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

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16<h1>work/mixpp/bdm/stat/libFN.h</h1><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">//</span>
17<a name="l00002"></a>00002 <span class="comment">// C++ Interface: itpp_ext</span>
18<a name="l00003"></a>00003 <span class="comment">//</span>
19<a name="l00004"></a>00004 <span class="comment">// Description:</span>
20<a name="l00005"></a>00005 <span class="comment">//</span>
21<a name="l00006"></a>00006 <span class="comment">//</span>
22<a name="l00007"></a>00007 <span class="comment">// Author: smidl &lt;smidl@utia.cas.cz&gt;, (C) 2008</span>
23<a name="l00008"></a>00008 <span class="comment">//</span>
24<a name="l00009"></a>00009 <span class="comment">// Copyright: See COPYING file that comes with this distribution</span>
25<a name="l00010"></a>00010 <span class="comment">//</span>
26<a name="l00011"></a>00011 <span class="comment">//</span>
27<a name="l00012"></a>00012 <span class="preprocessor">#ifndef FN_H</span>
28<a name="l00013"></a>00013 <span class="preprocessor"></span><span class="preprocessor">#define FN_H</span>
29<a name="l00014"></a>00014 <span class="preprocessor"></span>
30<a name="l00015"></a>00015 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span>
31<a name="l00016"></a>00016 <span class="preprocessor">#include "<a class="code" href="libBM_8h.html" title="Bayesian Models (bm) that use Bayes rule to learn from observations.">libBM.h</a>"</span>
32<a name="l00017"></a>00017
33<a name="l00018"></a>00018 <span class="keyword">using namespace </span>itpp;
34<a name="l00019"></a>00019
35<a name="l00021"></a><a class="code" href="classconstfn.html">00021</a> <span class="keyword">class </span><a class="code" href="classconstfn.html" title="class representing function $f(x) = a$, here rv is empty">constfn</a> : <span class="keyword">public</span> <a class="code" href="classfnc.html" title="Class representing function $f(x)$ of variable $x$ represented by rv.">fnc</a>
36<a name="l00022"></a>00022 {
37<a name="l00024"></a>00024                 vec val;
38<a name="l00025"></a>00025
39<a name="l00026"></a>00026         <span class="keyword">public</span>:
40<a name="l00027"></a>00027                 <span class="comment">//vec eval() {return val;};</span>
41<a name="l00029"></a><a class="code" href="classconstfn.html#0411f603cbf675f2bc04a8f85e4e3b52">00029</a> <span class="comment"></span>                vec <a class="code" href="classconstfn.html#0411f603cbf675f2bc04a8f85e4e3b52" title="inherited">eval</a> ( <span class="keyword">const</span> vec &amp;cond ) {<span class="keywordflow">return</span> val;};
42<a name="l00031"></a><a class="code" href="classconstfn.html#d08acd7fac0ef3edfa59bbe48403f2bc">00031</a>                 <a class="code" href="classconstfn.html#d08acd7fac0ef3edfa59bbe48403f2bc" title="Default constructor.">constfn</a> ( <span class="keyword">const</span> vec &amp;val0 ) :val ( val0 ) {};
43<a name="l00032"></a>00032 };
44<a name="l00033"></a>00033
45<a name="l00035"></a><a class="code" href="classlinfn.html">00035</a> <span class="keyword">class </span><a class="code" href="classlinfn.html" title="Class representing function $f(x) = Ax+B$.">linfn</a>: <span class="keyword">public</span> <a class="code" href="classfnc.html" title="Class representing function $f(x)$ of variable $x$ represented by rv.">fnc</a>
46<a name="l00036"></a>00036 {
47<a name="l00038"></a>00038                 <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rv;
48<a name="l00040"></a>00040                 mat A;
49<a name="l00042"></a>00042                 vec B;
50<a name="l00043"></a>00043         <span class="keyword">public</span> :
51<a name="l00044"></a><a class="code" href="classlinfn.html#fac0e56701f4c7beaf1c91f9b2a55f0b">00044</a>                 vec <a class="code" href="classlinfn.html#fac0e56701f4c7beaf1c91f9b2a55f0b" title="function evaluates numerical value of $f(x)$ at $x=cond$">eval</a> (<span class="keyword">const</span> vec &amp;cond ) {it_assert_debug ( cond.length() ==rv.<a class="code" href="classRV.html#f5c7b8bd589eef09ccdf3329a0addea0" title="Return length (number of scalars) of the RV.">count</a>(), <span class="stringliteral">"linfn::eval Wrong cond."</span> );<span class="keywordflow">return</span> A*cond+B;};
52<a name="l00045"></a>00045
53<a name="l00046"></a>00046 <span class="comment">//              linfn evalsome ( ivec &amp;rvind );</span>
54<a name="l00048"></a><a class="code" href="classlinfn.html#01c70122a7783ddb0d87e6a82685adcb">00048</a> <span class="comment"></span>                <a class="code" href="classlinfn.html#01c70122a7783ddb0d87e6a82685adcb" title="default constructor">linfn</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0 ) :rv ( rv0 ),A ( eye ( rv0.count() ) ),B ( zeros ( rv0.count() ) ) { };
55<a name="l00050"></a><a class="code" href="classlinfn.html#15eb81f2141984a61706b7ad5b411505">00050</a>                 <span class="keywordtype">void</span> <a class="code" href="classlinfn.html#15eb81f2141984a61706b7ad5b411505" title="Set values of A and B.">set_parameters</a> ( <span class="keyword">const</span> mat &amp;A0 , <span class="keyword">const</span> vec &amp;B0 ) {A=A0; B=B0;};
56<a name="l00051"></a>00051 };
57<a name="l00052"></a>00052
58<a name="l00053"></a>00053
59<a name="l00063"></a><a class="code" href="classdiffbifn.html">00063</a> <span class="keyword">class </span><a class="code" href="classdiffbifn.html" title="Class representing a differentiable function of two variables $f(x,u)$.">diffbifn</a>: <span class="keyword">public</span> <a class="code" href="classfnc.html" title="Class representing function $f(x)$ of variable $x$ represented by rv.">fnc</a>
60<a name="l00064"></a>00064 {
61<a name="l00065"></a>00065         <span class="keyword">protected</span>:
62<a name="l00067"></a><a class="code" href="classdiffbifn.html#bcf96b86250c3cbd465ba5ee62474b75">00067</a>                 <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classdiffbifn.html#bcf96b86250c3cbd465ba5ee62474b75" title="Indentifier of the first rv.">rvx</a>;
63<a name="l00069"></a><a class="code" href="classdiffbifn.html#c41c74c7942dba51ef0b0bfed963447d">00069</a>                 <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> <a class="code" href="classdiffbifn.html#c41c74c7942dba51ef0b0bfed963447d" title="Indentifier of the second rv.">rvu</a>;
64<a name="l00071"></a><a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78">00071</a>                 <span class="keywordtype">int</span> <a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>;
65<a name="l00073"></a><a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79">00073</a>                 <span class="keywordtype">int</span> <a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79" title="cache for rvu.count()">dimu</a>;
66<a name="l00074"></a>00074         <span class="keyword">public</span>:
67<a name="l00076"></a><a class="code" href="classdiffbifn.html#ad7673e16aa1a046b131b24c731c4632">00076</a>                 vec <a class="code" href="classdiffbifn.html#ad7673e16aa1a046b131b24c731c4632" title="Evaluates $f(x0,u0)$ (VS: Do we really need common eval? ).">eval</a> ( <span class="keyword">const</span> vec &amp;cond )
68<a name="l00077"></a>00077                 {
69<a name="l00078"></a>00078                         it_assert_debug ( cond.length() == ( <a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>+<a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79" title="cache for rvu.count()">dimu</a> ), <span class="stringliteral">"linfn::eval Wrong cond."</span> );
70<a name="l00079"></a>00079                         <span class="keywordflow">return</span> <a class="code" href="classdiffbifn.html#ad7673e16aa1a046b131b24c731c4632" title="Evaluates $f(x0,u0)$ (VS: Do we really need common eval? ).">eval</a> ( cond ( 0,<a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>-1 ),cond ( <a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>,<a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>+<a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79" title="cache for rvu.count()">dimu</a> ) );<span class="comment">//-1 = end (in matlab)</span>
71<a name="l00080"></a>00080                 };
72<a name="l00081"></a>00081
73<a name="l00083"></a><a class="code" href="classdiffbifn.html#40d8a7eee45acc55cda33d43282faa03">00083</a>                 <span class="keyword">virtual</span> vec <a class="code" href="classdiffbifn.html#ad7673e16aa1a046b131b24c731c4632" title="Evaluates $f(x0,u0)$ (VS: Do we really need common eval? ).">eval</a> ( <span class="keyword">const</span> vec &amp;x0, <span class="keyword">const</span> vec &amp;u0 ) {<span class="keywordflow">return</span> zeros ( <a class="code" href="classfnc.html#22d51d10a7901331167f64f80d1af8e9" title="Length of the output vector.">dimy</a> );};
74<a name="l00085"></a><a class="code" href="classdiffbifn.html#6d217a02d4fa13931258d4bebdd0feb4">00085</a>                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classdiffbifn.html#6d217a02d4fa13931258d4bebdd0feb4" title="Evaluates  and writes result into A .">dfdx_cond</a> ( <span class="keyword">const</span> vec &amp;x0, <span class="keyword">const</span> vec &amp;u0, mat &amp;A , <span class="keywordtype">bool</span> full=<span class="keyword">true</span> ) {};
75<a name="l00087"></a><a class="code" href="classdiffbifn.html#1978bafd7909d15c139a08c495c24aa0">00087</a>                 <span class="keyword">virtual</span> <span class="keywordtype">void</span> <a class="code" href="classdiffbifn.html#1978bafd7909d15c139a08c495c24aa0" title="Evaluates  and writes result into A .">dfdu_cond</a> ( <span class="keyword">const</span> vec &amp;x0, <span class="keyword">const</span> vec &amp;u0, mat &amp;A, <span class="keywordtype">bool</span> full=<span class="keyword">true</span> ) {};
76<a name="l00089"></a><a class="code" href="classdiffbifn.html#0b33e1bfa23be5ed234d172eb4c0e4b5">00089</a>                 <a class="code" href="classdiffbifn.html#0b33e1bfa23be5ed234d172eb4c0e4b5" title="Default constructor (dimy is not set!).">diffbifn</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rvx0, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> rvu0 ) : <a class="code" href="classdiffbifn.html#bcf96b86250c3cbd465ba5ee62474b75" title="Indentifier of the first rv.">rvx</a> ( rvx0 ),<a class="code" href="classdiffbifn.html#c41c74c7942dba51ef0b0bfed963447d" title="Indentifier of the second rv.">rvu</a> ( rvu0 ) {<a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>=<a class="code" href="classdiffbifn.html#bcf96b86250c3cbd465ba5ee62474b75" title="Indentifier of the first rv.">rvx</a>.<a class="code" href="classRV.html#f5c7b8bd589eef09ccdf3329a0addea0" title="Return length (number of scalars) of the RV.">count</a>();<a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79" title="cache for rvu.count()">dimu</a>=<a class="code" href="classdiffbifn.html#c41c74c7942dba51ef0b0bfed963447d" title="Indentifier of the second rv.">rvu</a>.<a class="code" href="classRV.html#f5c7b8bd589eef09ccdf3329a0addea0" title="Return length (number of scalars) of the RV.">count</a>();};
77<a name="l00091"></a><a class="code" href="classdiffbifn.html#436de7a7301ea9eac7d6081b893bbf57">00091</a>                 <span class="keywordtype">int</span> <a class="code" href="classdiffbifn.html#436de7a7301ea9eac7d6081b893bbf57" title="access function">_dimx</a>()<span class="keyword"> const</span>{<span class="keywordflow">return</span> <a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>;}
78<a name="l00093"></a><a class="code" href="classdiffbifn.html#fc8779acbff170611aff0ee70cee3879">00093</a>                 <span class="keywordtype">int</span> <a class="code" href="classdiffbifn.html#fc8779acbff170611aff0ee70cee3879" title="access function">_dimu</a>()<span class="keyword"> const</span>{<span class="keywordflow">return</span> <a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79" title="cache for rvu.count()">dimu</a>;}
79<a name="l00094"></a>00094 };
80<a name="l00095"></a>00095
81<a name="l00097"></a>00097 <span class="comment">//TODO can be generalized into multilinear form!</span>
82<a name="l00098"></a><a class="code" href="classbilinfn.html">00098</a> <span class="keyword">class </span><a class="code" href="classbilinfn.html" title="Class representing function $f(x,u) = Ax+Bu$.">bilinfn</a>: <span class="keyword">public</span> <a class="code" href="classdiffbifn.html" title="Class representing a differentiable function of two variables $f(x,u)$.">diffbifn</a>
83<a name="l00099"></a>00099 {
84<a name="l00100"></a>00100                 mat A;
85<a name="l00101"></a>00101                 mat B;
86<a name="l00102"></a>00102         <span class="keyword">public</span> :
87<a name="l00103"></a>00103                 vec <a class="code" href="classbilinfn.html#e36a16e72e7f9fedf3cb18d2d5505a24" title="Evaluates $f(x0,u0)$.">eval</a> ( <span class="keyword">const</span>  vec &amp;x0, <span class="keyword">const</span> vec &amp;u0 );
88<a name="l00104"></a>00104
89<a name="l00106"></a><a class="code" href="classbilinfn.html#af9f36282730d910a41b95f4d1fb8221">00106</a>                 <a class="code" href="classbilinfn.html#af9f36282730d910a41b95f4d1fb8221" title="Default constructor.">bilinfn</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvx0, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvu0 ) : <a class="code" href="classdiffbifn.html" title="Class representing a differentiable function of two variables $f(x,u)$.">diffbifn</a> ( rvx0,rvu0 ) ,A ( eye ( <a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a> ) ),B ( zeros ( <a class="code" href="classdiffbifn.html#f6918bc0a9dad656b4cddc028137eb78" title="cache for rvx.count()">dimx</a>,<a class="code" href="classdiffbifn.html#2e07ce491e973f03d763e37624d0fe79" title="cache for rvu.count()">dimu</a> ) )       {};
90<a name="l00108"></a>00108                 <a class="code" href="classbilinfn.html#af9f36282730d910a41b95f4d1fb8221" title="Default constructor.">bilinfn</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvx0, <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvu0, <span class="keyword">const</span> mat &amp;A0, <span class="keyword">const</span> mat &amp;B0 );
91<a name="l00110"></a><a class="code" href="classbilinfn.html#79c022de8dbe2b054bb9cc49345f3ef5">00110</a>                 <span class="keywordtype">void</span> <a class="code" href="classbilinfn.html#79c022de8dbe2b054bb9cc49345f3ef5" title="Evaluates  and writes result into A .">dfdx_cond</a> ( <span class="keyword">const</span> vec &amp;x0, <span class="keyword">const</span> vec &amp;u0, mat &amp;F, <span class="keywordtype">bool</span> full )
92<a name="l00111"></a>00111                 {
93<a name="l00112"></a>00112                         it_assert_debug ( ( F.cols() ==A.cols() ) &amp; ( F.rows() ==A.rows() ),<span class="stringliteral">"Allocated F is not compatible."</span> );
94<a name="l00113"></a>00113                         <span class="keywordflow">if</span> ( full ) F=A;        <span class="comment">//else : nothing has changed no need to regenerate</span>
95<a name="l00114"></a>00114                 }
96<a name="l00116"></a><a class="code" href="classbilinfn.html#90f2b15612b14883d6ed2b0e295cb82b">00116</a>                 <span class="keywordtype">void</span> <a class="code" href="classbilinfn.html#90f2b15612b14883d6ed2b0e295cb82b" title="Evaluates  and writes result into A .">dfdu_cond</a> ( <span class="keyword">const</span> vec &amp;x0, <span class="keyword">const</span> vec &amp;u0, mat &amp;F,  <span class="keywordtype">bool</span> full=<span class="keyword">true</span> )
97<a name="l00117"></a>00117                 {
98<a name="l00118"></a>00118                         it_assert_debug ( ( F.cols() ==B.cols() ) &amp; ( F.rows() ==B.rows() ),<span class="stringliteral">"Allocated F is not compatible."</span> );
99<a name="l00119"></a>00119                         <span class="keywordflow">if</span> ( full ) F=B;        <span class="comment">//else : nothing has changed no need to regenerate</span>
100<a name="l00120"></a>00120                 }
101<a name="l00121"></a>00121 };
102<a name="l00122"></a>00122
103<a name="l00123"></a>00123 <span class="preprocessor">#endif // FN_H</span>
104</pre></div><hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 12 16:15:45 2008 for mixpp by&nbsp;
105<a href="http://www.doxygen.org/index.html">
106<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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