class="code" href="classbdm_1_1fsqmat.html#fca713af3f74677fd7fbafe723590112" title="Inplace symmetric multiplication by a SQUARE matrix , i.e. .">mult_sym</a> ( <a class="code" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace" title="Matrix A.">A</a> ); 
    428 <a name="l00499"></a>00499         <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a> += <a class="code" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee" title="Matrix Q in square-root form.">Q</a>; 
    429 <a name="l00500"></a>00500  
    430 <a name="l00501"></a>00501         <span class="comment">//Data update</span> 
    431 <a name="l00502"></a>00502         phxu-&gt;<a class="code" href="classbdm_1_1diffbifn.html#651184f808a35f236dbfea21aca1b6ac" title="Evaluates  and writes result into A .">dfdx_cond</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, u, <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>, <span class="keyword">false</span> ); <span class="comment">//update C by a derivative hx</span> 
    432 <a name="l00503"></a>00503         <span class="comment">//_Ry = C*P*C.transpose() + R; in sq_T</span> 
    433 <a name="l00504"></a>00504         <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>.<a class="code" href="classbdm_1_1fsqmat.html#fca713af3f74677fd7fbafe723590112" title="Inplace symmetric multiplication by a SQUARE matrix , i.e. .">mult_sym</a> ( <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a> ); 
    434 <a name="l00505"></a>00505         ( <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a> ) += <a class="code" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7" title="Matrix R in square-root form.">R</a>; 
    435 <a name="l00506"></a>00506  
    436 <a name="l00507"></a>00507         mat Pfull = <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a>.<a class="code" href="classbdm_1_1fsqmat.html#5c27d47cd0fa7ae686d4519f89a3c9b0" title="Conversion to full matrix.">to_mat</a>(); 
    437 <a name="l00508"></a>00508  
    438 <a name="l00509"></a>00509         <a class="code" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a" title="cache of fy.R">_Ry</a>.<a class="code" href="classbdm_1_1fsqmat.html#d17495888ab35e09ebb9b4e789f586d5" title="Matrix inversion preserving the chosen form.">inv</a> ( iRy ); <span class="comment">// result is in _iRy;</span> 
    439 <a name="l00510"></a>00510         <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="placeholder for Kalman gain">_K</a> = Pfull * <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>.transpose() * ( iRy.to_mat() ); 
    440 <a name="l00511"></a>00511  
    441 <a name="l00512"></a>00512         sq_T pom ( ( <span class="keywordtype">int</span> ) Pfull.rows() ); 
    442 <a name="l00513"></a>00513         iRy.mult_sym_t ( <a class="code" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177" title="Matrix C.">C</a>*Pfull, pom ); 
    443 <a name="l00514"></a>00514         ( <a class="code" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed" title="cache of est.R">_P</a> ) -= pom; <span class="comment">// P = P -PC'iRy*CP;</span> 
    444 <a name="l00515"></a>00515         <a class="code" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1" title="cache of fy.mu">_yp</a> = phxu-&gt;<a class="code" href="classbdm_1_1diffbifn.html#188f31066bd72e1bf0ddacd1eb0e6af3" title="Evaluates  (VS: Do we really need common eval? ).">eval</a> ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a>, u ); <span class="comment">//y prediction</span> 
    445 <a name="l00516"></a>00516         ( <a class="code" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0" title="cache of est.mu">_mu</a> ) += <a class="code" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92" title="placeholder for Kalman gain">_K</a> * ( y - <a class="code" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1" title="cache of fy.mu">_yp</a> ); 
    446 <a name="l00517"></a>00517  
    447 <a name="l00518"></a>00518         <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a> == <span class="keyword">true</span> ) { 
    448 <a name="l00519"></a>00519                 <a class="code" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a" title="Logarithm of marginalized data likelihood.">ll</a> += <a class="code" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c" title="preditive density on $y_t$">fy</a>.<a class="code" href="classbdm_1_1eEF.html#a36d06ecdd6f4c79dc122510eaccc692" title="Evaluate normalized log-probability.">evallog</a> ( y ); 
    449 <a name="l00520"></a>00520         } 
    450 <a name="l00521"></a>00521 }; 
    451 <a name="l00522"></a>00522  
    452 <a name="l00523"></a>00523  
    453 <a name="l00524"></a>00524 } 
    454 <a name="l00525"></a>00525 <span class="preprocessor">#endif // KF_H</span> 
    455 <a name="l00526"></a>00526 <span class="preprocessor"></span> 
    456 <a name="l00527"></a>00527  
     302<a name="l00361"></a>00361 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     303<a name="l00362"></a>00362 shared_ptr&lt;StateSpace&lt;fsqmat&gt; &gt; to_state_space(<span class="keyword">const</span> mlnorm&lt;sq_T &gt; &amp;ml, ivec &amp;theta_in_A, ivec &amp;theta_in_C){ 
     304<a name="l00363"></a>00363         <span class="comment">//get ids of yrv</span> 
     305<a name="l00364"></a>00364                          
     306<a name="l00365"></a>00365                         ivec yids= unique(ml._rv()._ids()); <span class="comment">//yrv is now stored in _yrv</span> 
     307<a name="l00366"></a>00366                         ivec dids= unique(ml._rvc()._ids()); <span class="comment">//yrv is now stored in _yrv</span> 
     308<a name="l00367"></a>00367                         ivec uids=unique_complement(dids, yids); 
     309<a name="l00368"></a>00368          
     310<a name="l00369"></a>00369                         RV yrv_uni = RV(yids,zeros_i(yids.length())); 
     311<a name="l00370"></a>00370                         RV urv_uni = RV(uids,zeros_i(yids.length())); 
     312<a name="l00371"></a>00371                         <span class="comment">//We can do only 1d now... :(</span> 
     313<a name="l00372"></a>00372                         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a>(yrv_uni._dsize()==urv_uni._dsize()==1, <span class="stringliteral">"Only for SISO so far..."</span> ); 
     314<a name="l00373"></a>00373                                          
     315<a name="l00374"></a>00374                         RV xrv; <span class="comment">//empty</span> 
     316<a name="l00375"></a>00375                         RV Crv; <span class="comment">//empty</span> 
     317<a name="l00376"></a>00376                         <span class="keywordtype">int</span> td=ml._rvc().mintd(); 
     318<a name="l00377"></a>00377                         <span class="keywordflow">for</span> (<span class="keywordtype">int</span> t=-1;t&gt;=td;t--){ 
     319<a name="l00378"></a>00378                                 xrv.add(yrv_uni); 
     320<a name="l00379"></a>00379                                 Crv.add(urv_uni); 
     321<a name="l00380"></a>00380                         } 
     322<a name="l00381"></a>00381                          
     323<a name="l00382"></a>00382                         <span class="keywordtype">int</span> dimx = xrv._dsize(); 
     324<a name="l00383"></a>00383                          
     325<a name="l00384"></a>00384                         theta_in_A = ml._rv().dataind(xrv); 
     326<a name="l00385"></a>00385                         theta_in_C = ml._rvc().dataind(xrv); 
     327<a name="l00386"></a>00386                         <span class="comment">// some chcek of corretness</span> 
     328<a name="l00387"></a>00387                          
     329<a name="l00388"></a>00388                         vec A1row = zeros(xrv._dsize()); 
     330<a name="l00389"></a>00389                         vec C1row = zeros(xrv._dsize()); 
     331<a name="l00390"></a>00390                         vec theta = ml._A().get_row(0); <span class="comment">// this </span> 
     332<a name="l00391"></a>00391                         set_subvector( A1row, theta_in_A, theta); 
     333<a name="l00392"></a>00392                         set_subvector( C1row, theta_in_C, theta); 
     334<a name="l00393"></a>00393  
     335<a name="l00394"></a>00394                         StateSpace&lt;fsqmat&gt; stsp=<span class="keyword">new</span> StateSpace&lt;fsqmat&gt;(); 
     336<a name="l00395"></a>00395                         mat A=zeros(dimx,dimx); 
     337<a name="l00396"></a>00396                         A.set_row(0,A1row); 
     338<a name="l00397"></a>00397                         <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j=1; j&lt;dimx; j++){A(j,j-1)=1.0;} <span class="comment">// off diagonal</span> 
     339<a name="l00398"></a>00398                         mat B=zeros(dimx,1); 
     340<a name="l00399"></a>00399                         B(0) = 1.0; 
     341<a name="l00400"></a>00400                         mat C=zeros(1,dimx); 
     342<a name="l00401"></a>00401                         C.set_row(0,C1row); 
     343<a name="l00402"></a>00402                         stsp.set_parameters(A,B,C,zeros(1,1), zeros(dimx,dimx), ml._R()); 
     344<a name="l00403"></a>00403                         <span class="keywordflow">return</span> stsp; 
     345<a name="l00404"></a>00404 } 
     346<a name="l00405"></a>00405  
     347<a name="l00407"></a>00407  
     348<a name="l00408"></a>00408 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     349<a name="l00409"></a>00409 <span class="keywordtype">void</span> StateSpace&lt;sq_T&gt;::set_parameters (<span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span>  mat &amp;B0, <span class="keyword">const</span>  mat &amp;C0, <span class="keyword">const</span>  mat &amp;D0, <span class="keyword">const</span>  sq_T &amp;Q0, <span class="keyword">const</span> sq_T &amp;R0) 
     350<a name="l00410"></a>00410 { 
     351<a name="l00411"></a>00411         dimx = A0.rows(); 
     352<a name="l00412"></a>00412         dimu = B0.cols(); 
     353<a name="l00413"></a>00413         dimy = C0.rows(); 
     354<a name="l00414"></a>00414  
     355<a name="l00415"></a>00415         A = A0; 
     356<a name="l00416"></a>00416         B = B0; 
     357<a name="l00417"></a>00417         C = C0; 
     358<a name="l00418"></a>00418         D = D0; 
     359<a name="l00419"></a>00419         R = R0; 
     360<a name="l00420"></a>00420         Q = Q0; 
     361<a name="l00421"></a>00421         validate(); 
     362<a name="l00422"></a>00422 } 
     363<a name="l00423"></a>00423  
     364<a name="l00424"></a>00424 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     365<a name="l00425"></a>00425 <span class="keywordtype">void</span> StateSpace&lt;sq_T&gt;::validate(){ 
     366<a name="l00426"></a>00426         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (A.cols() == dimx, <span class="stringliteral">"KalmanFull: A is not square"</span>); 
     367<a name="l00427"></a>00427         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (B.rows() == dimx, <span class="stringliteral">"KalmanFull: B is not compatible"</span>); 
     368<a name="l00428"></a>00428         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> (C.cols() == dimx, <span class="stringliteral">"KalmanFull: C is not square"</span>); 
     369<a name="l00429"></a>00429         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> ( (D.rows() == dimy) || (D.cols() == dimu), <span class="stringliteral">"KalmanFull: D is not compatible"</span>); 
     370<a name="l00430"></a>00430         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> ( (Q.cols() == dimx) || (Q.rows() == dimx), <span class="stringliteral">"KalmanFull: Q is not compatible"</span>); 
     371<a name="l00431"></a>00431         <a class="code" href="bdmerror_8h.html#89a0f906b242b79c5d3d342291b2cab4" title="Throw std::runtime_exception if t is not true and NDEBUG is not defined.">bdm_assert_debug</a> ( (R.cols() == dimy) || (R.rows() == dimy), <span class="stringliteral">"KalmanFull: R is not compatible"</span>); 
     372<a name="l00432"></a>00432 } 
     373<a name="l00433"></a>00433  
     374<a name="l00434"></a>00434 } 
     375<a name="l00435"></a>00435 <span class="preprocessor">#endif // KF_H</span> 
     376<a name="l00436"></a>00436 <span class="preprocessor"></span> 
     377<a name="l00437"></a>00437  
    457378</pre></div></div> 
    458 <hr size="1"><address style="text-align: right;"><small>Generated on Sun Aug 16 17:58:18 2009 for mixpp by&nbsp; 
     379<hr size="1"><address style="text-align: right;"><small>Generated on Sat Aug 29 20:49:42 2009 for mixpp by&nbsp; 
    459380<a href="http://www.doxygen.org/index.html"> 
    460381<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>