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.

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::MultiModel
	(Switching) Multiple Model The model runs several models in parallel and evaluates thier weights (fittness). More...
Functions
	bdm::UIREGISTER (KalmanFull)
	bdm::UIREGISTER (KalmanCh)
	bdm::UIREGISTER (EKFfull)
	bdm::UIREGISTER (EKFCh)
	bdm::SHAREDPTR (EKFCh)
	bdm::UIREGISTER (MultiModel)
	bdm::SHAREDPTR (MultiModel)
template<class sq_T >
shared_ptr< StateSpace< fsqmat > >	bdm::to_state_space (const mlnorm< sq_T > &ml, ivec &theta_in_A, ivec &theta_in_C)
	conversion of outer ARX model (mlnorm) to state space model

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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 -----------------------------------