Changeset 739 for library/bdm/estim/kalman.h

Timestamp:

11/25/09 18:02:21 (14 years ago)

Author:

mido

Message:

the rest of h to cpp movements, with exception of from_setting and validate to avoid conflicts with Sarka

Files:

• library/bdm/estim/kalman.h (modified) (2 diffs)

library/bdm/estim/kalman.h

@@ -457 +457 @@
 public:
         //! set up this object to match given mlnorm
-        void connect_mlnorm ( const mlnorm<fsqmat> &ml ) {
-                //get ids of yrv
-                const RV &yrv = ml._rv();
-                //need to determine u_t - it is all in _rvc that is not in ml._rv()
-                RV rgr0 = ml._rvc().remove_time();
-                RV urv = rgr0.subt ( yrv );
-
-                //We can do only 1d now... :(
-                bdm_assert ( yrv._dsize() == 1, "Only for SISO so far..." );
-
-                // create names for
-                RV xrv; //empty
-                RV Crv; //empty
-                int td = ml._rvc().mint();
-                // assuming strictly proper function!!!
-                for ( int t = -1; t >= td; t-- ) {
-                        xrv.add ( yrv.copy_t ( t ) );
-                        Crv.add ( urv.copy_t ( t ) );
-                }
-
-                // get mapp
-                th2A.set_connection ( xrv, ml._rvc() );
-                th2C.set_connection ( Crv, ml._rvc() );
-                th2D.set_connection ( urv, ml._rvc() );
-
-                //set matrix sizes
-                this->A = zeros ( xrv._dsize(), xrv._dsize() );
-                for ( int j = 1; j < xrv._dsize(); j++ ) {
-                        A ( j, j - 1 ) = 1.0;    // off diagonal
-                }
-                this->B = zeros ( xrv._dsize(), 1 );
-                this->B ( 0 ) = 1.0;
-                this->C = zeros ( 1, xrv._dsize() );
-                this->D = zeros ( 1, urv._dsize() );
-                this->Q = zeros ( xrv._dsize(), xrv._dsize() );
-                // R is set by update
-
-                //set cache
-                this->A1row = zeros ( xrv._dsize() );
-                this->C1row = zeros ( xrv._dsize() );
-                this->D1row = zeros ( urv._dsize() );
-
-                update_from ( ml );
-                validate();
-        };
+        void connect_mlnorm ( const mlnorm<fsqmat> &ml );
+
         //! fast function to update parameters from ml - not checked for compatibility!!
-        void update_from ( const mlnorm<fsqmat> &ml ) {
-
-                vec theta = ml._A().get_row ( 0 ); // this
-
-                th2A.filldown ( theta, A1row );
-                th2C.filldown ( theta, C1row );
-                th2D.filldown ( theta, D1row );
-
-                R = ml._R();
-
-                A.set_row ( 0, A1row );
-                C.set_row ( 0, C1row + D1row ( 0 ) *A1row );
-                D.set_row ( 0, D1row );
-
-        }
+        void update_from ( const mlnorm<fsqmat> &ml );
 };
 /*!
@@ -553 +496 @@
         //!While mlnorm typically assumes that \f$ u_t \rightarrow y_t \f$ in state space it is \f$ u_{t-1} \rightarrow y_t \f$
         //! For consequences in notation of internal variable xt see arx2statespace_notes.lyx.
-        void connect_mlnorm ( const mlnorm<chmat> &ml, RV &xrv, RV &urv ) {
-
-                //get ids of yrv
-                const RV &yrv = ml._rv();
-                //need to determine u_t - it is all in _rvc that is not in ml._rv()
-                const RV &rgr = ml._rvc();
-                RV rgr0 = rgr.remove_time();
-                urv = rgr0.subt ( yrv );
-
-                // create names for state variables
-                xrv = yrv;
-
-                int y_multiplicity = -rgr.mint ( yrv );
-                int y_block_size = yrv.length() * ( y_multiplicity ); // current yt + all delayed yts
-                for ( int m = 0; m < y_multiplicity - 1; m++ ) { // ========= -1 is important see arx2statespace_notes
-                        xrv.add ( yrv.copy_t ( -m - 1 ) ); //add delayed yt
-                }
-                //! temporary RV for connection to ml.rvc, since notation of xrv and ml.rvc does not match
-                RV xrv_ml = xrv.copy_t ( -1 );
-
-                // add regressors
-                ivec u_block_sizes ( urv.length() ); // no_blocks = yt + unique rgr
-                for ( int r = 0; r < urv.length(); r++ ) {
-                        RV R = urv.subselect ( vec_1 ( r ) ); //non-delayed element of rgr
-                        int r_size = urv.size ( r );
-                        int r_multiplicity = -rgr.mint ( R );
-                        u_block_sizes ( r ) = r_size * r_multiplicity ;
-                        for ( int m = 0; m < r_multiplicity; m++ ) {
-                                xrv.add ( R.copy_t ( -m - 1 ) ); //add delayed yt
-                                xrv_ml.add ( R.copy_t ( -m - 1 ) ); //add delayed yt
-                        }
-                }
-                // add constant
-                if ( any ( ml._mu_const() != 0.0 ) ) {
-                        have_constant = true;
-                        xrv.add ( RV ( "bdm_reserved_constant_one", 1 ) );
-                } else {
-                        have_constant = false;
-                }
-
-
-                // get mapp
-                th2A.set_connection ( xrv_ml, ml._rvc() );
-                th2B.set_connection ( urv, ml._rvc() );
-
-                //set matrix sizes
-                this->A = zeros ( xrv._dsize(), xrv._dsize() );
-                //create y block
-                diagonal_part ( this->A, yrv._dsize(), 0, y_block_size - yrv._dsize() );
-
-                this->B = zeros ( xrv._dsize(), urv._dsize() );
-                //add diagonals for rgr
-                int active_x = y_block_size;
-                for ( int r = 0; r < urv.length(); r++ ) {
-                        diagonal_part ( this->A, active_x + urv.size ( r ), active_x, u_block_sizes ( r ) - urv.size ( r ) );
-                        this->B.set_submatrix ( active_x, 0, eye ( urv.size ( r ) ) );
-                        active_x += u_block_sizes ( r );
-                }
-                this->C = zeros ( yrv._dsize(), xrv._dsize() );
-                this->C.set_submatrix ( 0, 0, eye ( yrv._dsize() ) );
-                this->D = zeros ( yrv._dsize(), urv._dsize() );
-                this->R.setCh ( zeros ( yrv._dsize(), yrv._dsize() ) );
-                this->Q.setCh ( zeros ( xrv._dsize(), xrv._dsize() ) );
-                // Q is set by update
-
-                update_from ( ml );
-                validate();
-        };
+        void connect_mlnorm ( const mlnorm<chmat> &ml, RV &xrv, RV &urv );
+
         //! fast function to update parameters from ml - not checked for compatibility!!
-        void update_from ( const mlnorm<chmat> &ml ) {
-
-                vec Arow = zeros ( A.cols() );
-                vec Brow = zeros ( B.cols() );
-                //  ROW- WISE EVALUATION =====
-                for ( int i = 0; i < ml._rv()._dsize(); i++ ) {
-
-                        vec theta = ml._A().get_row ( i );
-
-                        th2A.filldown ( theta, Arow );
-                        if ( have_constant ) {
-                                // constant is always at the end no need for datalink
-                                Arow ( A.cols() - 1 ) = ml._mu_const() ( i );
-                        }
-                        this->A.set_row ( i, Arow );
-
-                        th2B.filldown ( theta, Brow );
-                        this->B.set_row ( i, Brow );
-                }
-                this->Q._Ch().set_submatrix ( 0, 0, ml.__R()._Ch() );
-
-        };
+        void update_from ( const mlnorm<chmat> &ml );
+
         //! access function
         bool _have_constant() const {