root/library/bdm/math/chmat.h @ 477

/*!
 * \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