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Matrix in Cholesky decomposition, Square-root Kalman and many bug fixes

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16<h1>work/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
17<a name="l00013"></a>00013 <span class="preprocessor">#ifndef CHMAT_H</span>
18<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define CHMAT_H</span>
19<a name="l00015"></a>00015 <span class="preprocessor"></span>
20<a name="l00016"></a>00016 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span>
21<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>
22<a name="l00018"></a>00018
23<a name="l00019"></a>00019 <span class="keyword">using namespace </span>itpp;
24<a name="l00020"></a>00020
25<a name="l00026"></a><a class="code" href="classchmat.html">00026</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> {
26<a name="l00027"></a>00027 <span class="keyword">protected</span>:
27<a name="l00029"></a><a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c">00029</a>         mat <a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper chollesky triangle of the matrix.">Ch</a>;
28<a name="l00030"></a>00030 <span class="keyword">public</span>:
29<a name="l00031"></a>00031
30<a name="l00032"></a>00032         <span class="keyword">virtual</span> <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 );
31<a name="l00033"></a>00033         <span class="keyword">virtual</span> mat <a class="code" href="classchmat.html#a37e2c726e4fc3ad50b26ac2ca6c1452" title="Conversion to full matrix.">to_mat</a>();
32<a name="l00034"></a>00034         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classchmat.html#66f509f92b0ccf020e2a2a32566e0777" title="Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C&amp;#39;$.">mult_sym</a> ( <span class="keyword">const</span> mat &amp;C );
33<a name="l00035"></a>00035         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classchmat.html#07f50d1332b901eee962e8b1913102f7" title="Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C&amp;#39;*V*C$...">mult_sym_t</a> ( <span class="keyword">const</span> mat &amp;C );
34<a name="l00036"></a>00036         <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classchmat.html#b504ca818203b13e667cb3c503980382" title="Logarithm of a determinant.">logdet</a>() <span class="keyword">const</span>;
35<a name="l00037"></a>00037         <span class="keyword">virtual</span> vec <a class="code" href="classchmat.html#b22aa239dbaca33e3fb93b4f674d7051" title="Multiplies square root of $V$ by vector $x$.">sqrt_mult</a> ( <span class="keyword">const</span> vec &amp;v ) <span class="keyword">const</span>;
36<a name="l00038"></a>00038         <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classchmat.html#6807737c7ffdb7041256b51db7592248" title="Evaluates quadratic form $x= v&amp;#39;*V*v$;.">qform</a> ( <span class="keyword">const</span> vec &amp;v ) <span class="keyword">const</span>;
37<a name="l00039"></a>00039         <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classchmat.html#d0a995d312ecc11d3b43693f5e224ba9" title="Clearing matrix so that it corresponds to zeros.">clear</a>();
38<a name="l00040"></a>00040         <span class="comment">//extra defs</span>
39<a name="l00041"></a>00041         <span class="keyword">virtual</span> <span class="keywordtype">void</span> inv ( mat &amp;Inv );
40<a name="l00042"></a>00042         <span class="keyword">virtual</span> <span class="keywordtype">void</span> inv ( <a class="code" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</a> &amp;Inv );
41<a name="l00043"></a>00043
42<a name="l00045"></a><a class="code" href="classchmat.html#ba62fbf7cb8e065a4f3d24457824e89b">00045</a>         <span class="keyword">virtual</span> <a class="code" href="classchmat.html#ba62fbf7cb8e065a4f3d24457824e89b" title="Destructor for future use;.">~chmat</a>() {};
43<a name="l00047"></a><a class="code" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39">00047</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 chollesky triangle of the matrix.">Ch</a> ( dim0,dim0 ) {};
44<a name="l00049"></a><a class="code" href="classchmat.html#8334a00f30f0a05f893c2aeec395ef10">00049</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 chollesky triangle of the 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>() ) {
45<a name="l00050"></a>00050                 mat Q;
46<a name="l00051"></a>00051                 it_assert_debug ( M.rows() ==M.cols(),<span class="stringliteral">"chmat:: input matrix must be square!"</span> );
47<a name="l00052"></a>00052                 <a class="code" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c" title="Upper chollesky triangle of the matrix.">Ch</a>=chol ( M );
48<a name="l00053"></a>00053         };
49<a name="l00055"></a><a class="code" href="classchmat.html#9c50d31c999d85d8e9d8cf2b69b6ac8c">00055</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 chollesky triangle of the matrix.">Ch</a>;}
50<a name="l00056"></a>00056 };
51<a name="l00057"></a>00057
52<a name="l00058"></a>00058 <span class="comment">/*</span>
53<a name="l00059"></a>00059 <span class="comment"></span>
54<a name="l00062"></a>00062 <span class="comment">inline chmat&amp; chmat::operator += ( const chmat &amp;ldA )  {this-&gt;add ( ldA );return *this;}</span>
55<a name="l00064"></a>00064 <span class="comment">inline chmat&amp; chmat::operator -= ( const chmat &amp;ldA )  {this-&gt;add ( ldA,-1.0 );return *this;}</span>
56<a name="l00065"></a>00065 <span class="comment">*/</span>
57<a name="l00066"></a>00066 <span class="preprocessor">#endif // CHMAT_H</span>
58</pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:44 2008 for mixpp by&nbsp;
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