KalmanCh Class Reference

Kalman filter in square root form. More...

#include <libKF.h>

Inheritance diagram for KalmanCh:

[legend]

Collaboration diagram for KalmanCh:

[legend]

List of all members.

Public Member Functions
	KalmanCh (RV rvx0, RV rvy0, RV rvu0)
	Default constructor.
	KalmanCh (const KalmanCh &K0)
	Copy constructor.
void	set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const chmat &R0, const chmat &Q0)
	Set parameters with check of relevance.
void	set_pred (const vec &mu0, const chmat &P0)
	Set estimate values, used e.g. in initialization.
void	bayes (const vec &dt)
	Here dt = [yt;ut] of appropriate dimensions The following equality hold:: .
epdf &	_epdf ()
	access function
epdf &	_pred ()
	access function
void	bayes (mat Dt)
	Batch Bayes rule (columns of Dt are observations).
const RV &	_rv () const
	access function
double	_ll () const
	access function
Protected Attributes
RV	rvy
	Indetifier of output rv.
RV	rvu
	Indetifier of exogeneous rv.
int	dimx
	cache of rv.count()
int	dimy
	cache of rvy.count()
int	dimu
	cache of rvu.count()
mat	A
	Matrix A.
mat	B
	Matrix B.
mat	C
	Matrix C.
mat	D
	Matrix D.
chmat	Q
	Matrix Q in square-root form.
chmat	R
	Matrix R in square-root form.
mat	preA
	pre array (triangular matrix)
mat	postA
	post array (triangular matrix)
enorm< chmat >	pred
	predictive density on $x_t$
enorm< chmat >	fy
	predictive density on $y_t$
vec *	_mu
chmat *	_P
vec *	_yp
chmat *	_Ry
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 time.

---

Detailed Description

Kalman filter in square root form.

---

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

• work/mixpp/bdm/estim/libKF.h
• work/mixpp/bdm/estim/libKF.cpp

---