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

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3<title>mixpp: chmat Class Reference</title>
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23<h1>chmat Class Reference</h1><!-- doxytag: class="chmat" --><!-- doxytag: inherits="sqmat" -->Symmetric matrix stored in square root decomposition using upper cholesky. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="chmat_8h-source.html">chmat.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for chmat:</div>
30<div class="dynsection">
31<p><center><img src="classchmat__inherit__graph.png" border="0" usemap="#chmat__inherit__map" alt="Inheritance graph"></center>
32<map name="chmat__inherit__map">
33<area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="5,7,67,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for chmat:</div>
37<div class="dynsection">
38<p><center><img src="classchmat__coll__graph.png" border="0" usemap="#chmat__coll__map" alt="Collaboration graph"></center>
39<map name="chmat__coll__map">
40<area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="5,7,67,33"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classchmat-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
47<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#bbc2d98d7455b1f38828907d442836bf">opupdt</a> (const vec &amp;v, double w)</td></tr>
48
49<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a37e2c726e4fc3ad50b26ac2ca6c1452"></a><!-- doxytag: member="chmat::to_mat" ref="a37e2c726e4fc3ad50b26ac2ca6c1452" args="()" -->
50virtual mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#a37e2c726e4fc3ad50b26ac2ca6c1452">to_mat</a> ()</td></tr>
51
52<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conversion to full matrix. <br></td></tr>
53<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#66f509f92b0ccf020e2a2a32566e0777">mult_sym</a> (const mat &amp;C)</td></tr>
54
55<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.  <a href="#66f509f92b0ccf020e2a2a32566e0777"></a><br></td></tr>
56<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#07f50d1332b901eee962e8b1913102f7">mult_sym_t</a> (const mat &amp;C)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.  <a href="#07f50d1332b901eee962e8b1913102f7"></a><br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b504ca818203b13e667cb3c503980382"></a><!-- doxytag: member="chmat::logdet" ref="b504ca818203b13e667cb3c503980382" args="() const " -->
60virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#b504ca818203b13e667cb3c503980382">logdet</a> () const </td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of a determinant. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#b22aa239dbaca33e3fb93b4f674d7051">sqrt_mult</a> (const vec &amp;v) const </td></tr>
64
65<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Multiplies square root of $V$ by vector $x$.  <a href="#b22aa239dbaca33e3fb93b4f674d7051"></a><br></td></tr>
66<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6807737c7ffdb7041256b51db7592248"></a><!-- doxytag: member="chmat::qform" ref="6807737c7ffdb7041256b51db7592248" args="(const vec &amp;v) const " -->
67virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#6807737c7ffdb7041256b51db7592248">qform</a> (const vec &amp;v) const </td></tr>
68
69<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Evaluates quadratic form $x= v'*V*v$;. <br></td></tr>
70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d0a995d312ecc11d3b43693f5e224ba9"></a><!-- doxytag: member="chmat::clear" ref="d0a995d312ecc11d3b43693f5e224ba9" args="()" -->
71virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#d0a995d312ecc11d3b43693f5e224ba9">clear</a> ()</td></tr>
72
73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Clearing matrix so that it corresponds to zeros. <br></td></tr>
74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9875dc244d23ccec039fd2e5447a9cf7"></a><!-- doxytag: member="chmat::inv" ref="9875dc244d23ccec039fd2e5447a9cf7" args="(mat &amp;Inv)" -->
75virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>inv</b> (mat &amp;Inv)</td></tr>
76
77<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="465a895ce060429a35ee451182aa546a"></a><!-- doxytag: member="chmat::inv" ref="465a895ce060429a35ee451182aa546a" args="(chmat &amp;Inv)" -->
78virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>inv</b> (<a class="el" href="classchmat.html">chmat</a> &amp;Inv)</td></tr>
79
80<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba62fbf7cb8e065a4f3d24457824e89b"></a><!-- doxytag: member="chmat::~chmat" ref="ba62fbf7cb8e065a4f3d24457824e89b" args="()" -->
81virtual&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#ba62fbf7cb8e065a4f3d24457824e89b">~chmat</a> ()</td></tr>
82
83<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Destructor for future use;. <br></td></tr>
84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fdd73b0c596161637fd25bdf2c670c39"></a><!-- doxytag: member="chmat::chmat" ref="fdd73b0c596161637fd25bdf2c670c39" args="(const int dim0)" -->
85&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#fdd73b0c596161637fd25bdf2c670c39">chmat</a> (const int dim0)</td></tr>
86
87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8334a00f30f0a05f893c2aeec395ef10"></a><!-- doxytag: member="chmat::chmat" ref="8334a00f30f0a05f893c2aeec395ef10" args="(const mat &amp;M)" -->
89&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#8334a00f30f0a05f893c2aeec395ef10">chmat</a> (const mat &amp;M)</td></tr>
90
91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor (m3k:cholform). <br></td></tr>
92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9c50d31c999d85d8e9d8cf2b69b6ac8c"></a><!-- doxytag: member="chmat::_Ch" ref="9c50d31c999d85d8e9d8cf2b69b6ac8c" args="()" -->
93mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#9c50d31c999d85d8e9d8cf2b69b6ac8c">_Ch</a> ()</td></tr>
94
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Access function. <br></td></tr>
96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ecc2e2540f95a04f4449842588170f5b"></a><!-- doxytag: member="chmat::cols" ref="ecc2e2540f95a04f4449842588170f5b" args="() const " -->
97int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b">cols</a> () const </td></tr>
98
99<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Reimplementing common functions of mat: <a class="el" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b" title="Reimplementing common functions of mat: cols().">cols()</a>. <br></td></tr>
100<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="071e80ced9cc3b8cbb360fa7462eb646"></a><!-- doxytag: member="chmat::rows" ref="071e80ced9cc3b8cbb360fa7462eb646" args="() const " -->
101int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646">rows</a> () const </td></tr>
102
103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Reimplementing common functions of mat: <a class="el" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b" title="Reimplementing common functions of mat: cols().">cols()</a>. <br></td></tr>
104<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95158bb150f5e7f939168abcd577fd9c"></a><!-- doxytag: member="chmat::Ch" ref="95158bb150f5e7f939168abcd577fd9c" args="" -->
106mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classchmat.html#95158bb150f5e7f939168abcd577fd9c">Ch</a></td></tr>
107
108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Upper chollesky triangle of the matrix. <br></td></tr>
109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0abed904bdc0882373ba9adba919689d"></a><!-- doxytag: member="chmat::dim" ref="0abed904bdc0882373ba9adba919689d" args="" -->
110int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#0abed904bdc0882373ba9adba919689d">dim</a></td></tr>
111
112<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dimension of the square matrix <br></td></tr>
113</table>
114<hr><a name="_details"></a><h2>Detailed Description</h2>
115Symmetric matrix stored in square root decomposition using upper cholesky.
116<p>
117This matrix represent $A=Ch Ch'$ where only the upper triangle is stored; <hr><h2>Member Function Documentation</h2>
118<a class="anchor" name="bbc2d98d7455b1f38828907d442836bf"></a><!-- doxytag: member="chmat::opupdt" ref="bbc2d98d7455b1f38828907d442836bf" args="(const vec &amp;v, double w)" -->
119<div class="memitem">
120<div class="memproto">
121      <table class="memname">
122        <tr>
123          <td class="memname">void chmat::opupdt           </td>
124          <td>(</td>
125          <td class="paramtype">const vec &amp;&nbsp;</td>
126          <td class="paramname"> <em>v</em>, </td>
127        </tr>
128        <tr>
129          <td class="paramkey"></td>
130          <td></td>
131          <td class="paramtype">double&nbsp;</td>
132          <td class="paramname"> <em>w</em></td><td>&nbsp;</td>
133        </tr>
134        <tr>
135          <td></td>
136          <td>)</td>
137          <td></td><td></td><td width="100%"><code> [virtual]</code></td>
138        </tr>
139      </table>
140</div>
141<div class="memdoc">
142
143<p>
144Perfroms a rank-1 update by outer product of vectors: $V = V + w v v'$. <dl compact><dt><b>Parameters:</b></dt><dd>
145  <table border="0" cellspacing="2" cellpadding="0">
146    <tr><td valign="top"></td><td valign="top"><em>v</em>&nbsp;</td><td>Vector forming the outer product to be added </td></tr>
147    <tr><td valign="top"></td><td valign="top"><em>w</em>&nbsp;</td><td>weight of updating; can be negative</td></tr>
148  </table>
149</dl>
150BLAS-2b operation.
151<p>Implements <a class="el" href="classsqmat.html#b223484796661f2dadb5607a86ce0581">sqmat</a>.</p>
152
153</div>
154</div><p>
155<a class="anchor" name="66f509f92b0ccf020e2a2a32566e0777"></a><!-- doxytag: member="chmat::mult_sym" ref="66f509f92b0ccf020e2a2a32566e0777" args="(const mat &amp;C)" -->
156<div class="memitem">
157<div class="memproto">
158      <table class="memname">
159        <tr>
160          <td class="memname">void chmat::mult_sym           </td>
161          <td>(</td>
162          <td class="paramtype">const mat &amp;&nbsp;</td>
163          <td class="paramname"> <em>C</em>          </td>
164          <td>&nbsp;)&nbsp;</td>
165          <td width="100%"><code> [virtual]</code></td>
166        </tr>
167      </table>
168</div>
169<div class="memdoc">
170
171<p>
172Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.
173<p>
174<dl compact><dt><b>Parameters:</b></dt><dd>
175  <table border="0" cellspacing="2" cellpadding="0">
176    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr>
177  </table>
178</dl>
179
180<p>Implements <a class="el" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa">sqmat</a>.</p>
181
182</div>
183</div><p>
184<a class="anchor" name="07f50d1332b901eee962e8b1913102f7"></a><!-- doxytag: member="chmat::mult_sym_t" ref="07f50d1332b901eee962e8b1913102f7" args="(const mat &amp;C)" -->
185<div class="memitem">
186<div class="memproto">
187      <table class="memname">
188        <tr>
189          <td class="memname">void chmat::mult_sym_t           </td>
190          <td>(</td>
191          <td class="paramtype">const mat &amp;&nbsp;</td>
192          <td class="paramname"> <em>C</em>          </td>
193          <td>&nbsp;)&nbsp;</td>
194          <td width="100%"><code> [virtual]</code></td>
195        </tr>
196      </table>
197</div>
198<div class="memdoc">
199
200<p>
201Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.
202<p>
203<dl compact><dt><b>Parameters:</b></dt><dd>
204  <table border="0" cellspacing="2" cellpadding="0">
205    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr>
206  </table>
207</dl>
208
209<p>Implements <a class="el" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325">sqmat</a>.</p>
210
211</div>
212</div><p>
213<a class="anchor" name="b22aa239dbaca33e3fb93b4f674d7051"></a><!-- doxytag: member="chmat::sqrt_mult" ref="b22aa239dbaca33e3fb93b4f674d7051" args="(const vec &amp;v) const " -->
214<div class="memitem">
215<div class="memproto">
216      <table class="memname">
217        <tr>
218          <td class="memname">vec chmat::sqrt_mult           </td>
219          <td>(</td>
220          <td class="paramtype">const vec &amp;&nbsp;</td>
221          <td class="paramname"> <em>v</em>          </td>
222          <td>&nbsp;)&nbsp;</td>
223          <td width="100%"> const<code> [inline, virtual]</code></td>
224        </tr>
225      </table>
226</div>
227<div class="memdoc">
228
229<p>
230Multiplies square root of $V$ by vector $x$.
231<p>
232Used e.g. in generating normal samples.
233<p>Implements <a class="el" href="classsqmat.html#6b79438b5d7544a9c8e110a145355d8f">sqmat</a>.</p>
234
235</div>
236</div><p>
237<hr>The documentation for this class was generated from the following files:<ul>
238<li>work/mixpp/bdm/math/<a class="el" href="chmat_8h-source.html">chmat.h</a><li>work/mixpp/bdm/math/chmat.cpp</ul>
239<hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:49 2008 for mixpp by&nbsp;
240<a href="http://www.doxygen.org/index.html">
241<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
242</body>
243</html>
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