[39] | 1 | /*! |
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| 2 | * \file |
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| 3 | * \brief Matrices in decomposed forms (LDL', LU, UDU', etc). |
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| 4 | * \author Vaclav Smidl. |
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| 5 | * |
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| 6 | * ----------------------------------- |
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| 7 | * BDM++ - C++ library for Bayesian Decision Making under Uncertainty |
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| 8 | * |
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| 9 | * Using IT++ for numerical operations |
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| 10 | * ----------------------------------- |
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| 11 | */ |
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| 12 | |
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| 13 | #ifndef CHMAT_H |
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| 14 | #define CHMAT_H |
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| 15 | |
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[565] | 16 | #include "../bdmerror.h" |
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[384] | 17 | #include "square_mat.h" |
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[39] | 18 | |
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[495] | 19 | namespace bdm |
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| 20 | { |
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| 21 | |
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[39] | 22 | /*! \brief Symmetric matrix stored in square root decomposition using upper cholesky |
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| 23 | |
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[76] | 24 | This matrix represent \f$A=Ch' Ch\f$ where only the upper triangle \f$Ch\f$ is stored; |
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[39] | 25 | |
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| 26 | */ |
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| 27 | class chmat : public sqmat { |
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| 28 | protected: |
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| 29 | //! Upper triangle of the cholesky matrix |
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| 30 | mat Ch; |
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| 31 | public: |
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| 32 | |
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| 33 | void opupdt ( const vec &v, double w ); |
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[168] | 34 | mat to_mat() const; |
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[39] | 35 | void mult_sym ( const mat &C ); |
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| 36 | void mult_sym ( const mat &C , chmat &U ) const; |
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| 37 | void mult_sym_t ( const mat &C ); |
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| 38 | void mult_sym_t ( const mat &C, chmat &U ) const; |
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| 39 | double logdet() const; |
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[108] | 40 | vec sqrt_mult ( const vec &v ) const; |
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| 41 | double qform ( const vec &v ) const; |
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| 42 | double invqform ( const vec &v ) const; |
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| 43 | void clear(); |
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[98] | 44 | //! add another chmat \c A2 with weight \c w. |
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[477] | 45 | void add ( const chmat &A2, double w = 1.0 ) { |
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[565] | 46 | bdm_assert_debug ( dim == A2.dim, "Matrices of unequal dimension" ); |
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[477] | 47 | mat pre = concat_vertical ( Ch, sqrt ( w ) * A2.Ch ); |
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| 48 | mat post = zeros ( pre.rows(), pre.cols() ); |
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| 49 | if ( !qr ( pre, post ) ) { |
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[565] | 50 | bdm_warning ( "Unstable QR in chmat add" ); |
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[477] | 51 | } |
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| 52 | Ch = post ( 0, dim - 1, 0, dim - 1 ); |
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[437] | 53 | }; |
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[39] | 54 | //!Inversion in the same form, i.e. cholesky |
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[477] | 55 | void inv ( chmat &Inv ) const { |
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| 56 | ( Inv.Ch ) = itpp::inv ( Ch ).T(); |
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| 57 | }; //Fixme: can be more efficient |
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[39] | 58 | ; |
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| 59 | // void inv ( mat &Inv ); |
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| 60 | |
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| 61 | //! Destructor for future use; |
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| 62 | virtual ~chmat() {}; |
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[270] | 63 | //! |
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[477] | 64 | chmat ( ) : sqmat (), Ch ( ) {}; |
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[39] | 65 | //! Default constructor |
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[477] | 66 | chmat ( const int dim0 ) : sqmat ( dim0 ), Ch ( dim0, dim0 ) {}; |
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[39] | 67 | //! Default constructor |
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[477] | 68 | chmat ( const vec &v ) : sqmat ( v.length() ), Ch ( diag ( sqrt ( v ) ) ) {}; |
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[76] | 69 | //! Copy constructor |
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[477] | 70 | chmat ( const chmat &Ch0 ) : sqmat ( Ch0.dim ), Ch ( Ch0.dim, Ch0.dim ) { |
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| 71 | Ch = Ch0.Ch; |
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[565] | 72 | } |
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| 73 | |
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[39] | 74 | //! Default constructor (m3k:cholform) |
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[477] | 75 | chmat ( const mat &M ) : sqmat ( M.rows() ), Ch ( M.rows(), M.cols() ) { |
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[39] | 76 | mat Q; |
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[565] | 77 | bdm_assert_debug ( M.rows() == M.cols(), "chmat:: input matrix must be square!" ); |
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[477] | 78 | Ch = chol ( M ); |
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[565] | 79 | } |
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| 80 | |
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| 81 | /*! |
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| 82 | Some templates require this constructor to compile, but |
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| 83 | it shouldn't actually be called. |
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| 84 | */ |
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| 85 | chmat ( const chmat &M, const ivec &perm ) { |
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| 86 | bdm_error ( "not implemented" ); |
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| 87 | } |
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| 88 | |
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[39] | 89 | //! Access function |
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[477] | 90 | mat & _Ch() { |
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| 91 | return Ch; |
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| 92 | } |
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[294] | 93 | //! Access function |
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[477] | 94 | const mat & _Ch() const { |
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| 95 | return Ch; |
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| 96 | } |
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[39] | 97 | //! Access functions |
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[477] | 98 | void setD ( const vec &nD ) { |
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| 99 | Ch = diag ( sqrt ( nD ) ); |
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| 100 | } |
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[39] | 101 | //! Access functions |
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[294] | 102 | void setCh ( const vec &chQ ) { |
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[565] | 103 | bdm_assert_debug ( chQ.length() == dim * dim, "wrong length" ); |
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[477] | 104 | copy_vector ( dim*dim, chQ._data(), Ch._data() ); |
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[294] | 105 | } |
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[565] | 106 | |
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[294] | 107 | //! Access functions |
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[477] | 108 | void setD ( const vec &nD, int i ) { |
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| 109 | for ( int j = i; j < nD.length(); j++ ) { |
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| 110 | Ch ( j, j ) = sqrt ( nD ( j - i ) ); //Fixme can be more general |
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| 111 | } |
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| 112 | } |
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[39] | 113 | |
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| 114 | //! Operators |
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| 115 | chmat& operator += ( const chmat &A2 ); |
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[437] | 116 | chmat& operator -= ( const chmat &A2 ); |
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[477] | 117 | chmat& operator * ( const double &d ) { |
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| 118 | Ch*sqrt ( d ); |
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| 119 | return *this; |
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| 120 | }; |
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| 121 | chmat& operator = ( const chmat &A2 ) { |
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| 122 | Ch = A2.Ch; |
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| 123 | dim = A2.dim; |
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| 124 | return *this; |
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| 125 | } |
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| 126 | chmat& operator *= ( double x ) { |
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| 127 | Ch *= sqrt ( x ); |
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| 128 | return *this; |
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| 129 | }; |
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[39] | 130 | }; |
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| 131 | |
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| 132 | |
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| 133 | //////// Operations: |
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| 134 | //!mapping of add operation to operators |
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[477] | 135 | inline chmat& chmat::operator += ( const chmat & A2 ) { |
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| 136 | this->add ( A2 ); |
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| 137 | return *this; |
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| 138 | } |
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[39] | 139 | //!mapping of negative add operation to operators |
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[477] | 140 | inline chmat& chmat::operator -= ( const chmat & A2 ) { |
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| 141 | this->add ( A2, -1.0 ); |
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| 142 | return *this; |
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| 143 | } |
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[254] | 144 | |
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[495] | 145 | } |
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| 146 | |
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[39] | 147 | #endif // CHMAT_H |
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