mixpp: kalman.h File Reference

kalman.h File Reference

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions. More...

#include "../math/functions.h"
#include "../stat/exp_family.h"
#include "../math/chmat.h"
#include "../base/user_info.h"

Go to the source code of this file.


Namespaces

namespace  bdm

Classes

class  bdm::StateSpace< sq_T >
 Basic elements of linear state-space model. More...
class  bdm::Kalman< sq_T >
 Common abstract base for Kalman filters. More...
class  bdm::KalmanFull
 Basic Kalman filter with full matrices. More...
class  bdm::KalmanCh
 Kalman filter in square root form. More...
class  bdm::EKFfull
 Extended Kalman Filter in full matrices. More...
class  bdm::EKFCh
 Extended Kalman Filter in Square root. More...
class  bdm::EKF_UD
 EKF using bierman and Thorton code. More...
class  bdm::UKFCh
class  bdm::MultiModel
 (Switching) Multiple Model The model runs several models in parallel and evaluates thier weights (fittness). More...
class  bdm::StateCanonical
 conversion of outer ARX model (mlnorm) to state space model More...
class  bdm::StateFromARX

Functions

 bdm::UIREGISTER (KalmanFull)
 bdm::UIREGISTER (KalmanCh)
 bdm::UIREGISTER (EKFfull)
 bdm::UIREGISTER (EKFCh)
 bdm::SHAREDPTR (EKFCh)
 bdm::UIREGISTER (EKF_UD)
 bdm::UIREGISTER (UKFCh)
 bdm::UIREGISTER (MultiModel)
 bdm::SHAREDPTR (MultiModel)

Detailed Description

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.

Author:
Vaclav Smidl.
----------------------------------- BDM++ - C++ library for Bayesian Decision Making under Uncertainty

Using IT++ for numerical operations -----------------------------------


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