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  • library/doc/html/kalman_8h_source.html

    r656 r661  
    9393<a name="l00054"></a>00054         <span class="keyword">public</span>: 
    9494<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#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> (0), <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(), <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(), <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>(), <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>(), <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>(), <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>() {} 
    95 <a name="l00056"></a>00056                 <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace&lt;sq_T&gt;</a> &amp;S0) : <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>), <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>), <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>), <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>), <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>), <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>), <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>), <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>), <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>) {} 
    96 <a name="l00057"></a>00057                 <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); 
    97 <a name="l00058"></a>00058                 <span class="keywordtype">void</span> validate(); 
    98 <a name="l00060"></a><a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd">00060</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd" title="not virtual in this case">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
    99 <a name="l00061"></a>00061                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;A&quot;</span>, UI::compulsory); 
    100 <a name="l00062"></a>00062                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;B&quot;</span>, UI::compulsory); 
    101 <a name="l00063"></a>00063                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;C&quot;</span>, UI::compulsory); 
    102 <a name="l00064"></a>00064                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;D&quot;</span>, UI::compulsory); 
    103 <a name="l00065"></a>00065                         mat Qtm, Rtm; 
    104 <a name="l00066"></a>00066                         <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Qtm, <span class="keyword">set</span>, <span class="stringliteral">&quot;Q&quot;</span>, UI::optional)){ 
    105 <a name="l00067"></a>00067                                 vec dq; 
    106 <a name="l00068"></a>00068                                 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dq, <span class="keyword">set</span>, <span class="stringliteral">&quot;dQ&quot;</span>, UI::compulsory); 
    107 <a name="l00069"></a>00069                                 Qtm=diag(dq); 
    108 <a name="l00070"></a>00070                         } 
    109 <a name="l00071"></a>00071                         <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Rtm, <span class="keyword">set</span>, <span class="stringliteral">&quot;R&quot;</span>, UI::optional)){ 
    110 <a name="l00072"></a>00072                                 vec dr; 
    111 <a name="l00073"></a>00073                                 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dr, <span class="keyword">set</span>, <span class="stringliteral">&quot;dQ&quot;</span>, UI::compulsory); 
    112 <a name="l00074"></a>00074                                 Rtm=diag(dr); 
    113 <a name="l00075"></a>00075                         } 
    114 <a name="l00076"></a>00076                         <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>=Rtm; <span class="comment">// automatic conversion</span> 
    115 <a name="l00077"></a>00077                         <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>=Qtm;  
    116 <a name="l00078"></a>00078                          
    117 <a name="l00079"></a>00079                         validate(); 
    118 <a name="l00080"></a>00080                 }                
    119 <a name="l00082"></a><a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">00082</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40" title="access function">_dimx</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>;} 
    120 <a name="l00084"></a><a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">00084</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60" title="access function">_dimy</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>;} 
    121 <a name="l00086"></a><a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">00086</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e" title="access function">_dimu</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>;} 
    122 <a name="l00088"></a><a class="code" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">00088</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e" title="access function">_A</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>;} 
    123 <a name="l00090"></a><a class="code" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">00090</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4" title="access function">_B</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>;} 
    124 <a name="l00092"></a><a class="code" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">00092</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125" title="access function">_C</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>;} 
    125 <a name="l00094"></a><a class="code" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">00094</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252" title="access function">_D</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>;} 
    126 <a name="l00096"></a><a class="code" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">00096</a>                 <span class="keyword">const</span> sq_T&amp; <a class="code" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977" title="access function">_Q</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>;} 
    127 <a name="l00098"></a><a class="code" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">00098</a>                 <span class="keyword">const</span> sq_T&amp; <a class="code" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba" title="access function">_R</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>;} 
    128 <a name="l00099"></a>00099 }; 
    129 <a name="l00100"></a>00100  
    130 <a name="l00102"></a>00102 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    131 <a name="l00103"></a><a class="code" href="classbdm_1_1Kalman.html">00103</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; 
    132 <a name="l00104"></a>00104 { 
    133 <a name="l00105"></a>00105         <span class="keyword">protected</span>: 
    134 <a name="l00107"></a><a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a">00107</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#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>; 
    135 <a name="l00109"></a><a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e">00109</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#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>; 
    136 <a name="l00111"></a><a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">00111</a>                 mat  <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>; 
    137 <a name="l00113"></a><a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">00113</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#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>; 
    138 <a name="l00115"></a><a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">00115</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#aba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y|y)">fy</a>; 
    139 <a name="l00116"></a>00116         <span class="keyword">public</span>: 
    140 <a name="l00117"></a>00117                 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman&lt;sq_T&gt;</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&lt;sq_T&gt;</a>(), <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(),<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(), <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(),  <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(<span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a>){} 
    141 <a name="l00118"></a>00118                 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman&lt;sq_T&gt;</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">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>(K0), <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace&lt;sq_T&gt;</a>(K0), <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(K0.yrv),<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(K0.urv), <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(K0._K),  <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(<span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a>(*K0.est)), <a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y|y)">fy</a>(K0.fy){} 
    142 <a name="l00119"></a>00119                 <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#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); }; 
    143 <a name="l00120"></a>00120                 <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#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); }; 
    144 <a name="l00122"></a><a class="code" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">00122</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#a8b0c3db41eb292edb20b826832c9b5fa" title="posterior">posterior</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> *<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>.<a class="code" href="classbdm_1_1shared__ptr.html#a37ebcfb6750dd7b5630f1d2354c07a96">get</a>();} 
    145 <a name="l00124"></a><a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620">00124</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;epdf&gt;</a> <a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620" title="shared posterior">shared_posterior</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>;} 
    146 <a name="l00126"></a><a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a">00126</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
    147 <a name="l00127"></a>00127                         <a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">StateSpace&lt;sq_T&gt;::from_setting</a>(<span class="keyword">set</span>); 
    148 <a name="l00128"></a>00128                                                  
    149 <a name="l00129"></a>00129                         mat P0; vec mu0; 
    150 <a name="l00130"></a>00130                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(mu0, <span class="keyword">set</span>, <span class="stringliteral">&quot;mu0&quot;</span>, UI::optional); 
    151 <a name="l00131"></a>00131                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(P0, <span class="keyword">set</span>,  <span class="stringliteral">&quot;P0&quot;</span>, UI::optional); 
    152 <a name="l00132"></a>00132                         set_statistics(mu0,P0); 
    153 <a name="l00133"></a>00133                         <span class="comment">// Initial values</span> 
    154 <a name="l00134"></a>00134                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;yrv&quot;</span>, UI::optional); 
    155 <a name="l00135"></a>00135                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;urv&quot;</span>, UI::optional); 
    156 <a name="l00136"></a>00136                         set_drv(concat(<a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>,<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>)); 
    157 <a name="l00137"></a>00137                          
    158 <a name="l00138"></a>00138                         validate(); 
    159 <a name="l00139"></a>00139                 } 
    160 <a name="l00140"></a>00140                 <span class="keywordtype">void</span> validate() { 
    161 <a name="l00141"></a>00141                         <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace&lt;sq_T&gt;::validate</a>(); 
    162 <a name="l00142"></a>00142                         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;dimension(), <span class="stringliteral">&quot;Statistics and model parameters mismatch&quot;</span>); 
    163 <a name="l00143"></a>00143                 } 
    164 <a name="l00144"></a>00144 }; 
    165 <a name="l00149"></a><a class="code" href="classbdm_1_1KalmanFull.html">00149</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; 
    166 <a name="l00150"></a>00150 { 
    167 <a name="l00151"></a>00151         <span class="keyword">public</span>: 
    168 <a name="l00153"></a><a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11">00153</a>                 <a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11" 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;(){}; 
    169 <a name="l00155"></a>00155                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanFull.html#a081924bc97f453f674bb982b7951d053" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
    170 <a name="l00156"></a><a class="code" href="classbdm_1_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1">00156</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_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1" title="Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!...">_copy_</a>()<span class="keyword"> const </span>{ 
    171 <a name="l00157"></a>00157                         <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a>* K = <span class="keyword">new</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a>; 
    172 <a name="l00158"></a>00158                         K-&gt;set_parameters (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
    173 <a name="l00159"></a>00159                         K-&gt;set_statistics (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
    174 <a name="l00160"></a>00160                         <span class="keywordflow">return</span> K; 
    175 <a name="l00161"></a>00161                 } 
    176 <a name="l00162"></a>00162 }; 
    177 <a name="l00163"></a>00163 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanFull); 
    178 <a name="l00164"></a>00164  
    179 <a name="l00165"></a>00165  
    180 <a name="l00173"></a><a class="code" href="classbdm_1_1KalmanCh.html">00173</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; 
    181 <a name="l00174"></a>00174 { 
    182 <a name="l00175"></a>00175         <span class="keyword">protected</span>: 
    183 <a name="l00178"></a>00178                 mat preA; 
    184 <a name="l00180"></a><a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f">00180</a>                 mat <a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f" title="post array (triangular matrix)">postA</a>; 
    185 <a name="l00182"></a>00182         <span class="keyword">public</span>: 
    186 <a name="l00184"></a><a class="code" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996">00184</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#a24ce65bdaa538d4d5153d709a929b996" title="copy constructor">_copy_</a>()<span class="keyword"> const </span>{ 
    187 <a name="l00185"></a>00185                         <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>; 
    188 <a name="l00186"></a>00186                         K-&gt;<a class="code" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="set parameters for adapt from Kalman">set_parameters</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
    189 <a name="l00187"></a>00187                         K-&gt;set_statistics (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
    190 <a name="l00188"></a>00188                         <span class="keywordflow">return</span> K; 
    191 <a name="l00189"></a>00189                 } 
    192 <a name="l00191"></a>00191                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87" 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); 
    193 <a name="l00193"></a>00193                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); 
    194 <a name="l00194"></a>00194  
    195 <a name="l00208"></a>00208                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ab41fe5540548100b08e1684c3be767b6" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
    196 <a name="l00209"></a>00209                  
    197 <a name="l00210"></a><a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d">00210</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">from_setting</a>(<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>){ 
    198 <a name="l00211"></a>00211                         <a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">Kalman&lt;chmat&gt;::from_setting</a>(<span class="keyword">set</span>); 
    199 <a name="l00212"></a>00212                         <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); 
    200 <a name="l00213"></a>00213                 } 
    201 <a name="l00214"></a>00214 }; 
    202 <a name="l00215"></a>00215 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanCh); 
    203 <a name="l00216"></a>00216  
    204 <a name="l00222"></a><a class="code" href="classbdm_1_1EKFfull.html">00222</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> 
    205 <a name="l00223"></a>00223 { 
    206 <a name="l00224"></a>00224         <span class="keyword">protected</span>: 
    207 <a name="l00226"></a><a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">00226</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>; 
    208 <a name="l00227"></a>00227  
    209 <a name="l00229"></a><a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">00229</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>; 
    210 <a name="l00230"></a>00230  
    211 <a name="l00231"></a>00231         <span class="keyword">public</span>: 
    212 <a name="l00233"></a>00233                 <a class="code" href="classbdm_1_1EKFfull.html#a6939c345389abb8b2481457b4cfe1165" title="Default constructor.">EKFfull</a> (); 
     95<a name="l00057"></a><a class="code" href="classbdm_1_1StateSpace.html#ac894b097536c3ad1bbead240262d17bd">00057</a>                 <a class="code" href="classbdm_1_1StateSpace.html#ac894b097536c3ad1bbead240262d17bd" title="copy constructor">StateSpace</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace&lt;sq_T&gt;</a> &amp;S0) : <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>), <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>), <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> (S0.<a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>), <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>), <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>), <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>), <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>), <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>), <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>(S0.<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>) {} 
     96<a name="l00059"></a>00059                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#a7a053883a11a93a979c28c3e6792ce20" title="set all matrix parameters">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); 
     97<a name="l00061"></a>00061                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#aa49922a3db65a333d24feceb68164bcd" title="validation">validate</a>(); 
     98<a name="l00063"></a><a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd">00063</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#a02470085bbf3c41fe8e36544813eecbd" title="not virtual in this case">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
     99<a name="l00064"></a>00064                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;A&quot;</span>, UI::compulsory); 
     100<a name="l00065"></a>00065                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;B&quot;</span>, UI::compulsory); 
     101<a name="l00066"></a>00066                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;C&quot;</span>, UI::compulsory); 
     102<a name="l00067"></a>00067                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;D&quot;</span>, UI::compulsory); 
     103<a name="l00068"></a>00068                         mat Qtm, Rtm; 
     104<a name="l00069"></a>00069                         <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Qtm, <span class="keyword">set</span>, <span class="stringliteral">&quot;Q&quot;</span>, UI::optional)){ 
     105<a name="l00070"></a>00070                                 vec dq; 
     106<a name="l00071"></a>00071                                 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dq, <span class="keyword">set</span>, <span class="stringliteral">&quot;dQ&quot;</span>, UI::compulsory); 
     107<a name="l00072"></a>00072                                 Qtm=diag(dq); 
     108<a name="l00073"></a>00073                         } 
     109<a name="l00074"></a>00074                         <span class="keywordflow">if</span>(!<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(Rtm, <span class="keyword">set</span>, <span class="stringliteral">&quot;R&quot;</span>, UI::optional)){ 
     110<a name="l00075"></a>00075                                 vec dr; 
     111<a name="l00076"></a>00076                                 <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(dr, <span class="keyword">set</span>, <span class="stringliteral">&quot;dQ&quot;</span>, UI::compulsory); 
     112<a name="l00077"></a>00077                                 Rtm=diag(dr); 
     113<a name="l00078"></a>00078                         } 
     114<a name="l00079"></a>00079                         <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>=Rtm; <span class="comment">// automatic conversion</span> 
     115<a name="l00080"></a>00080                         <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>=Qtm;  
     116<a name="l00081"></a>00081                          
     117<a name="l00082"></a>00082                         <a class="code" href="classbdm_1_1StateSpace.html#aa49922a3db65a333d24feceb68164bcd" title="validation">validate</a>(); 
     118<a name="l00083"></a>00083                 }                
     119<a name="l00085"></a><a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40">00085</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#ab1972e00d9b9dd22a0f983c7cb0b8b40" title="access function">_dimx</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>;} 
     120<a name="l00087"></a><a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60">00087</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#af3d83a4b39e05df9fb4246fd6ddc2a60" title="access function">_dimy</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>;} 
     121<a name="l00089"></a><a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e">00089</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1StateSpace.html#aa238842025a0eaade26d5d79a0e9000e" title="access function">_dimu</a>(){<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>;} 
     122<a name="l00091"></a><a class="code" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e">00091</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#aae0dd610bf28f52c4c7acec87e39ed5e" title="access function">_A</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>;} 
     123<a name="l00093"></a><a class="code" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4">00093</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#a19cabf296793357c130778fe74df54a4" title="access function">_B</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>;} 
     124<a name="l00095"></a><a class="code" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125">00095</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#a5731f429df4a70dc0d0d1e6ea8e35125" title="access function">_C</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>;} 
     125<a name="l00097"></a><a class="code" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252">00097</a>                 <span class="keyword">const</span> mat&amp; <a class="code" href="classbdm_1_1StateSpace.html#a286286acb308f9ee596cab9af503b252" title="access function">_D</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>;} 
     126<a name="l00099"></a><a class="code" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977">00099</a>                 <span class="keyword">const</span> sq_T&amp; <a class="code" href="classbdm_1_1StateSpace.html#a38a71e31f22f5459d10c3cbee1e4d977" title="access function">_Q</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>;} 
     127<a name="l00101"></a><a class="code" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba">00101</a>                 <span class="keyword">const</span> sq_T&amp; <a class="code" href="classbdm_1_1StateSpace.html#a69ddac45b7a4efbf83b2232d0d5595ba" title="access function">_R</a>()<span class="keyword">const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>;} 
     128<a name="l00102"></a>00102 }; 
     129<a name="l00103"></a>00103  
     130<a name="l00105"></a>00105 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     131<a name="l00106"></a><a class="code" href="classbdm_1_1Kalman.html">00106</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; 
     132<a name="l00107"></a>00107 { 
     133<a name="l00108"></a>00108         <span class="keyword">protected</span>: 
     134<a name="l00110"></a><a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a">00110</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#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>; 
     135<a name="l00112"></a><a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e">00112</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#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>; 
     136<a name="l00114"></a><a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92">00114</a>                 mat  <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>; 
     137<a name="l00116"></a><a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43">00116</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#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>; 
     138<a name="l00118"></a><a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c">00118</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#aba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y|y)">fy</a>; 
     139<a name="l00119"></a>00119         <span class="keyword">public</span>: 
     140<a name="l00120"></a>00120                 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman&lt;sq_T&gt;</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&lt;sq_T&gt;</a>(), <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(),<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(), <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(),  <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(<span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a>){} 
     141<a name="l00122"></a>00122                 <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman&lt;sq_T&gt;</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">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>(K0), <a class="code" href="classbdm_1_1StateSpace.html" title="Basic elements of linear state-space model.">StateSpace&lt;sq_T&gt;</a>(K0), <a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>(K0.yrv),<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>(K0.urv), <a class="code" href="classbdm_1_1Kalman.html#abd69dfb802465f22dd84d73a180d5c92" title="Kalman gain.">_K</a>(K0._K),  <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>(<span class="keyword">new</span> <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;sq_T&gt;</a>(*K0.est)), <a class="code" href="classbdm_1_1Kalman.html#aba555c394c429f6831c9bbabfa2c944c" title="marginal on data f(y|y)">fy</a>(K0.fy){} 
     142<a name="l00124"></a><a class="code" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49">00124</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49" title="set statistics of the posterior">set_statistics</a> (<span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> mat &amp;P0) {<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); }; 
     143<a name="l00126"></a><a class="code" href="classbdm_1_1Kalman.html#a28cded9e5f44f654cd383503e4e9694c">00126</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#a28cded9e5f44f654cd383503e4e9694c" title="set statistics of the posterior">set_statistics</a> (<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#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); }; 
     144<a name="l00128"></a><a class="code" href="classbdm_1_1Kalman.html#a8b0c3db41eb292edb20b826832c9b5fa">00128</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#a8b0c3db41eb292edb20b826832c9b5fa" title="return correctly typed posterior (covariant return)">posterior</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> *<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>.<a class="code" href="classbdm_1_1shared__ptr.html#a37ebcfb6750dd7b5630f1d2354c07a96">get</a>();} 
     145<a name="l00130"></a><a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620">00130</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;epdf&gt;</a> <a class="code" href="classbdm_1_1Kalman.html#a4da2fdd01e9b335b133def9814eb0620" title="shared posterior">shared_posterior</a>() {<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>;} 
     146<a name="l00132"></a><a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a">00132</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
     147<a name="l00133"></a>00133                         <a class="code" href="classbdm_1_1Kalman.html#a7fe88fc3471cab1911707bcdb6b4690a" title="load basic elements of Kalman from structure">StateSpace&lt;sq_T&gt;::from_setting</a>(<span class="keyword">set</span>); 
     148<a name="l00134"></a>00134                                                  
     149<a name="l00135"></a>00135                         mat P0; vec mu0; 
     150<a name="l00136"></a>00136                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(mu0, <span class="keyword">set</span>, <span class="stringliteral">&quot;mu0&quot;</span>, UI::optional); 
     151<a name="l00137"></a>00137                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a>(P0, <span class="keyword">set</span>,  <span class="stringliteral">&quot;P0&quot;</span>, UI::optional); 
     152<a name="l00138"></a>00138                         <a class="code" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49" title="set statistics of the posterior">set_statistics</a>(mu0,P0); 
     153<a name="l00139"></a>00139                         <span class="comment">// Initial values</span> 
     154<a name="l00140"></a>00140                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;yrv&quot;</span>, UI::optional); 
     155<a name="l00141"></a>00141                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> (<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>, <span class="keyword">set</span>, <span class="stringliteral">&quot;urv&quot;</span>, UI::optional); 
     156<a name="l00142"></a>00142                         <a class="code" href="classbdm_1_1BM.html#af135ae6dce7e9f30c9f88229c7930b96" title="access function">set_drv</a>(concat(<a class="code" href="classbdm_1_1Kalman.html#aaac28e226fe6cbff5a9ae38d8d025d7a" title="id of output">yrv</a>,<a class="code" href="classbdm_1_1Kalman.html#a44d4a8ab05d5311286e1da78b831633e" title="id of input">urv</a>)); 
     157<a name="l00143"></a>00143                          
     158<a name="l00144"></a>00144                         <a class="code" href="classbdm_1_1Kalman.html#a34c508e3a9081be46e57634c2079bff4" title="validate object">validate</a>(); 
     159<a name="l00145"></a>00145                 } 
     160<a name="l00147"></a><a class="code" href="classbdm_1_1Kalman.html#a34c508e3a9081be46e57634c2079bff4">00147</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1Kalman.html#a34c508e3a9081be46e57634c2079bff4" title="validate object">validate</a>() { 
     161<a name="l00148"></a>00148                         <a class="code" href="classbdm_1_1Kalman.html#a34c508e3a9081be46e57634c2079bff4" title="validate object">StateSpace&lt;sq_T&gt;::validate</a>(); 
     162<a name="l00149"></a>00149                         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;dimension(), <span class="stringliteral">&quot;Statistics and model parameters mismatch&quot;</span>); 
     163<a name="l00150"></a>00150                 } 
     164<a name="l00151"></a>00151 }; 
     165<a name="l00156"></a><a class="code" href="classbdm_1_1KalmanFull.html">00156</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; 
     166<a name="l00157"></a>00157 { 
     167<a name="l00158"></a>00158         <span class="keyword">public</span>: 
     168<a name="l00160"></a><a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11">00160</a>                 <a class="code" href="classbdm_1_1KalmanFull.html#abdcc98c8b18c1cbdebdf218ae838fd11" 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;(){}; 
     169<a name="l00162"></a>00162                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanFull.html#a081924bc97f453f674bb982b7951d053" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     170<a name="l00163"></a><a class="code" href="classbdm_1_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1">00163</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_1KalmanFull.html#ab77ade422273f60b8955122b81abf3c1" title="Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually!...">_copy_</a>()<span class="keyword"> const </span>{ 
     171<a name="l00164"></a>00164                         <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a>* K = <span class="keyword">new</span> <a class="code" href="classbdm_1_1KalmanFull.html" title="Basic Kalman filter with full matrices.">KalmanFull</a>; 
     172<a name="l00165"></a>00165                         K-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a7a053883a11a93a979c28c3e6792ce20" title="set all matrix parameters">set_parameters</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
     173<a name="l00166"></a>00166                         K-&gt;<a class="code" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49" title="set statistics of the posterior">set_statistics</a> (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
     174<a name="l00167"></a>00167                         <span class="keywordflow">return</span> K; 
     175<a name="l00168"></a>00168                 } 
     176<a name="l00169"></a>00169 }; 
     177<a name="l00170"></a>00170 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanFull); 
     178<a name="l00171"></a>00171  
     179<a name="l00172"></a>00172  
     180<a name="l00180"></a><a class="code" href="classbdm_1_1KalmanCh.html">00180</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; 
     181<a name="l00181"></a>00181 { 
     182<a name="l00182"></a>00182         <span class="keyword">protected</span>: 
     183<a name="l00185"></a>00185                 mat preA; 
     184<a name="l00187"></a><a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f">00187</a>                 mat <a class="code" href="classbdm_1_1KalmanCh.html#abcbd68f51d4b57246e7784ca5900171f" title="post array (triangular matrix)">postA</a>; 
     185<a name="l00189"></a>00189         <span class="keyword">public</span>: 
     186<a name="l00191"></a><a class="code" href="classbdm_1_1KalmanCh.html#a24ce65bdaa538d4d5153d709a929b996">00191</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#a24ce65bdaa538d4d5153d709a929b996" title="copy constructor">_copy_</a>()<span class="keyword"> const </span>{ 
     187<a name="l00192"></a>00192                         <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>; 
     188<a name="l00193"></a>00193                         K-&gt;<a class="code" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87" title="set parameters for adapt from Kalman">set_parameters</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>, <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>, <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>, <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
     189<a name="l00194"></a>00194                         K-&gt;<a class="code" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49" title="set statistics of the posterior">set_statistics</a> (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
     190<a name="l00195"></a>00195                         <span class="keywordflow">return</span> K; 
     191<a name="l00196"></a>00196                 } 
     192<a name="l00198"></a>00198                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#a20a4d4c664e8ac8a3f1bb7b0d11c6d87" 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); 
     193<a name="l00200"></a>00200                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); 
     194<a name="l00201"></a>00201  
     195<a name="l00215"></a>00215                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#ab41fe5540548100b08e1684c3be767b6" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     196<a name="l00216"></a>00216                  
     197<a name="l00217"></a><a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d">00217</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">from_setting</a>(<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>){ 
     198<a name="l00218"></a>00218                         <a class="code" href="classbdm_1_1KalmanCh.html#a13f68cef5b14c8753012ad3ed695689d" title="load basic elements of Kalman from structure">Kalman&lt;chmat&gt;::from_setting</a>(<span class="keyword">set</span>); 
     199<a name="l00219"></a>00219                         <a class="code" href="classbdm_1_1KalmanCh.html#ac983b1a2687312ab733d4c859cf83c1e" title="initialize internal parametetrs">initialize</a>(); 
     200<a name="l00220"></a>00220                 } 
     201<a name="l00221"></a>00221 }; 
     202<a name="l00222"></a>00222 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(KalmanCh); 
     203<a name="l00223"></a>00223  
     204<a name="l00229"></a><a class="code" href="classbdm_1_1EKFfull.html">00229</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> 
     205<a name="l00230"></a>00230 { 
     206<a name="l00231"></a>00231         <span class="keyword">protected</span>: 
     207<a name="l00233"></a><a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6">00233</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#aee5bfb3f09dfa994596c5bc68306f7d6" title="Internal Model f(x,u).">pfxu</a>; 
    213208<a name="l00234"></a>00234  
    214 <a name="l00236"></a>00236                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4" 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#aee5bfb3f09dfa994596c5bc68306f7d6" 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#a6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> mat Q0, <span class="keyword">const</span> mat R0); 
     209<a name="l00236"></a><a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c">00236</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFfull.html#a6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>; 
    215210<a name="l00237"></a>00237  
    216 <a name="l00239"></a>00239                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#af149ae8e9ce14d9931a7bb2850736699" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
    217 <a name="l00241"></a><a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841">00241</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> (<span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> mat &amp;P0) { 
    218 <a name="l00242"></a>00242                         <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); 
    219 <a name="l00243"></a>00243                 }; 
    220 <a name="l00244"></a>00244                 <span class="keyword">const</span> mat _R() { 
    221 <a name="l00245"></a>00245                         <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R().to_mat(); 
    222 <a name="l00246"></a>00246                 } 
    223 <a name="l00247"></a><a class="code" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c">00247</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
    224 <a name="l00248"></a>00248                         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> IM = UI::build&lt;diffbifn&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;IM&quot;</span>, UI::compulsory ); 
    225 <a name="l00249"></a>00249                         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> OM = UI::build&lt;diffbifn&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;OM&quot;</span>, UI::compulsory ); 
    226 <a name="l00250"></a>00250                          
    227 <a name="l00251"></a>00251                         <span class="comment">//statistics</span> 
    228 <a name="l00252"></a>00252                         <span class="keywordtype">int</span> dim = IM-&gt;dimension(); 
    229 <a name="l00253"></a>00253                         vec mu0; 
    230 <a name="l00254"></a>00254                         <span class="keywordflow">if</span> ( !<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( mu0, <span class="keyword">set</span>, <span class="stringliteral">&quot;mu0&quot;</span> ) ) 
    231 <a name="l00255"></a>00255                                 mu0 = zeros ( dim ); 
    232 <a name="l00256"></a>00256                          
    233 <a name="l00257"></a>00257                         mat P0; 
    234 <a name="l00258"></a>00258                         vec dP0; 
    235 <a name="l00259"></a>00259                         <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dP0, <span class="keyword">set</span>, <span class="stringliteral">&quot;dP0&quot;</span> ) ) 
    236 <a name="l00260"></a>00260                                 P0 = diag ( dP0 ); 
    237 <a name="l00261"></a>00261                         <span class="keywordflow">else</span> <span class="keywordflow">if</span> ( !<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( P0, <span class="keyword">set</span>, <span class="stringliteral">&quot;P0&quot;</span> ) ) 
    238 <a name="l00262"></a>00262                                 P0 = eye ( dim ); 
    239 <a name="l00263"></a>00263                          
    240 <a name="l00264"></a>00264                         <a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> ( mu0, P0 ); 
    241 <a name="l00265"></a>00265                          
    242 <a name="l00266"></a>00266                         <span class="comment">//parameters</span> 
    243 <a name="l00267"></a>00267                         vec dQ, dR; 
    244 <a name="l00268"></a>00268                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dQ, <span class="keyword">set</span>, <span class="stringliteral">&quot;dQ&quot;</span>, UI::compulsory ); 
    245 <a name="l00269"></a>00269                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dR, <span class="keyword">set</span>, <span class="stringliteral">&quot;dR&quot;</span>, UI::compulsory ); 
    246 <a name="l00270"></a>00270                         <a class="code" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( IM, OM, diag ( dQ ), diag ( dR ) ); 
     211<a name="l00238"></a>00238         <span class="keyword">public</span>: 
     212<a name="l00240"></a>00240                 <a class="code" href="classbdm_1_1EKFfull.html#a6939c345389abb8b2481457b4cfe1165" title="Default constructor.">EKFfull</a> (); 
     213<a name="l00241"></a>00241  
     214<a name="l00243"></a>00243                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4" 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#aee5bfb3f09dfa994596c5bc68306f7d6" 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#a6432c675b1a9b83898b4ff19eab9b45c" title="Observation Model h(x,u).">phxu</a>, <span class="keyword">const</span> mat Q0, <span class="keyword">const</span> mat R0); 
     215<a name="l00244"></a>00244  
     216<a name="l00246"></a>00246                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#af149ae8e9ce14d9931a7bb2850736699" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     217<a name="l00248"></a><a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841">00248</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> (<span class="keyword">const</span> vec &amp;mu0, <span class="keyword">const</span> mat &amp;P0) { 
     218<a name="l00249"></a>00249                         <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;set_parameters (mu0, P0); 
     219<a name="l00250"></a>00250                 }; 
     220<a name="l00252"></a><a class="code" href="classbdm_1_1EKFfull.html#ad4f57cb8af64b06c530f528c32596d4d">00252</a>                 <span class="keyword">const</span> mat <a class="code" href="classbdm_1_1EKFfull.html#ad4f57cb8af64b06c530f528c32596d4d" title="access function">_R</a>() { 
     221<a name="l00253"></a>00253                         <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R().to_mat(); 
     222<a name="l00254"></a>00254                 } 
     223<a name="l00255"></a><a class="code" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c">00255</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#afa89558667ff0f44f470f1146aa4681c" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>) { 
     224<a name="l00256"></a>00256                         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> IM = UI::build&lt;diffbifn&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;IM&quot;</span>, UI::compulsory ); 
     225<a name="l00257"></a>00257                         <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> OM = UI::build&lt;diffbifn&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;OM&quot;</span>, UI::compulsory ); 
     226<a name="l00258"></a>00258                          
     227<a name="l00259"></a>00259                         <span class="comment">//statistics</span> 
     228<a name="l00260"></a>00260                         <span class="keywordtype">int</span> dim = IM-&gt;dimension(); 
     229<a name="l00261"></a>00261                         vec mu0; 
     230<a name="l00262"></a>00262                         <span class="keywordflow">if</span> ( !<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( mu0, <span class="keyword">set</span>, <span class="stringliteral">&quot;mu0&quot;</span> ) ) 
     231<a name="l00263"></a>00263                                 mu0 = zeros ( dim ); 
     232<a name="l00264"></a>00264                          
     233<a name="l00265"></a>00265                         mat P0; 
     234<a name="l00266"></a>00266                         vec dP0; 
     235<a name="l00267"></a>00267                         <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dP0, <span class="keyword">set</span>, <span class="stringliteral">&quot;dP0&quot;</span> ) ) 
     236<a name="l00268"></a>00268                                 P0 = diag ( dP0 ); 
     237<a name="l00269"></a>00269                         <span class="keywordflow">else</span> <span class="keywordflow">if</span> ( !<a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( P0, <span class="keyword">set</span>, <span class="stringliteral">&quot;P0&quot;</span> ) ) 
     238<a name="l00270"></a>00270                                 P0 = eye ( dim ); 
    247239<a name="l00271"></a>00271                          
    248 <a name="l00272"></a>00272                         <span class="comment">//connect</span> 
    249 <a name="l00273"></a>00273                         <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;RV&gt;</a> <a class="code" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a> = UI::build&lt;RV&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;drv&quot;</span>, UI::compulsory ); 
    250 <a name="l00274"></a>00274                         set_drv ( *drv ); 
    251 <a name="l00275"></a>00275                         <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;RV&gt;</a> rv = UI::build&lt;RV&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;rv&quot;</span>, UI::compulsory ); 
    252 <a name="l00276"></a>00276                         set_rv ( *rv ); 
    253 <a name="l00277"></a>00277                          
    254 <a name="l00278"></a>00278                         <span class="keywordtype">string</span> options; 
    255 <a name="l00279"></a>00279                         <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( options, <span class="keyword">set</span>, <span class="stringliteral">&quot;options&quot;</span> ) ) 
    256 <a name="l00280"></a>00280                                 <a class="code" href="classbdm_1_1BM.html#aadb539fa2585c8a2a91c54e5aebf330e" title="Set boolean options from a string, recognized are: &amp;quot;logbounds,logll&amp;quot;.">set_options</a> ( options ); 
    257 <a name="l00281"></a>00281 <span class="comment">//                      pfxu = UI::build&lt;diffbifn&gt;(set, &quot;IM&quot;, UI::compulsory);</span> 
    258 <a name="l00282"></a>00282 <span class="comment">//                      phxu = UI::build&lt;diffbifn&gt;(set, &quot;OM&quot;, UI::compulsory);</span> 
    259 <a name="l00283"></a>00283 <span class="comment">//                      </span> 
    260 <a name="l00284"></a>00284 <span class="comment">//                      mat R0;</span> 
    261 <a name="l00285"></a>00285 <span class="comment">//                      UI::get(R0, set, &quot;R&quot;,UI::compulsory);</span> 
    262 <a name="l00286"></a>00286 <span class="comment">//                      mat Q0;</span> 
    263 <a name="l00287"></a>00287 <span class="comment">//                      UI::get(Q0, set, &quot;Q&quot;,UI::compulsory);</span> 
    264 <a name="l00288"></a>00288 <span class="comment">//                      </span> 
    265 <a name="l00289"></a>00289 <span class="comment">//                      </span> 
    266 <a name="l00290"></a>00290 <span class="comment">//                      mat P0; vec mu0;</span> 
    267 <a name="l00291"></a>00291 <span class="comment">//                      UI::get(mu0, set, &quot;mu0&quot;, UI::optional);</span> 
    268 <a name="l00292"></a>00292 <span class="comment">//                      UI::get(P0, set,  &quot;P0&quot;, UI::optional);</span> 
    269 <a name="l00293"></a>00293 <span class="comment">//                      set_statistics(mu0,P0);</span> 
    270 <a name="l00294"></a>00294 <span class="comment">//                      // Initial values</span> 
    271 <a name="l00295"></a>00295 <span class="comment">//                      UI::get (yrv, set, &quot;yrv&quot;, UI::optional);</span> 
    272 <a name="l00296"></a>00296 <span class="comment">//                      UI::get (urv, set, &quot;urv&quot;, UI::optional);</span> 
    273 <a name="l00297"></a>00297 <span class="comment">//                      set_drv(concat(yrv,urv));</span> 
    274 <a name="l00298"></a>00298 <span class="comment">// </span> 
    275 <a name="l00299"></a>00299 <span class="comment">//                      // setup StateSpace</span> 
    276 <a name="l00300"></a>00300 <span class="comment">//                      pfxu-&gt;dfdu_cond(mu0, zeros(pfxu-&gt;_dimu()), A,true);</span> 
    277 <a name="l00301"></a>00301 <span class="comment">//                      phxu-&gt;dfdu_cond(mu0, zeros(pfxu-&gt;_dimu()), C,true);</span> 
    278 <a name="l00302"></a>00302 <span class="comment">//                      </span> 
    279 <a name="l00303"></a>00303                         validate(); 
    280 <a name="l00304"></a>00304                 } 
    281 <a name="l00305"></a>00305                 <span class="keywordtype">void</span> validate() { 
    282 <a name="l00306"></a>00306                         <span class="comment">// check stats and IM and OM</span> 
    283 <a name="l00307"></a>00307                 } 
    284 <a name="l00308"></a>00308 }; 
    285 <a name="l00309"></a>00309 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(EKFfull); 
    286 <a name="l00310"></a>00310  
    287 <a name="l00311"></a>00311  
    288 <a name="l00318"></a><a class="code" href="classbdm_1_1EKFCh.html">00318</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> 
    289 <a name="l00319"></a>00319 { 
    290 <a name="l00320"></a>00320         <span class="keyword">protected</span>: 
    291 <a name="l00322"></a><a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a">00322</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>; 
    292 <a name="l00323"></a>00323  
    293 <a name="l00325"></a><a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1">00325</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>; 
    294 <a name="l00326"></a>00326         <span class="keyword">public</span>: 
    295 <a name="l00328"></a><a class="code" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4">00328</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#a1d1d91400e3f177de9fe7962ea17adc4" title="copy constructor duplicated - calls different set_parameters">_copy_</a>()<span class="keyword"> const </span>{ 
    296 <a name="l00329"></a>00329                         <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>; 
    297 <a name="l00330"></a>00330                         E-&gt;<a class="code" href="classbdm_1_1EKFCh.html#acd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
    298 <a name="l00331"></a>00331                         E-&gt;set_statistics (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
    299 <a name="l00332"></a>00332                         <span class="keywordflow">return</span> E; 
    300 <a name="l00333"></a>00333                 } 
    301 <a name="l00335"></a>00335                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#acd1697a0b3ac2e17c0c56a90a4dbfad1" 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#a5dc1964a6058057c9e17ea3c2f33bd2a" 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#a27c29351b2cc8248c011af506208e8d1" 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); 
    302 <a name="l00336"></a>00336  
    303 <a name="l00338"></a>00338                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#a4c8609c37290b158f88a31dae4047225" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
    304 <a name="l00339"></a>00339  
    305 <a name="l00340"></a>00340                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#a3952e181ef0cf230c325ad3be1f002df" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>); 
    306 <a name="l00341"></a>00341  
    307 <a name="l00342"></a>00342                 <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
    308 <a name="l00343"></a>00343  
    309 <a name="l00344"></a>00344 }; 
    310 <a name="l00345"></a>00345  
    311 <a name="l00346"></a>00346 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (EKFCh); 
    312 <a name="l00347"></a>00347 SHAREDPTR (EKFCh); 
    313 <a name="l00348"></a>00348  
     240<a name="l00272"></a>00272                         <a class="code" href="classbdm_1_1EKFfull.html#a44986d667c19bcf7708495a4a5afc841" title="set estimates">set_statistics</a> ( mu0, P0 ); 
     241<a name="l00273"></a>00273                          
     242<a name="l00274"></a>00274                         <span class="comment">//parameters</span> 
     243<a name="l00275"></a>00275                         vec dQ, dR; 
     244<a name="l00276"></a>00276                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dQ, <span class="keyword">set</span>, <span class="stringliteral">&quot;dQ&quot;</span>, UI::compulsory ); 
     245<a name="l00277"></a>00277                         <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( dR, <span class="keyword">set</span>, <span class="stringliteral">&quot;dR&quot;</span>, UI::compulsory ); 
     246<a name="l00278"></a>00278                         <a class="code" href="classbdm_1_1EKFfull.html#a8a68f95124a4b01f9ce23225f3c736a4" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> ( IM, OM, diag ( dQ ), diag ( dR ) ); 
     247<a name="l00279"></a>00279                          
     248<a name="l00280"></a>00280                         <span class="comment">//connect</span> 
     249<a name="l00281"></a>00281                         <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;RV&gt;</a> <a class="code" href="classbdm_1_1BM.html#ac400357e37d27a4834b2b1d9211009ed" title="Random variable of the data (optional).">drv</a> = UI::build&lt;RV&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;drv&quot;</span>, UI::compulsory ); 
     250<a name="l00282"></a>00282                         <a class="code" href="classbdm_1_1BM.html#af135ae6dce7e9f30c9f88229c7930b96" title="access function">set_drv</a> ( *drv ); 
     251<a name="l00283"></a>00283                         <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;RV&gt;</a> rv = UI::build&lt;RV&gt; ( <span class="keyword">set</span>, <span class="stringliteral">&quot;rv&quot;</span>, UI::compulsory ); 
     252<a name="l00284"></a>00284                         <a class="code" href="classbdm_1_1BM.html#ab38d92f17620813ad872d86e01a26e5e" title="access to rv of the posterior">set_rv</a> ( *rv ); 
     253<a name="l00285"></a>00285                          
     254<a name="l00286"></a>00286                         <span class="keywordtype">string</span> options; 
     255<a name="l00287"></a>00287                         <span class="keywordflow">if</span> ( <a class="code" href="classbdm_1_1UI.html#acd1667e6fec99ec64dabcb3ca2ff922d">UI::get</a> ( options, <span class="keyword">set</span>, <span class="stringliteral">&quot;options&quot;</span> ) ) 
     256<a name="l00288"></a>00288                                 <a class="code" href="classbdm_1_1BM.html#aadb539fa2585c8a2a91c54e5aebf330e" title="Set boolean options from a string, recognized are: &amp;quot;logbounds,logll&amp;quot;.">set_options</a> ( options ); 
     257<a name="l00289"></a>00289 <span class="comment">//                      pfxu = UI::build&lt;diffbifn&gt;(set, &quot;IM&quot;, UI::compulsory);</span> 
     258<a name="l00290"></a>00290 <span class="comment">//                      phxu = UI::build&lt;diffbifn&gt;(set, &quot;OM&quot;, UI::compulsory);</span> 
     259<a name="l00291"></a>00291 <span class="comment">//                      </span> 
     260<a name="l00292"></a>00292 <span class="comment">//                      mat R0;</span> 
     261<a name="l00293"></a>00293 <span class="comment">//                      UI::get(R0, set, &quot;R&quot;,UI::compulsory);</span> 
     262<a name="l00294"></a>00294 <span class="comment">//                      mat Q0;</span> 
     263<a name="l00295"></a>00295 <span class="comment">//                      UI::get(Q0, set, &quot;Q&quot;,UI::compulsory);</span> 
     264<a name="l00296"></a>00296 <span class="comment">//                      </span> 
     265<a name="l00297"></a>00297 <span class="comment">//                      </span> 
     266<a name="l00298"></a>00298 <span class="comment">//                      mat P0; vec mu0;</span> 
     267<a name="l00299"></a>00299 <span class="comment">//                      UI::get(mu0, set, &quot;mu0&quot;, UI::optional);</span> 
     268<a name="l00300"></a>00300 <span class="comment">//                      UI::get(P0, set,  &quot;P0&quot;, UI::optional);</span> 
     269<a name="l00301"></a>00301 <span class="comment">//                      set_statistics(mu0,P0);</span> 
     270<a name="l00302"></a>00302 <span class="comment">//                      // Initial values</span> 
     271<a name="l00303"></a>00303 <span class="comment">//                      UI::get (yrv, set, &quot;yrv&quot;, UI::optional);</span> 
     272<a name="l00304"></a>00304 <span class="comment">//                      UI::get (urv, set, &quot;urv&quot;, UI::optional);</span> 
     273<a name="l00305"></a>00305 <span class="comment">//                      set_drv(concat(yrv,urv));</span> 
     274<a name="l00306"></a>00306 <span class="comment">// </span> 
     275<a name="l00307"></a>00307 <span class="comment">//                      // setup StateSpace</span> 
     276<a name="l00308"></a>00308 <span class="comment">//                      pfxu-&gt;dfdu_cond(mu0, zeros(pfxu-&gt;_dimu()), A,true);</span> 
     277<a name="l00309"></a>00309 <span class="comment">//                      phxu-&gt;dfdu_cond(mu0, zeros(pfxu-&gt;_dimu()), C,true);</span> 
     278<a name="l00310"></a>00310 <span class="comment">//                      </span> 
     279<a name="l00311"></a>00311                         <a class="code" href="classbdm_1_1EKFfull.html#a167aa6b713df5cd2ce3df78ddcfd02a4" title="validate object">validate</a>(); 
     280<a name="l00312"></a>00312                 } 
     281<a name="l00313"></a><a class="code" href="classbdm_1_1EKFfull.html#a167aa6b713df5cd2ce3df78ddcfd02a4">00313</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFfull.html#a167aa6b713df5cd2ce3df78ddcfd02a4" title="validate object">validate</a>() { 
     282<a name="l00314"></a>00314                         <span class="comment">// check stats and IM and OM</span> 
     283<a name="l00315"></a>00315                 } 
     284<a name="l00316"></a>00316 }; 
     285<a name="l00317"></a>00317 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a>(EKFfull); 
     286<a name="l00318"></a>00318  
     287<a name="l00319"></a>00319  
     288<a name="l00326"></a><a class="code" href="classbdm_1_1EKFCh.html">00326</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> 
     289<a name="l00327"></a>00327 { 
     290<a name="l00328"></a>00328         <span class="keyword">protected</span>: 
     291<a name="l00330"></a><a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a">00330</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>; 
     292<a name="l00331"></a>00331  
     293<a name="l00333"></a><a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1">00333</a>                 <a class="code" href="classbdm_1_1shared__ptr.html">shared_ptr&lt;diffbifn&gt;</a> <a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>; 
     294<a name="l00334"></a>00334         <span class="keyword">public</span>: 
     295<a name="l00336"></a><a class="code" href="classbdm_1_1EKFCh.html#a1d1d91400e3f177de9fe7962ea17adc4">00336</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#a1d1d91400e3f177de9fe7962ea17adc4" title="copy constructor duplicated - calls different set_parameters">_copy_</a>()<span class="keyword"> const </span>{ 
     296<a name="l00337"></a>00337                         <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>; 
     297<a name="l00338"></a>00338                         E-&gt;<a class="code" href="classbdm_1_1EKFCh.html#acd1697a0b3ac2e17c0c56a90a4dbfad1" title="Set nonlinear functions for mean values and covariance matrices.">set_parameters</a> (<a class="code" href="classbdm_1_1EKFCh.html#a5dc1964a6058057c9e17ea3c2f33bd2a" title="Internal Model f(x,u).">pfxu</a>, <a class="code" href="classbdm_1_1EKFCh.html#a27c29351b2cc8248c011af506208e8d1" title="Observation Model h(x,u).">phxu</a>, <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>, <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>); 
     298<a name="l00339"></a>00339                         E-&gt;<a class="code" href="classbdm_1_1Kalman.html#ad9107617cd5482272ab046849cbfff49" title="set statistics of the posterior">set_statistics</a> (<a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_mu(), <a class="code" href="classbdm_1_1Kalman.html#ac83599f2541eb01de329f7b0bb35bf43" title="posterior">est</a>-&gt;_R()); 
     299<a name="l00340"></a>00340                         <span class="keywordflow">return</span> E; 
     300<a name="l00341"></a>00341                 } 
     301<a name="l00343"></a>00343                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#acd1697a0b3ac2e17c0c56a90a4dbfad1" 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#a5dc1964a6058057c9e17ea3c2f33bd2a" 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#a27c29351b2cc8248c011af506208e8d1" 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); 
     302<a name="l00344"></a>00344  
     303<a name="l00346"></a>00346                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#a4c8609c37290b158f88a31dae4047225" title="Here dt = [yt;ut] of appropriate dimensions.">bayes</a> (<span class="keyword">const</span> vec &amp;dt); 
     304<a name="l00347"></a>00347  
     305<a name="l00348"></a>00348                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1EKFCh.html#a3952e181ef0cf230c325ad3be1f002df" title="load basic elements of Kalman from structure">from_setting</a> (<span class="keyword">const</span> Setting &amp;<span class="keyword">set</span>); 
    314306<a name="l00349"></a>00349  
     307<a name="l00350"></a>00350                 <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
    315308<a name="l00351"></a>00351  
    316 <a name="l00359"></a><a class="code" href="classbdm_1_1MultiModel.html">00359</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> 
    317 <a name="l00360"></a>00360 { 
    318 <a name="l00361"></a>00361         <span class="keyword">protected</span>: 
    319 <a name="l00363"></a><a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93">00363</a>                 Array&lt;EKFCh*&gt; <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>; 
    320 <a name="l00365"></a><a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a">00365</a>                 vec <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>; 
    321 <a name="l00367"></a><a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634">00367</a>                 vec <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>; 
    322 <a name="l00369"></a><a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c">00369</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>; 
    323 <a name="l00371"></a><a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b">00371</a>                 <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
    324 <a name="l00372"></a>00372         <span class="keyword">public</span>: 
    325 <a name="l00373"></a>00373                 <span class="keywordtype">void</span> set_parameters (Array&lt;EKFCh*&gt; A, <span class="keywordtype">int</span> pol0 = 1) { 
    326 <a name="l00374"></a>00374                         <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> = A;<span class="comment">//TODO: test if evalll is set</span> 
    327 <a name="l00375"></a>00375                         <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>.set_length (A.length()); 
    328 <a name="l00376"></a>00376                         <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>.set_length (A.length()); 
    329 <a name="l00377"></a>00377                         <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> = pol0; 
    330 <a name="l00378"></a>00378  
    331 <a name="l00379"></a>00379                         <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1epdf.html#af423e28448dbb69ef4905295ec8de8ff" 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">&quot;MM&quot;</span>, A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().dimension(), 0)); 
    332 <a name="l00380"></a>00380                         <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.set_parameters (A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>().mean(), A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()._R()); 
    333 <a name="l00381"></a>00381                 } 
    334 <a name="l00382"></a><a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e">00382</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e" title="Incremental Bayes rule.">bayes</a> (<span class="keyword">const</span> vec &amp;dt) { 
    335 <a name="l00383"></a>00383                         <span class="keywordtype">int</span> n = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>.length(); 
    336 <a name="l00384"></a>00384                         <span class="keywordtype">int</span> i; 
    337 <a name="l00385"></a>00385                         <span class="keywordflow">for</span> (i = 0; i &lt; n; i++) { 
    338 <a name="l00386"></a>00386                                 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;bayes (dt); 
    339 <a name="l00387"></a>00387                                 <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> (i) = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;_ll(); 
    340 <a name="l00388"></a>00388                         } 
    341 <a name="l00389"></a>00389                         <span class="keywordtype">double</span> mlls = max (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>); 
    342 <a name="l00390"></a>00390                         <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> = exp (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> - mlls); 
    343 <a name="l00391"></a>00391                         <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> /= sum (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>);   <span class="comment">//normalization</span> 
    344 <a name="l00392"></a>00392                         <span class="comment">//set statistics</span> 
    345 <a name="l00393"></a>00393                         <span class="keywordflow">switch</span> (<a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>) { 
    346 <a name="l00394"></a>00394                                 <span class="keywordflow">case</span> 1: { 
    347 <a name="l00395"></a>00395                                         <span class="keywordtype">int</span> mi = max_index (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>); 
    348 <a name="l00396"></a>00396                                         <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#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (mi)-&gt;posterior() ; 
    349 <a name="l00397"></a>00397                                         <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.set_parameters (st.<a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), st._R()); 
    350 <a name="l00398"></a>00398                                 } 
    351 <a name="l00399"></a>00399                                 <span class="keywordflow">break</span>; 
    352 <a name="l00400"></a>00400                                 <span class="keywordflow">default</span>: 
    353 <a name="l00401"></a>00401                                         <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">&quot;unknown policy&quot;</span>); 
    354 <a name="l00402"></a>00402                         } 
    355 <a name="l00403"></a>00403                         <span class="comment">// copy result to all models</span> 
    356 <a name="l00404"></a>00404                         <span class="keywordflow">for</span> (i = 0; i &lt; n; i++) { 
    357 <a name="l00405"></a>00405                                 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;set_statistics (<a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>._R()); 
    358 <a name="l00406"></a>00406                         } 
    359 <a name="l00407"></a>00407                 } 
    360 <a name="l00409"></a><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee">00409</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#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="posterior density">posterior</a>()<span class="keyword"> const </span>{ 
    361 <a name="l00410"></a>00410                         <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
    362 <a name="l00411"></a>00411                 } 
    363 <a name="l00412"></a>00412  
    364 <a name="l00413"></a>00413                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#a7bd320fa2540883749b3f83cf2261878" 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>); 
    365 <a name="l00414"></a>00414  
    366 <a name="l00415"></a>00415                 <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
    367 <a name="l00416"></a>00416  
    368 <a name="l00417"></a>00417 }; 
    369 <a name="l00418"></a>00418  
    370 <a name="l00419"></a>00419 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (MultiModel); 
    371 <a name="l00420"></a>00420 SHAREDPTR (MultiModel); 
     309<a name="l00352"></a>00352 }; 
     310<a name="l00353"></a>00353  
     311<a name="l00354"></a>00354 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (EKFCh); 
     312<a name="l00355"></a>00355 SHAREDPTR (EKFCh); 
     313<a name="l00356"></a>00356  
     314<a name="l00357"></a>00357  
     315<a name="l00359"></a>00359  
     316<a name="l00367"></a><a class="code" href="classbdm_1_1MultiModel.html">00367</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> 
     317<a name="l00368"></a>00368 { 
     318<a name="l00369"></a>00369         <span class="keyword">protected</span>: 
     319<a name="l00371"></a><a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93">00371</a>                 Array&lt;EKFCh*&gt; <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>; 
     320<a name="l00373"></a><a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a">00373</a>                 vec <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>; 
     321<a name="l00375"></a><a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634">00375</a>                 vec <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>; 
     322<a name="l00377"></a><a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c">00377</a>                 <span class="keywordtype">int</span> <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>; 
     323<a name="l00379"></a><a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b">00379</a>                 <a class="code" href="classbdm_1_1enorm.html">enorm&lt;chmat&gt;</a> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
     324<a name="l00380"></a>00380         <span class="keyword">public</span>: 
     325<a name="l00382"></a><a class="code" href="classbdm_1_1MultiModel.html#ad8784dd4aa94f13d8396f4988cf8c74b">00382</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#ad8784dd4aa94f13d8396f4988cf8c74b" title="set internal parameters">set_parameters</a> (Array&lt;EKFCh*&gt; A, <span class="keywordtype">int</span> pol0 = 1) { 
     326<a name="l00383"></a>00383                         <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> = A;<span class="comment">//TODO: test if evalll is set</span> 
     327<a name="l00384"></a>00384                         <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>.set_length (A.length()); 
     328<a name="l00385"></a>00385                         <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>.set_length (A.length()); 
     329<a name="l00386"></a>00386                         <a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a> = pol0; 
     330<a name="l00387"></a>00387  
     331<a name="l00388"></a>00388                         <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1epdf.html#af423e28448dbb69ef4905295ec8de8ff" 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">&quot;MM&quot;</span>, A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="return correctly typed posterior (covariant return)">posterior</a>().dimension(), 0)); 
     332<a name="l00389"></a>00389                         <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.set_parameters (A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="return correctly typed posterior (covariant return)">posterior</a>().mean(), A (0)-&gt;<a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="return correctly typed posterior (covariant return)">posterior</a>()._R()); 
     333<a name="l00390"></a>00390                 } 
     334<a name="l00391"></a><a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e">00391</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#aa915deeddb0e94c337d02ebc0abe535e" title="Incremental Bayes rule.">bayes</a> (<span class="keyword">const</span> vec &amp;dt) { 
     335<a name="l00392"></a>00392                         <span class="keywordtype">int</span> n = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a>.length(); 
     336<a name="l00393"></a>00393                         <span class="keywordtype">int</span> i; 
     337<a name="l00394"></a>00394                         <span class="keywordflow">for</span> (i = 0; i &lt; n; i++) { 
     338<a name="l00395"></a>00395                                 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;bayes (dt); 
     339<a name="l00396"></a>00396                                 <a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> (i) = <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;_ll(); 
     340<a name="l00397"></a>00397                         } 
     341<a name="l00398"></a>00398                         <span class="keywordtype">double</span> mlls = max (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a>); 
     342<a name="l00399"></a>00399                         <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> = exp (<a class="code" href="classbdm_1_1MultiModel.html#a7b4012fc2208ce4ddd5c0d1fe69d7634" title="cache of model lls">_lls</a> - mlls); 
     343<a name="l00400"></a>00400                         <a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a> /= sum (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>);   <span class="comment">//normalization</span> 
     344<a name="l00401"></a>00401                         <span class="comment">//set statistics</span> 
     345<a name="l00402"></a>00402                         <span class="keywordflow">switch</span> (<a class="code" href="classbdm_1_1MultiModel.html#a9b56bcde4664bd53f8995d7ee7ed415c" title="type of switching policy [1=maximum,2=...]">policy</a>) { 
     346<a name="l00403"></a>00403                                 <span class="keywordflow">case</span> 1: { 
     347<a name="l00404"></a>00404                                         <span class="keywordtype">int</span> mi = max_index (<a class="code" href="classbdm_1_1MultiModel.html#aef85ea61575bffa8beac8040869ee47a" title="vector of model weights">w</a>); 
     348<a name="l00405"></a>00405                                         <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#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (mi)-&gt;posterior() ; 
     349<a name="l00406"></a>00406                                         <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.set_parameters (st.<a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), st._R()); 
     350<a name="l00407"></a>00407                                 } 
     351<a name="l00408"></a>00408                                 <span class="keywordflow">break</span>; 
     352<a name="l00409"></a>00409                                 <span class="keywordflow">default</span>: 
     353<a name="l00410"></a>00410                                         <a class="code" href="bdmerror_8h.html#a7c43f3a72afe68ab0c85663a1bb3521a" title="Unconditionally throw std::runtime_error.">bdm_error</a> (<span class="stringliteral">&quot;unknown policy&quot;</span>); 
     354<a name="l00411"></a>00411                         } 
     355<a name="l00412"></a>00412                         <span class="comment">// copy result to all models</span> 
     356<a name="l00413"></a>00413                         <span class="keywordflow">for</span> (i = 0; i &lt; n; i++) { 
     357<a name="l00414"></a>00414                                 <a class="code" href="classbdm_1_1MultiModel.html#a33de5d07ee774070632de8963b5d4c93" title="List of models between which we switch.">Models</a> (i)-&gt;set_statistics (<a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>.<a class="code" href="classbdm_1_1enorm.html#ab2fa2915c35366392fe9bb022ca1a600" title="return expected value">mean</a>(), <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>._R()); 
     358<a name="l00415"></a>00415                         } 
     359<a name="l00416"></a>00416                 } 
     360<a name="l00418"></a><a class="code" href="classbdm_1_1MultiModel.html#a2af3f8dc10dfdae0ddc8160a9f36aaee">00418</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#a2af3f8dc10dfdae0ddc8160a9f36aaee" title="return correctly typed posterior (covariant return)">posterior</a>()<span class="keyword"> const </span>{ 
     361<a name="l00419"></a>00419                         <span class="keywordflow">return</span> <a class="code" href="classbdm_1_1MultiModel.html#ad665551d045b1a1055eeb9185558ff0b" title="internal statistics">est</a>; 
     362<a name="l00420"></a>00420                 } 
    372363<a name="l00421"></a>00421  
     364<a name="l00422"></a>00422                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1MultiModel.html#a7bd320fa2540883749b3f83cf2261878" 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>); 
    373365<a name="l00423"></a>00423  
    374 <a name="l00431"></a>00431 <span class="comment">//template&lt;class sq_T&gt;</span> 
    375 <a name="l00432"></a><a class="code" href="classbdm_1_1StateCanonical.html">00432</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1StateCanonical.html" title="conversion of outer ARX model (mlnorm) to state space model">StateCanonical</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;fsqmat&gt;{ 
    376 <a name="l00433"></a>00433         <span class="keyword">protected</span>: 
    377 <a name="l00435"></a><a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1">00435</a>                 <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&amp;gt;A">th2A</a>; 
    378 <a name="l00437"></a><a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d">00437</a>                 <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&amp;gt;C">th2C</a>; 
    379 <a name="l00439"></a><a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89">00439</a>                 <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&amp;gt;D">th2D</a>; 
    380 <a name="l00441"></a><a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730">00441</a>                 vec <a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>; 
    381 <a name="l00443"></a><a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d">00443</a>                 vec <a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>; 
    382 <a name="l00445"></a><a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6">00445</a>                 vec <a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>; 
    383 <a name="l00446"></a>00446                  
    384 <a name="l00447"></a>00447         <span class="keyword">public</span>: 
    385 <a name="l00449"></a><a class="code" href="classbdm_1_1StateCanonical.html#ad3ad57524c2af597b36ab1592fddc26c">00449</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateCanonical.html#ad3ad57524c2af597b36ab1592fddc26c" title="set up this object to match given mlnorm">connect_mlnorm</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm&lt;fsqmat&gt;</a> &amp;ml){ 
    386 <a name="l00450"></a>00450                         <span class="comment">//get ids of yrv                                </span> 
    387 <a name="l00451"></a>00451                         <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;yrv = ml._rv(); 
    388 <a name="l00452"></a>00452                         <span class="comment">//need to determine u_t - it is all in _rvc that is not in ml._rv()</span> 
    389 <a name="l00453"></a>00453                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rgr0 = ml._rvc().remove_time(); 
    390 <a name="l00454"></a>00454                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> urv = rgr0.<a class="code" href="classbdm_1_1RV.html#aaec44dabdf0a6d90fbae95e1356eda39" title="Subtract another variable from the current one.">subt</a>(yrv);  
    391 <a name="l00455"></a>00455                          
    392 <a name="l00456"></a>00456                         <span class="comment">//We can do only 1d now... :(</span> 
    393 <a name="l00457"></a>00457                         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(yrv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()==1, <span class="stringliteral">&quot;Only for SISO so far...&quot;</span> ); 
    394 <a name="l00458"></a>00458  
    395 <a name="l00459"></a>00459                         <span class="comment">// create names for </span> 
    396 <a name="l00460"></a>00460                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> xrv; <span class="comment">//empty</span> 
    397 <a name="l00461"></a>00461                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> Crv; <span class="comment">//empty</span> 
    398 <a name="l00462"></a>00462                         <span class="keywordtype">int</span> td=ml._rvc().<a class="code" href="classbdm_1_1RV.html#a9a5c5aeeaf39299d07763377b05a8241" title="Minimum time-offset.">mint</a>(); 
    399 <a name="l00463"></a>00463                         <span class="comment">// assuming strictly proper function!!!</span> 
    400 <a name="l00464"></a>00464                         <span class="keywordflow">for</span> (<span class="keywordtype">int</span> t=-1;t&gt;=td;t--){ 
    401 <a name="l00465"></a>00465                                 xrv.add(yrv.<a class="code" href="classbdm_1_1RV.html#a627222f49abc5d07e5e8aecac7708ee2" title="create new RV from the current one with time shifted by given value">copy_t</a>(t)); 
    402 <a name="l00466"></a>00466                                 Crv.<a class="code" href="classbdm_1_1RV.html#a87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a>(urv.<a class="code" href="classbdm_1_1RV.html#a627222f49abc5d07e5e8aecac7708ee2" title="create new RV from the current one with time shifted by given value">copy_t</a>(t)); 
    403 <a name="l00467"></a>00467                         } 
    404 <a name="l00468"></a>00468                          
    405 <a name="l00469"></a>00469                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> = xrv._dsize(); 
    406 <a name="l00470"></a>00470                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> = yrv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(); 
    407 <a name="l00471"></a>00471                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> = urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(); 
    408 <a name="l00472"></a>00472                          
    409 <a name="l00473"></a>00473                         <span class="comment">// get mapp</span> 
    410 <a name="l00474"></a>00474                         <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&amp;gt;A">th2A</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(xrv, ml._rvc()); 
    411 <a name="l00475"></a>00475                         <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&amp;gt;C">th2C</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(Crv, ml._rvc()); 
    412 <a name="l00476"></a>00476                         <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&amp;gt;D">th2D</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(urv, ml._rvc()); 
    413 <a name="l00477"></a>00477  
    414 <a name="l00478"></a>00478                         <span class="comment">//set matrix sizes</span> 
    415 <a name="l00479"></a>00479                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>=zeros(<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>,<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>); 
    416 <a name="l00480"></a>00480                         <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j=1; j&lt;<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>; j++){<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(j,j-1)=1.0;} <span class="comment">// off diagonal</span> 
    417 <a name="l00481"></a>00481                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>=zeros(dimx,1); 
    418 <a name="l00482"></a>00482                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(0) = 1.0; 
    419 <a name="l00483"></a>00483                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>=zeros(1,dimx); 
    420 <a name="l00484"></a>00484                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>=zeros(1,urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()); 
    421 <a name="l00485"></a>00485                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a> = zeros(dimx,dimx); 
    422 <a name="l00486"></a>00486                         <span class="comment">// R is set by update</span> 
    423 <a name="l00487"></a>00487                          
    424 <a name="l00488"></a>00488                         <span class="comment">//set cache</span> 
    425 <a name="l00489"></a>00489                         this-&gt;<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a> = zeros(xrv._dsize()); 
    426 <a name="l00490"></a>00490                         this-&gt;<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a> = zeros(xrv._dsize()); 
    427 <a name="l00491"></a>00491                         this-&gt;<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a> = zeros(urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()); 
    428 <a name="l00492"></a>00492                          
    429 <a name="l00493"></a>00493                         <a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e" title="fast function to update parameters from ml - not checked for compatibility!!">update_from</a>(ml); 
    430 <a name="l00494"></a>00494                         validate(); 
    431 <a name="l00495"></a>00495                 }; 
    432 <a name="l00497"></a><a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e">00497</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e" title="fast function to update parameters from ml - not checked for compatibility!!">update_from</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm&lt;fsqmat&gt;</a> &amp;ml){ 
    433 <a name="l00498"></a>00498                          
    434 <a name="l00499"></a>00499                         vec theta = ml.<a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23" title="access function">_A</a>().get_row(0); <span class="comment">// this </span> 
    435 <a name="l00500"></a>00500                          
    436 <a name="l00501"></a>00501                         <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&amp;gt;A">th2A</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &amp;quot;Up&amp;quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>); 
    437 <a name="l00502"></a>00502                         <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&amp;gt;C">th2C</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &amp;quot;Up&amp;quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>); 
    438 <a name="l00503"></a>00503                         <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&amp;gt;D">th2D</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &amp;quot;Up&amp;quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>); 
    439 <a name="l00504"></a>00504  
    440 <a name="l00505"></a>00505                         <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a> = ml.<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>(); 
    441 <a name="l00506"></a>00506  
    442 <a name="l00507"></a>00507                         <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>); 
    443 <a name="l00508"></a>00508                         <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>+<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>*<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>); 
    444 <a name="l00509"></a>00509                         <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>); 
    445 <a name="l00510"></a>00510                          
    446 <a name="l00511"></a>00511                 } 
    447 <a name="l00512"></a>00512 }; 
     366<a name="l00424"></a>00424                 <span class="comment">// TODO dodelat void to_setting( Setting &amp;set ) const;</span> 
     367<a name="l00425"></a>00425  
     368<a name="l00426"></a>00426 }; 
     369<a name="l00427"></a>00427  
     370<a name="l00428"></a>00428 <a class="code" href="user__info_8h.html#a4f9de2f17e844047726487b99def99c6" title="Macro for registration of class into map of user-infos, registered class is scriptable...">UIREGISTER</a> (MultiModel); 
     371<a name="l00429"></a>00429 SHAREDPTR (MultiModel); 
     372<a name="l00430"></a>00430  
     373<a name="l00432"></a>00432  
     374<a name="l00440"></a>00440 <span class="comment">//template&lt;class sq_T&gt;</span> 
     375<a name="l00441"></a><a class="code" href="classbdm_1_1StateCanonical.html">00441</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1StateCanonical.html" title="conversion of outer ARX model (mlnorm) to state space model">StateCanonical</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;fsqmat&gt;{ 
     376<a name="l00442"></a>00442         <span class="keyword">protected</span>: 
     377<a name="l00444"></a><a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1">00444</a>                 <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&amp;gt;A">th2A</a>; 
     378<a name="l00446"></a><a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d">00446</a>                 <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&amp;gt;C">th2C</a>; 
     379<a name="l00448"></a><a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89">00448</a>                 <a class="code" href="classbdm_1_1datalink__part.html">datalink_part</a> <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&amp;gt;D">th2D</a>; 
     380<a name="l00450"></a><a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730">00450</a>                 vec <a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>; 
     381<a name="l00452"></a><a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d">00452</a>                 vec <a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>; 
     382<a name="l00454"></a><a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6">00454</a>                 vec <a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>; 
     383<a name="l00455"></a>00455                  
     384<a name="l00456"></a>00456         <span class="keyword">public</span>: 
     385<a name="l00458"></a><a class="code" href="classbdm_1_1StateCanonical.html#ad3ad57524c2af597b36ab1592fddc26c">00458</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateCanonical.html#ad3ad57524c2af597b36ab1592fddc26c" title="set up this object to match given mlnorm">connect_mlnorm</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm&lt;fsqmat&gt;</a> &amp;ml){ 
     386<a name="l00459"></a>00459                         <span class="comment">//get ids of yrv                                </span> 
     387<a name="l00460"></a>00460                         <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;yrv = ml._rv(); 
     388<a name="l00461"></a>00461                         <span class="comment">//need to determine u_t - it is all in _rvc that is not in ml._rv()</span> 
     389<a name="l00462"></a>00462                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> rgr0 = ml._rvc().remove_time(); 
     390<a name="l00463"></a>00463                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> urv = rgr0.<a class="code" href="classbdm_1_1RV.html#aaec44dabdf0a6d90fbae95e1356eda39" title="Subtract another variable from the current one.">subt</a>(yrv);  
     391<a name="l00464"></a>00464                          
     392<a name="l00465"></a>00465                         <span class="comment">//We can do only 1d now... :(</span> 
     393<a name="l00466"></a>00466                         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a>(yrv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()==1, <span class="stringliteral">&quot;Only for SISO so far...&quot;</span> ); 
     394<a name="l00467"></a>00467  
     395<a name="l00468"></a>00468                         <span class="comment">// create names for </span> 
     396<a name="l00469"></a>00469                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> xrv; <span class="comment">//empty</span> 
     397<a name="l00470"></a>00470                         <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> Crv; <span class="comment">//empty</span> 
     398<a name="l00471"></a>00471                         <span class="keywordtype">int</span> td=ml._rvc().<a class="code" href="classbdm_1_1RV.html#a9a5c5aeeaf39299d07763377b05a8241" title="Minimum time-offset.">mint</a>(); 
     399<a name="l00472"></a>00472                         <span class="comment">// assuming strictly proper function!!!</span> 
     400<a name="l00473"></a>00473                         <span class="keywordflow">for</span> (<span class="keywordtype">int</span> t=-1;t&gt;=td;t--){ 
     401<a name="l00474"></a>00474                                 xrv.add(yrv.<a class="code" href="classbdm_1_1RV.html#a627222f49abc5d07e5e8aecac7708ee2" title="create new RV from the current one with time shifted by given value">copy_t</a>(t)); 
     402<a name="l00475"></a>00475                                 Crv.<a class="code" href="classbdm_1_1RV.html#a87841b5ee43997b79789c0c22047e224" title="Add (concat) another variable to the current one,.">add</a>(urv.<a class="code" href="classbdm_1_1RV.html#a627222f49abc5d07e5e8aecac7708ee2" title="create new RV from the current one with time shifted by given value">copy_t</a>(t)); 
     403<a name="l00476"></a>00476                         } 
     404<a name="l00477"></a>00477                          
     405<a name="l00478"></a>00478                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> = xrv._dsize(); 
     406<a name="l00479"></a>00479                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> = yrv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(); 
     407<a name="l00480"></a>00480                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> = urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>(); 
     408<a name="l00481"></a>00481                          
     409<a name="l00482"></a>00482                         <span class="comment">// get mapp</span> 
     410<a name="l00483"></a>00483                         <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&amp;gt;A">th2A</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(xrv, ml._rvc()); 
     411<a name="l00484"></a>00484                         <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&amp;gt;C">th2C</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(Crv, ml._rvc()); 
     412<a name="l00485"></a>00485                         <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&amp;gt;D">th2D</a>.<a class="code" href="classbdm_1_1datalink__part.html#a6cef1083755c27e4476501abe6f49dce" title="set connection, rv must be fully present in rv_up">set_connection</a>(urv, ml._rvc()); 
     413<a name="l00486"></a>00486  
     414<a name="l00487"></a>00487                         <span class="comment">//set matrix sizes</span> 
     415<a name="l00488"></a>00488                         this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>=zeros(<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>,<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>); 
     416<a name="l00489"></a>00489                         <span class="keywordflow">for</span> (<span class="keywordtype">int</span> j=1; j&lt;<a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>; j++){<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>(j,j-1)=1.0;} <span class="comment">// off diagonal</span> 
     417<a name="l00490"></a>00490                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>=zeros(dimx,1); 
     418<a name="l00491"></a>00491                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>(0) = 1.0; 
     419<a name="l00492"></a>00492                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>=zeros(1,dimx); 
     420<a name="l00493"></a>00493                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>=zeros(1,urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()); 
     421<a name="l00494"></a>00494                                 this-&gt;<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a> = zeros(dimx,dimx); 
     422<a name="l00495"></a>00495                         <span class="comment">// R is set by update</span> 
     423<a name="l00496"></a>00496                          
     424<a name="l00497"></a>00497                         <span class="comment">//set cache</span> 
     425<a name="l00498"></a>00498                         this-&gt;<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a> = zeros(xrv._dsize()); 
     426<a name="l00499"></a>00499                         this-&gt;<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a> = zeros(xrv._dsize()); 
     427<a name="l00500"></a>00500                         this-&gt;<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a> = zeros(urv.<a class="code" href="classbdm_1_1RV.html#ade30156104f61d86c94f758861418089" title="total size of a random variable">_dsize</a>()); 
     428<a name="l00501"></a>00501                          
     429<a name="l00502"></a>00502                         <a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e" title="fast function to update parameters from ml - not checked for compatibility!!">update_from</a>(ml); 
     430<a name="l00503"></a>00503                         <a class="code" href="classbdm_1_1StateSpace.html#aa49922a3db65a333d24feceb68164bcd" title="validation">validate</a>(); 
     431<a name="l00504"></a>00504                 }; 
     432<a name="l00506"></a><a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e">00506</a>                 <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateCanonical.html#a25f55da4899112f210ade6d322c78b7e" title="fast function to update parameters from ml - not checked for compatibility!!">update_from</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm&lt;fsqmat&gt;</a> &amp;ml){ 
     433<a name="l00507"></a>00507                          
     434<a name="l00508"></a>00508                         vec theta = ml.<a class="code" href="classbdm_1_1mlnorm.html#a55e1bd7fa70b852bd7fe50ce72fb8f23" title="access function">_A</a>().get_row(0); <span class="comment">// this </span> 
     435<a name="l00509"></a>00509                          
     436<a name="l00510"></a>00510                         <a class="code" href="classbdm_1_1StateCanonical.html#a4e6a4771f9444f9b55ddc0b6e65cb5d1" title="remember connection from theta -&amp;gt;A">th2A</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &amp;quot;Up&amp;quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>); 
     437<a name="l00511"></a>00511                         <a class="code" href="classbdm_1_1StateCanonical.html#ab7c7aed9b66be7a24cc8ca43cea3123d" title="remember connection from theta -&amp;gt;C">th2C</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &amp;quot;Up&amp;quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>); 
     438<a name="l00512"></a>00512                         <a class="code" href="classbdm_1_1StateCanonical.html#adf03b4d4c48d94f2f0510e086c651c89" title="remember connection from theta -&amp;gt;D">th2D</a>.<a class="code" href="classbdm_1_1datalink__part.html#aaba9b673ef82584e1bc06cc7a32b0a59" title="Get val for vector val_down from val of &amp;quot;Up&amp;quot;.">filldown</a>(theta,<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>); 
    448439<a name="l00513"></a>00513  
     440<a name="l00514"></a>00514                         <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a> = ml.<a class="code" href="classbdm_1_1mlnorm.html#a9af0714b7b29ab1162ebc3291b7c4a43" title="access function">_R</a>(); 
    449441<a name="l00515"></a>00515  
    450 <a name="l00516"></a>00516 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    451 <a name="l00517"></a>00517 <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) 
    452 <a name="l00518"></a>00518 { 
    453 <a name="l00519"></a>00519  
    454 <a name="l00520"></a>00520         <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a> = A0; 
    455 <a name="l00521"></a>00521         <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a> = B0; 
    456 <a name="l00522"></a>00522         <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a> = C0; 
    457 <a name="l00523"></a>00523         <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a> = D0; 
    458 <a name="l00524"></a>00524         <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a> = R0; 
    459 <a name="l00525"></a>00525         <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a> = Q0; 
    460 <a name="l00526"></a>00526         validate(); 
    461 <a name="l00527"></a>00527 } 
     442<a name="l00516"></a>00516                         <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>); 
     443<a name="l00517"></a>00517                         <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a665df0310519066e7adbbd490baf157d" title="cached first row of C">C1row</a>+<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>*<a class="code" href="classbdm_1_1StateCanonical.html#a770b84ff706d4888236096a96ef51730" title="cached first row of A">A1row</a>); 
     444<a name="l00518"></a>00518                         <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.set_row(0,<a class="code" href="classbdm_1_1StateCanonical.html#a8e890a7aee1e6c1d06074f6604609eb6" title="cached first row of D">D1row</a>); 
     445<a name="l00519"></a>00519                          
     446<a name="l00520"></a>00520                 } 
     447<a name="l00521"></a>00521 }; 
     448<a name="l00522"></a>00522  
     449<a name="l00524"></a>00524  
     450<a name="l00525"></a>00525 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     451<a name="l00526"></a><a class="code" href="classbdm_1_1StateSpace.html#a7a053883a11a93a979c28c3e6792ce20">00526</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#a7a053883a11a93a979c28c3e6792ce20" title="set all matrix parameters">StateSpace&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) 
     452<a name="l00527"></a>00527 { 
    462453<a name="l00528"></a>00528  
    463 <a name="l00529"></a>00529 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
    464 <a name="l00530"></a>00530 <span class="keywordtype">void</span> StateSpace&lt;sq_T&gt;::validate(){ 
    465 <a name="l00531"></a>00531         <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> = <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.rows(); 
    466 <a name="l00532"></a>00532         <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> = <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>.cols(); 
    467 <a name="l00533"></a>00533         <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> = <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.rows(); 
    468 <a name="l00534"></a>00534         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">&quot;KalmanFull: A is not square&quot;</span>); 
    469 <a name="l00535"></a>00535         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">&quot;KalmanFull: B is not compatible&quot;</span>); 
    470 <a name="l00536"></a>00536         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">&quot;KalmanFull: C is not square&quot;</span>); 
    471 <a name="l00537"></a>00537         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>) &amp;&amp; (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>), <span class="stringliteral">&quot;KalmanFull: D is not compatible&quot;</span>); 
    472 <a name="l00538"></a>00538         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>) &amp;&amp; (<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>), <span class="stringliteral">&quot;KalmanFull: Q is not compatible&quot;</span>); 
    473 <a name="l00539"></a>00539         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>) &amp;&amp; (<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>), <span class="stringliteral">&quot;KalmanFull: R is not compatible&quot;</span>); 
    474 <a name="l00540"></a>00540 } 
    475 <a name="l00541"></a>00541  
    476 <a name="l00542"></a>00542 } 
    477 <a name="l00543"></a>00543 <span class="preprocessor">#endif // KF_H</span> 
    478 <a name="l00544"></a>00544 <span class="preprocessor"></span> 
    479 <a name="l00545"></a>00545  
     454<a name="l00529"></a>00529         <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a> = A0; 
     455<a name="l00530"></a>00530         <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a> = B0; 
     456<a name="l00531"></a>00531         <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a> = C0; 
     457<a name="l00532"></a>00532         <a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a> = D0; 
     458<a name="l00533"></a>00533         <a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a> = R0; 
     459<a name="l00534"></a>00534         <a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a> = Q0; 
     460<a name="l00535"></a>00535         <a class="code" href="classbdm_1_1StateSpace.html#aa49922a3db65a333d24feceb68164bcd" title="validation">validate</a>(); 
     461<a name="l00536"></a>00536 } 
     462<a name="l00537"></a>00537  
     463<a name="l00538"></a>00538 <span class="keyword">template</span>&lt;<span class="keyword">class</span> sq_T&gt; 
     464<a name="l00539"></a><a class="code" href="classbdm_1_1StateSpace.html#aa49922a3db65a333d24feceb68164bcd">00539</a> <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1StateSpace.html#aa49922a3db65a333d24feceb68164bcd" title="validation">StateSpace&lt;sq_T&gt;::validate</a>(){ 
     465<a name="l00540"></a>00540         <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a> = <a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.rows(); 
     466<a name="l00541"></a>00541         <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a> = <a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>.cols(); 
     467<a name="l00542"></a>00542         <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a> = <a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.rows(); 
     468<a name="l00543"></a>00543         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#ade7d828a8d06cbbd5ac45afeaf9f0c7b" title="Matrix A.">A</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">&quot;KalmanFull: A is not square&quot;</span>); 
     469<a name="l00544"></a>00544         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#a0cdaa906550290b759a1584d02b3ca51" title="Matrix B.">B</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">&quot;KalmanFull: B is not compatible&quot;</span>); 
     470<a name="l00545"></a>00545         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> (<a class="code" href="classbdm_1_1StateSpace.html#ac7ec82d2200c956cff6dff559bd32ff9" title="Matrix C.">C</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>, <span class="stringliteral">&quot;KalmanFull: C is not square&quot;</span>); 
     471<a name="l00546"></a>00546         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>) &amp;&amp; (<a class="code" href="classbdm_1_1StateSpace.html#ad5769a41b34eb518716120cf04dbc23f" title="Matrix D.">D</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#a95bb59ffbfd34c55d03d4d7a2a9b4faf" title="cache of rvu.count()">dimu</a>), <span class="stringliteral">&quot;KalmanFull: D is not compatible&quot;</span>); 
     472<a name="l00547"></a>00547         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>) &amp;&amp; (<a class="code" href="classbdm_1_1StateSpace.html#a66248c83836424f1cd7c1b5b9a92cf1f" title="Matrix Q in square-root form.">Q</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#ac3120f1c9cd7c3a0ba9944e4a2381f21" title="cache of rv.count()">dimx</a>), <span class="stringliteral">&quot;KalmanFull: Q is not compatible&quot;</span>); 
     473<a name="l00548"></a>00548         <a class="code" href="bdmerror_8h.html#a7a3399d182b8e3065532596e76f84849" title="Throw std::runtime_exception if t is not true.">bdm_assert</a> ( (<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>.cols() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>) &amp;&amp; (<a class="code" href="classbdm_1_1StateSpace.html#a11dd3493d62ec9329860386adb3e6084" title="Matrix R in square-root form.">R</a>.rows() == <a class="code" href="classbdm_1_1StateSpace.html#a3b784d85ca911866225a79193ae1441f" title="cache of rvy.count()">dimy</a>), <span class="stringliteral">&quot;KalmanFull: R is not compatible&quot;</span>); 
     474<a name="l00549"></a>00549 } 
     475<a name="l00550"></a>00550  
     476<a name="l00551"></a>00551 } 
     477<a name="l00552"></a>00552 <span class="preprocessor">#endif // KF_H</span> 
     478<a name="l00553"></a>00553 <span class="preprocessor"></span> 
     479<a name="l00554"></a>00554  
    480480</pre></div></div> 
    481 <hr size="1"/><address style="text-align: right;"><small>Generated on Mon Oct 12 19:37:19 2009 for mixpp by&nbsp; 
     481<hr size="1"/><address style="text-align: right;"><small>Generated on Thu Oct 15 00:07:48 2009 for mixpp by&nbsp; 
    482482<a href="http://www.doxygen.org/index.html"> 
    483483<img class="footer" src="doxygen.png" alt="doxygen"/></a> 1.6.1 </small></address>