chmat Class Reference

Symmetric matrix stored in square root decomposition using upper cholesky. More...

#include <chmat.h>

Inheritance diagram for chmat:

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Collaboration diagram for chmat:

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List of all members.

Public Member Functions
virtual void	opupdt (const vec &v, double w)
virtual mat	to_mat ()
	Conversion to full matrix.
virtual void	mult_sym (const mat &C)
	Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.
virtual void	mult_sym_t (const mat &C)
	Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.
virtual double	logdet () const
	Logarithm of a determinant.
virtual vec	sqrt_mult (const vec &v) const
	Multiplies square root of $V$ by vector $x$.
virtual double	qform (const vec &v) const
	Evaluates quadratic form $x= v'*V*v$;.
virtual void	clear ()
	Clearing matrix so that it corresponds to zeros.
virtual void	inv (mat &Inv)
virtual void	inv (chmat &Inv)
virtual	~chmat ()
	Destructor for future use;.
	chmat (const int dim0)
	Default constructor.
	chmat (const mat &M)
	Default constructor (m3k:cholform).
mat &	_Ch ()
	Access function.
int	cols () const
	Reimplementing common functions of mat: cols().
int	rows () const
	Reimplementing common functions of mat: cols().
Protected Attributes
mat	Ch
	Upper chollesky triangle of the matrix.
int	dim
	dimension of the square matrix

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Detailed Description

Symmetric matrix stored in square root decomposition using upper cholesky.

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

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Member Function Documentation

void chmat::opupdt	(	const vec &	v,
		double	w
	)			[virtual]

Perfroms a rank-1 update by outer product of vectors: $V = V + w v v'$.

Parameters:

	v	Vector forming the outer product to be added
	w	weight of updating; can be negative

BLAS-2b operation.

Implements sqmat.

void chmat::mult_sym

(

const mat &

C

)

[virtual]

Inplace symmetric multiplication by a SQUARE matrix $C$, i.e. $V = C*V*C'$.

Parameters:

C

multiplying matrix,

Implements sqmat.

void chmat::mult_sym_t

(

const mat &

C

)

[virtual]

Inplace symmetric multiplication by a SQUARE transpose of matrix $C$, i.e. $V = C'*V*C$.

Parameters:

C

multiplying matrix,

Implements sqmat.

vec chmat::sqrt_mult

(

const vec &

v

)

const [inline, virtual]

Multiplies square root of $V$ by vector $x$.

Used e.g. in generating normal samples.

Implements sqmat.

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The documentation for this class was generated from the following files:

• work/mixpp/bdm/math/chmat.h
• work/mixpp/bdm/math/chmat.cpp

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