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    11<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"> 
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    3 <title>mixpp: work/mixpp/bdm/stat/arx.h Source File</title> 
     3<title>mixpp: work/mixpp/bdm/estim/arx.h Source File</title> 
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    1515    </ul> 
    1616  </div> 
    17 <h1>work/mixpp/bdm/stat/arx.h</h1><a href="arx_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001  
    18 <a name="l00013"></a>00013 <span class="preprocessor">#ifndef ARX_H</span> 
    19 <a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define ARX_H</span> 
     17<h1>work/mixpp/bdm/estim/arx.h</h1><a href="arx_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001  
     18<a name="l00013"></a>00013 <span class="preprocessor">#ifndef AR_H</span> 
     19<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define AR_H</span> 
    2020<a name="l00015"></a>00015 <span class="preprocessor"></span> 
    2121<a name="l00016"></a>00016 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span> 
    22 <a name="l00017"></a>00017 <span class="preprocessor">#include &lt;<a class="code" href="libBM_8h.html" title="Bayesian Models (bm) that use Bayes rule to learn from observations.">libBM.h</a>&gt;</span> 
    23 <a name="l00018"></a>00018  
    24 <a name="l00019"></a>00019 <span class="keyword">using namespace </span>itpp; 
    25 <a name="l00020"></a>00020  
     22<a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libFN.h"</span> 
     23<a name="l00018"></a>00018 <span class="preprocessor">#include "../stat/libEF.h"</span> 
     24<a name="l00019"></a>00019  
     25<a name="l00020"></a>00020 <span class="keyword">using namespace </span>itpp; 
    2626<a name="l00021"></a>00021  
    27 <a name="l00022"></a>00022  
    28 <a name="l00027"></a><a class="code" href="classARX.html">00027</a> <span class="keyword">class </span><a class="code" href="classARX.html" title="Ligear-Gaussian autoregressive model.">ARX</a> : <span class="keyword">public</span> <a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> { 
    29 <a name="l00028"></a>00028 <span class="keyword">protected</span>: 
    30 <a name="l00030"></a><a class="code" href="classARX.html#89e4fe48c9953307855b372351d290ab">00030</a>         mat <a class="code" href="classARX.html#89e4fe48c9953307855b372351d290ab" title="Sufficient statistics.">V</a>; 
    31 <a name="l00031"></a>00031         egiw <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>; 
    32 <a name="l00032"></a>00032 <span class="keyword">public</span>: 
    33 <a name="l00033"></a>00033  
    34 <a name="l00035"></a><a class="code" href="classARX.html#e9c85cefb7342bced83f38e12913bb68">00035</a>         <a class="code" href="classARX.html#e9c85cefb7342bced83f38e12913bb68" title="Default constructor.">ARX</a>(<span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0) :<a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a>(rv0) {}; 
    35 <a name="l00036"></a>00036  
    36 <a name="l00040"></a>00040         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classARX.html#ec6ab76ea10fc8c61006e15c7013b1ff" title="Incremental Bayes rule.">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) = 0; 
    37 <a name="l00042"></a>00042         <span class="keywordtype">void</span> <a class="code" href="classARX.html#ec6ab76ea10fc8c61006e15c7013b1ff" title="Incremental Bayes rule.">bayes</a> ( mat Dt ); 
    38 <a name="l00044"></a>00044         <span class="keyword">virtual</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classARX.html#dbd59b76615ff2d2cd623b3107b58c5e" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>()=0; 
    39 <a name="l00045"></a>00045 }; 
    40 <a name="l00046"></a>00046  
    41 <a name="l00056"></a><a class="code" href="classBMcond.html">00056</a> <span class="keyword">class </span><a class="code" href="classBMcond.html" title="Conditional Bayesian Filter.">BMcond</a> { 
    42 <a name="l00057"></a>00057 <span class="keyword">protected</span>: 
    43 <a name="l00059"></a><a class="code" href="classBMcond.html#9ba793c8ec453f04d372d17195ed8dec">00059</a>         <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classBMcond.html#9ba793c8ec453f04d372d17195ed8dec" title="Identificator of the conditioning variable.">rvc</a>; 
    44 <a name="l00060"></a>00060 <span class="keyword">public</span>: 
    45 <a name="l00062"></a>00062         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classBMcond.html#3543cfe274c35f9033c24d8036a96c4d" title="Substitute val for rvc.">condition</a> ( <span class="keyword">const</span> vec &amp;val ) =0; 
    46 <a name="l00064"></a><a class="code" href="classBMcond.html#9a38dcdabef902fd91da3c9fb6ac27f7">00064</a>         <a class="code" href="classBMcond.html#9a38dcdabef902fd91da3c9fb6ac27f7" title="Default constructor.">BMcond</a>(<a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0):<a class="code" href="classBMcond.html#9ba793c8ec453f04d372d17195ed8dec" title="Identificator of the conditioning variable.">rvc</a>(rv0){}; 
    47 <a name="l00066"></a><a class="code" href="classBMcond.html#d40c72250cf93640f982d06de20815b2">00066</a>         <span class="keyword">virtual</span> <a class="code" href="classBMcond.html#d40c72250cf93640f982d06de20815b2" title="Destructor for future use.">~BMcond</a>(){}; 
    48 <a name="l00068"></a><a class="code" href="classBMcond.html#3fa60348b2da6b4208bb95b8d146900a">00068</a>         <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a>&amp; <a class="code" href="classBMcond.html#3fa60348b2da6b4208bb95b8d146900a" title="access function">_rvc</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classBMcond.html#9ba793c8ec453f04d372d17195ed8dec" title="Identificator of the conditioning variable.">rvc</a>;} 
    49 <a name="l00069"></a>00069 }; 
    50 <a name="l00070"></a>00070  
    51 <a name="l00071"></a>00071 <span class="preprocessor">#endif // BM_H</span> 
     27<a name="l00036"></a><a class="code" href="classARX.html">00036</a> <span class="keyword">class </span><a class="code" href="classARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>: <span class="keyword">public</span> <a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a> { 
     28<a name="l00037"></a>00037 <span class="keyword">protected</span>: 
     29<a name="l00039"></a><a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e">00039</a>         <a class="code" href="classegiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>; 
     30<a name="l00041"></a><a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7">00041</a>         <a class="code" href="classldmat.html" title="Matrix stored in LD form, (typically known as UD).">ldmat</a> &amp;<a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7" title="cached value of est.V">V</a>; 
     31<a name="l00043"></a><a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be">00043</a>         <span class="keywordtype">double</span> &amp;<a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a>; 
     32<a name="l00045"></a><a class="code" href="classARX.html#e467144efb0a5acbc10dba4eff8638fe">00045</a>         <span class="keywordtype">double</span> <a class="code" href="classARX.html#e467144efb0a5acbc10dba4eff8638fe" title="forgetting factor">frg</a>; 
     33<a name="l00047"></a><a class="code" href="classARX.html#6d0cd0f0734aa77cdc5e48f1cf6737ec">00047</a>         <span class="keywordtype">double</span> <a class="code" href="classARX.html#6d0cd0f0734aa77cdc5e48f1cf6737ec" title="cached value of lognc() in the previous step">last_lognc</a>; 
     34<a name="l00048"></a>00048 <span class="keyword">public</span>: 
     35<a name="l00050"></a><a class="code" href="classARX.html#5fc6c18e73dcc0f1135eef33f42db8be">00050</a>         <a class="code" href="classARX.html#5fc6c18e73dcc0f1135eef33f42db8be" title="Full constructor.">ARX</a> (<a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;<a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>, mat &amp;V0, <span class="keywordtype">double</span> &amp;nu0, <span class="keywordtype">double</span> frg0=1.0) : <a class="code" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities.">BM</a>(rv),<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>(rv,V0,nu0), <a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7" title="cached value of est.V">V</a>(<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V()), <a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a>(<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu()), <a class="code" href="classARX.html#e467144efb0a5acbc10dba4eff8638fe" title="forgetting factor">frg</a>(frg0){<a class="code" href="classARX.html#6d0cd0f0734aa77cdc5e48f1cf6737ec" title="cached value of lognc() in the previous step">last_lognc</a>=<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#70eb1a0b88459b227f919b425b0d3359" title="logarithm of the normalizing constant, ">lognc</a>();}; 
     36<a name="l00052"></a>00052         <span class="keywordtype">void</span> <a class="code" href="classARX.html#ba82c956ca893826811aefe1e4af465d" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ); 
     37<a name="l00053"></a><a class="code" href="classARX.html#9d8eff7a9df81786191a4c55b27e5b8a">00053</a>         <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classARX.html#9d8eff7a9df81786191a4c55b27e5b8a" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>() {<span class="keywordflow">return</span> <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;} 
     38<a name="l00055"></a>00055         ivec <a class="code" href="classARX.html#130bb7336aac681ce14b027b8f1409fa" title="Brute force structure estimation.">structure_est</a>(<a class="code" href="classegiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0); 
     39<a name="l00056"></a>00056 }; 
     40<a name="l00057"></a>00057  
     41<a name="l00058"></a>00058  
     42<a name="l00059"></a>00059 <span class="preprocessor">#endif // AR_H</span> 
     43<a name="l00060"></a>00060 <span class="preprocessor"></span> 
     44<a name="l00061"></a>00061  
    5245</pre></div></div> 
    53 <hr size="1"><address style="text-align: right;"><small>Generated on Tue Apr 29 20:46:25 2008 for mixpp by&nbsp; 
     46<hr size="1"><address style="text-align: right;"><small>Generated on Fri May 9 16:15:20 2008 for mixpp by&nbsp; 
    5447<a href="http://www.doxygen.org/index.html"> 
    5548<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.5 </small></address>