#include <UDFlt.hpp>

Inheritance diagram for Bayesian_filter::UD_scheme:

Public Member Functions
	UD_scheme (std::size_t x_size, std::size_t q_maxsize, std::size_t z_initialsize=0)

UD_scheme &	operator= (const UD_scheme &)

void	init ()

void	update ()

Float	predict (Linrz_predict_model &f)

Float	observe (Linrz_correlated_observe_model &h, const FM::Vec &z)

Float	observe (Linrz_uncorrelated_observe_model &h, const FM::Vec &z)

Float	observe (Linear_correlated_observe_model &h, const FM::Vec &z)

Float	observe (UD_sequential_observe_model &h, const FM::Vec &z)

Public Member Functions inherited from Bayesian_filter::Bayes_base
virtual	~Bayes_base ()=0

Public Member Functions inherited from Bayesian_filter::Kalman_state_filter
	Kalman_state_filter (std::size_t x_size)

void	init_kalman (const FM::Vec &x, const FM::SymMatrix &X)

Public Member Functions inherited from Bayesian_filter::State_filter
	State_filter (std::size_t x_size)

Public Attributes
FM::Matrix	UD

FM::Vec	s

FM::Vec	Sd

Public Attributes inherited from Bayesian_filter::Kalman_state_filter
FM::SymMatrix	X

Numerical_rcond	rclimit

Public Attributes inherited from Bayesian_filter::State_filter
FM::Vec	x

Protected Member Functions
Float	predictGq (const FM::Matrix &Fx, const FM::Matrix &G, const FM::Vec &q)

Float	observeUD (FM::Vec &gain, Float &alpha, const FM::Vec &h, const Float r)

void	observe_size (std::size_t z_size)

Protected Member Functions inherited from Bayesian_filter::Linrz_kalman_filter
	Linrz_kalman_filter ()

Protected Attributes
FM::Vec	d

FM::Vec	dv

FM::Vec	v

FM::Vec	a

FM::Vec	b

std::size_t	last_z_size

FM::Vec	h1

FM::Vec	w

FM::Vec	znorm

FM::Vec	zpdecol

FM::Matrix	Gz

FM::Matrix	GIHx

Additional Inherited Members
Public Types inherited from Bayesian_filter::Bayes_base
typedef Bayesian_filter_matrix::Float	Float

Static Public Member Functions inherited from Bayesian_filter::Bayes_base
static void	error (const Numeric_exception &a)

static void	error (const Logic_exception &a)

Constructor & Destructor Documentation

Bayesian_filter::UD_scheme::UD_scheme	(	std::size_t	x_size,
		std::size_t	q_maxsize,
		std::size_t	z_initialsize = `0`
	)

References last_z_size, and observe_size().

Member Function Documentation

void Bayesian_filter::UD_scheme::init ( )

virtual

Implements Bayesian_filter::Kalman_state_filter.

References Bayesian_filter::Numerical_rcond::check_PSD(), Bayesian_filter::Kalman_state_filter::rclimit, UD, Bayesian_filter_matrix::UdUfactor(), and Bayesian_filter::Kalman_state_filter::X.

Bayes_base::Float Bayesian_filter::UD_scheme::observe	(	Linrz_correlated_observe_model &	h,
		const FM::Vec &	z
	)

virtual

Implements Bayesian_filter::Linrz_filter.

References Bayesian_filter::Bayes_base::error().

Bayes_base::Float Bayesian_filter::UD_scheme::observe	(	Linrz_uncorrelated_observe_model &	h,
		const FM::Vec &	z
	)

virtual

Implements Bayesian_filter::Linrz_filter.

References Bayesian_filter::Numerical_rcond::check_PSD(), Bayesian_filter::Bayes_base::error(), Bayesian_filter::Parametised_observe_model::h(), h1, Bayesian_filter::Jacobian_observe_model::Hx, Bayesian_filter_matrix::noalias(), Bayesian_filter::Parametised_observe_model::normalise(), observe_size(), observeUD(), Bayesian_filter::Kalman_state_filter::rclimit, s, Sd, w, Bayesian_filter::State_filter::x, znorm, and Bayesian_filter::Uncorrelated_additive_observe_model::Zv.

Bayes_base::Float Bayesian_filter::UD_scheme::observe	(	UD_sequential_observe_model &	h,
		const FM::Vec &	z
	)

References Bayesian_filter::Numerical_rcond::check_PSD(), Bayesian_filter::Bayes_base::error(), Bayesian_filter::UD_sequential_observe_model::ho(), Bayesian_filter::UD_sequential_observe_model::Hx_o, Bayesian_filter_matrix::noalias(), Bayesian_filter::Parametised_observe_model::normalise(), observe_size(), observeUD(), Bayesian_filter::Kalman_state_filter::rclimit, s, Sd, w, Bayesian_filter::State_filter::x, znorm, and Bayesian_filter::Uncorrelated_additive_observe_model::Zv.

void Bayesian_filter::UD_scheme::observe_size ( std::size_t z_size )

protected

References last_z_size, s, Sd, and znorm.

Referenced by observe(), and UD_scheme().

UD_scheme::Float Bayesian_filter::UD_scheme::observeUD	(	FM::Vec &	gain,
		Float &	alpha,
		const FM::Vec &	h,
		const Float	r
	)

protected

Linear UD factorisation update Bierman UdU' factorisation update. Bierman p.100 Input h observation coefficients r observation variance Output gain observation Kalman gain alpha observation innovation variance Variables with physical significance gamma becomes covariance of innovation Precondition: UD r is PSD (not checked) Postcondition: UD (see return value) Return: reciprocal condition number of UD, -1 if alpha singular (negative or zero)

References a, b, Bayesian_filter_matrix::noalias(), UD, and Bayesian_filter_matrix::UdUrcond().

Referenced by observe().

UD_scheme & Bayesian_filter::UD_scheme::operator= ( const UD_scheme & a )

References UD.

UD_scheme::Float Bayesian_filter::UD_scheme::predict ( Linrz_predict_model & f )

virtual

Implements Bayesian_filter::Linrz_filter.

References Bayesian_filter::Numerical_rcond::check_PSD(), Bayesian_filter::Additive_predict_model::f(), Bayesian_filter::Linrz_predict_model::Fx, Bayesian_filter::Additive_predict_model::G, predictGq(), Bayesian_filter::Additive_predict_model::q, Bayesian_filter::Kalman_state_filter::rclimit, and Bayesian_filter::State_filter::x.