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  • doc/html/classKalmanCh.html

    r37 r79  
    2121  </ul> 
    2222</div> 
    23 <h1>KalmanCh Class Reference</h1><!-- doxytag: class="KalmanCh" --><!-- doxytag: inherits="BM" --><a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form.   
     23<h1>KalmanCh Class Reference</h1><!-- doxytag: class="KalmanCh" --><!-- doxytag: inherits="Kalman&lt; chmat &gt;" --><a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form.   
    2424<a href="#_details">More...</a> 
    2525<p> 
    … …  
    3131<p><center><img src="classKalmanCh__inherit__graph.png" border="0" usemap="#KalmanCh__inherit__map" alt="Inheritance graph"></center> 
    3232<map name="KalmanCh__inherit__map"> 
    33 <area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="28,7,71,33"></map> 
     33<area shape="rect" href="classEKFCh.html" title="Extended Kalman Filter in Square root." alt="" coords="43,343,109,369"><area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="5,183,147,209"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="67,7,109,33"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="92,87,220,113"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="140,111,148,119"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="83,179,91,187"><area shape="rect" href="classEKF__unQ.html" title="Extended Kalman filter with unknown Q." alt="" coords="36,423,116,449"></map> 
    3434<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    3535<div class="dynheader"> 
    … …  
    3838<p><center><img src="classKalmanCh__coll__graph.png" border="0" usemap="#KalmanCh__coll__map" alt="Collaboration graph"></center> 
    3939<map name="KalmanCh__coll__map"> 
    40 <area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="35,156,77,183"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="37,7,75,33"><area shape="rect" title="rvu\nrvy" alt="" coords="39,31,47,39"><area shape="rect" title="rvu\nrvy" alt="" coords="67,581,75,589"><area shape="rect" title="rv" alt="" coords="52,31,60,39"><area shape="rect" title="rv" alt="" coords="52,152,60,160"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="113,103,164,129"><area shape="rect" title="rv" alt="" coords="65,31,73,39"><area shape="rect" title="rv" alt="" coords="123,99,131,107"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="93,321,155,348"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="117,345,125,353"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="84,581,92,589"><area shape="rect" href="classenorm.html" title="enorm\&lt; chmat \&gt;" alt="" coords="164,453,297,480"><area shape="rect" title="_iR\nR" alt="" coords="125,345,133,353"><area shape="rect" title="_iR\nR" alt="" coords="207,449,215,457"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="93,209,155,236"><area shape="rect" title="pred\nfy" alt="" coords="212,477,220,485"><area shape="rect" title="pred\nfy" alt="" coords="101,581,109,589"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="179,209,224,236"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="237,321,357,348"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="285,345,293,353"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="233,449,241,457"><area shape="rect" title="_iR\nR" alt="" coords="293,233,301,241"><area shape="rect" title="_iR\nR" alt="" coords="293,317,301,325"></map> 
     40<area shape="rect" href="classKalman.html" title="Kalman\&lt; chmat \&gt;" alt="" coords="103,609,244,636"><area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="96,215,139,241"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="109,361,237,388"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="68,7,105,33"><area shape="rect" title="rvu\nrvy" alt="" coords="64,28,72,36"><area shape="rect" title="rvu\nrvy" alt="" coords="124,605,132,613"><area shape="rect" title="rv" alt="" coords="85,31,93,39"><area shape="rect" title="rv" alt="" coords="111,211,119,219"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="185,103,236,129"><area shape="rect" title="rv" alt="" coords="103,31,111,39"><area shape="rect" title="rv" alt="" coords="189,99,197,107"><area shape="rect" title="rvu\nrvy" alt="" coords="80,31,88,39"><area shape="rect" title="rvu\nrvy" alt="" coords="148,357,156,365"><area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="459,361,520,388"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="484,385,492,393"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="240,609,248,617"><area shape="rect" href="classenorm.html" title="enorm\&lt; chmat \&gt;" alt="" coords="289,477,423,504"><area shape="rect" title="R" alt="" coords="472,385,480,393"><area shape="rect" title="R" alt="" coords="372,473,380,481"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="459,215,520,241"><area shape="rect" title="est\nfy" alt="" coords="332,501,340,509"><area shape="rect" title="est\nfy" alt="" coords="188,605,196,613"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="299,215,344,241"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="261,361,381,388"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="317,385,325,393"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="344,473,352,481"><area shape="rect" title="R" alt="" coords="236,239,244,247"><area shape="rect" title="R" alt="" coords="309,357,317,365"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="221,239,229,247"><area shape="rect" title="_P\nQ\nR\n_Ry" alt="" coords="175,357,183,365"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="169,385,177,393"><area shape="rect" title="\&lt; chmat \&gt;" alt="" coords="169,605,177,613"></map> 
    4141<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    4242 
    … …  
    4949 
    5050<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr> 
    51 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7ae89bdef6b886e421e0895173d3c76d"></a><!-- doxytag: member="KalmanCh::KalmanCh" ref="7ae89bdef6b886e421e0895173d3c76d" args="(const KalmanCh &amp;K0)" --> 
    52 &nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#7ae89bdef6b886e421e0895173d3c76d">KalmanCh</a> (const <a class="el" href="classKalmanCh.html">KalmanCh</a> &amp;K0)</td></tr> 
    53  
    54 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr> 
    5551<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="92fb227287af05c9f0078d523c7c9793"></a><!-- doxytag: member="KalmanCh::set_parameters" ref="92fb227287af05c9f0078d523c7c9793" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const chmat &amp;R0, const chmat &amp;Q0)" --> 
    5652void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#92fb227287af05c9f0078d523c7c9793">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classchmat.html">chmat</a> &amp;R0, const <a class="el" href="classchmat.html">chmat</a> &amp;Q0)</td></tr> 
    5753 
    5854<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> 
    59 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7fe9b65d626971542e35213d11b4b98d"></a><!-- doxytag: member="KalmanCh::set_pred" ref="7fe9b65d626971542e35213d11b4b98d" args="(const vec &amp;mu0, const chmat &amp;P0)" --> 
    60 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#7fe9b65d626971542e35213d11b4b98d">set_pred</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr> 
     55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b261b20f6210d4c85131d33302df0adc"></a><!-- doxytag: member="KalmanCh::set_est" ref="b261b20f6210d4c85131d33302df0adc" args="(const vec &amp;mu0, const chmat &amp;P0)" --> 
     56void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#b261b20f6210d4c85131d33302df0adc">set_est</a> (const vec &amp;mu0, const <a class="el" href="classchmat.html">chmat</a> &amp;P0)</td></tr> 
    6157 
    6258<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> 
    63 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cca758192846940409822b9bd778d4e1"></a><!-- doxytag: member="KalmanCh::bayes" ref="cca758192846940409822b9bd778d4e1" args="(const vec &amp;dt)" --> 
    64 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#cca758192846940409822b9bd778d4e1">bayes</a> (const vec &amp;dt)</td></tr> 
    65  
    66 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions The following equality hold::<p class="formulaDsp"> 
    67 <img class="formulaDsp" alt="\[ \left[\begin{array}{cc} R^{0.5}\\ P_{t|t-1}^{0.5}C' &amp; P_{t|t-1}^{0.5}CA'\\ &amp; Q^{0.5}\end{array}\right]<\mathrm{orth.oper.}>=\left[\begin{array}{cc} R_{y}^{0.5} &amp; KA'\\ &amp; P_{t+1|t}^{0.5}\\ \\\end{array}\right]\]" src="form_17.png"> 
    68 <p> 
    69 . <br></td></tr> 
    70 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="221892e744e7020ac5735978803d357d"></a><!-- doxytag: member="KalmanCh::_epdf" ref="221892e744e7020ac5735978803d357d" args="()" --> 
    71 <a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#221892e744e7020ac5735978803d357d">_epdf</a> ()</td></tr> 
    72  
    73 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    74 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1d62f16738a29f25c468acd3b1289ec7"></a><!-- doxytag: member="KalmanCh::_pred" ref="1d62f16738a29f25c468acd3b1289ec7" args="()" --> 
    75 <a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#1d62f16738a29f25c468acd3b1289ec7">_pred</a> ()</td></tr> 
    76  
    77 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     59<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#cca758192846940409822b9bd778d4e1">bayes</a> (const vec &amp;dt)</td></tr> 
     60 
     61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions.  <a href="#cca758192846940409822b9bd778d4e1"></a><br></td></tr> 
    7862<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="87b07867fd4c133aa89a18543f68d9f9"></a><!-- doxytag: member="KalmanCh::bayes" ref="87b07867fd4c133aa89a18543f68d9f9" args="(mat Dt)" --> 
    7963void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#87b07867fd4c133aa89a18543f68d9f9">bayes</a> (mat Dt)</td></tr> 
    8064 
    8165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> 
     66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a213c57aef55b2645e550bed81cfc0d4"></a><!-- doxytag: member="KalmanCh::_epdf" ref="a213c57aef55b2645e550bed81cfc0d4" args="()" --> 
     67<a class="el" href="classepdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#a213c57aef55b2645e550bed81cfc0d4">_epdf</a> ()</td></tr> 
     68 
     69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="980fcd41c6c548c5da7b8b67c8e6da79"></a><!-- doxytag: member="KalmanCh::__K" ref="980fcd41c6c548c5da7b8b67c8e6da79" args="()" --> 
     71mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#980fcd41c6c548c5da7b8b67c8e6da79">__K</a> ()</td></tr> 
     72 
     73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac9540f3850b74d89a5fe4db6fc358ce"></a><!-- doxytag: member="KalmanCh::_dP" ref="ac9540f3850b74d89a5fe4db6fc358ce" args="()" --> 
     75vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ac9540f3850b74d89a5fe4db6fc358ce">_dP</a> ()</td></tr> 
     76 
     77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    8278<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126bd2595c48e311fc2a7ab72876092a"></a><!-- doxytag: member="KalmanCh::_rv" ref="126bd2595c48e311fc2a7ab72876092a" args="() const " --> 
    8379const <a class="el" href="classRV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#126bd2595c48e311fc2a7ab72876092a">_rv</a> () const </td></tr> 
    … …  
    8985<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    9086<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
    91 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1b7369670041b75231242f7293c4f90"></a><!-- doxytag: member="KalmanCh::rvy" ref="e1b7369670041b75231242f7293c4f90" args="" --> 
    92 <a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#e1b7369670041b75231242f7293c4f90">rvy</a></td></tr> 
    93  
    94 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr> 
    95 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1cebd72aaff9f146b9b2400cc69e1b1a"></a><!-- doxytag: member="KalmanCh::rvu" ref="1cebd72aaff9f146b9b2400cc69e1b1a" args="" --> 
    96 <a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#1cebd72aaff9f146b9b2400cc69e1b1a">rvu</a></td></tr> 
    97  
    98 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> 
    99 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5c34f0f5cc4e1dd1be4b4489d2fc83d0"></a><!-- doxytag: member="KalmanCh::dimx" ref="5c34f0f5cc4e1dd1be4b4489d2fc83d0" args="" --> 
    100 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#5c34f0f5cc4e1dd1be4b4489d2fc83d0">dimx</a></td></tr> 
    101  
    102 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr> 
    103 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c8302d61db0512d8a0d4f34715117445"></a><!-- doxytag: member="KalmanCh::dimy" ref="c8302d61db0512d8a0d4f34715117445" args="" --> 
    104 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#c8302d61db0512d8a0d4f34715117445">dimy</a></td></tr> 
    105  
    106 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr> 
    107 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bac7284585a271e28f928acabd990146"></a><!-- doxytag: member="KalmanCh::dimu" ref="bac7284585a271e28f928acabd990146" args="" --> 
    108 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#bac7284585a271e28f928acabd990146">dimu</a></td></tr> 
    109  
    110 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr> 
    111 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2ca9afe2042fbda38af3da8e7d8d9d3c"></a><!-- doxytag: member="KalmanCh::A" ref="2ca9afe2042fbda38af3da8e7d8d9d3c" args="" --> 
    112 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#2ca9afe2042fbda38af3da8e7d8d9d3c">A</a></td></tr> 
    113  
    114 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr> 
    115 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a5ee93d6d32f45b5d15e87764efd529"></a><!-- doxytag: member="KalmanCh::B" ref="5a5ee93d6d32f45b5d15e87764efd529" args="" --> 
    116 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#5a5ee93d6d32f45b5d15e87764efd529">B</a></td></tr> 
    117  
    118 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr> 
    119 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c1ce2fe15dae5c0882a99c34b19cc40"></a><!-- doxytag: member="KalmanCh::C" ref="3c1ce2fe15dae5c0882a99c34b19cc40" args="" --> 
    120 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#3c1ce2fe15dae5c0882a99c34b19cc40">C</a></td></tr> 
    121  
    122 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr> 
    123 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50d3e4c9e411f8c96b87a1883b7e7154"></a><!-- doxytag: member="KalmanCh::D" ref="50d3e4c9e411f8c96b87a1883b7e7154" args="" --> 
    124 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#50d3e4c9e411f8c96b87a1883b7e7154">D</a></td></tr> 
    125  
    126 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
    127 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb21fe7ab03feb24005c331070d28040"></a><!-- doxytag: member="KalmanCh::Q" ref="eb21fe7ab03feb24005c331070d28040" args="" --> 
    128 <a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#eb21fe7ab03feb24005c331070d28040">Q</a></td></tr> 
    129  
    130 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
    131 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6716e9f9208fc7191b38fd801810b30a"></a><!-- doxytag: member="KalmanCh::R" ref="6716e9f9208fc7191b38fd801810b30a" args="" --> 
    132 <a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#6716e9f9208fc7191b38fd801810b30a">R</a></td></tr> 
    133  
    134 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
    13587<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="94ee9da75b0e0f632e4a354988ca3798"></a><!-- doxytag: member="KalmanCh::preA" ref="94ee9da75b0e0f632e4a354988ca3798" args="" --> 
    13688mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#94ee9da75b0e0f632e4a354988ca3798">preA</a></td></tr> 
    … …  
    14193 
    14294<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">post array (triangular matrix) <br></td></tr> 
    143 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c0ffeeb2ca028ae2c1b1e166d4015804"></a><!-- doxytag: member="KalmanCh::pred" ref="c0ffeeb2ca028ae2c1b1e166d4015804" args="" --> 
    144 <a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#c0ffeeb2ca028ae2c1b1e166d4015804">pred</a></td></tr> 
    145  
    146 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">predictive density on $x_t$ <br></td></tr> 
    147 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9086baae040b9c4e5cc42a445853862a"></a><!-- doxytag: member="KalmanCh::fy" ref="9086baae040b9c4e5cc42a445853862a" args="" --> 
    148 <a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalmanCh.html#9086baae040b9c4e5cc42a445853862a">fy</a></td></tr> 
    149  
    150 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">predictive density on $y_t$ <br></td></tr> 
    151 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0c77c0c0489b7b04d8d10e208cd704bf"></a><!-- doxytag: member="KalmanCh::_mu" ref="0c77c0c0489b7b04d8d10e208cd704bf" args="" --> 
    152 vec *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_mu</b></td></tr> 
    153  
    154 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="feb8eedfd3d2c635e8b47ce71dd55b84"></a><!-- doxytag: member="KalmanCh::_P" ref="feb8eedfd3d2c635e8b47ce71dd55b84" args="" --> 
    155 <a class="el" href="classchmat.html">chmat</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_P</b></td></tr> 
    156  
    157 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="759d473aaae1cc270a99a8c4e4c68eea"></a><!-- doxytag: member="KalmanCh::_yp" ref="759d473aaae1cc270a99a8c4e4c68eea" args="" --> 
    158 vec *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_yp</b></td></tr> 
    159  
    160 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a0c1b6761bfaed74a3cafa7a4ae4d2a"></a><!-- doxytag: member="KalmanCh::_Ry" ref="5a0c1b6761bfaed74a3cafa7a4ae4d2a" args="" --> 
    161 <a class="el" href="classchmat.html">chmat</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_Ry</b></td></tr> 
    162  
     95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7501230c2fafa3655887d2da23b3184c"></a><!-- doxytag: member="KalmanCh::rvy" ref="7501230c2fafa3655887d2da23b3184c" args="" --> 
     96<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#7501230c2fafa3655887d2da23b3184c">rvy</a></td></tr> 
     97 
     98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr> 
     99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44a16ffd5ac1e6e39bae34fea9e1e498"></a><!-- doxytag: member="KalmanCh::rvu" ref="44a16ffd5ac1e6e39bae34fea9e1e498" args="" --> 
     100<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#44a16ffd5ac1e6e39bae34fea9e1e498">rvu</a></td></tr> 
     101 
     102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> 
     103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="39c8c403b46fa3b8c7da77cb2e3729eb"></a><!-- doxytag: member="KalmanCh::dimx" ref="39c8c403b46fa3b8c7da77cb2e3729eb" args="" --> 
     104int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#39c8c403b46fa3b8c7da77cb2e3729eb">dimx</a></td></tr> 
     105 
     106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr> 
     107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba17b956df1e38b31fbbc299c8213b6a"></a><!-- doxytag: member="KalmanCh::dimy" ref="ba17b956df1e38b31fbbc299c8213b6a" args="" --> 
     108int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#ba17b956df1e38b31fbbc299c8213b6a">dimy</a></td></tr> 
     109 
     110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr> 
     111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0153795a1444b6968a86409c778d9ce"></a><!-- doxytag: member="KalmanCh::dimu" ref="b0153795a1444b6968a86409c778d9ce" args="" --> 
     112int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#b0153795a1444b6968a86409c778d9ce">dimu</a></td></tr> 
     113 
     114<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr> 
     115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5e02efe86ee91e9c74b93b425fe060b9"></a><!-- doxytag: member="KalmanCh::A" ref="5e02efe86ee91e9c74b93b425fe060b9" args="" --> 
     116mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5e02efe86ee91e9c74b93b425fe060b9">A</a></td></tr> 
     117 
     118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr> 
     119<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc87704284a6c0bca13bf51f4345a50a"></a><!-- doxytag: member="KalmanCh::B" ref="dc87704284a6c0bca13bf51f4345a50a" args="" --> 
     120mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#dc87704284a6c0bca13bf51f4345a50a">B</a></td></tr> 
     121 
     122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr> 
     123<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="86a805cd6515872d1132ad0d6eb5dc13"></a><!-- doxytag: member="KalmanCh::C" ref="86a805cd6515872d1132ad0d6eb5dc13" args="" --> 
     124mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#86a805cd6515872d1132ad0d6eb5dc13">C</a></td></tr> 
     125 
     126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr> 
     127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69f774ba3335c970c1c5b1d182f4dd1"></a><!-- doxytag: member="KalmanCh::D" ref="d69f774ba3335c970c1c5b1d182f4dd1" args="" --> 
     128mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d69f774ba3335c970c1c5b1d182f4dd1">D</a></td></tr> 
     129 
     130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
     131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b69015c800eb93f3ee49da23a6f55d9"></a><!-- doxytag: member="KalmanCh::Q" ref="9b69015c800eb93f3ee49da23a6f55d9" args="" --> 
     132<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9b69015c800eb93f3ee49da23a6f55d9">Q</a></td></tr> 
     133 
     134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
     135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11d171dc0e0ab111c56a70f98b97b3ec"></a><!-- doxytag: member="KalmanCh::R" ref="11d171dc0e0ab111c56a70f98b97b3ec" args="" --> 
     136<a class="el" href="classchmat.html">chmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#11d171dc0e0ab111c56a70f98b97b3ec">R</a></td></tr> 
     137 
     138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
     139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5568c74bac67ae6d3b1061dba60c9424"></a><!-- doxytag: member="KalmanCh::est" ref="5568c74bac67ae6d3b1061dba60c9424" args="" --> 
     140<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#5568c74bac67ae6d3b1061dba60c9424">est</a></td></tr> 
     141 
     142<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> 
     143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e580ab06483952bd03f2e651763e184f"></a><!-- doxytag: member="KalmanCh::fy" ref="e580ab06483952bd03f2e651763e184f" args="" --> 
     144<a class="el" href="classenorm.html">enorm</a>&lt; <a class="el" href="classchmat.html">chmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#e580ab06483952bd03f2e651763e184f">fy</a></td></tr> 
     145 
     146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> 
     147<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d422f51467c7a06174af2476d2826132"></a><!-- doxytag: member="KalmanCh::_K" ref="d422f51467c7a06174af2476d2826132" args="" --> 
     148mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#d422f51467c7a06174af2476d2826132">_K</a></td></tr> 
     149 
     150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> gain <br></td></tr> 
     151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="764bbc95238eda11fc81c5ebd0b1dcfd"></a><!-- doxytag: member="KalmanCh::_yp" ref="764bbc95238eda11fc81c5ebd0b1dcfd" args="" --> 
     152vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#764bbc95238eda11fc81c5ebd0b1dcfd">_yp</a></td></tr> 
     153 
     154<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr> 
     155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45c9f928d2d62e0c884900fb3380f904"></a><!-- doxytag: member="KalmanCh::_Ry" ref="45c9f928d2d62e0c884900fb3380f904" args="" --> 
     156<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#45c9f928d2d62e0c884900fb3380f904">_Ry</a></td></tr> 
     157 
     158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr> 
     159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe803a81d2d847b0b1db3c6b29c18061"></a><!-- doxytag: member="KalmanCh::_mu" ref="fe803a81d2d847b0b1db3c6b29c18061" args="" --> 
     160vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#fe803a81d2d847b0b1db3c6b29c18061">_mu</a></td></tr> 
     161 
     162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr> 
     163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fb808cc94a4c2652e1fb93be9bb7dcf"></a><!-- doxytag: member="KalmanCh::_P" ref="9fb808cc94a4c2652e1fb93be9bb7dcf" args="" --> 
     164<a class="el" href="classchmat.html">chmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classKalman.html#9fb808cc94a4c2652e1fb93be9bb7dcf">_P</a></td></tr> 
     165 
     166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
    163167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af00f0612fabe66241dd507188cdbf88"></a><!-- doxytag: member="KalmanCh::rv" ref="af00f0612fabe66241dd507188cdbf88" args="" --> 
    164168<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classBM.html#af00f0612fabe66241dd507188cdbf88">rv</a></td></tr> 
    … …  
    175179</table> 
    176180<hr><a name="_details"></a><h2>Detailed Description</h2> 
    177 <a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. <hr>The documentation for this class was generated from the following files:<ul> 
     181<a class="el" href="classKalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter in square root form. <hr><h2>Member Function Documentation</h2> 
     182<a class="anchor" name="cca758192846940409822b9bd778d4e1"></a><!-- doxytag: member="KalmanCh::bayes" ref="cca758192846940409822b9bd778d4e1" args="(const vec &amp;dt)" --> 
     183<div class="memitem"> 
     184<div class="memproto"> 
     185      <table class="memname"> 
     186        <tr> 
     187          <td class="memname">void KalmanCh::bayes           </td> 
     188          <td>(</td> 
     189          <td class="paramtype">const vec &amp;&nbsp;</td> 
     190          <td class="paramname"> <em>dt</em>          </td> 
     191          <td>&nbsp;)&nbsp;</td> 
     192          <td width="100%"><code> [virtual]</code></td> 
     193        </tr> 
     194      </table> 
     195</div> 
     196<div class="memdoc"> 
     197 
     198<p> 
     199Here dt = [yt;ut] of appropriate dimensions.  
     200<p> 
     201The following equality hold::<p class="formulaDsp"> 
     202<img class="formulaDsp" alt="\[ \left[\begin{array}{cc} R^{0.5}\\ P_{t|t-1}^{0.5}C' &amp; P_{t|t-1}^{0.5}CA'\\ &amp; Q^{0.5}\end{array}\right]<\mathrm{orth.oper.}>=\left[\begin{array}{cc} R_{y}^{0.5} &amp; KA'\\ &amp; P_{t+1|t}^{0.5}\\ \\\end{array}\right]\]" src="form_17.png"> 
     203<p> 
     204<p> 
     205Thus this objevt evaluates only predictors! Not filtering densities.  
     206<p>Reimplemented from <a class="el" href="classKalman.html#7750ffd73f261828a32c18aaeb65c75c">Kalman&lt; chmat &gt;</a>.</p> 
     207 
     208<p>Reimplemented in <a class="el" href="classEKFCh.html#96f6edda324a0b7ef8b4e86cc7af60c1">EKFCh</a>.</p> 
     209 
     210</div> 
     211</div><p> 
     212<hr>The documentation for this class was generated from the following files:<ul> 
    178213<li>work/mixpp/bdm/estim/<a class="el" href="libKF_8h-source.html">libKF.h</a><li>work/mixpp/bdm/estim/libKF.cpp</ul> 
    179 <hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:52 2008 for mixpp by&nbsp; 
     214<hr size="1"><address style="text-align: right;"><small>Generated on Fri Apr 18 11:15:20 2008 for mixpp by&nbsp; 
    180215<a href="http://www.doxygen.org/index.html"> 
    181216<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>