bdm::StateSpace< sq_T > Class Template Reference

Basic elements of linear state-space model. More...


Detailed Description

template<class sq_T>
class bdm::StateSpace< sq_T >

Basic elements of linear state-space model.

Parameter evolution model:

\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]

Observation model:

\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]

Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances.

#include <kalman.h>

List of all members.

Public Member Functions

void set_parameters (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const sq_T &Q0, const sq_T &R0)
void validate ()
void from_setting (const Setting &set)
 not virtual in this case
int _dimx ()
 access function
int _dimy ()
 access function
int _dimu ()
 access function
const mat & _A () const
 access function
const mat & _B () const
 access function
const mat & _C () const
 access function
const mat & _D () const
 access function
const sq_T & _Q () const
 access function
const sq_T & _R () const
 access function

Protected Attributes

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.
sq_T Q
 Matrix Q in square-root form.
sq_T R
 Matrix R in square-root form.

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

Generated on Tue Sep 15 23:42:48 2009 for mixpp by  doxygen 1.6.1