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03/03/08 13:00:32 (17 years ago)
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smidl
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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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  • doc/html/classfsqmat.html

    r28 r32  
    5151 
    5252<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conversion to full matrix. <br></td></tr> 
    53 <tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#acc5d2d0a243f1de6d0106065f01f518">mult_sym</a> (const mat &amp;C, bool trans=false)</td></tr> 
    54  
    55 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.  <a href="#acc5d2d0a243f1de6d0106065f01f518"></a><br></td></tr> 
    56 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ccf5ad8fb038f82e9d2201c0606b65fa"></a><!-- doxytag: member="fsqmat::mult_sym" ref="ccf5ad8fb038f82e9d2201c0606b65fa" args="(const mat &amp;C, fsqmat &amp;U, bool trans=false)" --> 
    57 void&nbsp;</td><td class="memItemRight" valign="bottom"><b>mult_sym</b> (const mat &amp;C, <a class="el" href="classfsqmat.html">fsqmat</a> &amp;U, bool trans=false)</td></tr> 
     53<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#5530d2756b5d991de755e6121c9a452e">mult_sym</a> (const mat &amp;C)</td></tr> 
     54 
     55<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.  <a href="#5530d2756b5d991de755e6121c9a452e"></a><br></td></tr> 
     56<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#92052a8adc2054b63e42d1373d145c89">mult_sym_t</a> (const mat &amp;C)</td></tr> 
     57 
     58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.  <a href="#92052a8adc2054b63e42d1373d145c89"></a><br></td></tr> 
     59<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfea3618d426e2b8232f09aa0070266f"></a><!-- doxytag: member="fsqmat::mult_sym" ref="cfea3618d426e2b8232f09aa0070266f" args="(const mat &amp;C, fsqmat &amp;U)" --> 
     60void&nbsp;</td><td class="memItemRight" valign="bottom"><b>mult_sym</b> (const mat &amp;C, <a class="el" href="classfsqmat.html">fsqmat</a> &amp;U)</td></tr> 
     61 
     62<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7ca865c68989d22903efe97045cb6c9a"></a><!-- doxytag: member="fsqmat::mult_sym_t" ref="7ca865c68989d22903efe97045cb6c9a" args="(const mat &amp;C, fsqmat &amp;U)" --> 
     63void&nbsp;</td><td class="memItemRight" valign="bottom"><b>mult_sym_t</b> (const mat &amp;C, <a class="el" href="classfsqmat.html">fsqmat</a> &amp;U)</td></tr> 
    5864 
    5965<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfa4c359483d2322f32d1d50050f8ac4"></a><!-- doxytag: member="fsqmat::clear" ref="cfa4c359483d2322f32d1d50050f8ac4" args="()" --> 
    … …  
    6167 
    6268<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Clearing matrix so that it corresponds to zeros. <br></td></tr> 
     69<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="79e3f73e0ccd663c7f7e08083d272940"></a><!-- doxytag: member="fsqmat::fsqmat" ref="79e3f73e0ccd663c7f7e08083d272940" args="()" --> 
     70&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#79e3f73e0ccd663c7f7e08083d272940">fsqmat</a> ()</td></tr> 
     71 
     72<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default initialization. <br></td></tr> 
     73<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40eae99305e7c7240fa95cfec125b06f"></a><!-- doxytag: member="fsqmat::fsqmat" ref="40eae99305e7c7240fa95cfec125b06f" args="(const int dim0)" --> 
     74&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#40eae99305e7c7240fa95cfec125b06f">fsqmat</a> (const int dim0)</td></tr> 
     75 
     76<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default initialization with proper size. <br></td></tr> 
    6377<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1929fbc9fe375f1d67f979d0d302336f"></a><!-- doxytag: member="fsqmat::fsqmat" ref="1929fbc9fe375f1d67f979d0d302336f" args="(const mat &amp;M)" --> 
    6478&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#1929fbc9fe375f1d67f979d0d302336f">fsqmat</a> (const mat &amp;M)</td></tr> 
    6579 
    6680<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructor. <br></td></tr> 
     81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2a8f104e4befbc2aa90d8b11edfedb2e"></a><!-- doxytag: member="fsqmat::~fsqmat" ref="2a8f104e4befbc2aa90d8b11edfedb2e" args="()" --> 
     82virtual&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#2a8f104e4befbc2aa90d8b11edfedb2e">~fsqmat</a> ()</td></tr> 
     83 
     84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Destructor for future use;. <br></td></tr> 
    6785<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#9fa853e1ca28f2a1a1c43377e798ecb1">inv</a> (<a class="el" href="classfsqmat.html">fsqmat</a> &amp;Inv)</td></tr> 
    6886 
    6987<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix inversion preserving the chosen form.  <a href="#9fa853e1ca28f2a1a1c43377e798ecb1"></a><br></td></tr> 
    70 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bf212272ec195ad2706e2bf4d8e7c9b3"></a><!-- doxytag: member="fsqmat::logdet" ref="bf212272ec195ad2706e2bf4d8e7c9b3" args="()" --> 
    71 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#bf212272ec195ad2706e2bf4d8e7c9b3">logdet</a> ()</td></tr> 
     88<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb0d1358f536e4453b5f99d0418ca1e5"></a><!-- doxytag: member="fsqmat::logdet" ref="eb0d1358f536e4453b5f99d0418ca1e5" args="() const " --> 
     89double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#eb0d1358f536e4453b5f99d0418ca1e5">logdet</a> () const </td></tr> 
    7290 
    7391<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of a determinant. <br></td></tr> 
    74 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6d047b9f7a27dfc093303a13cc9b1fba"></a><!-- doxytag: member="fsqmat::qform" ref="6d047b9f7a27dfc093303a13cc9b1fba" args="(vec &amp;v)" --> 
    75 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#6d047b9f7a27dfc093303a13cc9b1fba">qform</a> (vec &amp;v)</td></tr> 
     92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1eec8762a2299d83c7b7cd6bf6cbc1ad"></a><!-- doxytag: member="fsqmat::qform" ref="1eec8762a2299d83c7b7cd6bf6cbc1ad" args="(const vec &amp;v)" --> 
     93double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#1eec8762a2299d83c7b7cd6bf6cbc1ad">qform</a> (const vec &amp;v)</td></tr> 
    7694 
    7795<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Evaluates quadratic form $x= v'*V*v$;. <br></td></tr> 
    78 <tr><td class="memItemLeft" nowrap align="right" valign="top">vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#6648dd4291b809cce14e8497d0433ad3">sqrt_mult</a> (vec &amp;v)</td></tr> 
    79  
    80 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Multiplies square root of $V$ by vector $x$.  <a href="#6648dd4291b809cce14e8497d0433ad3"></a><br></td></tr> 
     96<tr><td class="memItemLeft" nowrap align="right" valign="top">vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classfsqmat.html#2288389e2d47bd9df112815ef570c5c9">sqrt_mult</a> (const vec &amp;v)</td></tr> 
     97 
     98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Multiplies square root of $V$ by vector $x$.  <a href="#2288389e2d47bd9df112815ef570c5c9"></a><br></td></tr> 
    8199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="514d1fdd8a382dbd6a774f2cf1ebd3de"></a><!-- doxytag: member="fsqmat::operator+=" ref="514d1fdd8a382dbd6a774f2cf1ebd3de" args="(const fsqmat &amp;A)" --> 
    82100<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator+=</b> (const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;A)</td></tr> 
    … …  
    103121int&nbsp;</td><td class="memItemRight" valign="bottom"><b>dim</b></td></tr> 
    104122 
     123<tr><td colspan="2"><br><h2>Friends</h2></td></tr> 
     124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e06aba54d61e807b41bd68b5ee6ac22f"></a><!-- doxytag: member="fsqmat::operator&lt;&lt;" ref="e06aba54d61e807b41bd68b5ee6ac22f" args="(std::ostream &amp;os, const fsqmat &amp;sq)" --> 
     125std::ostream &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>operator&lt;&lt;</b> (std::ostream &amp;os, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;sq)</td></tr> 
     126 
    105127</table> 
    106128<hr><a name="_details"></a><h2>Detailed Description</h2> 
    … …  
    145167</div> 
    146168</div><p> 
    147 <a class="anchor" name="acc5d2d0a243f1de6d0106065f01f518"></a><!-- doxytag: member="fsqmat::mult_sym" ref="acc5d2d0a243f1de6d0106065f01f518" args="(const mat &amp;C, bool trans=false)" --> 
     169<a class="anchor" name="5530d2756b5d991de755e6121c9a452e"></a><!-- doxytag: member="fsqmat::mult_sym" ref="5530d2756b5d991de755e6121c9a452e" args="(const mat &amp;C)" --> 
    148170<div class="memitem"> 
    149171<div class="memproto"> 
    … …  
    153175          <td>(</td> 
    154176          <td class="paramtype">const mat &amp;&nbsp;</td> 
    155           <td class="paramname"> <em>C</em>, </td> 
    156         </tr> 
    157         <tr> 
    158           <td class="paramkey"></td> 
    159           <td></td> 
    160           <td class="paramtype">bool&nbsp;</td> 
    161           <td class="paramname"> <em>trans</em> = <code>false</code></td><td>&nbsp;</td> 
    162         </tr> 
    163         <tr> 
    164           <td></td> 
    165           <td>)</td> 
    166           <td></td><td></td><td width="100%"><code> [virtual]</code></td> 
     177          <td class="paramname"> <em>C</em>          </td> 
     178          <td>&nbsp;)&nbsp;</td> 
     179          <td width="100%"><code> [virtual]</code></td> 
    167180        </tr> 
    168181      </table> 
    … …  
    176189  <table border="0" cellspacing="2" cellpadding="0"> 
    177190    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr> 
    178     <tr><td valign="top"></td><td valign="top"><em>trans</em>&nbsp;</td><td>if true, product $V = C'*V*C$ will be computed instead; </td></tr> 
    179   </table> 
    180 </dl> 
    181  
    182 <p>Implements <a class="el" href="classsqmat.html#faa3bc90be142adde9cf74f573c70157">sqmat</a>.</p> 
     191  </table> 
     192</dl> 
     193 
     194<p>Implements <a class="el" href="classsqmat.html#60fbbfa9e483b8187c135f787ee53afa">sqmat</a>.</p> 
     195 
     196</div> 
     197</div><p> 
     198<a class="anchor" name="92052a8adc2054b63e42d1373d145c89"></a><!-- doxytag: member="fsqmat::mult_sym_t" ref="92052a8adc2054b63e42d1373d145c89" args="(const mat &amp;C)" --> 
     199<div class="memitem"> 
     200<div class="memproto"> 
     201      <table class="memname"> 
     202        <tr> 
     203          <td class="memname">void fsqmat::mult_sym_t           </td> 
     204          <td>(</td> 
     205          <td class="paramtype">const mat &amp;&nbsp;</td> 
     206          <td class="paramname"> <em>C</em>          </td> 
     207          <td>&nbsp;)&nbsp;</td> 
     208          <td width="100%"><code> [virtual]</code></td> 
     209        </tr> 
     210      </table> 
     211</div> 
     212<div class="memdoc"> 
     213 
     214<p> 
     215Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.  
     216<p> 
     217<dl compact><dt><b>Parameters:</b></dt><dd> 
     218  <table border="0" cellspacing="2" cellpadding="0"> 
     219    <tr><td valign="top"></td><td valign="top"><em>C</em>&nbsp;</td><td>multiplying matrix, </td></tr> 
     220  </table> 
     221</dl> 
     222 
     223<p>Implements <a class="el" href="classsqmat.html#6909e906da17725b1b80f3cae7cf3325">sqmat</a>.</p> 
    183224 
    184225</div> 
    … …  
    211252</div> 
    212253</div><p> 
    213 <a class="anchor" name="6648dd4291b809cce14e8497d0433ad3"></a><!-- doxytag: member="fsqmat::sqrt_mult" ref="6648dd4291b809cce14e8497d0433ad3" args="(vec &amp;v)" --> 
     254<a class="anchor" name="2288389e2d47bd9df112815ef570c5c9"></a><!-- doxytag: member="fsqmat::sqrt_mult" ref="2288389e2d47bd9df112815ef570c5c9" args="(const vec &amp;v)" --> 
    214255<div class="memitem"> 
    215256<div class="memproto"> 
    … …  
    218259          <td class="memname">vec fsqmat::sqrt_mult           </td> 
    219260          <td>(</td> 
    220           <td class="paramtype">vec &amp;&nbsp;</td> 
     261          <td class="paramtype">const vec &amp;&nbsp;</td> 
    221262          <td class="paramname"> <em>v</em>          </td> 
    222263          <td>&nbsp;)&nbsp;</td> 
    … …  
    231272<p> 
    232273Used e.g. in generating normal samples.  
    233 <p>Implements <a class="el" href="classsqmat.html#b5236c8a050199e1a9d338b0da1a08d2">sqmat</a>.</p> 
     274<p>Implements <a class="el" href="classsqmat.html#975ddc7e8035d8d4e6cbd52dd99c248c">sqmat</a>.</p> 
    234275 
    235276</div> 
    … …  
    237278<hr>The documentation for this class was generated from the following files:<ul> 
    238279<li>work/mixpp/bdm/math/<a class="el" href="libDC_8h-source.html">libDC.h</a><li>work/mixpp/bdm/math/libDC.cpp<li>work/mixpp/bdm/math/libDC_.cpp</ul> 
    239 <hr size="1"><address style="text-align: right;"><small>Generated on Mon Feb 18 21:48:44 2008 for mixpp by&nbsp; 
     280<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:49 2008 for mixpp by&nbsp; 
    240281<a href="http://www.doxygen.org/index.html"> 
    241282<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>