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

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3<title>mixpp: sqmat Class Reference</title>
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23<h1>sqmat Class Reference</h1><!-- doxytag: class="sqmat" -->Virtual class for representation of double symmetric matrices in square-root form. 
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 sqmat:</div>
30<div class="dynsection">
31<p><center><img src="classsqmat__inherit__graph.png" border="0" usemap="#sqmat__inherit__map" alt="Inheritance graph"></center>
32<map name="sqmat__inherit__map">
33<area shape="rect" href="classchmat.html" title="Symmetric matrix stored in square root decomposition using upper cholesky." alt="" coords="5,84,67,111"><area shape="rect" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix." alt="" coords="91,84,157,111"><area shape="rect" href="classldmat.html" title="Matrix stored in LD form, (typically known as UD)." alt="" coords="181,84,240,111"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35
36<p>
37<a href="classsqmat-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
38<tr><td></td></tr>
39<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
40<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#b223484796661f2dadb5607a86ce0581">opupdt</a> (const vec &amp;v, double w)=0</td></tr>
41
42<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9a5b6fddfeb42339e1dc9b978a2590fc"></a><!-- doxytag: member="sqmat::to_mat" ref="9a5b6fddfeb42339e1dc9b978a2590fc" args="()=0" -->
43virtual mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#9a5b6fddfeb42339e1dc9b978a2590fc">to_mat</a> ()=0</td></tr>
44
45<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conversion to full matrix. <br></td></tr>
46<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa">mult_sym</a> (const mat &amp;C)=0</td></tr>
47
48<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="#60fbbfa9e483b8187c135f787ee53afa"></a><br></td></tr>
49<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325">mult_sym_t</a> (const mat &amp;C)=0</td></tr>
50
51<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="#6909e906da17725b1b80f3cae7cf3325"></a><br></td></tr>
52<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a772b396750eeeed85d69fa72478b45"></a><!-- doxytag: member="sqmat::logdet" ref="0a772b396750eeeed85d69fa72478b45" args="() const =0" -->
53virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#0a772b396750eeeed85d69fa72478b45">logdet</a> () const =0</td></tr>
54
55<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of a determinant. <br></td></tr>
56<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#6b79438b5d7544a9c8e110a145355d8f">sqrt_mult</a> (const vec &amp;v) const =0</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Multiplies square root of $V$ by vector $x$.  <a href="#6b79438b5d7544a9c8e110a145355d8f"></a><br></td></tr>
59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fc026312eb02ba09f85d5aacd6f05ab3"></a><!-- doxytag: member="sqmat::qform" ref="fc026312eb02ba09f85d5aacd6f05ab3" args="(const vec &amp;v) const =0" -->
60virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#fc026312eb02ba09f85d5aacd6f05ab3">qform</a> (const vec &amp;v) const =0</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Evaluates quadratic form $x= v'*V*v$;. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6fca246f9eabbdeb8cac03030e826b5e"></a><!-- doxytag: member="sqmat::clear" ref="6fca246f9eabbdeb8cac03030e826b5e" args="()=0" -->
64virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#6fca246f9eabbdeb8cac03030e826b5e">clear</a> ()=0</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Clearing matrix so that it corresponds to zeros. <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ecc2e2540f95a04f4449842588170f5b"></a><!-- doxytag: member="sqmat::cols" ref="ecc2e2540f95a04f4449842588170f5b" args="() const " -->
68int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b">cols</a> () const </td></tr>
69
70<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>
71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="071e80ced9cc3b8cbb360fa7462eb646"></a><!-- doxytag: member="sqmat::rows" ref="071e80ced9cc3b8cbb360fa7462eb646" args="() const " -->
72int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646">rows</a> () const </td></tr>
73
74<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>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0481f2067bb32aaea7e6d4f27e46b656"></a><!-- doxytag: member="sqmat::~sqmat" ref="0481f2067bb32aaea7e6d4f27e46b656" args="()" -->
76virtual&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#0481f2067bb32aaea7e6d4f27e46b656">~sqmat</a> ()</td></tr>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Destructor for future use;. <br></td></tr>
79<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4268750c040c716b2c05037f725078a2"></a><!-- doxytag: member="sqmat::sqmat" ref="4268750c040c716b2c05037f725078a2" args="(const int dim0)" -->
80&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#4268750c040c716b2c05037f725078a2">sqmat</a> (const int dim0)</td></tr>
81
82<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
83<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
84<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0abed904bdc0882373ba9adba919689d"></a><!-- doxytag: member="sqmat::dim" ref="0abed904bdc0882373ba9adba919689d" args="" -->
85int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classsqmat.html#0abed904bdc0882373ba9adba919689d">dim</a></td></tr>
86
87<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dimension of the square matrix <br></td></tr>
88</table>
89<hr><a name="_details"></a><h2>Detailed Description</h2>
90Virtual class for representation of double symmetric matrices in square-root form.
91<p>
92All operations defined on this class should be optimized for the chosen decomposition. <hr><h2>Member Function Documentation</h2>
93<a class="anchor" name="b223484796661f2dadb5607a86ce0581"></a><!-- doxytag: member="sqmat::opupdt" ref="b223484796661f2dadb5607a86ce0581" args="(const vec &amp;v, double w)=0" -->
94<div class="memitem">
95<div class="memproto">
96      <table class="memname">
97        <tr>
98          <td class="memname">virtual void sqmat::opupdt           </td>
99          <td>(</td>
100          <td class="paramtype">const vec &amp;&nbsp;</td>
101          <td class="paramname"> <em>v</em>, </td>
102        </tr>
103        <tr>
104          <td class="paramkey"></td>
105          <td></td>
106          <td class="paramtype">double&nbsp;</td>
107          <td class="paramname"> <em>w</em></td><td>&nbsp;</td>
108        </tr>
109        <tr>
110          <td></td>
111          <td>)</td>
112          <td></td><td></td><td width="100%"><code> [pure virtual]</code></td>
113        </tr>
114      </table>
115</div>
116<div class="memdoc">
117
118<p>
119Perfroms a rank-1 update by outer product of vectors: $V = V + w v v'$. <dl compact><dt><b>Parameters:</b></dt><dd>
120  <table border="0" cellspacing="2" cellpadding="0">
121    <tr><td valign="top"></td><td valign="top"><em>v</em>&nbsp;</td><td>Vector forming the outer product to be added </td></tr>
122    <tr><td valign="top"></td><td valign="top"><em>w</em>&nbsp;</td><td>weight of updating; can be negative</td></tr>
123  </table>
124</dl>
125BLAS-2b operation.
126<p>Implemented in <a class="el" href="classchmat.html#bbc2d98d7455b1f38828907d442836bf">chmat</a>, <a class="el" href="classfsqmat.html#b36530e155667fe9f1bd58394e50c65a">fsqmat</a>, and <a class="el" href="classldmat.html#0f0f6e083e6d947cf58097ffce3ccd1a">ldmat</a>.</p>
127
128</div>
129</div><p>
130<a class="anchor" name="60fbbfa9e483b8187c135f787ee53afa"></a><!-- doxytag: member="sqmat::mult_sym" ref="60fbbfa9e483b8187c135f787ee53afa" args="(const mat &amp;C)=0" -->
131<div class="memitem">
132<div class="memproto">
133      <table class="memname">
134        <tr>
135          <td class="memname">virtual void sqmat::mult_sym           </td>
136          <td>(</td>
137          <td class="paramtype">const mat &amp;&nbsp;</td>
138          <td class="paramname"> <em>C</em>          </td>
139          <td>&nbsp;)&nbsp;</td>
140          <td width="100%"><code> [pure virtual]</code></td>
141        </tr>
142      </table>
143</div>
144<div class="memdoc">
145
146<p>
147Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.
148<p>
149<dl compact><dt><b>Parameters:</b></dt><dd>
150  <table border="0" cellspacing="2" cellpadding="0">
151    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr>
152  </table>
153</dl>
154
155<p>Implemented in <a class="el" href="classchmat.html#66f509f92b0ccf020e2a2a32566e0777">chmat</a>, <a class="el" href="classfsqmat.html#5530d2756b5d991de755e6121c9a452e">fsqmat</a>, and <a class="el" href="classldmat.html#e967b9425007f0cb6cd59b845f9756d8">ldmat</a>.</p>
156
157</div>
158</div><p>
159<a class="anchor" name="6909e906da17725b1b80f3cae7cf3325"></a><!-- doxytag: member="sqmat::mult_sym_t" ref="6909e906da17725b1b80f3cae7cf3325" args="(const mat &amp;C)=0" -->
160<div class="memitem">
161<div class="memproto">
162      <table class="memname">
163        <tr>
164          <td class="memname">virtual void sqmat::mult_sym_t           </td>
165          <td>(</td>
166          <td class="paramtype">const mat &amp;&nbsp;</td>
167          <td class="paramname"> <em>C</em>          </td>
168          <td>&nbsp;)&nbsp;</td>
169          <td width="100%"><code> [pure virtual]</code></td>
170        </tr>
171      </table>
172</div>
173<div class="memdoc">
174
175<p>
176Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.
177<p>
178<dl compact><dt><b>Parameters:</b></dt><dd>
179  <table border="0" cellspacing="2" cellpadding="0">
180    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr>
181  </table>
182</dl>
183
184<p>Implemented in <a class="el" href="classchmat.html#07f50d1332b901eee962e8b1913102f7">chmat</a>, <a class="el" href="classfsqmat.html#92052a8adc2054b63e42d1373d145c89">fsqmat</a>, and <a class="el" href="classldmat.html#4fd155f38eb6dd5af4bdf9c98a7999a9">ldmat</a>.</p>
185
186</div>
187</div><p>
188<a class="anchor" name="6b79438b5d7544a9c8e110a145355d8f"></a><!-- doxytag: member="sqmat::sqrt_mult" ref="6b79438b5d7544a9c8e110a145355d8f" args="(const vec &amp;v) const =0" -->
189<div class="memitem">
190<div class="memproto">
191      <table class="memname">
192        <tr>
193          <td class="memname">virtual vec sqmat::sqrt_mult           </td>
194          <td>(</td>
195          <td class="paramtype">const vec &amp;&nbsp;</td>
196          <td class="paramname"> <em>v</em>          </td>
197          <td>&nbsp;)&nbsp;</td>
198          <td width="100%"> const<code> [pure virtual]</code></td>
199        </tr>
200      </table>
201</div>
202<div class="memdoc">
203
204<p>
205Multiplies square root of $V$ by vector $x$.
206<p>
207Used e.g. in generating normal samples.
208<p>Implemented in <a class="el" href="classchmat.html#b22aa239dbaca33e3fb93b4f674d7051">chmat</a>, <a class="el" href="classfsqmat.html#842a774077ee34ac3c36d180ab33e103">fsqmat</a>, and <a class="el" href="classldmat.html#fc380626ced6f9244fb58c5f0231174d">ldmat</a>.</p>
209
210</div>
211</div><p>
212<hr>The documentation for this class was generated from the following file:<ul>
213<li>work/mixpp/bdm/math/<a class="el" href="libDC_8h-source.html">libDC.h</a></ul>
214<hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:53 2008 for mixpp by&nbsp;
215<a href="http://www.doxygen.org/index.html">
216<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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