Method init

bayes/src/SIRFlt.cpp:426–451

}

void SIR_kalman_scheme::init ()
/* Initialise sampling from Kalman statistics
 *	Pre: x,X
 *	Post: x,X,S
 */
{
						// Samples at mean
	const std::size_t nSamples = S.size2();
	for (std::size_t i = 0; i != nSamples; ++i) {
		FM::ColMatrix::Column Si(S,i);
		noalias(Si) = x;
	}
						// Decorrelate init state noise
	Matrix UD(x_size,x_size);
	Float rcond = UdUfactor (UD, X);
	rclimit.check_PSD(rcond, "Init X not PSD");

						// Sampled predict model for initial noise variance
	FM::identity (roughen_model.Fx);
	UdUseperate (roughen_model.G, roughen_model.q, UD);
	roughen_model.init_GqG ();
						// Predict using model to apply initial noise
	predict (roughen_model);

	SIR_scheme::init_S ();
}


void SIR_kalman_scheme::mean ()