root/library/bdm/math/chmat.h @ 437

/*!
 * \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 "square_mat.h"

/*! \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 );
        void mult_sym ( const mat &C , chmat &U ) const;
        void mult_sym_t ( const mat &C );
        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 ) {
                it_assert_debug(dim==A2.dim,"Matrices of unequal dimension");
                mat pre=concat_vertical(Ch,sqrt(w)*A2.Ch); 
                mat post=zeros(pre.rows(),pre.cols()); 
                if(!qr(pre,post)) {it_warning("Unstable QR in chmat add");}
                Ch=post(0,dim-1,0,dim-1);
        };
        //!Inversion in the same form, i.e. cholesky
        void inv ( chmat &Inv ) const   { ( Inv.Ch ) = itpp::inv ( Ch ).T();}; //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;
                it_assert_debug ( M.rows() ==M.cols(),"chmat:: input matrix must be square!" );
                Ch=chol ( M );
        };
        //! Constructor
        chmat ( const chmat &M, const ivec &perm ):sqmat(M.rows()){it_error("not implemneted");};
        //! 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 ) {
                it_assert_debug(chQ.length()==dim*dim,""); 
                copy_vector(dim*dim, chQ._data(), Ch._data()); 
        }
        //! 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

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