EKFfull Class Reference

Extended Kalman Filter in full matrices. More...

#include <libKF.h>

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List of all members.

Public Member Functions

 EKFfull (RV rvx, RV rvy, RV rvu)
 Default constructor.
void set_parameters (diffbifn *pfxu, diffbifn *phxu, const mat Q0, const mat R0)
 Set nonlinear functions for mean values and covariance matrices.
void bayes (const vec &dt)
 Here dt = [yt;ut] of appropriate dimensions.
void set_est (vec mu0, mat P0)
 set estimates
const epdf_epdf () const
 dummy!
const enorm< fsqmat > * _e () const
 Returns a pointer to the epdf representing posterior density on parameters. Use with care!
const mat _R ()
virtual void bayesB (const mat &Dt)
 Batch Bayes rule (columns of Dt are observations).
virtual double logpred (const vec &dt) const
vec logpred_m (const mat &dt) const
 Matrix version of logpred.
virtual epdfpredictor (const RV &rv) const
 Constructs a predictive density (marginal density on data).
const RV_rv () const
 access function
double _ll () const
 access function
void set_evalll (bool evl0)
 access function
virtual BM_copy_ (bool changerv=false)

Public Attributes

vec mu
 Mean value of the posterior density.
mat P
 Variance of the posterior density.
bool evalll
double ll

Protected Attributes

int dimx
int dimy
int dimu
mat A
mat B
mat C
mat D
mat R
mat Q
mat _Pp
mat _Ry
mat _iRy
mat _K
RV rv
 Random variable of the posterior.
double ll
 Logarithm of marginalized data likelihood.
bool evalll
 If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time.

Friends

std::ostream & operator<< (std::ostream &os, const KalmanFull &kf)
 print elements of KF


Detailed Description

Extended Kalman Filter in full matrices.

An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean.


Member Function Documentation

virtual double BM::logpred ( const vec &  dt  )  const [inline, virtual, inherited]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in ARX, MixEF, and multiBM.

Referenced by BM::logpred_m().

virtual BM* BM::_copy_ ( bool  changerv = false  )  [inline, virtual, inherited]

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype: BM* _copy_(){BM Tmp*=new Tmp(this*); return Tmp; }

Reimplemented in ARX, and BMEF.


The documentation for this class was generated from the following files:

Generated on Thu Jan 15 10:51:07 2009 for mixpp by  doxygen 1.5.6