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18<h1>work/git/mixpp/bdm/math/chmat.h</h1><a href="chmat_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001
19<a name="l00013"></a>00013 <span class="preprocessor">#ifndef CHMAT_H</span>
20<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define CHMAT_H</span>
21<a name="l00015"></a>00015 <span class="preprocessor"></span>
22<a name="l00016"></a>00016 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span>
23<a name="l00017"></a>00017 <span class="preprocessor">#include "<a class="code" href="libDC_8h.html" title="Matrices in decomposed forms (LDL&amp;#39;, LU, UDU&amp;#39;, etc).">libDC.h</a>"</span>
24<a name="l00018"></a>00018 <span class="preprocessor">#include "../itpp_ext.h"</span>
25<a name="l00019"></a>00019
26<a name="l00020"></a>00020 <span class="keyword">using namespace </span>itpp;
27<a name="l00021"></a>00021
28<a name="l00027"></a><a class="code" href="classchmat.html">00027</a> <span class="keyword">class </span><a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> : <span class="keyword">public</span> <a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> {
29<a name="l00028"></a>00028 <span class="keyword">protected</span>:
30<a name="l00030"></a><a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c">00030</a>         mat <a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>;
31<a name="l00031"></a>00031 <span class="keyword">public</span>:
32<a name="l00032"></a>00032
33<a name="l00033"></a>00033         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#bbc2d98d7455b1f38828907d442836bf">opupdt</a> ( <span class="keyword">const</span> vec &amp;v, <span class="keywordtype">double</span> w );
34<a name="l00034"></a>00034         mat <a class="code" href="classchmat.html#045addd685f8d978efda232d7dcb070e" title="Conversion to full matrix.">to_mat</a>() <span class="keyword">const</span>;
35<a name="l00035"></a>00035         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#66f509f92b0ccf020e2a2a32566e0777" title="Inplace symmetric multiplication by a SQUARE matrix , i.e. .">mult_sym</a> ( <span class="keyword">const</span> mat &amp;C );
36<a name="l00036"></a>00036         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#66f509f92b0ccf020e2a2a32566e0777" title="Inplace symmetric multiplication by a SQUARE matrix , i.e. .">mult_sym</a> ( <span class="keyword">const</span> mat &amp;C , <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;U ) <span class="keyword">const</span>;
37<a name="l00037"></a>00037         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#07f50d1332b901eee962e8b1913102f7" title="Inplace symmetric multiplication by a SQUARE transpose of matrix , i.e. .">mult_sym_t</a> ( <span class="keyword">const</span> mat &amp;C );
38<a name="l00038"></a>00038         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#07f50d1332b901eee962e8b1913102f7" title="Inplace symmetric multiplication by a SQUARE transpose of matrix , i.e. .">mult_sym_t</a> ( <span class="keyword">const</span> mat &amp;C, <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;U ) <span class="keyword">const</span>;
39<a name="l00039"></a>00039         <span class="keywordtype">double</span> <a class="code" href="classchmat.html#b504ca818203b13e667cb3c503980382" title="Logarithm of a determinant.">logdet</a>() <span class="keyword">const</span>;
40<a name="l00040"></a>00040         vec <a class="code" href="classchmat.html#b22aa239dbaca33e3fb93b4f674d7051" title="Multiplies square root of  by vector .">sqrt_mult</a> ( <span class="keyword">const</span> vec &amp;v ) <span class="keyword">const</span>;
41<a name="l00041"></a>00041         <span class="keywordtype">double</span> <a class="code" href="classchmat.html#6807737c7ffdb7041256b51db7592248" title="Evaluates quadratic form ;.">qform</a> ( <span class="keyword">const</span> vec &amp;v ) <span class="keyword">const</span>;
42<a name="l00042"></a>00042         <span class="keywordtype">double</span> <a class="code" href="classchmat.html#b49427cff186c62f5df3724e5d2c34b4" title="Evaluates quadratic form ;.">invqform</a> ( <span class="keyword">const</span> vec &amp;v ) <span class="keyword">const</span>;
43<a name="l00043"></a>00043         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#d0a995d312ecc11d3b43693f5e224ba9" title="Clearing matrix so that it corresponds to zeros.">clear</a>();
44<a name="l00045"></a><a class="code" href="classchmat.html#f3921e3e5e31337cdbda40a3a5467257">00045</a>         <span class="keywordtype">void</span> <span class="keyword">add</span> ( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;A2, <span class="keywordtype">double</span> w=1.0 ) {};
45<a name="l00047"></a><a class="code" href="classchmat.html#5ce4e21a9012a4e98c1f0ed1ca5669bd">00047</a>         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#5ce4e21a9012a4e98c1f0ed1ca5669bd" title="Inversion in the same form, i.e. cholesky.">inv</a> ( <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;Inv )<span class="keyword"> const   </span>{ ( Inv.<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a> ) = itpp::inv ( <a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a> ).T();}; <span class="comment">//Fixme: can be more efficient</span>
46<a name="l00048"></a>00048         ;
47<a name="l00049"></a>00049 <span class="comment">//      void inv ( mat &amp;Inv );</span>
48<a name="l00050"></a>00050
49<a name="l00052"></a><a class="code" href="classchmat.html#ba62fbf7cb8e065a4f3d24457824e89b">00052</a>         <span class="keyword">virtual</span> <a class="code" href="classchmat.html#ba62fbf7cb8e065a4f3d24457824e89b" title="Destructor for future use;.">~chmat</a>() {};
50<a name="l00054"></a><a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39">00054</a>         <a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39" title="Default constructor.">chmat</a> ( <span class="keyword">const</span> <span class="keywordtype">int</span> dim0 ) : <a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> ( dim0 ),<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a> ( dim0,dim0 ) {};
51<a name="l00056"></a><a class="code" href="classchmat.html#d4f0a94e81279295e60e72812130f9d4">00056</a>         <a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39" title="Default constructor.">chmat</a> ( <span class="keyword">const</span> vec &amp;v) : <a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> ( v.length() ),<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a> ( diag(sqrt(v)) ) {};
52<a name="l00058"></a><a class="code" href="classchmat.html#d92f3bd9a727b8c88a8c7385feb3449a">00058</a>         <a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39" title="Default constructor.">chmat</a> ( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;Ch0) : <a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> ( Ch0.<a class="code" href="classsqmat.html#0abed904bdc0882373ba9adba919689d" title="dimension of the square matrix">dim</a>),<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a> ( Ch0.<a class="code" href="classsqmat.html#0abed904bdc0882373ba9adba919689d" title="dimension of the square matrix">dim</a>,Ch0.<a class="code" href="classsqmat.html#0abed904bdc0882373ba9adba919689d" title="dimension of the square matrix">dim</a> ) {<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>=Ch0.<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>;};
53<a name="l00060"></a><a class="code" href="classchmat.html#8334a00f30f0a05f893c2aeec395ef10">00060</a>         <a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39" title="Default constructor.">chmat</a> ( <span class="keyword">const</span> mat &amp;M ) : <a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> ( M.<a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646" title="Reimplementing common functions of mat: cols().">rows</a>() ),<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a> ( M.<a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646" title="Reimplementing common functions of mat: cols().">rows</a>(),M.<a class="code" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b" title="Reimplementing common functions of mat: cols().">cols</a>() ) {
54<a name="l00061"></a>00061                 mat Q;
55<a name="l00062"></a>00062                 it_assert_debug ( M.rows() ==M.cols(),<span class="stringliteral">"chmat:: input matrix must be square!"</span> );
56<a name="l00063"></a>00063                 <a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>=chol ( M );
57<a name="l00064"></a>00064         };
58<a name="l00066"></a><a class="code" href="classchmat.html#24de7f42e0a86bb270588cd0dd9d60b4">00066</a>         <a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39" title="Default constructor.">chmat</a> ( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;M, <span class="keyword">const</span> ivec &amp;perm ):<a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a>(M.<a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646" title="Reimplementing common functions of mat: cols().">rows</a>()){it_error(<span class="stringliteral">"not implemneted"</span>);};
59<a name="l00068"></a><a class="code" href="classchmat.html#9c50d31c999d85d8e9d8cf2b69b6ac8c">00068</a>         mat &amp; <a class="code" href="classchmat.html#9c50d31c999d85d8e9d8cf2b69b6ac8c" title="Access function.">_Ch</a>() {<span class="keywordflow">return</span> <a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>;}
60<a name="l00070"></a><a class="code" href="classchmat.html#a4fc7f9b0539b97c414442a22f3db6e8">00070</a>         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#a4fc7f9b0539b97c414442a22f3db6e8" title="Access functions.">setD</a> ( <span class="keyword">const</span> vec &amp;nD ) {<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>=diag ( sqrt(nD) );}
61<a name="l00072"></a><a class="code" href="classchmat.html#4b9271097d8317d9514c5d0d62cccb39">00072</a>         <span class="keywordtype">void</span> <a class="code" href="classchmat.html#a4fc7f9b0539b97c414442a22f3db6e8" title="Access functions.">setD</a> ( <span class="keyword">const</span> vec &amp;nD, <span class="keywordtype">int</span> i ) {<span class="keywordflow">for</span> ( <span class="keywordtype">int</span> j=i;j&lt;nD.length();j++ ) {<a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper triangle of the cholesky matrix.">Ch</a>( j,j ) =sqrt(nD ( j-i ));}} <span class="comment">//Fixme can be more general</span>
62<a name="l00073"></a>00073
63<a name="l00075"></a>00075         <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>&amp; <a class="code" href="classchmat.html#6a8b39fe3a28d2c8e3fc0d74141229fb" title="Operators.">operator += </a>( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;A2 );
64<a name="l00076"></a>00076         <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>&amp; <a class="code" href="classchmat.html#a8c3628a8c15eb0009e57c66fcac1a76" title="mapping of negative add operation to operators">operator -= </a>( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;A2 ) ;
65<a name="l00077"></a>00077 };
66<a name="l00078"></a>00078
67<a name="l00079"></a>00079
68<a name="l00082"></a><a class="code" href="classchmat.html#6a8b39fe3a28d2c8e3fc0d74141229fb">00082</a> <span class="keyword">inline</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>&amp; <a class="code" href="classchmat.html#6a8b39fe3a28d2c8e3fc0d74141229fb" title="Operators.">chmat::operator += </a>( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;A2 )  {this-&gt;<span class="keyword">add</span> ( A2 );<span class="keywordflow">return</span> *<span class="keyword">this</span>;}
69<a name="l00084"></a><a class="code" href="classchmat.html#a8c3628a8c15eb0009e57c66fcac1a76">00084</a> <span class="keyword">inline</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a>&amp; <a class="code" href="classchmat.html#a8c3628a8c15eb0009e57c66fcac1a76" title="mapping of negative add operation to operators">chmat::operator -= </a>( <span class="keyword">const</span> <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;A2 )  {this-&gt;<span class="keyword">add</span> ( A2,-1.0 );<span class="keywordflow">return</span> *<span class="keyword">this</span>;}
70<a name="l00085"></a>00085 <span class="preprocessor">#endif // CHMAT_H</span>
71</pre></div></div>
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