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1<?xml version='1.0' encoding='UTF-8' standalone='no'?>
2<doxygen xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="compound.xsd" version="1.5.6">
3  <compounddef id="chmat_8cpp" kind="file">
4    <compoundname>chmat.cpp</compoundname>
5    <includes local="no">itpp/itbase.h</includes>
6    <includes refid="chmat_8h" local="yes">chmat.h</includes>
7    <incdepgraph>
8      <node id="283">
9        <label>work/git/mixpp/bdm/math/chmat.cpp</label>
10        <link refid="chmat.cpp"/>
11        <childnode refid="284" relation="include">
12        </childnode>
13        <childnode refid="285" relation="include">
14        </childnode>
15      </node>
16      <node id="287">
17        <label>../itpp_ext.h</label>
18        <link refid="itpp__ext_8h-source"/>
19        <childnode refid="284" relation="include">
20        </childnode>
21      </node>
22      <node id="284">
23        <label>itpp/itbase.h</label>
24      </node>
25      <node id="285">
26        <label>chmat.h</label>
27        <link refid="chmat_8h"/>
28        <childnode refid="284" relation="include">
29        </childnode>
30        <childnode refid="286" relation="include">
31        </childnode>
32        <childnode refid="287" relation="include">
33        </childnode>
34      </node>
35      <node id="286">
36        <label>libDC.h</label>
37        <link refid="libDC_8h"/>
38        <childnode refid="284" relation="include">
39        </childnode>
40      </node>
41    </incdepgraph>
42    <briefdescription>
43    </briefdescription>
44    <detaileddescription>
45    </detaileddescription>
46    <programlisting>
47<codeline lineno="1"><highlight class="preprocessor">#include<sp/>&lt;itpp/itbase.h&gt;</highlight><highlight class="normal"></highlight></codeline>
48<codeline lineno="2"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>&quot;<ref refid="chmat_8h" kindref="compound" tooltip="Matrices in decomposed forms (LDL&amp;#39;, LU, UDU&amp;#39;, etc).">chmat.h</ref>&quot;</highlight><highlight class="normal"></highlight></codeline>
49<codeline lineno="3"><highlight class="normal"></highlight></codeline>
50<codeline lineno="4"><highlight class="normal"></highlight><highlight class="keyword">using<sp/>namespace<sp/></highlight><highlight class="normal">itpp;</highlight></codeline>
51<codeline lineno="5"><highlight class="normal"></highlight></codeline>
52<codeline lineno="6"><highlight class="normal"></highlight><highlight class="comment">//using<sp/>std::endl;</highlight><highlight class="normal"></highlight></codeline>
53<codeline lineno="7"><highlight class="normal"></highlight></codeline>
54<codeline lineno="8"><highlight class="normal"></highlight></codeline>
55<codeline lineno="9" refid="classchmat_1bbc2d98d7455b1f38828907d442836bf" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classchmat_1bbc2d98d7455b1f38828907d442836bf" kindref="member">chmat::opupdt</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>vec<sp/>&amp;v,<sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>w<sp/>)<sp/>{</highlight></codeline>
56<codeline lineno="10"><highlight class="normal"></highlight><highlight class="comment">//TODO<sp/>see<sp/>cholupdt<sp/>in<sp/>lhotse</highlight><highlight class="normal"></highlight></codeline>
57<codeline lineno="11"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>Z;</highlight></codeline>
58<codeline lineno="12"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>R;</highlight></codeline>
59<codeline lineno="13"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>V(1,v.length());</highlight></codeline>
60<codeline lineno="14"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>V.set_row(0,v*w);</highlight></codeline>
61<codeline lineno="15"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Z<sp/>=<sp/>concat_vertical<sp/>(<sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>,V<sp/>);</highlight></codeline>
62<codeline lineno="16"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>qr<sp/>(<sp/>Z,R<sp/>);</highlight></codeline>
63<codeline lineno="17"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref><sp/>=<sp/>R<sp/>(<sp/>0,<sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>.rows()-1,<sp/>0,<sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>.cols()-1<sp/>);</highlight></codeline>
64<codeline lineno="18"><highlight class="normal">};</highlight></codeline>
65<codeline lineno="19" refid="classchmat_1a37e2c726e4fc3ad50b26ac2ca6c1452" refkind="member"><highlight class="normal">mat<sp/><ref refid="classchmat_1a37e2c726e4fc3ad50b26ac2ca6c1452" kindref="member" tooltip="Conversion to full matrix.">chmat::to_mat</ref>()<sp/>{mat<sp/>F=<ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>.T()<sp/>*<ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>;</highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/>F;};</highlight></codeline>
66<codeline lineno="20" refid="classchmat_166f509f92b0ccf020e2a2a32566e0777" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classchmat_166f509f92b0ccf020e2a2a32566e0777" kindref="member" tooltip="Inplace symmetric multiplication by a SQUARE matrix , i.e. .">chmat::mult_sym</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>mat<sp/>&amp;C<sp/>)<sp/>{</highlight></codeline>
67<codeline lineno="21"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>it_error<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;not<sp/>implemented&quot;</highlight><highlight class="normal"><sp/>);</highlight></codeline>
68<codeline lineno="22"><highlight class="normal">};</highlight></codeline>
69<codeline lineno="23"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classchmat_166f509f92b0ccf020e2a2a32566e0777" kindref="member" tooltip="Inplace symmetric multiplication by a SQUARE matrix , i.e. .">chmat::mult_sym</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>mat<sp/>&amp;C<sp/>,<sp/><ref refid="classchmat" kindref="compound" tooltip="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</ref><sp/>&amp;U<sp/>)</highlight><highlight class="keyword"><sp/>const<sp/></highlight><highlight class="normal">{</highlight></codeline>
70<codeline lineno="24"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>it_error<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;not<sp/>implemented&quot;</highlight><highlight class="normal"><sp/>);</highlight></codeline>
71<codeline lineno="25"><highlight class="normal">};</highlight></codeline>
72<codeline lineno="26" refid="classchmat_107f50d1332b901eee962e8b1913102f7" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classchmat_107f50d1332b901eee962e8b1913102f7" kindref="member" tooltip="Inplace symmetric multiplication by a SQUARE transpose of matrix , i.e. .">chmat::mult_sym_t</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>mat<sp/>&amp;C<sp/>)<sp/>{</highlight></codeline>
73<codeline lineno="27"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>it_error<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;not<sp/>implemented&quot;</highlight><highlight class="normal"><sp/>);</highlight></codeline>
74<codeline lineno="28"><highlight class="normal">};</highlight></codeline>
75<codeline lineno="29"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classchmat_107f50d1332b901eee962e8b1913102f7" kindref="member" tooltip="Inplace symmetric multiplication by a SQUARE transpose of matrix , i.e. .">chmat::mult_sym_t</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>mat<sp/>&amp;C,<sp/><ref refid="classchmat" kindref="compound" tooltip="Symmetric matrix stored in square root decomposition using upper cholesky.">chmat</ref><sp/>&amp;U<sp/>)</highlight><highlight class="keyword"><sp/>const<sp/></highlight><highlight class="normal">{</highlight></codeline>
76<codeline lineno="30"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>it_error<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;not<sp/>implemented&quot;</highlight><highlight class="normal"><sp/>);</highlight></codeline>
77<codeline lineno="31"><highlight class="normal">};</highlight></codeline>
78<codeline lineno="32" refid="classchmat_1b504ca818203b13e667cb3c503980382" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classchmat_1b504ca818203b13e667cb3c503980382" kindref="member" tooltip="Logarithm of a determinant.">chmat::logdet</ref>()</highlight><highlight class="keyword"><sp/>const<sp/></highlight><highlight class="normal">{</highlight></codeline>
79<codeline lineno="33"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>ldet=0.0;<sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>i;</highlight></codeline>
80<codeline lineno="34"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//sum<sp/>of<sp/>logs<sp/>of<sp/>(possibly<sp/>negative!)<sp/>diagonal<sp/>entries</highlight><highlight class="normal"></highlight></codeline>
81<codeline lineno="35"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal"><sp/>(<sp/>i=0;i&lt;<ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>.rows();i++<sp/>)<sp/>{ldet+=log<sp/>(<sp/>std::fabs<sp/>(<sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref><sp/>(<sp/>i,i<sp/>)<sp/>)<sp/>);}</highlight></codeline>
82<codeline lineno="36"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/>2*ldet;<sp/></highlight><highlight class="comment">//compensate<sp/>for<sp/>Ch<sp/>being<sp/>sqrt()</highlight><highlight class="normal"></highlight></codeline>
83<codeline lineno="37"><highlight class="normal">};</highlight></codeline>
84<codeline lineno="38"><highlight class="normal"></highlight><highlight class="comment">//TODO<sp/>can<sp/>be<sp/>done<sp/>more<sp/>efficiently<sp/>using<sp/>BLAS,<sp/>see<sp/>triangular<sp/>matrices</highlight><highlight class="normal"></highlight></codeline>
85<codeline lineno="39" refid="classchmat_1b22aa239dbaca33e3fb93b4f674d7051" refkind="member"><highlight class="normal">vec<sp/><ref refid="classchmat_1b22aa239dbaca33e3fb93b4f674d7051" kindref="member" tooltip="Multiplies square root of  by vector .">chmat::sqrt_mult</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>vec<sp/>&amp;v<sp/>)</highlight><highlight class="keyword"><sp/>const<sp/></highlight><highlight class="normal">{vec<sp/>pom;<sp/>pom<sp/>=<sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>*v;<sp/></highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/>pom;};</highlight></codeline>
86<codeline lineno="40" refid="classchmat_16807737c7ffdb7041256b51db7592248" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classchmat_16807737c7ffdb7041256b51db7592248" kindref="member" tooltip="Evaluates quadratic form ;.">chmat::qform</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>vec<sp/>&amp;v<sp/>)</highlight><highlight class="keyword"><sp/>const<sp/></highlight><highlight class="normal">{vec<sp/>pom;<sp/>pom<sp/>=<sp/><ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>*v;<sp/></highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/>pom*pom;};</highlight></codeline>
87<codeline lineno="41" refid="classchmat_1b49427cff186c62f5df3724e5d2c34b4" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/><ref refid="classchmat_1b49427cff186c62f5df3724e5d2c34b4" kindref="member" tooltip="Evaluates quadratic form ;.">chmat::invqform</ref><sp/>(<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>vec<sp/>&amp;v<sp/>)</highlight><highlight class="keyword"><sp/>const<sp/></highlight><highlight class="normal">{</highlight></codeline>
88<codeline lineno="42"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>pom(v.length());</highlight></codeline>
89<codeline lineno="43"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>forward_substitution(<ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>.T(),v,pom);</highlight></codeline>
90<codeline lineno="44"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">return</highlight><highlight class="normal"><sp/>pom*pom;</highlight></codeline>
91<codeline lineno="45"><highlight class="normal">};</highlight></codeline>
92<codeline lineno="46" refid="classchmat_1d0a995d312ecc11d3b43693f5e224ba9" refkind="member"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/><ref refid="classchmat_1d0a995d312ecc11d3b43693f5e224ba9" kindref="member" tooltip="Clearing matrix so that it corresponds to zeros.">chmat::clear</ref>()<sp/>{<ref refid="classchmat_195158bb150f5e7f939168abcd577fd9c" kindref="member" tooltip="Upper triangle of the cholesky matrix.">Ch</ref>.clear();};</highlight></codeline>
93    </programlisting>
94    <location file="/home/smidl/work/git/mixpp/bdm/math/chmat.cpp"/>
95  </compounddef>
96</doxygen>
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