Changeset 681

Timestamp:

10/26/09 15:07:12 (15 years ago)

Author:

smidl

Message:

corrections of Kalman

Location:

library

Files:

• bdm/estim/kalman.h (modified) (2 diffs)
• tests/testKF.it (modified) (previous)
• tests/testKF_big.m (modified) (2 diffs)
• tests/test_kalman.cpp (modified) (7 diffs)

library/bdm/estim/kalman.h

@@ -181 +181 @@
                         K->set_parameters (A, B, C, D, Q, R);
                         K->set_statistics (est._mu(), est._R());
+                        K->validate();
                         return K;
                 }
@@ -340 +341 @@
                 void from_setting (const Setting &set);
 
+                void validate(){};
                 // TODO dodelat void to_setting( Setting &set ) const;
 

library/tests/testKF_big.m

@@ -68 +68 @@
 exec_matlab = toc
 
-!cd ../;./tests/testKF
+%!./test_kalman
 itload('testKF_res.it');
 
@@ -86 +86 @@
 exec_times
 exec_matlab./exec_times
-keyboard
+%keyboard
 end

library/tests/test_kalman.cpp

@@ -42 +42 @@
         mu0 = Mu0.get_col ( 0 );
 
-        Ndat = 10;//Dt.cols();
+        Ndat = Dt.cols();
         int dimx = A.rows();
 
@@ -60 +60 @@
         //Chol
         KalmanCh KF;
-        KF.set_parameters ( A, B, C, D, chmat ( R ), chmat ( Q ) );
+        KF.set_parameters ( A, B, C, D, chmat ( Q ), chmat ( R ) );
         KF.set_statistics ( mu0, chmat ( P0 ) ); //prediction!
+        KF.set_evalll(false);
+        KF.validate();
         const epdf& KFep = KF.posterior();
         mat Xt ( dimx, Ndat );
@@ -68 +70 @@
         // FULL
         KalmanFull KF2;
-        KF2.set_parameters( A, B, C, D, R, Q);
+        KF2.set_parameters( A, B, C, D,  Q, R);
         KF2.set_statistics(  mu0, P0 );
+        KF2.set_evalll(false);
+        KF2.validate();
         mat Xt2 ( dimx, Ndat );
         Xt2.set_col ( 0, mu0 );
@@ -80 +84 @@
         KFE.set_parameters ( fxu, hxu, Q, R );
         KFE.set_statistics ( mu0, chmat ( P0 ) );
+        KFE.set_evalll(false);
+        KFE.validate();
         const epdf& KFEep = KFE.posterior();
         mat XtE ( dimx, Ndat );
@@ -88 +94 @@
         vec exec_times ( 3 ); // KF, KF2, KFE
 
+        vec dt;
         tt.tic();
         for ( int t = 1; t < Ndat; t++ ) {
-                KF.bayes ( Dt.get_col ( t ) );
+                dt = Dt.get_col(t);
+                KF.bayes ( dt.get(0,C.rows()-1), dt.get(C.rows(), dt.length()-1) );
                 Xt.set_col ( t, KFep.mean() );
         }
@@ -97 +105 @@
         tt.tic();
         for ( int t = 1; t < Ndat; t++ ) {
-                KF2.bayes ( Dt.get_col ( t ) );
+                dt = Dt.get_col(t);
+                KF2.bayes ( dt.get(0,C.rows()-1), dt.get(C.rows(), dt.length()-1) );
                 Xt2.set_col ( t, KF2.posterior().mean() );
         }
@@ -104 +113 @@
         tt.tic();
         for ( int t = 1; t < Ndat; t++ ) {
-                KFE.bayes ( Dt.get_col ( t ) );
+                dt = Dt.get_col(t);
+                KFE.bayes ( dt.get(0,C.rows()-1), dt.get(C.rows(), dt.length()-1) );
                 XtE.set_col ( t, KFEep.mean() );
         }