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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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[19]16<h1>work/mixpp/bdm/math/libDC.h</h1><a href="libDC_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001
[8]17<a name="l00013"></a>00013 <span class="preprocessor">#ifndef DC_H</span>
18<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define DC_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
22<a name="l00018"></a>00018 <span class="keyword">using namespace </span>itpp;
23<a name="l00019"></a>00019
[28]24<a name="l00024"></a><a class="code" href="classsqmat.html">00024</a> <span class="keyword">class </span><a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a>
25<a name="l00025"></a>00025 {
26<a name="l00026"></a>00026         <span class="keyword">public</span>:
27<a name="l00034"></a>00034                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#b223484796661f2dadb5607a86ce0581">opupdt</a> ( <span class="keyword">const</span> vec &amp;v, <span class="keywordtype">double</span> w ) =0;
28<a name="l00035"></a>00035
29<a name="l00039"></a>00039                 <span class="keyword">virtual</span> mat <a class="code" href="classsqmat.html#9a5b6fddfeb42339e1dc9b978a2590fc" title="Conversion to full matrix.">to_mat</a>() =0;
30<a name="l00040"></a>00040
[32]31<a name="l00044"></a>00044                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa" 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 ) =0;
32<a name="l00045"></a>00045                 
33<a name="l00049"></a>00049                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325" 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 ) =0;
34<a name="l00050"></a>00050
35<a name="l00051"></a>00051
36<a name="l00056"></a>00056                 <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classsqmat.html#0a772b396750eeeed85d69fa72478b45" title="Logarithm of a determinant.">logdet</a>() <span class="keyword">const</span> =0;
37<a name="l00057"></a>00057
38<a name="l00063"></a>00063                 <span class="keyword">virtual</span> vec <a class="code" href="classsqmat.html#975ddc7e8035d8d4e6cbd52dd99c248c" title="Multiplies square root of $V$ by vector $x$.">sqrt_mult</a> (<span class="keyword">const</span> vec &amp;v ) =0;
39<a name="l00064"></a>00064
40<a name="l00069"></a>00069                 <span class="keyword">virtual</span> <span class="keywordtype">double</span> <a class="code" href="classsqmat.html#90f97cdf9de08ead4f0648419b3aa4ce" title="Evaluates quadratic form $x= v&amp;#39;*V*v$;.">qform</a> (<span class="keyword">const</span> vec &amp;v ) =0;
41<a name="l00070"></a>00070
42<a name="l00071"></a>00071 <span class="comment">//      //! easy version of the</span>
43<a name="l00072"></a>00072 <span class="comment">//      sqmat inv();</span>
44<a name="l00073"></a>00073
45<a name="l00075"></a>00075                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#6fca246f9eabbdeb8cac03030e826b5e" title="Clearing matrix so that it corresponds to zeros.">clear</a>() =0;
46<a name="l00076"></a>00076
47<a name="l00078"></a><a class="code" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b">00078</a>                 <span class="keywordtype">int</span> <a class="code" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b" title="Reimplementing common functions of mat: cols().">cols</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> dim;};
48<a name="l00079"></a>00079
49<a name="l00081"></a><a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646">00081</a>                 <span class="keywordtype">int</span> <a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646" title="Reimplementing common functions of mat: cols().">rows</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> dim;};
[19]50<a name="l00082"></a>00082
[32]51<a name="l00084"></a><a class="code" href="classsqmat.html#0481f2067bb32aaea7e6d4f27e46b656">00084</a>                 <span class="keyword">virtual</span> <a class="code" href="classsqmat.html#0481f2067bb32aaea7e6d4f27e46b656" title="Destructor for future use;.">~sqmat</a>(){};
52<a name="l00085"></a>00085         <span class="keyword">protected</span>:
53<a name="l00086"></a>00086                 <span class="keywordtype">int</span> dim;
54<a name="l00087"></a>00087 };
55<a name="l00088"></a>00088
56<a name="l00089"></a>00089
57<a name="l00094"></a><a class="code" href="classfsqmat.html">00094</a> <span class="keyword">class </span><a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</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>
58<a name="l00095"></a>00095 {
59<a name="l00096"></a>00096         <span class="keyword">protected</span>:
60<a name="l00097"></a>00097                 mat M;
61<a name="l00098"></a>00098         <span class="keyword">public</span>:
62<a name="l00099"></a>00099                 <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#b36530e155667fe9f1bd58394e50c65a">opupdt</a> ( <span class="keyword">const</span> vec &amp;v, <span class="keywordtype">double</span> w );
63<a name="l00100"></a>00100                 mat <a class="code" href="classfsqmat.html#cedf4f048309056f4262c930914dfda8" title="Conversion to full matrix.">to_mat</a>() ;
64<a name="l00101"></a>00101                 <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#5530d2756b5d991de755e6121c9a452e" 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);
65<a name="l00102"></a>00102                 <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#92052a8adc2054b63e42d1373d145c89" 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);
66<a name="l00103"></a>00103                 <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#5530d2756b5d991de755e6121c9a452e" 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, <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a> &amp;U);
67<a name="l00104"></a>00104                 <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#92052a8adc2054b63e42d1373d145c89" 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, <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a> &amp;U);
68<a name="l00105"></a>00105                 <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#cfa4c359483d2322f32d1d50050f8ac4" title="Clearing matrix so that it corresponds to zeros.">clear</a>();
69<a name="l00106"></a>00106
70<a name="l00108"></a>00108                 <a class="code" href="classfsqmat.html#79e3f73e0ccd663c7f7e08083d272940" title="Default initialization.">fsqmat</a>(); <span class="comment">// mat will be initialized OK</span>
71<a name="l00110"></a>00110 <span class="comment"></span>                <a class="code" href="classfsqmat.html#79e3f73e0ccd663c7f7e08083d272940" title="Default initialization.">fsqmat</a>(<span class="keyword">const</span> <span class="keywordtype">int</span> dim0); <span class="comment">// mat will be initialized OK</span>
72<a name="l00112"></a>00112 <span class="comment"></span>                <a class="code" href="classfsqmat.html#79e3f73e0ccd663c7f7e08083d272940" title="Default initialization.">fsqmat</a> ( <span class="keyword">const</span> mat &amp;M );
73<a name="l00113"></a>00113
74<a name="l00115"></a><a class="code" href="classfsqmat.html#2a8f104e4befbc2aa90d8b11edfedb2e">00115</a>                 <span class="keyword">virtual</span> <a class="code" href="classfsqmat.html#2a8f104e4befbc2aa90d8b11edfedb2e" title="Destructor for future use;.">~fsqmat</a>(){};
75<a name="l00116"></a>00116
76<a name="l00117"></a>00117
77<a name="l00123"></a>00123                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classfsqmat.html#9fa853e1ca28f2a1a1c43377e798ecb1" title="Matrix inversion preserving the chosen form.">inv</a> ( <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a> &amp;Inv );
[28]78<a name="l00124"></a>00124
[32]79<a name="l00125"></a><a class="code" href="classfsqmat.html#eb0d1358f536e4453b5f99d0418ca1e5">00125</a>                 <span class="keywordtype">double</span> <a class="code" href="classfsqmat.html#eb0d1358f536e4453b5f99d0418ca1e5" title="Logarithm of a determinant.">logdet</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> log ( det ( M ) );};
80<a name="l00126"></a><a class="code" href="classfsqmat.html#1eec8762a2299d83c7b7cd6bf6cbc1ad">00126</a>                 <span class="keywordtype">double</span> <a class="code" href="classfsqmat.html#1eec8762a2299d83c7b7cd6bf6cbc1ad" title="Evaluates quadratic form $x= v&amp;#39;*V*v$;.">qform</a> (<span class="keyword">const</span>  vec &amp;v ) {<span class="keywordflow">return</span> ( v* ( M*v ) );};
81<a name="l00127"></a><a class="code" href="classfsqmat.html#2288389e2d47bd9df112815ef570c5c9">00127</a>                 vec <a class="code" href="classfsqmat.html#2288389e2d47bd9df112815ef570c5c9" title="Multiplies square root of $V$ by vector $x$.">sqrt_mult</a> (<span class="keyword">const</span> vec &amp;v ) {it_error ( <span class="stringliteral">"not implemented"</span> );<span class="keywordflow">return</span> v;};
82<a name="l00128"></a>00128
83<a name="l00129"></a>00129                 <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a>&amp; operator += ( <span class="keyword">const</span> <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a> &amp;A ) {M+=A.<a class="code" href="classfsqmat.html#a7a1fcb9aae19d1e4daddfc9c22ce453">M</a>;<span class="keywordflow">return</span> *<span class="keyword">this</span>;};
84<a name="l00130"></a>00130                 <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a>&amp; operator -= ( <span class="keyword">const</span> <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a> &amp;A ) {M-=A.<a class="code" href="classfsqmat.html#a7a1fcb9aae19d1e4daddfc9c22ce453">M</a>;<span class="keywordflow">return</span> *<span class="keyword">this</span>;};
85<a name="l00131"></a>00131                 <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a>&amp; operator *= ( <span class="keywordtype">double</span> x ) {M*=x;<span class="keywordflow">return</span> *<span class="keyword">this</span>;};
86<a name="l00132"></a>00132 <span class="comment">//              fsqmat&amp; operator = ( const fsqmat &amp;A) {M=A.M; return *this;};</span>
87<a name="l00133"></a>00133
88<a name="l00134"></a>00134                 <span class="keyword">friend</span> std::ostream &amp;operator&lt;&lt; ( std::ostream &amp;os, <span class="keyword">const</span> <a class="code" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix.">fsqmat</a> &amp;sq );
89<a name="l00135"></a>00135
90<a name="l00136"></a>00136 };
91<a name="l00137"></a>00137
92<a name="l00138"></a>00138 <span class="keyword">class </span>ldmat: <a class="code" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square-root form...">sqmat</a>
93<a name="l00139"></a>00139 {
94<a name="l00140"></a>00140         <span class="keyword">public</span>:
95<a name="l00141"></a>00141
96<a name="l00143"></a>00143                 ldmat ( <span class="keyword">const</span> mat &amp;L, <span class="keyword">const</span> vec &amp;D );
97<a name="l00145"></a>00145                 ldmat (<span class="keyword">const</span> mat &amp;V );
98<a name="l00147"></a>00147                 ldmat ( vec D0 );
99<a name="l00149"></a>00149                 ldmat ();
100<a name="l00151"></a>00151                 ldmat(<span class="keyword">const</span> <span class="keywordtype">int</span> dim0);
101<a name="l00152"></a>00152
102<a name="l00154"></a>00154                 <span class="keyword">virtual</span> ~ldmat(){};
103<a name="l00155"></a>00155
104<a name="l00156"></a>00156                 <span class="comment">// Reimplementation of compulsory operatios</span>
105<a name="l00157"></a>00157
106<a name="l00158"></a>00158                 <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#b223484796661f2dadb5607a86ce0581">opupdt</a> ( <span class="keyword">const</span> vec &amp;v, <span class="keywordtype">double</span> w );
107<a name="l00159"></a>00159                 mat <a class="code" href="classsqmat.html#9a5b6fddfeb42339e1dc9b978a2590fc" title="Conversion to full matrix.">to_mat</a>();
108<a name="l00160"></a>00160                 <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa" 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);
109<a name="l00161"></a>00161                 <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325" 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);
110<a name="l00162"></a>00162                 <span class="keywordtype">void</span> <span class="keyword">add</span> ( <span class="keyword">const</span> ldmat &amp;ld2, <span class="keywordtype">double</span> w=1.0 );
111<a name="l00163"></a>00163                 <span class="keywordtype">double</span> <a class="code" href="classsqmat.html#0a772b396750eeeed85d69fa72478b45" title="Logarithm of a determinant.">logdet</a>() <span class="keyword">const</span>;
112<a name="l00164"></a>00164                 <span class="keywordtype">double</span> <a class="code" href="classsqmat.html#90f97cdf9de08ead4f0648419b3aa4ce" title="Evaluates quadratic form $x= v&amp;#39;*V*v$;.">qform</a> (<span class="keyword">const</span> vec &amp;v );
113<a name="l00165"></a>00165 <span class="comment">//      sqmat&amp; operator -= ( const sqmat &amp; ld2 );</span>
114<a name="l00166"></a>00166                 <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#6fca246f9eabbdeb8cac03030e826b5e" title="Clearing matrix so that it corresponds to zeros.">clear</a>();
115<a name="l00167"></a>00167                 <span class="keywordtype">int</span> <a class="code" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b" title="Reimplementing common functions of mat: cols().">cols</a>() <span class="keyword">const</span>;
116<a name="l00168"></a>00168                 <span class="keywordtype">int</span> <a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646" title="Reimplementing common functions of mat: cols().">rows</a>() <span class="keyword">const</span>;
117<a name="l00169"></a>00169                 vec <a class="code" href="classsqmat.html#975ddc7e8035d8d4e6cbd52dd99c248c" title="Multiplies square root of $V$ by vector $x$.">sqrt_mult</a> ( <span class="keyword">const</span> vec &amp;v );
[28]118<a name="l00170"></a>00170
[32]119<a name="l00176"></a>00176                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> inv ( ldmat &amp;Inv );
120<a name="l00177"></a>00177
121<a name="l00183"></a>00183                 <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa" 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, ldmat &amp;U);
[28]122<a name="l00184"></a>00184
[32]123<a name="l00190"></a>00190                 <span class="keywordtype">void</span> <a class="code" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325" 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, ldmat &amp;U);
124<a name="l00191"></a>00191
125<a name="l00192"></a>00192
126<a name="l00201"></a>00201                 <span class="keywordtype">void</span> ldform (<span class="keyword">const</span> mat &amp;A,<span class="keyword">const</span> vec &amp;D0 );
127<a name="l00202"></a>00202
128<a name="l00204"></a>00204                 <span class="keywordtype">void</span> setD (<span class="keyword">const</span> vec &amp;nD){D=nD;}
129<a name="l00205"></a>00205                 <span class="keywordtype">void</span> setL (<span class="keyword">const</span> vec &amp;nL){L=nL;}
130<a name="l00206"></a>00206
131<a name="l00207"></a>00207                 ldmat&amp; operator += ( <span class="keyword">const</span> ldmat &amp;ldA );
132<a name="l00208"></a>00208                 ldmat&amp; operator -= ( <span class="keyword">const</span> ldmat &amp;ldA );
133<a name="l00209"></a>00209                 ldmat&amp; operator *= ( <span class="keywordtype">double</span> x );
134<a name="l00210"></a>00210
135<a name="l00211"></a>00211                 <span class="keyword">friend</span> std::ostream &amp;operator&lt;&lt; ( std::ostream &amp;os, <span class="keyword">const</span> ldmat &amp;sq );
136<a name="l00212"></a>00212
137<a name="l00213"></a>00213
138<a name="l00214"></a>00214         <span class="keyword">protected</span>:
139<a name="l00215"></a>00215                 vec D;
140<a name="l00216"></a>00216                 mat L;
141<a name="l00217"></a>00217
142<a name="l00218"></a>00218 };
143<a name="l00219"></a>00219
144<a name="l00221"></a>00221
145<a name="l00222"></a>00222 <span class="keyword">inline</span> ldmat&amp; ldmat::operator += ( <span class="keyword">const</span> ldmat &amp;ldA )  {this-&gt;<span class="keyword">add</span> ( ldA );<span class="keywordflow">return</span> *<span class="keyword">this</span>;}
146<a name="l00223"></a>00223 <span class="keyword">inline</span> ldmat&amp; ldmat::operator -= ( <span class="keyword">const</span> ldmat &amp;ldA )  {this-&gt;<span class="keyword">add</span> ( ldA,-1.0 );<span class="keywordflow">return</span> *<span class="keyword">this</span>;}
147<a name="l00224"></a>00224 <span class="keyword">inline</span> <span class="keywordtype">int</span> <a class="code" href="classsqmat.html#ecc2e2540f95a04f4449842588170f5b" title="Reimplementing common functions of mat: cols().">ldmat::cols</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> dim;}
148<a name="l00225"></a>00225 <span class="keyword">inline</span> <span class="keywordtype">int</span> <a class="code" href="classsqmat.html#071e80ced9cc3b8cbb360fa7462eb646" title="Reimplementing common functions of mat: cols().">ldmat::rows</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> dim;}
149<a name="l00226"></a>00226
150<a name="l00227"></a>00227 <span class="preprocessor">#endif // DC_H</span>
151</pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:40 2008 for mixpp by&nbsp;
[8]152<a href="http://www.doxygen.org/index.html">
153<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
154</body>
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