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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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[8]1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
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3<title>mixpp: fsqmat Class Reference</title>
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9  <ul>
10    <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
11    <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
12    <li><a href="files.html"><span>Files</span></a></li>
[28]13    <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
[8]14  </ul>
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17  <ul>
18    <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
19    <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
20    <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
21  </ul>
22</div>
23<h1>fsqmat Class Reference</h1><!-- doxytag: class="fsqmat" --><!-- doxytag: inherits="sqmat" -->Fake <a class="el" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a>. This class maps <a class="el" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> operations to operations on full matrix. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libDC_8h-source.html">libDC.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for fsqmat:</div>
30<div class="dynsection">
[19]31<p><center><img src="classfsqmat__inherit__graph.png" border="0" usemap="#fsqmat__inherit__map" alt="Inheritance graph"></center>
32<map name="fsqmat__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="8,7,69,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for fsqmat:</div>
37<div class="dynsection">
38<p><center><img src="classfsqmat__coll__graph.png" border="0" usemap="#fsqmat__coll__map" alt="Collaboration graph"></center>
39<map name="fsqmat__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="8,7,69,33"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
[8]42
43<p>
44<a href="classfsqmat-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
[22]46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
47<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#b36530e155667fe9f1bd58394e50c65a">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="cedf4f048309056f4262c930914dfda8"></a><!-- doxytag: member="fsqmat::to_mat" ref="cedf4f048309056f4262c930914dfda8" args="()" -->
50mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#cedf4f048309056f4262c930914dfda8">to_mat</a> ()</td></tr>
51
52<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conversion to full matrix. <br></td></tr>
[32]53<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#5530d2756b5d991de755e6121c9a452e">mult_sym</a> (const mat &amp;C)</td></tr>
[22]54
[32]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="#5530d2756b5d991de755e6121c9a452e"></a><br></td></tr>
56<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#92052a8adc2054b63e42d1373d145c89">mult_sym_t</a> (const mat &amp;C)</td></tr>
[22]57
[32]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="#92052a8adc2054b63e42d1373d145c89"></a><br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfea3618d426e2b8232f09aa0070266f"></a><!-- doxytag: member="fsqmat::mult_sym" ref="cfea3618d426e2b8232f09aa0070266f" args="(const mat &amp;C, fsqmat &amp;U)" -->
60void&nbsp;</td><td class="memItemRight" valign="bottom"><b>mult_sym</b> (const mat &amp;C, <a class="el" href="classfsqmat.html">fsqmat</a> &amp;U)</td></tr>
61
62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7ca865c68989d22903efe97045cb6c9a"></a><!-- doxytag: member="fsqmat::mult_sym_t" ref="7ca865c68989d22903efe97045cb6c9a" args="(const mat &amp;C, fsqmat &amp;U)" -->
63void&nbsp;</td><td class="memItemRight" valign="bottom"><b>mult_sym_t</b> (const mat &amp;C, <a class="el" href="classfsqmat.html">fsqmat</a> &amp;U)</td></tr>
64
[22]65<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfa4c359483d2322f32d1d50050f8ac4"></a><!-- doxytag: member="fsqmat::clear" ref="cfa4c359483d2322f32d1d50050f8ac4" args="()" -->
66void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#cfa4c359483d2322f32d1d50050f8ac4">clear</a> ()</td></tr>
67
68<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Clearing matrix so that it corresponds to zeros. <br></td></tr>
[32]69<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="79e3f73e0ccd663c7f7e08083d272940"></a><!-- doxytag: member="fsqmat::fsqmat" ref="79e3f73e0ccd663c7f7e08083d272940" args="()" -->
70&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#79e3f73e0ccd663c7f7e08083d272940">fsqmat</a> ()</td></tr>
71
72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default initialization. <br></td></tr>
73<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40eae99305e7c7240fa95cfec125b06f"></a><!-- doxytag: member="fsqmat::fsqmat" ref="40eae99305e7c7240fa95cfec125b06f" args="(const int dim0)" -->
74&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#40eae99305e7c7240fa95cfec125b06f">fsqmat</a> (const int dim0)</td></tr>
75
76<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default initialization with proper size. <br></td></tr>
[22]77<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1929fbc9fe375f1d67f979d0d302336f"></a><!-- doxytag: member="fsqmat::fsqmat" ref="1929fbc9fe375f1d67f979d0d302336f" args="(const mat &amp;M)" -->
78&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#1929fbc9fe375f1d67f979d0d302336f">fsqmat</a> (const mat &amp;M)</td></tr>
79
80<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructor. <br></td></tr>
[32]81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2a8f104e4befbc2aa90d8b11edfedb2e"></a><!-- doxytag: member="fsqmat::~fsqmat" ref="2a8f104e4befbc2aa90d8b11edfedb2e" args="()" -->
82virtual&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#2a8f104e4befbc2aa90d8b11edfedb2e">~fsqmat</a> ()</td></tr>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Destructor for future use;. <br></td></tr>
[28]85<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#9fa853e1ca28f2a1a1c43377e798ecb1">inv</a> (<a class="el" href="classfsqmat.html">fsqmat</a> &amp;Inv)</td></tr>
[22]86
[28]87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix inversion preserving the chosen form.  <a href="#9fa853e1ca28f2a1a1c43377e798ecb1"></a><br></td></tr>
[32]88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb0d1358f536e4453b5f99d0418ca1e5"></a><!-- doxytag: member="fsqmat::logdet" ref="eb0d1358f536e4453b5f99d0418ca1e5" args="() const " -->
89double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#eb0d1358f536e4453b5f99d0418ca1e5">logdet</a> () const </td></tr>
[22]90
91<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of a determinant. <br></td></tr>
[32]92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1eec8762a2299d83c7b7cd6bf6cbc1ad"></a><!-- doxytag: member="fsqmat::qform" ref="1eec8762a2299d83c7b7cd6bf6cbc1ad" args="(const vec &amp;v)" -->
93double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#1eec8762a2299d83c7b7cd6bf6cbc1ad">qform</a> (const vec &amp;v)</td></tr>
[22]94
95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Evaluates quadratic form $x= v'*V*v$;. <br></td></tr>
[32]96<tr><td class="memItemLeft" nowrap align="right" valign="top">vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#2288389e2d47bd9df112815ef570c5c9">sqrt_mult</a> (const vec &amp;v)</td></tr>
[22]97
[32]98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Multiplies square root of $V$ by vector $x$.  <a href="#2288389e2d47bd9df112815ef570c5c9"></a><br></td></tr>
[22]99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="514d1fdd8a382dbd6a774f2cf1ebd3de"></a><!-- doxytag: member="fsqmat::operator+=" ref="514d1fdd8a382dbd6a774f2cf1ebd3de" args="(const fsqmat &amp;A)" -->
100<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator+=</b> (const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;A)</td></tr>
101
102<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e976bc9d899961e1d2087b0630ed33b7"></a><!-- doxytag: member="fsqmat::operator-=" ref="e976bc9d899961e1d2087b0630ed33b7" args="(const fsqmat &amp;A)" -->
103<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator-=</b> (const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;A)</td></tr>
104
105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8f7ce97628a50e06641281096b2af9b7"></a><!-- doxytag: member="fsqmat::operator *=" ref="8f7ce97628a50e06641281096b2af9b7" args="(double x)" -->
106<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator *=</b> (double x)</td></tr>
107
[28]108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ecc2e2540f95a04f4449842588170f5b"></a><!-- doxytag: member="fsqmat::cols" ref="ecc2e2540f95a04f4449842588170f5b" args="() const " -->
109int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b">cols</a> () const </td></tr>
110
111<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>
112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="071e80ced9cc3b8cbb360fa7462eb646"></a><!-- doxytag: member="fsqmat::rows" ref="071e80ced9cc3b8cbb360fa7462eb646" args="() const " -->
113int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646">rows</a> () const </td></tr>
114
115<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>
[22]116<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
117<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a7a1fcb9aae19d1e4daddfc9c22ce453"></a><!-- doxytag: member="fsqmat::M" ref="a7a1fcb9aae19d1e4daddfc9c22ce453" args="" -->
118mat&nbsp;</td><td class="memItemRight" valign="bottom"><b>M</b></td></tr>
119
[28]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0abed904bdc0882373ba9adba919689d"></a><!-- doxytag: member="fsqmat::dim" ref="0abed904bdc0882373ba9adba919689d" args="" -->
121int&nbsp;</td><td class="memItemRight" valign="bottom"><b>dim</b></td></tr>
122
[32]123<tr><td colspan="2"><br><h2>Friends</h2></td></tr>
124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e06aba54d61e807b41bd68b5ee6ac22f"></a><!-- doxytag: member="fsqmat::operator&lt;&lt;" ref="e06aba54d61e807b41bd68b5ee6ac22f" args="(std::ostream &amp;os, const fsqmat &amp;sq)" -->
125std::ostream &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator&lt;&lt;</b> (std::ostream &amp;os, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;sq)</td></tr>
126
[8]127</table>
128<hr><a name="_details"></a><h2>Detailed Description</h2>
129Fake <a class="el" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a>. This class maps <a class="el" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a> operations to operations on full matrix.
130<p>
[22]131This class can be used to compare performance of algorithms using decomposed matrices with perormance of the same algorithms using full matrices; <hr><h2>Member Function Documentation</h2>
132<a class="anchor" name="b36530e155667fe9f1bd58394e50c65a"></a><!-- doxytag: member="fsqmat::opupdt" ref="b36530e155667fe9f1bd58394e50c65a" args="(const vec &amp;v, double w)" -->
133<div class="memitem">
134<div class="memproto">
135      <table class="memname">
136        <tr>
137          <td class="memname">void fsqmat::opupdt           </td>
138          <td>(</td>
139          <td class="paramtype">const vec &amp;&nbsp;</td>
140          <td class="paramname"> <em>v</em>, </td>
141        </tr>
142        <tr>
143          <td class="paramkey"></td>
144          <td></td>
145          <td class="paramtype">double&nbsp;</td>
146          <td class="paramname"> <em>w</em></td><td>&nbsp;</td>
147        </tr>
148        <tr>
149          <td></td>
150          <td>)</td>
151          <td></td><td></td><td width="100%"><code> [virtual]</code></td>
152        </tr>
153      </table>
154</div>
155<div class="memdoc">
156
157<p>
158Perfroms a rank-1 update by outer product of vectors: $V = V + w v v'$. <dl compact><dt><b>Parameters:</b></dt><dd>
159  <table border="0" cellspacing="2" cellpadding="0">
160    <tr><td valign="top"></td><td valign="top"><em>v</em>&nbsp;</td><td>Vector forming the outer product to be added </td></tr>
161    <tr><td valign="top"></td><td valign="top"><em>w</em>&nbsp;</td><td>weight of updating; can be negative</td></tr>
162  </table>
163</dl>
164BLAS-2b operation.
165<p>Implements <a class="el" href="classsqmat.html#b223484796661f2dadb5607a86ce0581">sqmat</a>.</p>
166
167</div>
168</div><p>
[32]169<a class="anchor" name="5530d2756b5d991de755e6121c9a452e"></a><!-- doxytag: member="fsqmat::mult_sym" ref="5530d2756b5d991de755e6121c9a452e" args="(const mat &amp;C)" -->
[22]170<div class="memitem">
171<div class="memproto">
172      <table class="memname">
173        <tr>
174          <td class="memname">void fsqmat::mult_sym           </td>
175          <td>(</td>
176          <td class="paramtype">const mat &amp;&nbsp;</td>
[32]177          <td class="paramname"> <em>C</em>          </td>
178          <td>&nbsp;)&nbsp;</td>
179          <td width="100%"><code> [virtual]</code></td>
[22]180        </tr>
[32]181      </table>
182</div>
183<div class="memdoc">
184
185<p>
186Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.
187<p>
188<dl compact><dt><b>Parameters:</b></dt><dd>
189  <table border="0" cellspacing="2" cellpadding="0">
190    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr>
191  </table>
192</dl>
193
194<p>Implements <a class="el" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa">sqmat</a>.</p>
195
196</div>
197</div><p>
198<a class="anchor" name="92052a8adc2054b63e42d1373d145c89"></a><!-- doxytag: member="fsqmat::mult_sym_t" ref="92052a8adc2054b63e42d1373d145c89" args="(const mat &amp;C)" -->
199<div class="memitem">
200<div class="memproto">
201      <table class="memname">
[22]202        <tr>
[32]203          <td class="memname">void fsqmat::mult_sym_t           </td>
204          <td>(</td>
205          <td class="paramtype">const mat &amp;&nbsp;</td>
206          <td class="paramname"> <em>C</em>          </td>
207          <td>&nbsp;)&nbsp;</td>
208          <td width="100%"><code> [virtual]</code></td>
[22]209        </tr>
210      </table>
211</div>
212<div class="memdoc">
213
214<p>
[32]215Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.
[22]216<p>
217<dl compact><dt><b>Parameters:</b></dt><dd>
218  <table border="0" cellspacing="2" cellpadding="0">
219    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr>
220  </table>
221</dl>
222
[32]223<p>Implements <a class="el" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325">sqmat</a>.</p>
[22]224
225</div>
226</div><p>
[28]227<a class="anchor" name="9fa853e1ca28f2a1a1c43377e798ecb1"></a><!-- doxytag: member="fsqmat::inv" ref="9fa853e1ca28f2a1a1c43377e798ecb1" args="(fsqmat &amp;Inv)" -->
[22]228<div class="memitem">
229<div class="memproto">
230      <table class="memname">
231        <tr>
[28]232          <td class="memname">void fsqmat::inv           </td>
[22]233          <td>(</td>
[28]234          <td class="paramtype"><a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td>
[22]235          <td class="paramname"> <em>Inv</em>          </td>
236          <td>&nbsp;)&nbsp;</td>
237          <td width="100%"><code> [virtual]</code></td>
238        </tr>
239      </table>
240</div>
241<div class="memdoc">
242
243<p>
244Matrix inversion preserving the chosen form.
245<p>
246<dl compact><dt><b>Parameters:</b></dt><dd>
247  <table border="0" cellspacing="2" cellpadding="0">
248    <tr><td valign="top"></td><td valign="top"><em>Inv</em>&nbsp;</td><td>a space where the inverse is stored. </td></tr>
249  </table>
250</dl>
251
252</div>
253</div><p>
[32]254<a class="anchor" name="2288389e2d47bd9df112815ef570c5c9"></a><!-- doxytag: member="fsqmat::sqrt_mult" ref="2288389e2d47bd9df112815ef570c5c9" args="(const vec &amp;v)" -->
[22]255<div class="memitem">
256<div class="memproto">
257      <table class="memname">
258        <tr>
259          <td class="memname">vec fsqmat::sqrt_mult           </td>
260          <td>(</td>
[32]261          <td class="paramtype">const vec &amp;&nbsp;</td>
[22]262          <td class="paramname"> <em>v</em>          </td>
263          <td>&nbsp;)&nbsp;</td>
264          <td width="100%"><code> [inline, virtual]</code></td>
265        </tr>
266      </table>
267</div>
268<div class="memdoc">
269
270<p>
271Multiplies square root of $V$ by vector $x$.
272<p>
273Used e.g. in generating normal samples.
[32]274<p>Implements <a class="el" href="classsqmat.html#975ddc7e8035d8d4e6cbd52dd99c248c">sqmat</a>.</p>
[22]275
276</div>
277</div><p>
[28]278<hr>The documentation for this class was generated from the following files:<ul>
279<li>work/mixpp/bdm/math/<a class="el" href="libDC_8h-source.html">libDC.h</a><li>work/mixpp/bdm/math/libDC.cpp<li>work/mixpp/bdm/math/libDC_.cpp</ul>
[32]280<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:49 2008 for mixpp by&nbsp;
[8]281<a href="http://www.doxygen.org/index.html">
282<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
283</body>
284</html>
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