[39] | 1 | /*! |
---|
| 2 | * \file |
---|
| 3 | * \brief Matrices in decomposed forms (LDL', LU, UDU', etc). |
---|
| 4 | * \author Vaclav Smidl. |
---|
| 5 | * |
---|
| 6 | * ----------------------------------- |
---|
| 7 | * BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
---|
| 8 | * |
---|
| 9 | * Using IT++ for numerical operations |
---|
| 10 | * ----------------------------------- |
---|
| 11 | */ |
---|
| 12 | |
---|
| 13 | #ifndef CHMAT_H |
---|
| 14 | #define CHMAT_H |
---|
| 15 | |
---|
[262] | 16 | |
---|
[384] | 17 | #include "square_mat.h" |
---|
[39] | 18 | |
---|
| 19 | /*! \brief Symmetric matrix stored in square root decomposition using upper cholesky |
---|
| 20 | |
---|
[76] | 21 | This matrix represent \f$A=Ch' Ch\f$ where only the upper triangle \f$Ch\f$ is stored; |
---|
[39] | 22 | |
---|
| 23 | */ |
---|
| 24 | class chmat : public sqmat { |
---|
| 25 | protected: |
---|
| 26 | //! Upper triangle of the cholesky matrix |
---|
| 27 | mat Ch; |
---|
| 28 | public: |
---|
| 29 | |
---|
| 30 | void opupdt ( const vec &v, double w ); |
---|
[168] | 31 | mat to_mat() const; |
---|
[39] | 32 | void mult_sym ( const mat &C ); |
---|
| 33 | void mult_sym ( const mat &C , chmat &U ) const; |
---|
| 34 | void mult_sym_t ( const mat &C ); |
---|
| 35 | void mult_sym_t ( const mat &C, chmat &U ) const; |
---|
| 36 | double logdet() const; |
---|
[108] | 37 | vec sqrt_mult ( const vec &v ) const; |
---|
| 38 | double qform ( const vec &v ) const; |
---|
| 39 | double invqform ( const vec &v ) const; |
---|
| 40 | void clear(); |
---|
[98] | 41 | //! add another chmat \c A2 with weight \c w. |
---|
[437] | 42 | void add ( const chmat &A2, double w=1.0 ) { |
---|
| 43 | it_assert_debug(dim==A2.dim,"Matrices of unequal dimension"); |
---|
| 44 | mat pre=concat_vertical(Ch,sqrt(w)*A2.Ch); |
---|
| 45 | mat post=zeros(pre.rows(),pre.cols()); |
---|
| 46 | if(!qr(pre,post)) {it_warning("Unstable QR in chmat add");} |
---|
| 47 | Ch=post(0,dim-1,0,dim-1); |
---|
| 48 | }; |
---|
[39] | 49 | //!Inversion in the same form, i.e. cholesky |
---|
[76] | 50 | void inv ( chmat &Inv ) const { ( Inv.Ch ) = itpp::inv ( Ch ).T();}; //Fixme: can be more efficient |
---|
[39] | 51 | ; |
---|
| 52 | // void inv ( mat &Inv ); |
---|
| 53 | |
---|
| 54 | //! Destructor for future use; |
---|
| 55 | virtual ~chmat() {}; |
---|
[270] | 56 | //! |
---|
| 57 | chmat ( ) : sqmat (),Ch ( ) {}; |
---|
[39] | 58 | //! Default constructor |
---|
| 59 | chmat ( const int dim0 ) : sqmat ( dim0 ),Ch ( dim0,dim0 ) {}; |
---|
| 60 | //! Default constructor |
---|
| 61 | chmat ( const vec &v) : sqmat ( v.length() ),Ch ( diag(sqrt(v)) ) {}; |
---|
[76] | 62 | //! Copy constructor |
---|
| 63 | chmat ( const chmat &Ch0) : sqmat ( Ch0.dim),Ch ( Ch0.dim,Ch0.dim ) {Ch=Ch0.Ch;}; |
---|
[39] | 64 | //! Default constructor (m3k:cholform) |
---|
| 65 | chmat ( const mat &M ) : sqmat ( M.rows() ),Ch ( M.rows(),M.cols() ) { |
---|
| 66 | mat Q; |
---|
| 67 | it_assert_debug ( M.rows() ==M.cols(),"chmat:: input matrix must be square!" ); |
---|
| 68 | Ch=chol ( M ); |
---|
| 69 | }; |
---|
[183] | 70 | //! Constructor |
---|
| 71 | chmat ( const chmat &M, const ivec &perm ):sqmat(M.rows()){it_error("not implemneted");}; |
---|
[39] | 72 | //! Access function |
---|
| 73 | mat & _Ch() {return Ch;} |
---|
[294] | 74 | //! Access function |
---|
| 75 | const mat & _Ch() const {return Ch;} |
---|
[39] | 76 | //! Access functions |
---|
| 77 | void setD ( const vec &nD ) {Ch=diag ( sqrt(nD) );} |
---|
| 78 | //! Access functions |
---|
[294] | 79 | void setCh ( const vec &chQ ) { |
---|
| 80 | it_assert_debug(chQ.length()==dim*dim,""); |
---|
| 81 | copy_vector(dim*dim, chQ._data(), Ch._data()); |
---|
| 82 | } |
---|
| 83 | //! Access functions |
---|
[39] | 84 | void setD ( const vec &nD, int i ) {for ( int j=i;j<nD.length();j++ ) {Ch( j,j ) =sqrt(nD ( j-i ));}} //Fixme can be more general |
---|
| 85 | |
---|
| 86 | //! Operators |
---|
| 87 | chmat& operator += ( const chmat &A2 ); |
---|
[437] | 88 | chmat& operator -= ( const chmat &A2 ); |
---|
| 89 | chmat& operator * ( const double &d ){Ch*sqrt(d); return *this;}; |
---|
[230] | 90 | chmat& operator = ( const chmat &A2 ){Ch=A2.Ch;dim=A2.dim;return *this;} |
---|
[437] | 91 | chmat& operator *= ( double x ){Ch*=sqrt(x); return *this;}; |
---|
[39] | 92 | }; |
---|
| 93 | |
---|
| 94 | |
---|
| 95 | //////// Operations: |
---|
| 96 | //!mapping of add operation to operators |
---|
| 97 | inline chmat& chmat::operator += ( const chmat &A2 ) {this->add ( A2 );return *this;} |
---|
| 98 | //!mapping of negative add operation to operators |
---|
| 99 | inline chmat& chmat::operator -= ( const chmat &A2 ) {this->add ( A2,-1.0 );return *this;} |
---|
[254] | 100 | |
---|
[39] | 101 | #endif // CHMAT_H |
---|