bdm::EKFful_unQR Class Reference

Extended Kalman filter with unknown Q and R. More...

#include <ekf_templ.h>

List of all members.

Public Member Functions

void condition (const vec &QR0)
 Substitute val for rvc.
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 epdfposterior () const
 dummy!
const enorm< fsqmat > * _e () const
const mat _R ()
Constructors
virtual BM_copy_ () const
Mathematical operations
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 epdfepredictor () const
 Constructs a predictive density $ f(d_{t+1} |d_{t}, \ldots d_{0}) $.
virtual mpdfpredictor () const
 Constructs a conditional density 1-step ahead predictor.
Access to attributes
const RV_drv () const
void set_drv (const RV &rv)
void set_rv (const RV &rv)
double _ll () const
void set_evalll (bool evl0)

Public Attributes

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

Protected Attributes

diffbifnpfxu
 Internal Model f(x,u).
diffbifnphxu
 Observation Model h(x,u).
enorm< fsqmatE
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
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.
double ll
 Logarithm of marginalized data likelihood.
RV drv
 Random variable of the data (optional).

Friends

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

Extension to conditional BM

This extension is useful e.g. in Marginalized Particle Filter (bdm::MPF). Alternatively, it can be used for automated connection to DS when the condition is observed

const RV_rvc () const
 access function
RV rvc
 Name of extension variable.

Logging of results

void set_options (const string &opt)
 Set boolean options from a string.
virtual void log_add (logger &L, const string &name="")
 Add all logged variables to a logger.
virtual void logit (logger &L)
ivec LIDs
 IDs of storages in loggers.
bool opt_L_bounds
 Option for logging bounds.


Detailed Description

Extended Kalman filter with unknown Q and R.

Member Function Documentation

virtual BM* bdm::BM::_copy_ (  )  const [inline, virtual, inherited]

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype:

 BM* _copy_() const {return new BM(*this);} 

Reimplemented in bdm::ARX, bdm::KalmanCh, bdm::EKF< sq_T >, bdm::EKFCh, and bdm::BMEF.

virtual double bdm::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 bdm::ARX, bdm::MixEF, and bdm::multiBM.

Referenced by bdm::BM::logpred_m().


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

Generated on Thu Apr 23 21:06:45 2009 for mixpp by  doxygen 1.5.8