root/library/bdm/math/chmat.h @ 1130

/*!
 * \file
 * \brief Matrices in decomposed forms (LDL', LU, UDU', etc).
 * \author Vaclav Smidl.
 *
 * -----------------------------------
 * BDM++ - C++ library for Bayesian Decision Making under Uncertainty
 *
 * Using IT++ for numerical operations
 * -----------------------------------
 */

#ifndef CHMAT_H
#define CHMAT_H

#include "../bdmerror.h"
#include "square_mat.h"

namespace bdm {

/*! \brief Symmetric matrix stored in square root decomposition using upper cholesky

This matrix represent \f$A=Ch' Ch\f$ where only the upper triangle \f$Ch\f$ is stored;

*/
class chmat : public sqmat {
protected:
//! Upper triangle of the cholesky matrix
    mat Ch;
public:

    void opupdt ( const vec &v, double w );
    mat to_mat() const;
    void mult_sym ( const mat &C );
    //! mult_sym with return value in parameter \c U
    void mult_sym ( const mat &C , chmat &U ) const;
    void mult_sym_t ( const mat &C );
    //! mult_sym with return value in parameter \c U
    void mult_sym_t ( const mat &C, chmat &U ) const;
    double logdet() const;
    vec sqrt_mult ( const vec &v ) const;
    double qform ( const vec &v ) const;
    double invqform ( const vec &v ) const;
    void clear();
    //! add another chmat \c A2 with weight \c w.
    void add ( const chmat &A2, double w = 1.0 );
    //!Inversion in the same form, i.e. cholesky
    void inv ( chmat &Inv ) const       {
        ( Inv.Ch ) = itpp::inv ( Ch ).T();
        Inv.dim = dim;
    }; //Fixme: can be more efficient
    ;
//      void inv ( mat &Inv );

    //! Destructor for future use;
    virtual ~chmat() {};
    //!
    chmat ( ) : sqmat (), Ch ( ) {};
    //! Default constructor
    chmat ( const int dim0 ) : sqmat ( dim0 ), Ch ( dim0, dim0 ) {};
    //! Default constructor
    chmat ( const vec &v ) : sqmat ( v.length() ), Ch ( diag ( sqrt ( v ) ) ) {};
    //! Copy constructor
    chmat ( const chmat &Ch0 ) : sqmat ( Ch0.dim ), Ch ( Ch0.dim, Ch0.dim ) {
        Ch = Ch0.Ch;
    }

    //! Default constructor (m3k:cholform)
    chmat ( const mat &M ) : sqmat ( M.rows() ), Ch ( M.rows(), M.cols() ) {
        mat Q;
        bdm_assert_debug ( M.rows() == M.cols(), "chmat:: input matrix must be square!" );
        Ch = chol ( M );
    }

    /*!
      Some templates require this constructor to compile, but
      it shouldn't actually be called.
      \note may be numerically unstable
    */
    chmat ( const chmat &M, const ivec &perm ): sqmat(perm.length()) {
        mat complete = M.to_mat ();
        mat subs = complete.get_cols(perm);
        Ch = chol(subs.get_rows(perm));
    }

    //! Access function
    mat & _Ch() {
        return Ch;
    }
    //! Access function
    const mat & _Ch() const {
        return Ch;
    }
    //! Access functions
    void setD ( const vec &nD ) {
        Ch = diag ( sqrt ( nD ) );
    }
    //! Access functions
    void setCh ( const vec &chQ ) {
        bdm_assert_debug ( chQ.length() == dim * dim, "wrong length" );
        copy_vector ( dim*dim, chQ._data(), Ch._data() );
    }
    //! access function
    void setCh ( const chmat &Ch0 ) {
        Ch = Ch0._Ch();
        dim = Ch0.rows();
    }
    //! access function
    void setCh ( const mat &Ch0 ) {
        //TODO check if Ch0 is OK!!!
        Ch = Ch0;
        dim = Ch0.rows();
    }

    //! Access functions
    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
        }
    }

    //! Operator
    chmat& operator += ( const chmat &A2 );
    //! Operator
    chmat& operator -= ( const chmat &A2 );
    //! Operator
    chmat& operator * ( const double &d ) {
        Ch*sqrt ( d );
        return *this;
    };
    //! Operator
    chmat& operator = ( const chmat &A2 ) {
        Ch = A2.Ch;
        dim = A2.dim;
        return *this;
    }
    //! Operator
    chmat& operator *= ( double x ) {
        Ch *= sqrt ( x );
        return *this;
    };
};


//////// Operations:
//!mapping of add operation to operators
inline chmat& chmat::operator += ( const chmat & A2 )  {
    this->add ( A2 );
    return *this;
}
//!mapping of negative add operation to operators
inline chmat& chmat::operator -= ( const chmat & A2 )  {
    this->add ( A2, -1.0 );
    return *this;
}

}

#endif // CHMAT_H